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BLD: adjusted the algo state data in live mode

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Frederic Fortier
2018-01-03 21:49:56 -05:00
parent 0605fca115
commit 4c2a727cd7
1 changed files with 43 additions and 22 deletions
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catalyst/exchange/exchange_algorithm.py
+43 -22
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@@ -233,28 +233,28 @@ class ExchangeTradingAlgorithmBase(TradingAlgorithm):
"""
tracker = self.perf_tracker
period = tracker.todays_performance
cum = tracker.cumulative_performance
pos_stats = period.position_tracker.stats()
period_stats = calc_period_stats(pos_stats, period.ending_cash)
pos_stats = cum.position_tracker.stats()
period_stats = calc_period_stats(pos_stats, cum.ending_cash)
stats = dict(
period_start=tracker.period_start,
period_end=tracker.period_end,
capital_base=tracker.capital_base,
progress=tracker.progress,
ending_value=period.ending_value,
ending_exposure=period.ending_exposure,
capital_used=period.cash_flow,
starting_value=period.starting_value,
starting_exposure=period.starting_exposure,
starting_cash=period.starting_cash,
ending_cash=period.ending_cash,
portfolio_value=period.ending_cash + period.ending_value,
pnl=period.pnl,
returns=period.returns,
period_open=period.period_open,
period_close=period.period_close,
ending_value=cum.ending_value,
ending_exposure=cum.ending_exposure,
capital_used=cum.cash_flow,
starting_value=cum.starting_value,
starting_exposure=cum.starting_exposure,
starting_cash=cum.starting_cash,
ending_cash=cum.ending_cash,
portfolio_value=cum.ending_cash + cum.ending_value,
pnl=cum.pnl,
returns=cum.returns,
period_open=start_dt,
period_close=end_dt,
gross_leverage=period_stats.gross_leverage,
net_leverage=period_stats.net_leverage,
short_exposure=pos_stats.short_exposure,
@@ -271,8 +271,9 @@ class ExchangeTradingAlgorithmBase(TradingAlgorithm):
# Merging latest recorded variables
stats.update(self.recorded_vars)
stats['positions'] = period.position_tracker.get_positions_list()
stats['positions'] = cum.position_tracker.get_positions_list()
period = tracker.todays_performance
# we want the key to be absent, not just empty
# Only include transactions for given dt
stats['transactions'] = []
@@ -367,6 +368,7 @@ class ExchangeTradingAlgorithmLive(ExchangeTradingAlgorithmBase):
self.stats_minutes = 1
self._last_orders = []
self.trading_client = None
super(ExchangeTradingAlgorithmLive, self).__init__(*args, **kwargs)
@@ -458,32 +460,51 @@ class ExchangeTradingAlgorithmLive(ExchangeTradingAlgorithmBase):
return self._clock
def _create_generator(self, sim_params):
def get_generator(self):
if self.trading_client is not None:
return self.trading_client.transform()
perf = None
if self.perf_tracker is None:
tracker = self.perf_tracker = PerformanceTracker(
sim_params=self.sim_params,
trading_calendar=self.trading_calendar,
env=self.trading_environment,
)
# Set the dt initially to the period start by forcing it to change.
self.on_dt_changed(self.sim_params.start_session)
# Unpacking the perf_tracker and positions if available
perf = get_algo_object(
algo_name=self.algo_namespace,
key='cumulative_performance',
)
if perf is not None:
tracker.cumulative_performance = perf
if not self.initialized:
self.initialize(*self.initialize_args, **self.initialize_kwargs)
self.initialized = True
# Call the simulation trading algorithm for side-effects:
# it creates the perf tracker
TradingAlgorithm._create_generator(self, sim_params)
# TradingAlgorithm._create_generator(self, self.sim_params)
if perf is not None:
tracker.cumulative_performance = perf
period = self.perf_tracker.todays_performance
period.starting_cash = perf.ending_cash
period.starting_exposure = perf.ending_exposure
period.starting_value = perf.ending_value
period.position_tracker = perf.position_tracker
self.trading_client = ExchangeAlgorithmExecutor(
algo=self,
sim_params=sim_params,
sim_params=self.sim_params,
data_portal=self.data_portal,
clock=self.clock,
benchmark_source=self._create_benchmark_source(),
restrictions=self.restrictions,
universe_func=self._calculate_universe
universe_func=self._calculate_universe,
)
return self.trading_client.transform()