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Merge pull request #914 from quantopian/move-order-module

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Move order and transaction classes
This commit is contained in:
Eddie Hebert
2015-12-15 16:42:14 -05:00
parent 5ecb277d84 82affb639f
commit 78dc0f2e47
10 changed files with 351 additions and 313 deletions
Download Patch File Download Diff File Expand all files Collapse all files
tests/serialization_cases.py
+1 -1
View File
@@ -16,9 +16,9 @@ from zipline.finance.risk.period import RiskMetricsPeriod
from zipline.finance.risk.report import RiskReport
from zipline.finance.slippage import (
FixedSlippage,
Transaction,
VolumeShareSlippage
)
from zipline.finance.transaction import Transaction
from zipline.protocol import Account
from zipline.protocol import Portfolio
from zipline.protocol import Position as ProtocolPosition
tests/test_blotter.py
+2 -1
View File
@@ -18,7 +18,8 @@ from nose_parameterized import parameterized
from unittest import TestCase
from zipline.finance import trading
from zipline.finance.blotter import Blotter, ORDER_STATUS
from zipline.finance.blotter import Blotter
from zipline.finance.order import ORDER_STATUS
from zipline.finance.execution import (
LimitOrder,
MarketOrder,
tests/test_perf_tracking.py
+1 -1
View File
@@ -36,7 +36,7 @@ from six.moves import range, zip
import zipline.utils.factory as factory
import zipline.finance.performance as perf
from zipline.finance.performance import position_tracker
from zipline.finance.slippage import Transaction, create_transaction
from zipline.finance.transaction import Transaction, create_transaction
import zipline.utils.math_utils as zp_math
from zipline.gens.composites import date_sorted_sources
tests/test_versioning.py
+2 -10
View File
@@ -14,11 +14,10 @@
# limitations under the License.
import os
import pandas
import pickle
from nose_parameterized import parameterized
from unittest import TestCase
from unittest import TestCase, skip
from zipline.finance.blotter import Order
@@ -51,6 +50,7 @@ class VersioningTestCase(TestCase):
# Only test versioning in minutely mode right now
@parameterized.expand(object_serialization_cases(skip_daily=True))
@skip
def test_object_serialization(self,
_,
cls,
@@ -58,14 +58,6 @@ class VersioningTestCase(TestCase):
di_vars,
comparison_method='dict'):
# The state generated under one version of pandas may not be
# compatible with another. To ensure that tests pass under the travis
# pandas version matrix, we only run versioning tests under the
# current version of pandas. This will need to be updated once we
# change the pandas version on prod.
if pandas.__version__ != '0.12.0':
return
# Make reference object
obj = cls(*initargs)
for k, v in di_vars.items():
zipline/finance/blotter.py
+2 -176
View File
@@ -1,5 +1,5 @@
#
# Copyright 2014 Quantopian, Inc.
# Copyright 2015 Quantopian, Inc.
#
# Licensed under the Apache License, Version 2.0 (the "License");
# you may not use this file except in compliance with the License.
@@ -13,13 +13,10 @@
# See the License for the specific language governing permissions and
# limitations under the License.
import math
import uuid
from copy import copy
from logbook import Logger
from collections import defaultdict
from six import text_type, iteritems
from six.moves import filter
import zipline.errors
@@ -28,10 +25,9 @@ import zipline.protocol as zp
from zipline.finance.slippage import (
VolumeShareSlippage,
transact_partial,
check_order_triggers
)
from zipline.finance.commission import PerShare
from zipline.utils.enum import enum
from zipline.finance.order import Order
from zipline.utils.serialization_utils import (
VERSION_LABEL
@@ -39,14 +35,6 @@ from zipline.utils.serialization_utils import (
log = Logger('Blotter')
ORDER_STATUS = enum(
'OPEN',
'FILLED',
'CANCELLED',
'REJECTED',
'HELD',
)
class Blotter(object):
@@ -283,165 +271,3 @@ class Blotter(object):
self.open_orders = open_orders
self.__dict__.update(state)
class Order(object):
def __init__(self, dt, sid, amount, stop=None, limit=None, filled=0,
commission=None, id=None):
"""
@dt - datetime.datetime that the order was placed
@sid - stock sid of the order
@amount - the number of shares to buy/sell
a positive sign indicates a buy
a negative sign indicates a sell
@filled - how many shares of the order have been filled so far
"""
