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refactored so that slippage is implemented as pluggable classes.

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This commit is contained in:
fawce
2012-09-13 21:22:01 -04:00
parent e6564317f0
commit 57a1834c5a
12 changed files with 192 additions and 362 deletions
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docs/zipline.rst
+10 -79
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@@ -9,14 +9,6 @@ zipline Package
:undoc-members:
:show-inheritance:
:mod:`component` Module
-----------------------
.. automodule:: zipline.component
:members:
:undoc-members:
:show-inheritance:
:mod:`lines` Module
-------------------
@@ -25,22 +17,6 @@ zipline Package
:undoc-members:
:show-inheritance:
:mod:`messaging` Module
-----------------------
.. automodule:: zipline.messaging
:members:
:undoc-members:
:show-inheritance:
:mod:`monitor` Module
---------------------
.. automodule:: zipline.monitor
:members:
:undoc-members:
:show-inheritance:
:mod:`protocol` Module
----------------------
@@ -49,66 +25,18 @@ zipline Package
:undoc-members:
:show-inheritance:
:mod:`protocol_utils` Module
----------------------------
:mod:`test_algorithms` Module
-----------------------------
.. automodule:: zipline.protocol_utils
.. automodule:: zipline.test_algorithms
:members:
:undoc-members:
:show-inheritance:
:mod:`serial` Module
--------------------
.. automodule:: zipline.serial
:members:
:undoc-members:
:show-inheritance:
:mod:`simulator` Module
-----------------------
.. automodule:: zipline.simulator
:members:
:undoc-members:
:show-inheritance:
:mod:`sources` Module
:mod:`version` Module
---------------------
.. automodule:: zipline.sources
:members:
:undoc-members:
:show-inheritance:
:mod:`topology` Module
----------------------
.. automodule:: zipline.topology
:members:
:undoc-members:
:show-inheritance:
:mod:`topos` Module
-------------------
.. automodule:: zipline.topos
:members:
:undoc-members:
:show-inheritance:
:mod:`util` Module
------------------
.. automodule:: zipline.util
:members:
:undoc-members:
:show-inheritance:
:mod:`zmq_utils` Module
-----------------------
.. automodule:: zipline.zmq_utils
.. automodule:: zipline.version
:members:
:undoc-members:
:show-inheritance:
@@ -118,7 +46,10 @@ Subpackages
.. toctree::
zipline.core
zipline.data
zipline.finance
zipline.test
zipline.transforms
zipline.gens
zipline.optimize
zipline.utils
docs/zipline.test.rst
-83
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@@ -1,83 +0,0 @@
test Package
============
:mod:`algorithms` Module
------------------------
.. automodule:: zipline.test.algorithms
:members:
:undoc-members:
:show-inheritance:
:mod:`client` Module
--------------------
.. automodule:: zipline.test.client
:members:
:undoc-members:
:show-inheritance:
:mod:`factory` Module
---------------------
.. automodule:: zipline.test.factory
:members:
:undoc-members:
:show-inheritance:
:mod:`test_finance` Module
--------------------------
.. automodule:: zipline.test.test_finance
:members:
:undoc-members:
:show-inheritance:
:mod:`test_monitor` Module
--------------------------
.. automodule:: zipline.test.test_monitor
:members:
:undoc-members:
:show-inheritance:
:mod:`test_perf_tracking` Module
--------------------------------
.. automodule:: zipline.test.test_perf_tracking
:members:
:undoc-members:
:show-inheritance:
:mod:`test_protocol` Module
---------------------------
.. automodule:: zipline.test.test_protocol
:members:
:undoc-members:
:show-inheritance:
:mod:`test_risk` Module
-----------------------
.. automodule:: zipline.test.test_risk
