From 7df0f9e4b0441258a34a6f1985a43e8807cd392d Mon Sep 17 00:00:00 2001 From: Eddie Hebert Date: Wed, 16 Dec 2015 15:32:48 -0500 Subject: [PATCH] MAINT: Pass leverage instead of account to risk. The only value used in the account is leverage, so pass the leverage value directly. Also, remove account from risk init, since it is not used. --- tests/risk/test_risk_cumulative.py | 4 ++-- zipline/finance/performance/tracker.py | 4 ++-- zipline/finance/risk/cumulative.py | 7 +++---- 3 files changed, 7 insertions(+), 8 deletions(-) diff --git a/tests/risk/test_risk_cumulative.py b/tests/risk/test_risk_cumulative.py index 42be8e1f..52194cdb 100644 --- a/tests/risk/test_risk_cumulative.py +++ b/tests/risk/test_risk_cumulative.py @@ -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. @@ -67,7 +67,7 @@ class TestRisk(unittest.TestCase): self.cumulative_metrics_06.update(dt, returns['Algorithm Returns'], returns['Benchmark Returns'], - {'leverage': 0.0}) + 0.0) def test_algorithm_volatility_06(self): algo_vol_answers = answer_key.RISK_CUMULATIVE.volatility diff --git a/zipline/finance/performance/tracker.py b/zipline/finance/performance/tracker.py index eb382c53..558b46cc 100644 --- a/zipline/finance/performance/tracker.py +++ b/zipline/finance/performance/tracker.py @@ -436,7 +436,7 @@ class PerformanceTracker(object): self.cumulative_risk_metrics.update(todays_date, self.todays_performance.returns, bench_since_open, - account) + account.leverage) minute_packet = self.to_dict(emission_type='minute') @@ -461,7 +461,7 @@ class PerformanceTracker(object): completed_date, self.todays_performance.returns, self.all_benchmark_returns[completed_date], - account) + account.leverage) return self._handle_market_close(completed_date) diff --git a/zipline/finance/risk/cumulative.py b/zipline/finance/risk/cumulative.py index 227b46c4..1e9ee15b 100644 --- a/zipline/finance/risk/cumulative.py +++ b/zipline/finance/risk/cumulative.py @@ -91,8 +91,7 @@ class RiskMetricsCumulative(object): ) def __init__(self, sim_params, env, - create_first_day_stats=False, - account=None): + create_first_day_stats=False): self.treasury_curves = env.treasury_curves self.start_date = sim_params.period_start.replace( hour=0, minute=0, second=0, microsecond=0 @@ -172,7 +171,7 @@ class RiskMetricsCumulative(object): self.num_trading_days = 0 - def update(self, dt, algorithm_returns, benchmark_returns, account): + def update(self, dt, algorithm_returns, benchmark_returns, leverage): # Keep track of latest dt for use in to_dict and other methods # that report current state. self.latest_dt = dt @@ -236,7 +235,7 @@ class RiskMetricsCumulative(object): self.annualized_mean_benchmark_returns = \ self.annualized_mean_benchmark_returns_cont[:dt_loc + 1] - self.algorithm_cumulative_leverages_cont[dt_loc] = account['leverage'] + self.algorithm_cumulative_leverages_cont[dt_loc] = leverage self.algorithm_cumulative_leverages = \ self.algorithm_cumulative_leverages_cont[:dt_loc + 1]