generator random equity trades

zipline/finance/sources.py

@@ -90,7 +90,7 @@ class RandomEquityTrades(TradeDataSource):
 
 class SpecificEquityTrades(TradeDataSource):
     """
-    Generates a random stream of trades for testing.
+    Generates a non-random stream of trades for testing.
     """
 
     def init(self, event_list):

zipline/gens/composites.py

@@ -9,7 +9,7 @@ from zipline.gens.transform
 def PreTransformLayer(sources):
     """A generator that takes a list of sources and runs their output
     through a FeedGen."""
-    not_finished = len_
+    not_finished = len #NOT DONE
 
     while not_finished:
         

zipline/gens/tradegens.py

@@ -16,11 +16,24 @@ def mock_prices(n, rand = False):
         return (float(i % 11) for i in xrange(1,n+1))
 
 def mock_volumes(n, rand = False):
-    """Does the same as mock_prices.  Different function name
-    for readability."""
-    return mock_prices(n, rand)
+    """Utility to generate a set of volumes. By default cycles
+    through values from 100 to 1000, incrementing by 50.  Optional
+    flag to give random values between 100 and 1000. """
+
+    if rand:
+        return (random.randrange(100, 1000) for i in xrange(n))
+    else:
+        return ((i * 50)%900 + 100 for i in xrange(n))
+    
+def fuzzy_dates(count = 500):
+    """Add +-10 seconds to each event from a date_gen.  Note that
+    this still guarantees sorting, since the default is minute separation
+    of events."""
+    for date in date_gen(n = count):
+        yield date + timedelta(seconds = random.randint(-10, 10)) 
 
 def SpecificEquityTrades(count = 500, sids = [1, 2], event_list = None, filter = None):
+                             
     """Returns the first n events of event_list if specified. 
     Otherwise generates a sensible stream of events."""
     
@@ -43,7 +56,25 @@ def SpecificEquityTrades(count = 500, sids = [1, 2], event_list = None, filter =
 
     return filtered
 
-if __name__ == "__main__":
+def RandomEquityTrades(count = 500, sids = [1,2], filter = None):
+    dates = fuzzy_dates(500)
+    prices = mock_prices(500, rand = True)
+    volumes = mock_volumes(500, rand = True)
+    sids = cycle(iter(sids))
+
+    arg_gen = izip(sids, prices, volumes, dates)
     
-    import nose.tools; nose.tools.set_trace()
-    trades = SpecificEquityTrades(filter = [1])
+    unfiltered = (create_trade(*args) for args in arg_gen)
+    
+    if filter:
+        filtered = ifilter(lambda event: event.sid in filter, unfiltered)
+    else:
+        filtered = unfiltered
+    return filtered
+
+if __name__ == "__main__":
+    rand = RandomEquityTrades()
+    pass
+#     x = mock_volumes(500)
+#     import nose.tools; nose.tools.set_trace()
+#     trades = SpecificEquityTrades(filter = [1])

zipline/gens/utils.py

@@ -17,7 +17,7 @@ def mock_raw_event(sid, dt):
     return event
 
 def date_gen(start = datetime(2012, 6, 6, 0), delta = timedelta(minutes = 1), n = 100):
-    return (start + i * delta for i in xrange(n))
+    return (start + (i * delta) for i in xrange(n))
 
 def alternate(g1, g2):
     for e1, e2 in izip_longest(g1, g2):