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REF: Explicitly use Assets in Position, Order, Transaction

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(Instead of `sid`, which were already usually assets)

Perf packets are unchanged and still emit `sid`: int
This commit is contained in:
Jean Bredeche
2017-04-19 11:43:55 -04:00
parent 21976dd651
commit 8d275d8d83
15 changed files with 255 additions and 235 deletions
Download Patch File Download Diff File Expand all files Collapse all files
tests/finance/test_blotter.py
+4 -4
View File
@@ -154,7 +154,7 @@ class BlotterTestCase(WithCreateBarData,
blotter = Blotter('minute', self.asset_finder,
cancel_policy=EODCancel())
# Make two orders for the same sid, so we can test that we are not
# Make two orders for the same asset, so we can test that we are not
# mutating the orders list as we are cancelling orders
blotter.order(self.asset_24, 100, MarketOrder())
blotter.order(self.asset_24, -100, MarketOrder())
@@ -343,7 +343,7 @@ class BlotterTestCase(WithCreateBarData,
other_order = Order(
dt=blotter.current_dt,
sid=self.asset_25,
asset=self.asset_25,
amount=1
)
@@ -406,7 +406,7 @@ class BlotterTestCase(WithCreateBarData,
equity_txn = txns[0]
self.assertEqual(
equity_txn.price,
bar_data.current(equity_txn.sid, 'price'),
bar_data.current(equity_txn.asset, 'price'),
)
self.assertEqual(commissions[0]['cost'], 1.0)
@@ -416,6 +416,6 @@ class BlotterTestCase(WithCreateBarData,
future_txn = txns[1]
self.assertEqual(
future_txn.price,
bar_data.current(future_txn.sid, 'price') + 1.0,
bar_data.current(future_txn.asset, 'price') + 1.0,
)
self.assertEqual(commissions[1]['cost'], 2.0)
tests/finance/test_commissions.py
+4 -4
View File
@@ -21,16 +21,16 @@ class CommissionUnitTests(WithAssetFinder, ZiplineTestCase):
asset1 = self.asset_finder.retrieve_asset(1)
# one order
order = Order(dt=None, sid=asset1, amount=500)
order = Order(dt=None, asset=asset1, amount=500)
# three fills
txn1 = Transaction(sid=asset1, amount=230, dt=None,
txn1 = Transaction(asset=asset1, amount=230, dt=None,
price=100, order_id=order.id)
txn2 = Transaction(sid=asset1, amount=170, dt=None,
txn2 = Transaction(asset=asset1, amount=170, dt=None,
price=101, order_id=order.id)
txn3 = Transaction(sid=asset1, amount=100, dt=None,
txn3 = Transaction(asset=asset1, amount=100, dt=None,
price=102, order_id=order.id)
return order, [txn1, txn2, txn3]
tests/finance/test_slippage.py
+24 -30
View File
@@ -126,7 +126,7 @@ class SlippageTestCase(WithCreateBarData,
'dt': datetime.datetime(2006, 1, 5, 14, 30, tzinfo=pytz.utc),
'amount': 100,
'filled': 0,
'sid': self.ASSET133,
'asset': self.ASSET133,
'limit': 3.5})
]
@@ -148,7 +148,7 @@ class SlippageTestCase(WithCreateBarData,
'dt': datetime.datetime(2006, 1, 5, 14, 30, tzinfo=pytz.utc),
'amount': 100,
'filled': 0,
'sid': self.ASSET133,
'asset': self.ASSET133,
'limit': 3.5})
]
@@ -170,7 +170,7 @@ class SlippageTestCase(WithCreateBarData,
'dt': datetime.datetime(2006, 1, 5, 14, 30, tzinfo=pytz.utc),
'amount': 100,
'filled': 0,
'sid': self.ASSET133,
'asset': self.ASSET133,
'limit': 3.6})
]
@@ -194,7 +194,7 @@ class SlippageTestCase(WithCreateBarData,
# we ordered 100 shares, but default volume slippage only allows
# for 2.5% of the volume. 2.5% * 2000 = 50 shares
'amount': int(50),
'sid': int(133),
'asset': self.ASSET133,
'order_id': open_orders[0].id
}
@@ -209,7 +209,7 @@ class SlippageTestCase(WithCreateBarData,
'dt': datetime.datetime(2006, 1, 5, 14, 30, tzinfo=pytz.utc),
'amount': -100,
'filled': 0,
'sid': self.ASSET133,
'asset': self.ASSET133,
'limit': 3.5})
]
@@ -231,7 +231,7 @@ class SlippageTestCase(WithCreateBarData,
'dt': datetime.datetime(2006, 1, 5, 14, 30, tzinfo=pytz.utc),
'amount': -100,
'filled': 0,
'sid': self.ASSET133,
'asset': self.ASSET133,
'limit': 3.5})
]