:members:
:undoc-members:
:show-inheritance:
:mod:`test_sanity` Module
-------------------------
.. automodule:: zipline.test.test_sanity
:members:
:undoc-members:
:show-inheritance:
:mod:`transform` Module
-----------------------
.. automodule:: zipline.test.transform
:members:
:undoc-members:
:show-inheritance:
docs/zipline.transforms.rst
-19
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@@ -1,19 +0,0 @@
transforms Package
==================
:mod:`transforms` Package
-------------------------
.. automodule:: zipline.transforms
:members:
:undoc-members:
:show-inheritance:
:mod:`technical` Module
-----------------------
.. automodule:: zipline.transforms.technical
:members:
:undoc-members:
:show-inheritance:
tests/test_exception_handling.py
+2 -3
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@@ -4,8 +4,7 @@ from collections import defaultdict
from zipline.test_algorithms import ExceptionAlgorithm, DivByZeroAlgorithm, \
InitializeTimeoutAlgorithm, TooMuchProcessingAlgorithm
from zipline.finance.trading import SIMULATION_STYLE
from zipline.core.devsimulator import AddressAllocator
from zipline.finance.slippage import FixedSlippage
from zipline.lines import SimulatedTrading
from zipline.gens.transform import StatefulTransform
from zipline.utils.timeout import TimeoutException
@@ -29,7 +28,7 @@ class ExceptionTestCase(TestCase):
def setUp(self):
self.zipline_test_config = {
'sid' : 133,
'simulation_style' : SIMULATION_STYLE.FIXED_SLIPPAGE
'slippage' : FixedSlippage()
}
setup_logger(self)
tests/test_finance.py
+9 -11
View File
@@ -16,11 +16,12 @@ from zipline.lines import SimulatedTrading
from zipline.finance.performance import PerformanceTracker
from zipline.utils.protocol_utils import ndict
from zipline.finance.trading import TransactionSimulator
from zipline.utils.test_utils import \
setup_logger, \
teardown_logger,\
from zipline.finance.slippage import VolumeShareSlippage
from zipline.utils.test_utils import(
setup_logger,
teardown_logger,
assert_single_position
)
DEFAULT_TIMEOUT = 15 # seconds
EXTENDED_TIMEOUT = 90
@@ -258,7 +259,7 @@ class FinanceTestCase(TestCase):
sid = 1
trading_environment = factory.create_trading_environment()
trade_sim = TransactionSimulator([sid])
trade_sim = TransactionSimulator()
price = [10.1] * trade_count
volume = [100] * trade_count
start_date = trading_environment.first_open
@@ -315,12 +316,9 @@ class FinanceTestCase(TestCase):
for trade in generated_trades:
if trade_delay:
trade.dt = trade.dt + trade_delay
txn = trade_sim.apply_trade_to_open_orders(trade)
if txn:
transactions.append(txn)
trade.TRANSACTION = txn
else:
trade.TRANSACTION = None
trade_sim.update(trade)
if trade.TRANSACTION:
transactions.append(trade.TRANSACTION)
tracker.process_event(trade)
zipline/finance/slippage.py
+135
View File
@@ -0,0 +1,135 @@
import pytz
import math
from datetime import timedelta
import zipline.protocol as zp
def create_transaction(sid, amount, price, dt, direction, commission):
txn = {'sid' : sid,
'amount' : int(amount),
'dt' : dt,
'price' : price,
'commission' : commission * amount * direction
}
return zp.ndict(txn)
class VolumeShareSlippage(object):
def __init__(self,
volume_limit=.25,
price_impact=0.1,
commission=0.03,
ttl=None):
self.volume_limit = volume_limit
self.price_impact = price_impact
self.commission = commission
if ttl:
assert isinstance(ttl, timedelta), \
"ttl must be a datetime.timedelta"
self.ttl = ttl
else:
self.ttl = timedelta(days=1)
def simulate(self, event, open_orders):
if(event.volume == 0):
#there are zero volume events bc some stocks trade
#less frequently than once per minute.
