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MAINT: Use bitwise flags to help order cases easier to follow.

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Instead of nesting order direction and related stop and limit logic,
derive a bitwise mask from the combination of order configurations
and use the mask as a 'switch'.
This commit is contained in:
Eddie Hebert
2013-10-25 16:14:11 -04:00
parent 32c1f93572
commit 7412cc97a0
1 changed files with 41 additions and 31 deletions
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zipline/finance/slippage.py
+41 -31
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@@ -23,6 +23,11 @@ from functools import partial
from zipline.protocol import DATASOURCE_TYPE
import zipline.utils.math_utils as zp_math
SELL = 0
BUY = 1
STOP = 1 << 1
LIMIT = 1 << 2
def check_order_triggers(order, event):
"""
@@ -43,38 +48,43 @@ def check_order_triggers(order, event):
stop_reached = False
limit_reached = False
sl_stop_reached = False
if order.stop is not None:
if order.limit is not None:
if order.amount > 0:
# This is a BUY STOP LIMIT order
if event.price >= order.stop:
sl_stop_reached = True
if event.price <= order.limit:
limit_reached = True
else:
# This is a SELL STOP LIMIT order
if event.price <= order.stop:
sl_stop_reached = True
if event.price >= order.limit:
limit_reached = True
else:
if order.amount > 0:
# This is a BUY STOP order
if event.price >= order.stop:
stop_reached = True
else:
# This is a SELL STOP order
if event.price <= order.stop:
stop_reached = True
order_type = 0
if order.amount > 0:
order_type |= BUY
else:
if order.amount > 0:
# This is BUY LIMIT order
if event.price <= order.limit:
limit_reached = True
else:
# This is a SELL LIMIT order
if event.price >= order.limit:
limit_reached = True
order_type |= SELL
if order.stop is not None:
order_type |= STOP
if order.limit is not None:
order_type |= LIMIT
if order_type == BUY | STOP | LIMIT:
if event.price >= order.stop:
sl_stop_reached = True
if event.price <= order.limit:
limit_reached = True
elif order_type == SELL | STOP | LIMIT:
if event.price <= order.stop:
sl_stop_reached = True
if event.price >= order.limit:
limit_reached = True
elif order_type == BUY | STOP:
if event.price >= order.stop:
stop_reached = True
elif order_type == SELL | STOP:
if event.price <= order.stop:
stop_reached = True
elif order_type == BUY | LIMIT:
if event.price <= order.limit:
limit_reached = True
elif order_type == SELL | LIMIT:
# This is a SELL LIMIT order
if event.price >= order.limit:
limit_reached = True
return (stop_reached, limit_reached, sl_stop_reached)