@@ -253,7 +253,7 @@ class SlippageTestCase(WithCreateBarData,
'dt': datetime.datetime(2006, 1, 5, 14, 30, tzinfo=pytz.utc),
'amount': -100,
'filled': 0,
'sid': self.ASSET133,
'asset': self.ASSET133,
'limit': 3.4})
]
@@ -275,7 +275,7 @@ class SlippageTestCase(WithCreateBarData,
'dt': datetime.datetime(
2006, 1, 5, 14, 32, tzinfo=pytz.utc),
'amount': int(-50),
'sid': int(133)
'asset': self.ASSET133,
}
self.assertIsNotNone(txn)
@@ -293,7 +293,7 @@ class SlippageTestCase(WithCreateBarData,
'dt': datetime.datetime(2006, 1, 5, 14, 30, tzinfo=pytz.utc),
'amount': 100,
'filled': 0,
'sid': self.ASSET133,
'asset': self.ASSET133,
'stop': 4.0,
'limit': 3.0})
]
@@ -328,7 +328,7 @@ class SlippageTestCase(WithCreateBarData,
'dt': datetime.datetime(2006, 1, 5, 14, 30, tzinfo=pytz.utc),
'amount': 100,
'filled': 0,
'sid': self.ASSET133,
'asset': self.ASSET133,
'stop': 4.0,
'limit': 3.5})
]
@@ -363,7 +363,7 @@ class SlippageTestCase(WithCreateBarData,
'dt': datetime.datetime(2006, 1, 5, 14, 30, tzinfo=pytz.utc),
'amount': 100,
'filled': 0,
'sid': self.ASSET133,
'asset': self.ASSET133,
'stop': 4.0,
'limit': 3.6})
]
@@ -398,7 +398,7 @@ class SlippageTestCase(WithCreateBarData,
'dt': datetime.datetime(
2006, 1, 5, 14, 34, tzinfo=pytz.utc),
'amount': int(50),
'sid': int(133)
'asset': self.ASSET133
}
for key, value in expected_txn.items():
@@ -411,7 +411,7 @@ class SlippageTestCase(WithCreateBarData,
'dt': datetime.datetime(2006, 1, 5, 14, 30, tzinfo=pytz.utc),
'amount': -100,
'filled': 0,
'sid': self.ASSET133,
'asset': self.ASSET133,
'stop': 3.0,
'limit': 4.0})
]
@@ -446,7 +446,7 @@ class SlippageTestCase(WithCreateBarData,
'dt': datetime.datetime(2006, 1, 5, 14, 30, tzinfo=pytz.utc),
'amount': -100,
'filled': 0,
'sid': self.ASSET133,
'asset': self.ASSET133,
'stop': 3.0,
'limit': 3.5})
]
@@ -481,7 +481,7 @@ class SlippageTestCase(WithCreateBarData,
'dt': datetime.datetime(2006, 1, 5, 14, 30, tzinfo=pytz.utc),
'amount': -100,
'filled': 0,
'sid': self.ASSET133,
'asset': self.ASSET133,
'stop': 3.0,
'limit': 3.4})
]
@@ -516,7 +516,7 @@ class SlippageTestCase(WithCreateBarData,
'dt': datetime.datetime(
2006, 1, 5, 14, 32, tzinfo=pytz.utc),
'amount': int(-50),
'sid': int(133)
'asset': self.ASSET133,
}
for key, value in expected_txn.items():
@@ -574,7 +574,7 @@ class VolumeShareSlippageTestCase(WithCreateBarData,
dt=datetime.datetime(2006, 1, 5, 14, 30, tzinfo=pytz.utc),
amount=100,
filled=0,
sid=self.ASSET133
asset=self.ASSET133
)
]
@@ -596,7 +596,7 @@ class VolumeShareSlippageTestCase(WithCreateBarData,
'dt': datetime.datetime(
2006, 1, 5, 14, 31, tzinfo=pytz.utc),
'amount': int(5),
'sid': int(133),
'asset': self.ASSET133,
'commission': None,
'type': DATASOURCE_TYPE.TRANSACTION,
'order_id': open_orders[0].id
@@ -613,7 +613,7 @@ class VolumeShareSlippageTestCase(WithCreateBarData,
dt=datetime.datetime(2006, 1, 5, 14, 30, tzinfo=pytz.utc),
amount=100,
filled=0,
sid=self.ASSET133
asset=self.ASSET133
)
]
@@ -684,7 +684,6 @@ class OrdersStopTestCase(WithSimParams,
'dt': pd.Timestamp('2006-01-05 14:30', tz='UTC'),
'amount': 100,
'filled': 0,
'sid': 133,
'stop': 3.5
},
'event': {
@@ -693,7 +692,6 @@ class OrdersStopTestCase(WithSimParams,
'price': 4.0,
'high': 3.15,
'low': 2.85,
'sid': 133,
'close': 4.0,
'open': 3.5
},
@@ -702,7 +700,6 @@ class OrdersStopTestCase(WithSimParams,
'price': 4.00025,
'dt': pd.Timestamp('2006-01-05 14:31', tz='UTC'),
'amount': 50,
'sid': 133,
}
}
},
@@ -711,7 +708,6 @@ class OrdersStopTestCase(WithSimParams,
'dt': pd.Timestamp('2006-01-05 14:30', tz='UTC'),
'amount': 100,
'filled': 0,
'sid': 133,
'stop': 3.6
},
'event': {
@@ -720,7 +716,6 @@ class OrdersStopTestCase(WithSimParams,
'price': 3.5,
'high': 3.15,
'low': 2.85,
'sid': 133,
'close': 3.5,
'open': 4.0
},
@@ -733,7 +728,6 @@ class OrdersStopTestCase(WithSimParams,
'dt': pd.Timestamp('2006-01-05 14:30', tz='UTC'),
