added stddev transform

zipline/gens/stddev.py

@@ -0,0 +1,100 @@
+from numbers import Number
+from datetime import datetime, timedelta
+from collections import defaultdict
+from math import sqrt
+
+from zipline import ndict
+from zipline.gens.transform import EventWindow
+
+class MovingStandardDev(object):
+    """
+    Class that maintains a dicitonary from sids to
+    MovingStandardDevWindows.  For each sid, we maintain a the
+    standard deviation of all events falling within the specified
+    window.
+    """
+
+    def __init__(self, market_aware, days = None, delta = None):
+
+        self.market_aware = market_aware
+
+        self.delta = delta
+        self.days = days
+
+        # Market-aware mode only works with full-day windows.
+        if self.market_aware:
+            assert self.days and not self.delta,\
+                "Market-aware mode only works with full-day windows."
+
+        # Non-market-aware mode requires a timedelta.
+        else:
+            assert self.delta and not self.days, \
+                "Non-market-aware mode requires a timedelta."
+        
+        # No way to pass arguments to the defaultdict factory, so we
+        # need to define a method to generate the correct EventWindows.
+        self.sid_windows = defaultdict(self.create_window)
+        
+    def create_window(self):
+        """
+        Factory method for self.sid_windows.
+        """
+        return MovingStandardDevWindow(
+            self.market_aware,
+            self.days,
+            self.delta
+        )
+    
+    def update(self, event):
+        """
+        Update the event window for this event's sid.  Return an ndict
+        from tracked fields to moving averages.
+        """
+        # This will create a new EventWindow if this is the first
+        # message for this sid.
+        window = self.sid_windows[event.sid]
+        window.update(event)
+        return window.get_stddev()
+    
+class MovingStandardDevWindow(EventWindow):
+    """
+    Iteratively calculates standard deviation for a particular sid
+    over a given time window.  The expected functionality of this
+    class is to be instantiated inside a MovingStandardDev.
+    """
+    
+    def __init__(self, market_aware, days, delta):
+        
+        # Call the superclass constructor to set up base EventWindow
+        # infrastructure.
+        EventWindow.__init__(self, market_aware, days, delta)
+
+        self.sum = 0.0
+        self.sum_sqr = 0.0
+                
+    def handle_add(self, event):
+        assert event.has_key('price')
+        assert isinstance(event.price, Number)
+
+        self.sum += event.price
+        self.sum_sqr += event.price ** 2
+                
+    def handle_remove(self, event):
+        assert event.has_key('price')
+        assert isinstance(event.price, Number)
+        
+        self.sum -= event.price
+        self.sum_sqr -= event.price ** 2
+        
+    def get_stddev(self):
+        
+        # Stddev is 0 if we have only one event.  len(self) is
+        # provided by EventWindow superclass.
+        if len(self) == 1:
+            return 0.0
+
+        else:
+            average = self.sum /len(self.ticks)
+            variance = (self.sum_sqr - self.sum*average) / len(self)
+            stddev = sqrt(variance)
+        return stddev