return None
if event.sid in open_orders:
orders = open_orders[event.sid]
orders = sorted(orders, key=lambda o: o.dt)
else:
return None
dt = event.dt
total_order = 0
simulated_amount = 0
simulated_impact = 0.0
direction = 1.0
for order in orders:
if(order.dt < event.dt):
# orders are only good on the day they are issued
if order.dt.day < event.dt.day:
continue
open_amount = order.amount - order.filled
if(open_amount != 0):
direction = open_amount / math.fabs(open_amount)
else:
direction = 1
desired_order = total_order + open_amount
volume_share = direction * (desired_order) / event.volume
if volume_share > self.volume_limit:
volume_share = self.volume_limit
simulated_amount = int(volume_share * event.volume * direction)
simulated_impact = (volume_share)**2 * self.price_impact * direction * event.price
order.filled += (simulated_amount - total_order)
total_order = simulated_amount
# we cap the volume share at configured % of a trade
if volume_share == self.volume_limit:
break
orders = [ x for x in orders if abs(x.amount - x.filled) > 0 and x.dt.day >= event.dt.day]
open_orders[event.sid] = orders
if simulated_amount != 0:
return create_transaction(
event.sid,
simulated_amount,
event.price + simulated_impact,
dt.replace(tzinfo = pytz.utc),
direction,
self.commission
)
class FixedSlippage(object):
def __init__(self, spread=0.0, commission=0.0):
"""
Use the fixed slippage model, which will just add/subtract a specified spread
spread/2 will be added on buys and subtracted on sells per share
commission will be charged per share
"""
self.spread = spread
self.commission = commission
def simulate(self, event, open_orders):
if event.sid in open_orders:
orders = open_orders[event.sid]
orders = sorted(orders, key=lambda o: o.dt)
else:
return None
amount = 0
for order in orders:
amount += order.amount
if(amount == 0):
return
direction = amount / math.fabs(amount)
txn = create_transaction(
event.sid,
amount,
event.price + self.spread/2.0,
event.dt,
direction,
self.commission
)
open_orders[event.sid] = []
return txn
zipline/finance/trading.py
+13 -133
View File
@@ -1,33 +1,25 @@
import pytz
import math
import logbook
import datetime
from collections import defaultdict
import zipline.protocol as zp
from zipline.protocol import SIMULATION_STYLE
from zipline.finance.slippage import VolumeShareSlippage, FixedSlippage
log = logbook.Logger('Transaction Simulator')
class TransactionSimulator(object):
def __init__(self, sid_filter, style=SIMULATION_STYLE.PARTIAL_VOLUME):
self.open_orders = {}
self.txn_count = 0
self.trade_window = datetime.timedelta(seconds=30)
self.orderTTL = datetime.timedelta(days=1)
self.commission = 0.03
def __init__(self, slippage=None):
if slippage:
assert isinstance(slippage, (VolumeShareSlippage, FixedSlippage))
self.slippage = slippage
else:
self.slippage = VolumeShareSlippage()
if not style or style == SIMULATION_STYLE.PARTIAL_VOLUME:
self.apply_trade_to_open_orders = self.simulate_with_partial_volume
elif style == SIMULATION_STYLE.BUY_ALL:
self.apply_trade_to_open_orders = self.simulate_buy_all
elif style == SIMULATION_STYLE.FIXED_SLIPPAGE:
self.apply_trade_to_open_orders = self.simulate_with_fixed_cost
elif style == SIMULATION_STYLE.NOOP:
self.apply_trade_to_open_orders = self.simulate_noop
self.open_orders = defaultdict(list)
for sid in sid_filter:
self.open_orders[sid] = []
def place_order(self, order):
# initialized filled field.
@@ -45,121 +37,9 @@ class TransactionSimulator(object):
event.TRANSACTION = None
# We only fill transactions on trade events.
if event.type == zp.DATASOURCE_TYPE.TRADE:
event.TRANSACTION = self.apply_trade_to_open_orders(event)
event.TRANSACTION = self.slippage.simulate(event, self.open_orders)
return event
def simulate_buy_all(self, event):
txn = self.create_transaction(
event.sid,
event.volume,
event.price,
event.dt,
1
)
return txn
def simulate_noop(self, event):
return None
def simulate_with_fixed_cost(self, event):
if self.open_orders.has_key(event.sid):
orders = self.open_orders[event.sid]
orders = sorted(orders, key=lambda o: o.dt)
else:
return None
amount = 0
for order in orders:
amount += order.amount
if(amount == 0):
return
direction = amount / math.fabs(amount)
txn = self.create_transaction(
event.sid,
amount,
event.price + 0.10, # Magic constant?
event.dt,
direction
)
self.open_orders[event.sid] = []
return txn
def simulate_with_partial_volume(self, event):
if(event.volume == 0):
#there are zero volume events bc some stocks trade
#less frequently than once per minute.