'amount': -100,
'filled': 0,
'sid': 133,
'stop': 3.4
},
'event': {
@@ -742,7 +736,6 @@ class OrdersStopTestCase(WithSimParams,
'price': 3.5,
'high': 3.15,
'low': 2.85,
'sid': 133,
'close': 3.5,
'open': 3.0
},
@@ -755,7 +748,6 @@ class OrdersStopTestCase(WithSimParams,
'dt': pd.Timestamp('2006-01-05 14:30', tz='UTC'),
'amount': -100,
'filled': 0,
'sid': 133,
'stop': 3.5
},
'event': {
@@ -764,7 +756,6 @@ class OrdersStopTestCase(WithSimParams,
'price': 3.0,
'high': 3.15,
'low': 2.85,
'sid': 133,
'close': 3.0,
'open': 3.0
},
@@ -773,7 +764,6 @@ class OrdersStopTestCase(WithSimParams,
'price': 2.9998125,
'dt': pd.Timestamp('2006-01-05 14:31', tz='UTC'),
'amount': -50,
'sid': 133,
}
}
},
@@ -785,9 +775,13 @@ class OrdersStopTestCase(WithSimParams,
])
def test_orders_stop(self, name, order_data, event_data, expected):
data = order_data
data['sid'] = self.ASSET133
data['asset'] = self.ASSET133
order = Order(**data)
if expected['transaction']:
expected['transaction']['asset'] = self.ASSET133
event_data['asset'] = self.ASSET133
assets = (
(133, pd.DataFrame(
{
tests/test_algorithm.py
+11 -13
View File
@@ -3802,7 +3802,7 @@ class TestOrderCancelation(WithDataPortal,
np.copysign(389, direction),
daily_positions[0]["amount"],
)
self.assertEqual(1, results.positions[0][0]["sid"].sid)
self.assertEqual(1, results.positions[0][0]["sid"])
# should be an order on day1, but no more orders afterwards
np.testing.assert_array_equal([1, 0, 0],
@@ -4067,7 +4067,6 @@ class TestEquityAutoClose(WithTmpDir, WithTradingCalendars, ZiplineTestCase):
resources = self.make_data(auto_close_delta, 'daily', capital_base)
assets = resources.assets
sids = [asset.sid for asset in assets]
final_prices = resources.final_prices
# Prices at which we expect our orders to be filled.
@@ -4174,14 +4173,14 @@ class TestEquityAutoClose(WithTmpDir, WithTradingCalendars, ZiplineTestCase):
self.test_days[1]
)[1]
for sid, txn in zip(sids, initial_fills):
for asset, txn in zip(assets, initial_fills):
self.assertDictContainsSubset(
{
'amount': order_size,
'commission': None,
'dt': last_minute_of_session,
'price': initial_fill_prices[sid],
'sid': sid,
'price': initial_fill_prices[asset],
'sid': asset,
},
txn,
)
@@ -4203,7 +4202,7 @@ class TestEquityAutoClose(WithTmpDir, WithTradingCalendars, ZiplineTestCase):
'commission': 0.0,
'dt': assets[0].auto_close_date,
'price': fp0,
'sid': sids[0],
'sid': assets[0],
'order_id': None, # Auto-close txns emit Nones for order_id.
},
)
@@ -4218,7 +4217,7 @@ class TestEquityAutoClose(WithTmpDir, WithTradingCalendars, ZiplineTestCase):
'commission': 0.0,
'dt': assets[1].auto_close_date,
'price': fp1,
'sid': sids[1],
'sid': assets[1],
'order_id': None, # Auto-close txns emit Nones for order_id.
},
)
@@ -4313,7 +4312,6 @@ class TestEquityAutoClose(WithTmpDir, WithTradingCalendars, ZiplineTestCase):
env = resources.env
assets = resources.assets
sids = [a.sid for a in assets]
final_prices = resources.final_prices
backtest_minutes = resources.trade_data_by_sid[0].index.tolist()
@@ -4390,14 +4388,14 @@ class TestEquityAutoClose(WithTmpDir, WithTradingCalendars, ZiplineTestCase):
# the backtest, which is still on the first day in minute mode.
initial_fills = transactions.iloc[0]
self.assertEqual(len(initial_fills), len(assets))
for sid, txn in zip(sids, initial_fills):
for asset, txn in zip(assets, initial_fills):
self.assertDictContainsSubset(
{
'amount': order_size,
'commission': None,
'dt': backtest_minutes[1],
'price': initial_fill_prices[sid],
'sid': sid,
'price': initial_fill_prices[asset],
'sid': asset,
},
txn,
)
@@ -4419,7 +4417,7 @@ class TestEquityAutoClose(WithTmpDir, WithTradingCalendars, ZiplineTestCase):
'commission': 0.0,
'dt': assets[0].auto_close_date,
'price': fp0,
'sid': sids[0],
'sid': assets[0],
'order_id': None, # Auto-close txns emit Nones for order_id.