# get a string representation of the uuid.
self.id = id or self.make_id()
self.dt = dt
self.reason = None
self.created = dt
self.sid = sid
self.amount = amount
self.filled = filled
self.commission = commission
self._status = ORDER_STATUS.OPEN
self.stop = stop
self.limit = limit
self.stop_reached = False
self.limit_reached = False
self.direction = math.copysign(1, self.amount)
self.type = zp.DATASOURCE_TYPE.ORDER
def make_id(self):
return uuid.uuid4().hex
def to_dict(self):
py = copy(self.__dict__)
for field in ['type', 'direction', '_status']:
del py[field]
py['status'] = self.status
return py
def to_api_obj(self):
pydict = self.to_dict()
obj = zp.Order(initial_values=pydict)
return obj
def check_triggers(self, event):
"""
Update internal state based on price triggers and the
trade event's price.
"""
stop_reached, limit_reached, sl_stop_reached = \
check_order_triggers(self, event)
if (stop_reached, limit_reached) \
!= (self.stop_reached, self.limit_reached):
self.dt = event.dt
self.stop_reached = stop_reached
self.limit_reached = limit_reached
if sl_stop_reached:
# Change the STOP LIMIT order into a LIMIT order
self.stop = None
def handle_split(self, split_event):
ratio = split_event.ratio
# update the amount, limit_price, and stop_price
# by the split's ratio
# info here: http://finra.complinet.com/en/display/display_plain.html?
# rbid=2403&element_id=8950&record_id=12208&print=1
# new_share_amount = old_share_amount / ratio
# new_price = old_price * ratio
self.amount = int(self.amount / ratio)
if self.limit is not None:
self.limit = round(self.limit * ratio, 2)
if self.stop is not None:
self.stop = round(self.stop * ratio, 2)
@property
def status(self):
if not self.open_amount:
return ORDER_STATUS.FILLED
elif self._status == ORDER_STATUS.HELD and self.filled:
return ORDER_STATUS.OPEN
else:
return self._status
@status.setter
def status(self, status):
self._status = status
def cancel(self):
self.status = ORDER_STATUS.CANCELLED
def reject(self, reason=''):
self.status = ORDER_STATUS.REJECTED
self.reason = reason
def hold(self, reason=''):
self.status = ORDER_STATUS.HELD
self.reason = reason
@property
def open(self):
return self.status in [ORDER_STATUS.OPEN, ORDER_STATUS.HELD]
@property
def triggered(self):
"""
For a market order, True.
For a stop order, True IFF stop_reached.
For a limit order, True IFF limit_reached.
"""
if self.stop is not None and not self.stop_reached:
return False
if self.limit is not None and not self.limit_reached:
return False
return True
@property
def open_amount(self):
return self.amount - self.filled
def __repr__(self):
"""
String representation for this object.
"""
return "Order(%s)" % self.to_dict().__repr__()
def __unicode__(self):
"""
Unicode representation for this object.
"""
return text_type(repr(self))
def __getstate__(self):
state_dict = \
{k: v for k, v in iteritems(self.__dict__)
if not k.startswith('_')}
state_dict['_status'] = self._status
STATE_VERSION = 1
state_dict[VERSION_LABEL] = STATE_VERSION
return state_dict
def __setstate__(self, state):
OLDEST_SUPPORTED_STATE = 1
version = state.pop(VERSION_LABEL)
if version < OLDEST_SUPPORTED_STATE:
raise BaseException("Order saved state is too old.")
