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switching to only calculate the returns and risk on market close, rather than per trade.

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fawce
2012-04-09 10:20:08 -04:00
parent aa2bcdf83e
commit 57c39bf615
1 changed files with 5 additions and 4 deletions
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zipline/finance/performance.py
+5 -4
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@@ -255,12 +255,14 @@ class PerformanceTracker():
self.cumulative_performance.update_last_sale(event)
self.todays_performance.update_last_sale(event)
def handle_market_close(self):
#calculate performance as of last trade
self.cumulative_performance.calculate_performance()
self.todays_performance.calculate_performance()
def handle_market_close(self):
#add the return results from today to the list of DailyReturn objects.
# add the return results from today to the list of DailyReturn objects.
todays_date = self.market_close.replace(hour=0, minute=0, second=0)
todays_return_obj = risk.DailyReturn(
todays_date,
@@ -297,7 +299,6 @@ class PerformanceTracker():
self.market_close = self.market_open + self.trading_day
# Roll over positions to current day.
self.todays_performance.calculate_performance()
self.todays_performance = PerformancePeriod(
self.todays_performance.positions,
self.todays_performance.ending_value,