},
)
@@ -4434,7 +4432,7 @@ class TestEquityAutoClose(WithTmpDir, WithTradingCalendars, ZiplineTestCase):
'commission': 0.0,
'dt': assets[1].auto_close_date,
'price': fp1,
'sid': sids[1],
'sid': assets[1],
'order_id': None, # Auto-close txns emit Nones for order_id.
},
)
tests/test_finance.py
+22 -17
View File
@@ -187,8 +187,8 @@ class FinanceTestCase(WithLogger,
# if present, expect transaction amounts to match orders exactly.
complete_fill = params.get('complete_fill')
sid = 1
metadata = make_simple_equity_info([sid], self.start, self.end)
asset1 = self.asset_finder.retrieve_asset(1)
metadata = make_simple_equity_info([asset1.sid], self.start, self.end)
with TempDirectory() as tempdir, \
tmp_trading_env(equities=metadata) as env:
@@ -206,7 +206,7 @@ class FinanceTestCase(WithLogger,
price_data = np.array([10.1] * len(minutes))
assets = {
sid: pd.DataFrame({
asset1.sid: pd.DataFrame({
"open": price_data,
"high": price_data,
"low": price_data,
@@ -305,7 +305,7 @@ class FinanceTestCase(WithLogger,
# place an order
direction = alternator ** len(order_list)
order_id = blotter.order(
blotter.asset_finder.retrieve_asset(sid),
asset1,
order_amount * direction,
MarketOrder())
order_list.append(blotter.orders[order_id])
@@ -333,7 +333,7 @@ class FinanceTestCase(WithLogger,
for i in range(order_count):
order = order_list[i]
self.assertEqual(order.sid, sid)
self.assertEqual(order.asset, asset1)
self.assertEqual(order.amount, order_amount * alternator ** i)
if complete_fill:
@@ -351,15 +351,19 @@ class FinanceTestCase(WithLogger,
self.assertEqual(len(transactions), expected_txn_count)
cumulative_pos = tracker.position_tracker.positions[sid]
cumulative_pos = tracker.position_tracker.positions[asset1]
if total_volume == 0:
self.assertIsNone(cumulative_pos)
else:
self.assertEqual(total_volume, cumulative_pos.amount)
# the open orders should not contain sid.
# the open orders should not contain the asset.
oo = blotter.open_orders
self.assertNotIn(sid, oo, "Entry is removed when no open orders")
self.assertNotIn(
asset1,
oo,
"Entry is removed when no open orders"
)
def test_blotter_processes_splits(self):
blotter = Blotter('daily', self.env.asset_finder,
@@ -376,23 +380,24 @@ class FinanceTestCase(WithLogger,
blotter.process_splits([(2, 0.3333)])
for sid in [1, 2]:
order_lists = blotter.open_orders[sid]
order_lists = \
blotter.open_orders[blotter.asset_finder.retrieve_asset(sid)]
self.assertIsNotNone(order_lists)
self.assertEqual(1, len(order_lists))
aapl_order = blotter.open_orders[1][0].to_dict()
fls_order = blotter.open_orders[2][0].to_dict()
aapl_order = blotter.open_orders[1][0]
fls_order = blotter.open_orders[2][0]
# make sure the aapl order didn't change
self.assertEqual(100, aapl_order['amount'])
self.assertEqual(10, aapl_order['limit'])
self.assertEqual(1, aapl_order['sid'])
self.assertEqual(100, aapl_order.amount)
self.assertEqual(10, aapl_order.limit)
self.assertEqual(1, aapl_order.asset)
# make sure the fls order did change
# to 300 shares at 3.33
self.assertEqual(300, fls_order['amount'])
self.assertEqual(3.33, fls_order['limit'])
self.assertEqual(2, fls_order['sid'])
self.assertEqual(300, fls_order.amount)
self.assertEqual(3.33, fls_order.limit)
self.assertEqual(2, fls_order.asset)
class TradingEnvironmentTestCase(WithLogger,
tests/test_perf_tracking.py
+33 -26
View File
@@ -347,7 +347,7 @@ class TestSplitPerformance(WithSimParams, WithTmpDir, ZiplineTestCase):
# check the last position to make sure it's been updated
position = latest_positions[0]
self.assertEqual(1, position['sid'])
self.assertEqual(self.asset1, position['sid'])
self.assertEqual(33, position['amount'])
self.assertEqual(60, position['cost_basis'])
self.assertEqual(60, position['last_sale_price'])
@@ -1326,8 +1326,8 @@ class TestPositionPerformance(WithInstanceTmpDir, WithTradingCalendars,
"should be just one position")
self.assertEqual(
pp.positions[1].sid,
txn.sid,
pp.positions[1].asset,
txn.asset,