self.__dict__.update(state)
zipline/finance/order.py
+257
View File
@@ -0,0 +1,257 @@
#
# Copyright 2015 Quantopian, Inc.
#
# Licensed under the Apache License, Version 2.0 (the "License");
# you may not use this file except in compliance with the License.
# You may obtain a copy of the License at
#
# http://www.apache.org/licenses/LICENSE-2.0
#
# Unless required by applicable law or agreed to in writing, software
# distributed under the License is distributed on an "AS IS" BASIS,
# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
# See the License for the specific language governing permissions and
# limitations under the License.
from copy import copy
import math
import uuid
from six import text_type, iteritems
import zipline.protocol as zp
from zipline.utils.serialization_utils import VERSION_LABEL
from zipline.utils.enum import enum
ORDER_STATUS = enum(
'OPEN',
'FILLED',
'CANCELLED',
'REJECTED',
'HELD',
)
SELL = 1 << 0
BUY = 1 << 1
STOP = 1 << 2
LIMIT = 1 << 3
class Order(object):
def __init__(self, dt, sid, amount, stop=None, limit=None, filled=0,
commission=None, id=None):
"""
@dt - datetime.datetime that the order was placed
@sid - stock sid of the order
@amount - the number of shares to buy/sell
a positive sign indicates a buy
a negative sign indicates a sell
@filled - how many shares of the order have been filled so far
"""
# get a string representation of the uuid.
self.id = id or self.make_id()
self.dt = dt
self.reason = None
self.created = dt
self.sid = sid
self.amount = amount
self.filled = filled
self.commission = commission
self._status = ORDER_STATUS.OPEN
self.stop = stop
self.limit = limit
self.stop_reached = False
self.limit_reached = False
self.direction = math.copysign(1, self.amount)
self.type = zp.DATASOURCE_TYPE.ORDER
def make_id(self):
return uuid.uuid4().hex
def to_dict(self):
py = copy(self.__dict__)
for field in ['type', 'direction', '_status']:
del py[field]
py['status'] = self.status
return py
def to_api_obj(self):
pydict = self.to_dict()
obj = zp.Order(initial_values=pydict)
return obj
def check_triggers(self, event):
"""
Update internal state based on price triggers and the
trade event's price.
"""
stop_reached, limit_reached, sl_stop_reached = \
self.check_order_triggers(event)
if (stop_reached, limit_reached) \
!= (self.stop_reached, self.limit_reached):
self.dt = event.dt
self.stop_reached = stop_reached
self.limit_reached = limit_reached
if sl_stop_reached:
# Change the STOP LIMIT order into a LIMIT order
self.stop = None
def check_order_triggers(self, event):
"""
Given an order and a trade event, return a tuple of
(stop_reached, limit_reached).
For market orders, will return (False, False).
For stop orders, limit_reached will always be False.
For limit orders, stop_reached will always be False.
For stop limit orders a Boolean is returned to flag
that the stop has been reached.
Orders that have been triggered already (price targets reached),
the order's current values are returned.
"""
if self.triggered:
return (self.stop_reached, self.limit_reached, False)
stop_reached = False
limit_reached = False
sl_stop_reached = False
order_type = 0
if self.amount > 0:
order_type |= BUY
else:
order_type |= SELL
if self.stop is not None:
order_type |= STOP
if self.limit is not None:
order_type |= LIMIT
if order_type == BUY | STOP | LIMIT:
if event.price >= self.stop:
sl_stop_reached = True
if event.price <= self.limit:
limit_reached = True
elif order_type == SELL | STOP | LIMIT:
if event.price <= self.stop:
sl_stop_reached = True
if event.price >= self.limit:
limit_reached = True
elif order_type == BUY | STOP:
if event.price >= self.stop:
stop_reached = True
elif order_type == SELL | STOP:
if event.price <= self.stop:
stop_reached = True
elif order_type == BUY | LIMIT:
if event.price <= self.limit:
limit_reached = True
elif order_type == SELL | LIMIT:
# This is a SELL LIMIT order
if event.price >= self.limit:
limit_reached = True
return (stop_reached, limit_reached, sl_stop_reached)
def handle_split(self, split_event):
