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Fix spelling mishaps.

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This commit is contained in:
Stephen Diehl
2012-03-14 23:48:59 -04:00
parent 61adcf44c2
commit 674f445cda
2 changed files with 83 additions and 67 deletions
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zipline/finance/performance.py
+79 -64
View File
@@ -3,6 +3,7 @@ import pytz
import math
import pandas
import zmq
from zmq.core.poll import select
import zipline.messaging as qmsg
@@ -11,36 +12,48 @@ import zipline.protocol as zp
import zipline.finance.risk as risk
class PerformanceTracker():
def __init__(self, period_start, period_end, capital_base, trading_environment):
self.trading_day = datetime.timedelta(hours=6, minutes=30)
self.calendar_day = datetime.timedelta(hours=24)
self.period_start = period_start
self.period_end = period_end
self.market_open = self.period_start
self.market_close = self.market_open + self.trading_day
self.progress = 0.0
self.total_days = (self.period_end - self.period_start).days
self.day_count = 0
self.cumulative_capital_used= 0.0
self.max_capital_used = 0.0
self.capital_base = capital_base
self.trading_environment = trading_environment
self.returns = []
self.txn_count = 0
self.event_count = 0
self.trading_day = datetime.timedelta(hours = 6, minutes = 30)
self.calendar_day = datetime.timedelta(hours = 24)
self.period_start = period_start
self.period_end = period_end
self.market_open = self.period_start
self.market_close = self.market_open + self.trading_day
self.progress = 0.0
self.total_days = (self.period_end - self.period_start).days
self.day_count = 0
self.cumulative_capital_used = 0.0
self.max_capital_used = 0.0
self.capital_base = capital_base
self.trading_environment = trading_environment
self.returns = []
self.txn_count = 0
self.event_count = 0
self.result_stream = None
self.cumulative_performance = PerformancePeriod(
{},
capital_base,
{},
capital_base,
starting_cash = capital_base
)
self.todays_performance = PerformancePeriod(
{},
capital_base,
self.todays_performance = PerformancePeriod(
{},
capital_base,
starting_cash = capital_base
)
def publish_to(self, zmq_socket, context=None):
ctx = context or zmq.Context.instance()
sock = ctx.socket(zmq.PUSH)
sock.connect(zmq_socket)
self.result_stream = sock
def to_dict(self):
"""
Creates a dictionary representing the state of this tracker.
@@ -97,50 +110,49 @@ class PerformanceTracker():
| | overkill. |
+-----------------+----------------------------------------------------+
| cumulative_risk | A dictionary representing the risk metrics |
| _metrics | calculated based on the positions aggregated |
| _metrics | calculated based on the positions aggregated |
| | through all the events delivered to this tracker. |
| | For details look at the comments for |
| | :py:meth:`zipline.finance.risk.RiskMetrics.to_dict`|
+-----------------+----------------------------------------------------+
"""
returns_list = [x.to_dict() for x in self.returns]
d = {
'period_start' : self.period_start,
'period_end' : self.period_end,
'progress' : self.progress,
'cumulative_captial_used' : self.cumulative_captial_used,
'cumulative_captial_used' : self.cumulative_capital_used,
'max_capital_used' : self.max_capital_used,
'last_close' : self.market_close,
'last_open' : self.market_open,
'capital_base' : self.capital_base,
'returns' : returns_list,
'cumulative_perf' : self.cumulative_perf.to_dict(),
'todays_perf' : self.todays_perf.to_dict(),
'cumulative_perf' : self.cumulative_performance.to_dict(),
'todays_perf' : self.todays_performance.to_dict(),
'cumulative_risk_metrics' : self.cumulative_risk_metrics.to_dict()
}
return d
def update(self, event_frame):
for dt, event_series in event_frame.iteritems():
data = {}
data.update(event_series)
event = zp.namedict(data)
self.process_event(event)
def process_event(self, event):
qutil.LOGGER.debug("series is " + str(event))
self.event_count += 1
if(event.dt >= self.market_close):
self.handle_market_close()
if not pandas.isnull(event.TRANSACTION):
if not pandas.isnull(event.TRANSACTION):
self.txn_count += 1
self.cumulative_performance.execute_transaction(event.TRANSACTION)
self.todays_performance.execute_transaction(event.TRANSACTION)
# we're adding a 10% cushion to the capital used,
# we're adding a 10% cushion to the capital used,
# and then rounding to the nearest 5k
transaction_cost = event.TRANSACTION.price * event.TRANSACTION.amount
self.cumulative_capital_used += transaction_cost
@@ -190,28 +202,30 @@ class PerformanceTracker():
#calculate progress of test
self.progress = self.day_count / self.total_days
####################################################################
#######TODO: relay the results of self.to_dict() ###########
####################################################################
# Output Results
if self.result_stream:
# TODO: proper framing
self.result_stream.send(str(self.to_dict()))
#roll over positions to current day.