"position should be in security with id 1")
self.assertEqual(
@@ -1437,8 +1437,8 @@ single short-sale transaction"""
"should be just one position")
self.assertEqual(
pp.positions[1].sid,
txn.sid,
pp.positions[1].asset,
txn.asset,
"position should be in security from the transaction"
)
@@ -1494,8 +1494,8 @@ single short-sale transaction"""
)
self.assertEqual(
pp.positions[1].sid,
txn.sid,
pp.positions[1].asset,
txn.asset,
"position should be in security from the transaction"
)
@@ -1556,8 +1556,8 @@ cost of sole txn in test"
"should be just one position"
)
self.assertEqual(
ppTotal.positions[1].sid,
txn.sid,
ppTotal.positions[1].asset,
txn.asset,
"position should be in security from the transaction"
)
@@ -1834,7 +1834,7 @@ shares in position"
self.create_environment_stuff(num_days=8)
history_args = (
1,
self.asset1,
[10, 9, 11, 8, 9, 12, 13, 14],
[200, -100, -100, 100, -300, 100, 500, 400],
oneday,
@@ -1973,6 +1973,16 @@ class TestPositionTracker(WithTradingEnvironment,
ZiplineTestCase):
ASSET_FINDER_EQUITY_SIDS = 1, 2
@classmethod
def init_class_fixtures(cls):
super(TestPositionTracker, cls).init_class_fixtures()
cls.EQUITY1 = cls.asset_finder.retrieve_asset(1)
cls.EQUITY2 = cls.asset_finder.retrieve_asset(2)
cls.FUTURE3 = cls.asset_finder.retrieve_asset(3)
cls.FUTURE4 = cls.asset_finder.retrieve_asset(4)
cls.FUTURE5 = cls.asset_finder.retrieve_asset(1032201401)
@classmethod
def make_futures_info(cls):
return pd.DataFrame.from_dict(
@@ -2017,13 +2027,13 @@ class TestPositionTracker(WithTradingEnvironment,
def test_position_values_and_exposures(self):
pt = perf.PositionTracker(self.env.asset_finder, None)
dt = pd.Timestamp("1984/03/06 3:00PM")
pos1 = perf.Position(1, amount=np.float64(10.0),
pos1 = perf.Position(self.EQUITY1, amount=np.float64(10.0),
last_sale_date=dt, last_sale_price=10)
pos2 = perf.Position(2, amount=np.float64(-20.0),
pos2 = perf.Position(self.EQUITY2, amount=np.float64(-20.0),
last_sale_date=dt, last_sale_price=10)
pos3 = perf.Position(3, amount=np.float64(30.0),
pos3 = perf.Position(self.FUTURE3, amount=np.float64(30.0),
last_sale_date=dt, last_sale_price=10)
pos4 = perf.Position(4, amount=np.float64(-40.0),
pos4 = perf.Position(self.FUTURE4, amount=np.float64(-40.0),
last_sale_date=dt, last_sale_price=10)
pt.update_positions({1: pos1, 2: pos2, 3: pos3, 4: pos4})
@@ -2049,11 +2059,11 @@ class TestPositionTracker(WithTradingEnvironment,
def test_update_positions(self):
pt = perf.PositionTracker(self.env.asset_finder, None)
dt = pd.Timestamp("2014/01/01 3:00PM")
pos1 = perf.Position(1, amount=np.float64(10.0),
pos1 = perf.Position(self.EQUITY1, amount=np.float64(10.0),
last_sale_date=dt, last_sale_price=10)
pos2 = perf.Position(2, amount=np.float64(-20.0),
pos2 = perf.Position(self.EQUITY2, amount=np.float64(-20.0),
last_sale_date=dt, last_sale_price=10)
pos3 = perf.Position(1032201401, amount=np.float64(30.0),
pos3 = perf.Position(self.FUTURE5, amount=np.float64(30.0),
last_sale_date=dt, last_sale_price=100)
# Call update_positions twice. When the second call is made,
@@ -2063,8 +2073,8 @@ class TestPositionTracker(WithTradingEnvironment,
# were to be stored as a dict, then its order could change in arbitrary
# ways when the second update_positions call is made. Hence we also
# store it as an OrderedDict.
pt.update_positions({1: pos1, 1032201401: pos3})
pt.update_positions({2: pos2})
pt.update_positions({self.EQUITY1: pos1, self.FUTURE5: pos3})
pt.update_positions({self.EQUITY2: pos2})
pos_stats = pt.stats()
# Test long-only methods
@@ -2087,19 +2097,17 @@ class TestPositionTracker(WithTradingEnvironment,
self.assertEqual(100 + 150000 - 200, pos_stats.net_exposure)
def test_close_position(self):
future_sid = 1032201401
equity_sid = 1
pt = perf.PositionTracker(self.env.asset_finder, None)
dt = pd.Timestamp('2017/01/04 3:00PM')
pos1 = perf.Position(
sid=future_sid,
asset=self.FUTURE5,
amount=np.float64(30.0),
last_sale_date=dt,
last_sale_price=100,
)