return None
if self.open_orders.has_key(event.sid):
orders = self.open_orders[event.sid]
orders = sorted(orders, key=lambda o: o.dt)
else:
return None
dt = event.dt
expired = []
total_order = 0
simulated_amount = 0
simulated_impact = 0.0
direction = 1.0
for order in orders:
if(order.dt < event.dt):
# orders are only good on the day they are issued
if order.dt.day < event.dt.day:
continue
open_amount = order.amount - order.filled
if(open_amount != 0):
direction = open_amount / math.fabs(open_amount)
else:
direction = 1
desired_order = total_order + open_amount
volume_share = direction * (desired_order) / event.volume
if volume_share > .25:
volume_share = .25
simulated_amount = int(volume_share * event.volume * direction)
simulated_impact = (volume_share)**2 * .1 * direction * event.price
order.filled += (simulated_amount - total_order)
total_order = simulated_amount
# we cap the volume share at 25% of a trade
if volume_share == .25:
break
orders = [ x for x in orders if abs(x.amount - x.filled) > 0 and x.dt.day >= event.dt.day]
self.open_orders[event.sid] = orders
if simulated_amount != 0:
return self.create_transaction(
event.sid,
simulated_amount,
event.price + simulated_impact,
dt.replace(tzinfo = pytz.utc),
direction
)
def create_transaction(self, sid, amount, price, dt, direction):
self.txn_count += 1
txn = {'sid' : sid,
'amount' : int(amount),
'dt' : dt,
'price' : price,
'commission' : self.commission * amount * direction
}
return zp.ndict(txn)
class TradingEnvironment(object):
@@ -184,7 +64,7 @@ class TradingEnvironment(object):
self.max_drawdown = max_drawdown
assert self.period_start <= self.period_end, \
"Period start falls after period end."
"Period start falls after period end."
for bm in benchmark_returns:
self.trading_days.append(bm.date)
@@ -197,7 +77,7 @@ class TradingEnvironment(object):
self.first_open = self.calculate_first_open()
self.last_close = self.calculate_last_close()
self.prior_day_open = self.calculate_prior_day_open()
def calculate_first_open(self):
zipline/gens/tradesimulation.py
+9 -9
View File
@@ -21,7 +21,7 @@ MAX_HEARTBEAT_INTERVALS = 15 #count
class TradeSimulationClient(object):
"""
Generator-style class that takes the expected output of a merge, a
user algorithm, a trading environment, and a simulator style as
user algorithm, a trading environment, and a simulator slippage 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
@@ -52,14 +52,14 @@ class TradeSimulationClient(object):
is sent to the algo.
"""
def __init__(self, algo, environment, sim_style):
def __init__(self, algo, environment, slippage):
self.algo = algo
self.sids = algo.get_sid_filter()
self.environment = environment
self.style = sim_style
self.slippage = slippage
self.ordering_client = TransactionSimulator(self.sids, style=self.style)
self.ordering_client = TransactionSimulator(self.slippage)
self.perf_tracker = PerformanceTracker(self.environment, self.sids)
self.algo_start = self.environment.first_open
@@ -106,12 +106,12 @@ class TradeSimulationClient(object):
yield message
class AlgorithmSimulator(object):
def __init__(self,
order_book,
algo,
algo_start):
# ==========
# Algo Setup
# ==========
@@ -202,7 +202,7 @@ class AlgorithmSimulator(object):
# simulator so that it can fill the placed order when it
# receives its next message.
self.order_book.place_order(order)
def transform(self, stream_in):
"""
Main generator work loop.
@@ -263,7 +263,7 @@ class AlgorithmSimulator(object):
del event['perf_message']
self.update_universe(event)
# Send the current state of the universe to the user's algo.
self.simulate_snapshot(date)
@@ -286,7 +286,7 @@ class AlgorithmSimulator(object):
# Needs to be set so that we inject the proper date into algo
# log/print lines.
self.snapshot_dt = date
start_tic = datetime.now()
with self.heartbeat_monitor:
self.algo.handle_data(self.universe)
zipline/lines.py
+12 -12
View File
@@ -61,7 +61,6 @@ before invoking simulate.