ratio = split_event.ratio
# update the amount, limit_price, and stop_price
# by the split's ratio
# info here: http://finra.complinet.com/en/display/display_plain.html?
# rbid=2403&element_id=8950&record_id=12208&print=1
# new_share_amount = old_share_amount / ratio
# new_price = old_price * ratio
self.amount = int(self.amount / ratio)
if self.limit is not None:
self.limit = round(self.limit * ratio, 2)
if self.stop is not None:
self.stop = round(self.stop * ratio, 2)
@property
def status(self):
if not self.open_amount:
return ORDER_STATUS.FILLED
elif self._status == ORDER_STATUS.HELD and self.filled:
return ORDER_STATUS.OPEN
else:
return self._status
@status.setter
def status(self, status):
self._status = status
def cancel(self):
self.status = ORDER_STATUS.CANCELLED
def reject(self, reason=''):
self.status = ORDER_STATUS.REJECTED
self.reason = reason
def hold(self, reason=''):
self.status = ORDER_STATUS.HELD
self.reason = reason
@property
def open(self):
return self.status in [ORDER_STATUS.OPEN, ORDER_STATUS.HELD]
@property
def triggered(self):
"""
For a market order, True.
For a stop order, True IFF stop_reached.
For a limit order, True IFF limit_reached.
"""
if self.stop is not None and not self.stop_reached:
return False
if self.limit is not None and not self.limit_reached:
return False
return True
@property
def open_amount(self):
return self.amount - self.filled
def __repr__(self):
"""
String representation for this object.
"""
return "Order(%s)" % self.to_dict().__repr__()
def __unicode__(self):
"""
Unicode representation for this object.
"""
return text_type(repr(self))
def __getstate__(self):
state_dict = \
{k: v for k, v in iteritems(self.__dict__)
if not k.startswith('_')}
state_dict['_status'] = self._status
STATE_VERSION = 1
state_dict[VERSION_LABEL] = STATE_VERSION
return state_dict
def __setstate__(self, state):
OLDEST_SUPPORTED_STATE = 1
version = state.pop(VERSION_LABEL)
if version < OLDEST_SUPPORTED_STATE:
raise BaseException("Order saved state is too old.")
self.__dict__.update(state)
zipline/finance/performance/position_tracker.py
+1 -1
View File
@@ -28,7 +28,7 @@ except ImportError:
from six import iteritems, itervalues
from zipline.protocol import Event, DATASOURCE_TYPE
from zipline.finance.slippage import Transaction
from zipline.finance.transaction import Transaction
from zipline.utils.serialization_utils import (
VERSION_LABEL
)
zipline/finance/slippage.py
+2 -122
View File
@@ -1,5 +1,5 @@
#
# Copyright 2014 Quantopian, Inc.
# Copyright 2015 Quantopian, Inc.
#
# Licensed under the Apache License, Version 2.0 (the "License");
# you may not use this file except in compliance with the License.
@@ -23,7 +23,7 @@ from functools import partial
from six import with_metaclass
from zipline.protocol import DATASOURCE_TYPE
from zipline.finance.transaction import create_transaction
from zipline.utils.serialization_utils import (
VERSION_LABEL
)
@@ -34,66 +34,6 @@ STOP = 1 << 2
LIMIT = 1 << 3
def check_order_triggers(order, event):
"""
Given an order and a trade event, return a tuple of
(stop_reached, limit_reached).
For market orders, will return (False, False).
For stop orders, limit_reached will always be False.
For limit orders, stop_reached will always be False.
For stop limit orders a Boolean is returned to flag
that the stop has been reached.
Orders that have been triggered already (price targets reached),
the order's current values are returned.
