new world order

zipline/core/monitor.py

@@ -296,7 +296,7 @@ class Controller(object):
                 # We break out of this loop if the time between
                 # sending and receiving the heartbeat is more
                 # than our poll period.
-
+                    
                 if tic - self.ctime > self.period:
                     log.info("heartbeat loop timedout: %s" % (tic - self.ctime))
                     log.info(repr(self.responses))

zipline/gens/composites.py

@@ -11,34 +11,26 @@ from zipline.gens.transform import stateful_transform
 SortBundle = namedtuple("SortBundle", ['source', 'args', 'kwargs'])
 MergeBundle = namedtuple("MergeBundle", ['stream', 'tnfm', 'args', 'kwargs'])
 
-def date_sorted_sources(sources, source_args, source_kwargs):
+def date_sorted_sources(bundles):
     """
-    Takes a list of generator functions, a list of tuples of positional arguments,
-    and a list of dictionaries of keyword arguments.  Packages up all arguments
-    and passes them into a date_sort.
+    Takes an iterable of SortBundles, generating namestrings and initialized datasources
+    for each before piping them into a date_sort.
     """
-    assert len(sources) == len(source_args) == len(source_kwargs)
-    # Package up sources and arguments.
-    
-    # Create a generator of SortBundle objects to be turned into
-    # namestrings and generator objects.
-    bundle_gen = starmap(SortBundle, zip(sources, source_args, source_kwargs))
-
-    # Load the results of the generator into a tuple so that the
-    # results can be used twice (once in namestring comprehension,
-    # once in the generator comprehension for intialized sources.
-    bundles = tuple(bundle_gen)
+    assert isinstance(bundles, (list, tuple))
+    for bundle in bundles:
+        assert isinstance(bundle, SortBundle)
 
     # Calculate namestring hashes to pass to date_sort.
     names = [bundle.source.__name__ + hash_args(*bundle.args, **bundle.kwargs)
              for bundle in bundles]
+
     # Pass each source its arguments.
     initialized = [bundle.source(*bundle.args, **bundle.kwargs)
-                        for bundle in bundles]
-
+                   for bundle in bundles]
+    
     # Convert the list of generators into a flat stream by pulling
     # one element at a time from each.
-    stream_in = roundrobin(*initialized)
+    stream_in = roundrobin(initialized, names)
     
     # Guarantee the flat stream will be sorted by date, using source_id as
     # tie-breaker, which is fully deterministic (given deterministic string 

zipline/gens/tradegens.py

@@ -54,6 +54,15 @@ def SpecificEquityTrades(*args, **config):
     Yields all events in event_list that match the given sid_filter.
     If no event_list is specified, generates an internal stream of events
     to filter.  Returns all events if filter is None.
+    
+    Configuration options:
+    
+    count: integer representing number of trades
+    sids : list of values representing simulated internal sids
+    start: start date
+    delta: timedelta between internal events
+
+
     """
     # We shouldn't get any positional arguments.
     assert args == ()