"""
from zipline.test_algorithms import TestAlgorithm
from zipline.finance.trading import SIMULATION_STYLE
from zipline.utils import factory
from zipline.gens.composites import (
@@ -69,6 +68,8 @@ from zipline.gens.composites import (
sequential_transforms
)
from zipline.gens.tradesimulation import TradeSimulationClient as tsc
from zipline.finance.slippage import FixedSlippage
from logbook import Logger
log = Logger('Lines')
@@ -81,7 +82,7 @@ class SimulatedTrading(object):
transforms,
algorithm,
environment,
style):
slippage):
"""
@sources - an iterable of iterables
These iterables must yield ndicts that contain:
@@ -99,16 +100,16 @@ class SimulatedTrading(object):
@environment - An instance of finance.trading.TradingEnvironment
@style - protocol.SIMULATION_STYLE
@slippage - an object with a simulate method that takes a
trade event and returns a transaction
"""
self.date_sorted = date_sorted_sources(*sources)
self.transforms = transforms
# Formerly merged_transforms.
self.with_tnfms = sequential_transforms(self.date_sorted,
*self.transforms)
self.trading_client = tsc(algorithm, environment, style)
self.trading_client = tsc(algorithm, environment, slippage)
self.gen = self.trading_client.simulate(self.with_tnfms)
def __iter__(self):
@@ -135,9 +136,10 @@ class SimulatedTrading(object):
- trade_source - optional parameter to specify trades, if present.
If not present :py:class:`zipline.sources.SpecificEquityTrades`
is the source, with daily frequency in trades.
- simulation_style: optional parameter that configures the
:py:class:`zipline.finance.trading.TransactionSimulator`. Expects
a SIMULATION_STYLE as defined in
- slippage: optional parameter that configures the
:py:class:`zipline.gens.tradingsimulation.TransactionSimulator`. Expects
an object with a simulate mehod, such as
:py:class:`zipline.gens.tradingsimulation.FixedSlippage`.
:py:mod:`zipline.finance.trading`
- transforms: optional parameter that provides a list
of StatefulTransform objects.
@@ -175,9 +177,7 @@ class SimulatedTrading(object):
# trade than order
trade_count = 101
simulation_style = config.get('simulation_style')
if not simulation_style:
simulation_style = SIMULATION_STYLE.FIXED_SLIPPAGE
slippage = config.get('slippage', FixedSlippage())
#-------------------
# Trade Source
@@ -218,7 +218,7 @@ class SimulatedTrading(object):
transforms,
test_algo,
trading_environment,
simulation_style,
slippage,
)
#-------------------
zipline/optimize/factory.py
+2 -2
View File
@@ -12,7 +12,7 @@ from zipline.utils.factory import get_next_trading_dt, create_trading_environmen
from zipline.finance.sources import SpecificEquityTrades
from zipline.optimize.algorithms import BuySellAlgorithm
from zipline.lines import SimulatedTrading
from zipline.finance.trading import SIMULATION_STYLE
from zipline.finance.slippage import FixedSlippage
from copy import copy
from itertools import cycle
@@ -128,7 +128,7 @@ def create_predictable_zipline(config, offset=0, simulate=True):
config['trade_count'] = trade_count
config['trade_source'] = source
config['environment'] = trading_environment
config['simulation_style'] = SIMULATION_STYLE.FIXED_SLIPPAGE
config['slippage'] = FixedSlippage()
config['devel'] = True
zipline = SimulatedTrading.create_test_zipline(**config)
zipline/protocol.py
-10
View File
@@ -24,13 +24,3 @@ FINANCE_COMPONENT = namelookup({
'TRADING_CLIENT' : 'TRADING_CLIENT',
'PORTFOLIO_CLIENT' : 'PORTFOLIO_CLIENT',
})
# the simulation style enumerates the available transaction simulation
# strategies.
SIMULATION_STYLE = Enum(
'PARTIAL_VOLUME',
'BUY_ALL',
'FIXED_SLIPPAGE',
'NOOP'
)
zipline/utils/test_utils.py
-1
View File
@@ -1,4 +1,3 @@
import multiprocessing
from datetime import datetime
import blist
from zipline.utils.date_utils import EPOCH