wassname/catalyst
1
0
Fork 0
mirror of https://github.com/wassname/catalyst.git synced 2026-08-08 11:16:58 +08:00
Code Issues Packages Projects Releases Wiki Activity

ENH: New order methods.

Browse Source
This commit is contained in:
Jeremiah Lowin
2013-08-08 15:54:59 -04:00
committed by Thomas Wiecki
parent eae5803910
commit 48486c9814
2 changed files with 96 additions and 1 deletions
Download Patch File Download Diff File Expand all files Collapse all files
zipline/algorithm.py
+69
View File
@@ -366,6 +366,12 @@ class TradingAlgorithm(object):
def order(self, sid, amount, limit_price=None, stop_price=None):
return self.blotter.order(sid, amount, limit_price, stop_price)
def order_value(self, sid, value, limit_price=None, stop_price=None):
last_price = self.trading_client.current_data[sid].price
return self.blotter.order_value(sid, value, last_price,
limit_price=limit_price,
stop_price=stop_price)
@property
def recorded_vars(self):
return copy(self._recorded_vars)
@@ -430,3 +436,66 @@ class TradingAlgorithm(object):
assert data_frequency in ('daily', 'minute')
self.data_frequency = data_frequency
self.annualizer = ANNUALIZER[self.data_frequency]
def order_percent(self, sid, percent, limit_price=None, stop_price=None):
"""
Place an order in the specified security corresponding to the given
percent of the current portfolio value.
Note that percent must expressed as a decimal (0.50 means 50\%).
"""
value = self.portfolio.portfolio_value * percent
return self.order_value(sid, value, limit_price, stop_price)
def target(self, sid, target, limit_price=None, stop_price=None):
"""
Place an order to adjust a position to a target number of shares. If
the position doesn't already exist, this is equivalent to placing a new
order. If the position does exist, this is equivalent to placing an
order for the difference between the target number of shares and the
current number of shares.
"""
if sid in self.portfolio.positions:
current_position = self.portfolio.positions[sid].amount
req_shares = target - current_position
return self.order(sid, req_shares, limit_price, stop_price)
else:
return self.order(sid, target, limit_price, stop_price)
def target_value(self, sid, target, limit_price=None, stop_price=None):
"""
Place an order to adjust a position to a target value. If
the position doesn't already exist, this is equivalent to placing a new
order. If the position does exist, this is equivalent to placing an
order for the difference between the target value and the
current value.
"""
if sid in self.portfolio.positions:
current_position = self.portfolio.positions[sid].amount
current_price = self.portfolio.positions[sid].last_sale_price
current_value = current_position * current_price
req_value = target - current_value
return self.order_value(sid, req_value, limit_price, stop_price)
else:
return self.order_value(sid, target, limit_price, stop_price)
def target_percent(self, sid, target, limit_price=None, stop_price=None):
"""
Place an order to adjust a position to a target percent of the
current portfolio value. If the position doesn't already exist, this is
equivalent to placing a new order. If the position does exist, this is
equivalent to placing an order for the difference between the target
percent and the current percent.
Note that target must expressed as a decimal (0.50 means 50\%).
"""
if sid in self.portfolio.positions:
current_position = self.portfolio.positions[sid].amount
current_price = self.portfolio.positions[sid].last_sale_price
current_value = current_position * current_price
else:
current_value = 0
target_value = self.portfolio.portfolio_value * target
req_value = target_value - current_value
return self.order_value(sid, req_value, limit_price, stop_price)