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passing basic test for calculating portfolio positions over time.

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This commit is contained in:
fawce
2012-03-07 17:26:14 -05:00
parent 3c7299b769
commit 89525cfb7b
4 changed files with 18 additions and 24 deletions
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zipline/finance/performance.py
+5 -2
View File
@@ -45,6 +45,7 @@ class PortfolioClient(qmsg.Component):
msg = self.result_feed.recv()
if msg == str(zp.CONTROL_PROTOCOL.DONE):
self.handle_simulation_end()
qutil.LOGGER.info("Portfolio Client is DONE!")
self.signal_done()
return
@@ -74,7 +75,7 @@ class PortfolioClient(qmsg.Component):
self.todays_performance.calculate_performance()
#
def handle_market_close(self):
self.market_open = self.market_open + self.calendar_day
while not self.trading_environment.is_trading_day(self.market_open):
@@ -99,7 +100,9 @@ class PortfolioClient(qmsg.Component):
self.todays_performance.ending_value,
self.capital_base)
#
def handle_simulation_end(self):
self.risk_report = risk.riskmetrics(self.returns, self.trading_environment)
def round_to_nearest(self, x, base=5):
return int(base * round(float(x)/base))
zipline/finance/risk.py
+4 -15
View File
@@ -18,15 +18,14 @@ class daily_return():
class periodmetrics():
def __init__(self, start_date, end_date, returns, trading_environment):
"""
:param treasury_curves: {datetime in utc -> {duration label -> interest rate}}
"""
self.trading_environment = trading_environment
bm_returns = [x for x in self.trading_environment.benchmark_returns if x.date >= returns[0].date and x.date <= returns[-1].date]
self.start_date = start_date
self.end_date = end_date
self.trading_environment = trading_environment
self.algorithm_period_returns, self.algorithm_returns = self.calculate_period_returns(returns)
self.benchmark_period_returns, self.benchmark_returns = self.calculate_period_returns(trading_environment.benchmark_returns)
self.benchmark_period_returns, self.benchmark_returns = self.calculate_period_returns(bm_returns)
if(len(self.benchmark_returns) != len(self.algorithm_returns)):
raise Exception("Mismatch between benchmark_returns ({bm_count}) and algorithm_returns ({algo_count}) in range {start} : {end}".format(
bm_count=len(self.benchmark_returns),
@@ -168,14 +167,6 @@ class riskmetrics():
self.algorithm_returns = algorithm_returns
self.trading_environment = trading_environment
self.bm_returns = [x for x in self.trading_environmentself.benchmark_returns if x.date >= self.algorithm_returns[0].date and x.date <= self.algorithm_returns[-1].date]
self.treasury_curves = self.trading_environment.treasury_curves
qutil.LOGGER.debug("#### {start} thru {end} with {count} trading_days of {total} possible".format(start=self.algorithm_returns[0].date,
end=self.algorithm_returns[-1].date,
count=len(self.bm_returns),
total=len(benchmark_returns)))
#calculate month ends
self.month_periods = self.periods_in_range(1, self.algorithm_returns[0].date, self.algorithm_returns[-1].date)
@@ -205,8 +196,6 @@ class riskmetrics():
cur_period_metrics = periodmetrics(start_date=cur_start,
end_date=cur_end,
returns=self.algorithm_returns,
benchmark_returns=self.bm_returns,
treasury_curves=self.treasury_curves,
trading_environment=self.trading_environment)
ends.append(cur_period_metrics)
cur_start = advance_by_months(cur_start, 1)
zipline/test/test_finance.py
+8 -6
View File
@@ -21,11 +21,13 @@ class FinanceTestCase(TestCase):
def setUp(self):
qutil.configure_logging()
benchmark_returns, treasury_curves = factory.load_market_data()
self.trading_env = risk.TradingEnvironment(benchmark_returns, treasury_curves)
self.benchmark_returns, self.treasury_curves = factory.load_market_data()
self.trading_environment = risk.TradingEnvironment(self.benchmark_returns, self.treasury_curves)
def test_trade_feed_protocol(self):
# TODO: Perhaps something more self-documenting for variables names?
sid = 133
price = [10.0] * 4
volume = [100] * 4
@@ -33,7 +35,7 @@ class FinanceTestCase(TestCase):
start_date = datetime.strptime("02/15/2012","%m/%d/%Y")
one_day_td = timedelta(days=1)
trades = factory.create_trade_history(sid, price, volume, start_date, one_day_td, self.trading_env)
trades = factory.create_trade_history(sid, price, volume, start_date, one_day_td, self.trading_environment)
for trade in trades:
#simulate data source sending frame
@@ -148,7 +150,7 @@ class FinanceTestCase(TestCase):
start_date = datetime.strptime("02/1/2012","%m/%d/%Y")
trade_time_increment = timedelta(days=1)
trade_history = factory.create_trade_history( sid, price, volume, start_date, trade_time_increment, self.trading_env )
trade_history = factory.create_trade_history( sid, price, volume, start_date, trade_time_increment, self.trading_environment )
set1 = SpecificEquityTrades("flat-133", trade_history)
@@ -210,7 +212,7 @@ class FinanceTestCase(TestCase):
start_date = datetime.strptime("02/1/2012","%m/%d/%Y")
trade_time_increment = timedelta(days=1)
trade_history = factory.create_trade_history( sid, price, volume, start_date, trade_time_increment, self.trading_env )
trade_history = factory.create_trade_history( sid, price, volume, start_date, trade_time_increment, self.trading_environment )
set1 = SpecificEquityTrades("flat-133", trade_history)
@@ -220,7 +222,7 @@ class FinanceTestCase(TestCase):
order_source = OrderDataSource(ts)
transaction_sim = TransactionSimulator()
portfolio_client = perf.PortfolioClient(trade_history[0]['dt'], trade_history[-1]['dt'], 1000000.0, self.trading_env)
portfolio_client = perf.PortfolioClient(trade_history[0]['dt'], trade_history[-1]['dt'], 1000000.0, self.trading_environment)
sim.register_components([client, order_source, transaction_sim, set1, portfolio_client])
sim.register_controller( con )
zipline/test/test_risk.py
+1 -1
View File
@@ -12,7 +12,7 @@ class Risk(unittest.TestCase):
def setUp(self):
qutil.configure_logging()
self.benchmark_returns, self.treasury_curves = factory.load_market_data()
self.trading_calendar = risk.TradingCalendar(self.benchmark_returns, self.treasury_curves)
self.trading_calendar = risk.TradingEnvironment(self.benchmark_returns, self.treasury_curves)
self.onesec = datetime.timedelta(seconds=1)
self.oneday = datetime.timedelta(days=1)