self.todays_performance.calculate_performance()
self.todays_performance = PerformancePeriod(
self.todays_performance.positions,
self.todays_performance.ending_value,
self.todays_performance.positions,
self.todays_performance.ending_value,
self.todays_performance.ending_cash
)
def handle_simulation_end(self):
self.risk_report = risk.RiskReport(
self.returns,
self.returns,
self.trading_environment
)
####################################################################
#######TODO: relay the results of self.risk_report.to_dict() #######
####################################################################
# Output Results
if self.result_stream:
# TODO: proper framing
self.result_stream.send(str(self.risk_report.to_dict()))
def round_to_nearest(self, x, base=5):
return int(base * round(float(x)/base))
@@ -274,11 +288,11 @@ class Position():
+-----------------+----------------------------------------------------+
"""
state = {
'sid':self.sid,
'amount':self.amount,
'cost_basis':self.cost_basis,
'last_sale_price':self.last_sale_price,
'last_sale_date':self.last_sale_date
'sid' : self.sid,
'amount' : self.amount,
'cost_basis' : self.cost_basis,
'last_sale_price' : self.last_sale_price,
'last_sale_date' : self.last_sale_date
}
return state
@@ -353,16 +367,17 @@ class PerformancePeriod():
+---------------+-----------------------------------------------------------+
"""
d = {
'ending_value':self.ending_value,
'capital_used':self.capital_used,
'starting_value':self.starting_value,
'starting_cash':self.starting_cash,
'ending_cash':self.ending_cash
'ending_value' : self.ending_value,
'capital_used' : self.period_capital_used,
'starting_value' : self.starting_value,
'starting_cash' : self.starting_cash,
'ending_cash' : self.ending_cash
}
position_list = []
for pos in self.positions:
position_list.append(pos.to_dict())
d['positions'] = positions_list
return d
position_list.append(pos)
d['positions'] = position_list
return d
zipline/finance/risk.py
+4 -3
View File
@@ -46,6 +46,7 @@ class RiskMetrics():
)
raise Exception(messge)
self.trading_days = len(self.benchmark_returns)
self.benchmark_volatility = self.calculate_volatility(self.benchmark_returns)
self.algorithm_volatility = self.calculate_volatility(self.algorithm_returns)
@@ -90,10 +91,10 @@ class RiskMetrics():
| | and self.end_date. |
+-----------------+----------------------------------------------------+
"""
d = {
return {
'trading_days' : self.trading_days,
'benchmark_volatility' : self.benchmark_volatility,
'algo_volatility' : self.algo_volatility,
'algo_volatility' : self.algorithm_volatility,
'treasury_period_return': self.treasury_period_return,
'sharpe' : self.sharpe,
'beta' : self.beta,
@@ -101,7 +102,7 @@ class RiskMetrics():
'excess_return' : self.excess_return,
'max_drawdown' : self.max_drawdown
}
def __repr__(self):
statements = []
for metric in [