zipline/gens/tradesimulation.py

@@ -0,0 +1,120 @@
+from numbers import Integral
+
+from zipline.gens import stateful_transform
+from zipline.finance.trading import TransactionSimulator
+from zipline.finance.performance import PerformanceTracker
+
+def trade_simulation_client(stream_in, algo, environment, sim_style):
+    """
+    Generator that takes the expected output of a merge, a user
+    algorithm, a trading environment, and a simulator style as
+    arguments.  Pipes the merge stream through a TransactionSimulator
+    and a PerformanceTracker, which keep track of the current state of
+    our algorithm's simulated universe. Results are fed to the user's
+    algorithm, which directly inserts transactions into the
+    TransactionSimulator's order book.
+    
+    TransactionSimulator maintains a dictionary from sids to the
+    unfulfilled orders placed by the user's algorithm.  As trade
+    events arrive, if the algorithm has open orders against the
+    trade's sid, the simulator will fill orders up to 25% of market
+    cap.  Applied transactions are added to a txn field on the event
+    and forwarded to PerformanceTracker. The txn field is set to None
+    on non-trade events and events that do not match any open orders.
+
+    PerformanceTracker receives the updated event messages from
+    TransactionSimulator, maintaining a set of daily and cumulative
+    performance metrics for the algorithm.  The tracker removes the
+    txn field from each event it receives, replacing it with a
+    portfolio field to be fed into the user algo. At the end of each
+    trading day, the PerformanceTracker also generates a daily
+    performance report, which is appended to event's perf_report
+    field.
+
+    Fully processed events are run through a batcher generator, which
+    batches together events with the same dt field into a single event
+    to be fed to the algo. The portfolio object is repeatedly
+    overwritten so that only the most recent snapshot of the universe
+    is sent to the algo.
+    """
+    
+    #============
+    # Algo Setup
+    #============
+
+    # Initialize txn_sim's dictionary of orders here so that we can
+    # reference it from within the user's algorithm.
+    sids = algo.get_sid_filter()
+    open_orders = {}
+    
+    for sid in sids:
+        open_orders[sids] = []
+    
+    # Closure to pass into the user's algo to allow placing orders
+    # into the txn_sim's dict of open orders.
+    def order(self, sid, amount):
+        assert sid in sids, "Order on invalid sid: %i" % sid
+        order = zp.ndict({
+            'dt'     : self.current_dt,
+            'sid'    : sid,
+            'amount' : int(amount)
+            'filled' : 0
+        })
+
+        # Tell the user if they try to buy 0 shares of something.
+        if order.amount == 0:
+            log = "requested to trade zero shares of {sid}".format(
+                sid=event.sid
+            )
+            log.debug(log)
+            return
+
+        open_orders[sid].append(event)
+                                      
+    # Set the algo's order method.
+    algo.set_order(order)
+    
+    # Provide a logbook logging interface to user code.
+    algo.set_logger(Logger("Algolog"))
+
+    # Call user-defined initialize method before we process any
+    # events.
+    algo.initialize()
+    
+    # Pipe the in stream into the transaction simulator.
+    # Creates a TRANSACTION field on the event containing transaction
+    # information if we filled any pending orders on the event's sid.
+    # TRANSACTION is None if we didn't fill any orders.
+    with_txns = stateful_transform(stream_in, 
+                                   TransactionSimulator, 
+                                   open_orders,
+                                   style = sim_style)
+    
+    
+    # Pipe the events with transactions to perf. This will remove the
+    # TRANSACTION field added by TransactionSimulator and replace it with
+    # a portfolio object to be passed to the user's algorithm. Also adds
+    # a PERF_MESSAGE field which is usually none, but contains an update
+    # message once per day.
+    with_portfolio_and_perf_msg = stateful_transform(stream_with_txns,
+                                                     PerformanceTracker, 
+                                                     trading_environment, 
+                                                     sids)
+    
+    # Batch the event stream by dt to be processed by the user's algo.
+    # Will also set the PERF_MESSAGE field if the batch contains a perf
+    # message.
+    
+    batches = batcher(with_portfolio_and_perf_msg)
+    
+    for batch in batches:
+        algo.handle_data(batch.data)
+        if batch.perf_message:
+            yield perf_message
+        
+
+    
+    
+    
+    
+    

zipline/gens/transform.py

@@ -43,7 +43,7 @@ def functional_transform(stream_in, func, *args, **kwargs):
 def stateful_transform(stream_in, tnfm_class, *args, **kwargs):
     """
     Generic transform generator that takes each message from an in-stream
-    and sorts it to a state class.  For each call to update, the state
+    and passes it to a state class.  For each call to update, the state
     class must produce a message to be fed downstream.
     """
     

zipline/gens/utils.py

@@ -27,15 +27,24 @@ def alternate(g1, g2):
         if e2 != None:
             yield e2
 
-def roundrobin(*args):
+def roundrobin(sources, namestrings):
     """
     Takes N generators, pulling one element off each until all inputs
     are empty.
     """
-    for elem_tuple in izip_longest(*args):
-        for value in elem_tuple:
-            if value != None:
-                yield value
+    assert len(sources) == len(namestrings)
+    mapping = OrderedDict(zip(namestrings, sources))
+    
+    # While our generators have not been exhausted, pull elements
+    while mapping != []:
+        for namestring, source in mapping:
+            try:
+                message = source.next()
+                yield message
+            except StopIteration:
+                yield done_message(namestring)
+                del mapping(namestring)
+
 
 
 def hash_args(*args, **kwargs):