pos2 = perf.Position(
sid=equity_sid,
asset=self.EQUITY1,
amount=np.float64(10.0),
last_sale_date=dt,
last_sale_price=10,
@@ -2110,10 +2118,9 @@ class TestPositionTracker(WithTradingEnvironment,
# OrderedDicts. If `future_sid` is not removed from the multipliers
# dictionaries, equities will hit the incorrect multiplier when
# computing `pt.stats()`.
pt.update_positions({future_sid: pos1, equity_sid: pos2})
pt.update_positions({self.FUTURE5: pos1, self.EQUITY1: pos2})
asset_to_close = self.env.asset_finder.retrieve_asset(future_sid)
txn = create_txn(asset_to_close, dt, 100, -30)
txn = create_txn(self.FUTURE5, dt, 100, -30)
pt.execute_transaction(txn)
pos_stats = pt.stats()
zipline/finance/blotter.py
+31 -37
View File
@@ -18,7 +18,7 @@ from copy import copy
from six import iteritems
from zipline.assets import Equity, Future
from zipline.assets import Equity, Future, Asset
from zipline.finance.order import Order
from zipline.finance.slippage import VolumeShareSlippage
from zipline.finance.commission import (
@@ -27,6 +27,7 @@ from zipline.finance.commission import (
PerTrade,
)
from zipline.finance.cancel_policy import NeverCancel
from zipline.utils.input_validation import expect_types
log = Logger('Blotter')
warning_logger = Logger('AlgoWarning')
@@ -36,15 +37,12 @@ class Blotter(object):
def __init__(self, data_frequency, asset_finder, equity_slippage=None,
future_slippage=None, equity_commission=None,
future_commission=None, cancel_policy=None):
# these orders are aggregated by sid
# these orders are aggregated by asset
self.open_orders = defaultdict(list)
# keep a dict of orders by their own id
self.orders = {}
# all our legacy order management code works with integer sids.
# this lets us convert those to assets when needed. ideally, we'd just
# revamp all the legacy code to work with assets.
self.asset_finder = asset_finder
# holding orders that have come in since the last event.
@@ -88,7 +86,8 @@ class Blotter(object):
def set_date(self, dt):
self.current_dt = dt
def order(self, sid, amount, style, order_id=None):
@expect_types(asset=Asset)
def order(self, asset, amount, style, order_id=None):
"""Place an order.
Parameters
@@ -114,10 +113,10 @@ class Blotter(object):
-----
amount > 0 :: Buy/Cover
amount < 0 :: Sell/Short
Market order: order(sid, amount)
Limit order: order(sid, amount, style=LimitOrder(limit_price))
Stop order: order(sid, amount, style=StopOrder(stop_price))
StopLimit order: order(sid, amount, style=StopLimitOrder(limit_price,
Market order: order(asset, amount)
Limit order: order(asset, amount, style=LimitOrder(limit_price))
Stop order: order(asset, amount, style=StopOrder(stop_price))
StopLimit order: order(asset, amount, style=StopLimitOrder(limit_price,
stop_price))
"""
# something could be done with amount to further divide
@@ -136,14 +135,14 @@ class Blotter(object):
is_buy = (amount > 0)
order = Order(
dt=self.current_dt,
sid=sid,
asset=asset,
amount=amount,
stop=style.get_stop_price(is_buy),
limit=style.get_limit_price(is_buy),
id=order_id
)
self.open_orders[order.sid].append(order)
self.open_orders[order.asset].append(order)
self.orders[order.id] = order
self.new_orders.append(order)
@@ -177,7 +176,7 @@ class Blotter(object):
cur_order = self.orders[order_id]
if cur_order.open:
order_list = self.open_orders[cur_order.sid]
order_list = self.open_orders[cur_order.asset]
if cur_order in order_list:
order_list.remove(cur_order)
@@ -217,7 +216,7 @@ class Blotter(object):
'filled by the end of day and '
'were canceled.'.format(
order_amt=order.amount,
order_sym=order.sid.symbol,
order_sym=order.asset.symbol,
order_filled=order.filled,
order_failed=order.amount - order.filled,
)
@@ -231,7 +230,7 @@ class Blotter(object):
'filled by the end of day and '
'were canceled.'.format(
order_amt=order.amount,
order_sym=order.sid.symbol,
order_sym=order.asset.symbol,
order_filled=-1 * order.filled,
order_failed=-1 * (order.amount - order.filled),
)
@@ -242,7 +241,7 @@ class Blotter(object):
'{order_sym} failed to fill by the end of day '
'and was canceled.'.format(
order_amt=order.amount,
order_sym=order.sid.symbol,
order_sym=order.asset.symbol,
)
)
@@ -268,7 +267,7 @@ class Blotter(object):
cur_order = self.orders[order_id]
order_list = self.open_orders[cur_order.sid]
order_list = self.open_orders[cur_order.asset]
if cur_order in order_list:
order_list.remove(cur_order)
@@ -306,20 +305,19 @@ class Blotter(object):
Parameters
----------
splits: list
A list of splits. Each split is a tuple of (sid, ratio).