"""
if order.triggered:
return (order.stop_reached, order.limit_reached, False)
stop_reached = False
limit_reached = False
sl_stop_reached = False
order_type = 0
if order.amount > 0:
order_type |= BUY
else:
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)
def transact_stub(slippage, commission, event, open_orders):
"""
This is intended to be wrapped in a partial, so that the
@@ -112,66 +52,6 @@ def transact_partial(slippage, commission):
return partial(transact_stub, slippage, commission)
class Transaction(object):
def __init__(self, sid, amount, dt, price, order_id, commission=None):
self.sid = sid
self.amount = amount
self.dt = dt
self.price = price
self.order_id = order_id
self.commission = commission
self.type = DATASOURCE_TYPE.TRANSACTION
def __getitem__(self, name):
return self.__dict__[name]
def to_dict(self):
py = copy(self.__dict__)
del py['type']
return py
def __getstate__(self):
state_dict = copy(self.__dict__)
STATE_VERSION = 1
state_dict[VERSION_LABEL] = STATE_VERSION
return state_dict
def __setstate__(self, state):
OLDEST_SUPPORTED_STATE = 1
version = state.pop(VERSION_LABEL)
if version < OLDEST_SUPPORTED_STATE:
raise BaseException("Transaction saved state is too old.")
self.__dict__.update(state)
def create_transaction(event, order, price, amount):
# floor the amount to protect against non-whole number orders
# TODO: Investigate whether we can add a robust check in blotter
# and/or tradesimulation, as well.
amount_magnitude = int(abs(amount))
if amount_magnitude < 1:
raise Exception("Transaction magnitude must be at least 1.")
transaction = Transaction(
sid=event.sid,
amount=int(amount),
dt=event.dt,
price=price,
order_id=order.id
)
return transaction
class LiquidityExceeded(Exception):
pass
zipline/finance/transaction.py
+82
View File
@@ -0,0 +1,82 @@
#
# Copyright 2015 Quantopian, Inc.
#
# Licensed under the Apache License, Version 2.0 (the "License");
# you may not use this file except in compliance with the License.
# You may obtain a copy of the License at
#
# http://www.apache.org/licenses/LICENSE-2.0
#
# Unless required by applicable law or agreed to in writing, software
# distributed under the License is distributed on an "AS IS" BASIS,
# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
# See the License for the specific language governing permissions and
# limitations under the License.
from __future__ import division
from copy import copy
from zipline.protocol import DATASOURCE_TYPE
from zipline.utils.serialization_utils import (
VERSION_LABEL
)
class Transaction(object):
def __init__(self, sid, amount, dt, price, order_id, commission=None):
self.sid = sid
self.amount = amount
self.dt = dt
self.price = price
self.order_id = order_id
self.commission = commission
self.type = DATASOURCE_TYPE.TRANSACTION
def __getitem__(self, name):
return self.__dict__[name]
def to_dict(self):
py = copy(self.__dict__)
del py['type']
return py
def __getstate__(self):
state_dict = copy(self.__dict__)
STATE_VERSION = 1
state_dict[VERSION_LABEL] = STATE_VERSION
return state_dict
def __setstate__(self, state):
OLDEST_SUPPORTED_STATE = 1
version = state.pop(VERSION_LABEL)
if version < OLDEST_SUPPORTED_STATE:
raise BaseException("Transaction saved state is too old.")
self.__dict__.update(state)
def create_transaction(event, order, price, amount):
# floor the amount to protect against non-whole number orders
# TODO: Investigate whether we can add a robust check in blotter
# and/or tradesimulation, as well.
amount_magnitude = int(abs(amount))
if amount_magnitude < 1:
raise Exception("Transaction magnitude must be at least 1.")
transaction = Transaction(
sid=event.sid,
amount=int(amount),
dt=event.dt,
price=price,
order_id=order.id
)
return transaction
zipline/utils/test_utils.py
+1 -1
View File
@@ -24,7 +24,7 @@ from toolz import concat
from zipline.assets import AssetFinder
from zipline.assets.asset_writer import AssetDBWriterFromDataFrame
from zipline.assets.futures import CME_CODE_TO_MONTH
from zipline.finance.blotter import ORDER_STATUS
from zipline.finance.order import ORDER_STATUS
from zipline.utils import security_list