A list of splits. Each split is a tuple of (asset, ratio).
Returns
-------
None
"""
for split in splits:
sid = split[0]
if sid not in self.open_orders:
for asset, ratio in splits:
if asset not in self.open_orders:
return
orders_to_modify = self.open_orders[sid]
orders_to_modify = self.open_orders[asset]
for order in orders_to_modify:
order.handle_split(split[1])
order.handle_split(ratio)
def get_transactions(self, bar_data):
"""
@@ -344,7 +342,7 @@ class Blotter(object):
commissions_list: List
commissions_list: list of commissions resulting from filling the
open orders. A commission is an object with "sid" and "cost"
open orders. A commission is an object with "asset" and "cost"
parameters.
closed_orders: List
@@ -356,11 +354,7 @@ class Blotter(object):
commissions = []
if self.open_orders:
assets = self.asset_finder.retrieve_all(self.open_orders)
asset_dict = {asset.sid: asset for asset in assets}
for sid, asset_orders in iteritems(self.open_orders):
asset = asset_dict[sid]
for asset, asset_orders in iteritems(self.open_orders):
slippage = self.slippage_models[type(asset)]
for order, txn in \
@@ -370,7 +364,7 @@ class Blotter(object):
if additional_commission > 0:
commissions.append({
"sid": order.sid,
"asset": order.asset,
"order": order,
"cost": additional_commission
})
@@ -401,15 +395,15 @@ class Blotter(object):
"""
# remove all closed orders from our open_orders dict
for order in closed_orders:
sid = order.sid
sid_orders = self.open_orders[sid]
asset = order.asset
asset_orders = self.open_orders[asset]
try:
sid_orders.remove(order)
asset_orders.remove(order)
except ValueError:
continue
# now clear out the sids from our open_orders dict that have
# now clear out the assets from our open_orders dict that have
# zero open orders
for sid in list(self.open_orders.keys()):
if len(self.open_orders[sid]) == 0:
del self.open_orders[sid]
for asset in list(self.open_orders.keys()):
if len(self.open_orders[asset]) == 0:
del self.open_orders[asset]
zipline/finance/order.py
+14 -14
View File
@@ -20,6 +20,7 @@ from six import text_type
import zipline.protocol as zp
from zipline.assets import Asset
from zipline.utils.enum import enum
from zipline.utils.input_validation import expect_types
ORDER_STATUS = enum(
'OPEN',
@@ -34,35 +35,35 @@ BUY = 1 << 1
STOP = 1 << 2
LIMIT = 1 << 3
ORDER_FIELDS_TO_IGNORE = {'type', 'direction', '_status'}
ORDER_FIELDS_TO_IGNORE = {'type', 'direction', '_status', 'asset'}
class Order(object):
# using __slots__ to save on memory usage. Simulations can create many
# Order objects and we keep them all in memory, so it's worthwhile trying
# to cut down on the memory footprint of this object.
__slots__ = ["id", "dt", "reason", "created", "sid", "amount", "filled",
__slots__ = ["id", "dt", "reason", "created", "asset", "amount", "filled",
"commission", "_status", "stop", "limit", "stop_reached",
"limit_reached", "direction", "type", "broker_order_id"]
def __init__(self, dt, sid, amount, stop=None, limit=None, filled=0,
@expect_types(asset=Asset)
def __init__(self, dt, asset, amount, stop=None, limit=None, filled=0,
commission=0, id=None):
"""
@dt - datetime.datetime that the order was placed
@sid - asset for the order. called sid for historical reasons.
@asset - asset for 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
"""
assert isinstance(sid, Asset)
# get a string representation of the uuid.
self.id = self.make_id() if id is None else id
self.dt = dt
self.reason = None
self.created = dt
self.sid = sid
self.asset = asset
self.amount = amount
self.filled = filled
self.commission = commission
@@ -86,9 +87,16 @@ class Order(object):
if self.broker_order_id is None:
del dct['broker_order_id']
dct['sid'] = self.asset
dct['status'] = self.status
return dct
@property
def sid(self):
# For backwards compatibility because we pass this object to
# custom slippage models.
return self.asset
def to_api_obj(self):
pydict = self.to_dict()
obj = zp.Order(initial_values=pydict)
@@ -215,14 +223,6 @@ class Order(object):
def open(self):
return self.status in [ORDER_STATUS.OPEN, ORDER_STATUS.HELD]
@property
def asset(self):
"""
Convenience accessor to hide away a historical API that we'd like to
change at some point.
"""
return self.sid
@property
def triggered(self):
"""
zipline/finance/performance/period.py
+6 -6
View File
@@ -185,8 +185,8 @@ class PerformancePeriod(object):
self._account_store = zp.Account()
self.serialize_positions = serialize_positions
# This dict contains the known cash flow multipliers for sids and is
# keyed on sid
# This dict contains the known cash flow multipliers for assets and is
# keyed on asset
self._execution_cash_flow_multipliers = {}
_position_tracker = None
@@ -362,7 +362,7 @@ class PerformancePeriod(object):
def handle_execution(self, txn):
self.cash_flow += self._calculate_execution_cash_flow(txn)
asset = self.asset_finder.retrieve_asset(txn.sid)
asset = self.asset_finder.retrieve_asset(txn.asset)
if isinstance(asset, Future):
try:
old_price = self._payout_last_sale_prices[asset]
@@ -392,15 +392,15 @@ class PerformancePeriod(object):
# Check if the multiplier is cached. If it is not, look up the asset
# and cache the multiplier.
try:
multiplier = self._execution_cash_flow_multipliers[txn.sid]
multiplier = self._execution_cash_flow_multipliers[txn.asset]
except KeyError:
asset = self.asset_finder.retrieve_asset(txn.sid)
asset = self.asset_finder.retrieve_asset(txn.asset)
# Futures experience no cash flow on transactions
if isinstance(asset, Future):
multiplier = 0
else:
multiplier = 1
self._execution_cash_flow_multipliers[txn.sid] = multiplier
self._execution_cash_flow_multipliers[txn.asset] = multiplier
# Calculate and return the cash flow given the multiplier
return -1 * txn.price * txn.amount * multiplier
zipline/finance/performance/position.py
+20 -14
View File
@@ -20,7 +20,7 @@ Position Tracking
+-----------------+----------------------------------------------------+
| key | value |
+=================+====================================================+
| sid | the sid for the asset held in this position |
| asset | the asset held in this position |
+-----------------+----------------------------------------------------+
| amount | whole number of shares in the position |
+-----------------+----------------------------------------------------+
@@ -37,15 +37,19 @@ from collections import OrderedDict
import numpy as np
import logbook
from zipline.assets import Future, Asset
from zipline.utils.input_validation import expect_types
log = logbook.Logger('Performance')
class Position(object):
def __init__(self, sid, amount=0, cost_basis=0.0,
@expect_types(asset=Asset)
def __init__(self, asset, amount=0, cost_basis=0.0,
last_sale_price=0.0, last_sale_date=None):
self.sid = sid
self.asset = asset
self.amount = amount
self.cost_basis = cost_basis # per share
self.last_sale_price = last_sale_price
@@ -72,15 +76,16 @@ class Position(object):
)
}
def handle_split(self, sid, ratio):
@expect_types(asset=Asset)
def handle_split(self, asset, ratio):
"""
Update the position by the split ratio, and return the resulting
fractional share that will be converted into cash.
Returns the unused cash.
"""
if self.sid != sid:
raise Exception("updating split with the wrong sid!")
if self.asset != asset:
raise Exception("updating split with the wrong asset!")
# adjust the # of shares by the ratio
# (if we had 100 shares, and the ratio is 3,
@@ -113,9 +118,9 @@ class Position(object):
return return_cash
def update(self, txn):
if self.sid != txn.sid:
if self.asset != txn.asset:
raise Exception('updating position with txn for a '
'different sid')
'different asset')
total_shares = self.amount + txn.amount
@@ -145,7 +150,8 @@ class Position(object):
self.amount = total_shares
def adjust_commission_cost_basis(self, sid, cost):
@expect_types(asset=Asset)
def adjust_commission_cost_basis(self, asset, cost):
"""
A note about cost-basis in zipline: all positions are considered
to share a cost basis, even if they were executed in different
@@ -156,8 +162,8 @@ class Position(object):
all shares in a position.
"""
if sid != self.sid:
raise Exception('Updating a commission for a different sid?')
if asset != self.asset:
raise Exception('Updating a commission for a different asset?')
if cost == 0.0:
return
@@ -171,10 +177,10 @@ class Position(object):
self.cost_basis = new_cost / self.amount
def __repr__(self):
template = "sid: {sid}, amount: {amount}, cost_basis: {cost_basis}, \
template = "asset: {asset}, amount: {amount}, cost_basis: {cost_basis}, \
last_sale_price: {last_sale_price}"
return template.format(
sid=self.sid,
asset=self.asset,
amount=self.amount,
cost_basis=self.cost_basis,
last_sale_price=self.last_sale_price
@@ -186,7 +192,7 @@ last_sale_price: {last_sale_price}"
Returns a dict object of the form:
"""
return {
'sid': self.sid,
'sid': self.asset,
'amount': self.amount,
'cost_basis': self.cost_basis,
'last_sale_price': self.last_sale_price
zipline/finance/performance/position_tracker.py
+52 -45
View File
@@ -19,8 +19,6 @@ import logbook
import numpy as np
from collections import namedtuple
from math import isnan
from zipline.finance.performance.position import Position
from zipline.finance.transaction import Transaction
try:
# optional cython based OrderedDict
@@ -29,9 +27,14 @@ except ImportError:
from collections import OrderedDict
from six import iteritems, itervalues
from zipline.finance.performance.position import Position
from zipline.finance.transaction import Transaction
from zipline.utils.input_validation import expect_types
import zipline.protocol as zp
from zipline.assets import (
Equity, Future
Equity,
Future,
Asset
)
from zipline.errors import PositionTrackerMissingAssetFinder
from . position import positiondict
@@ -122,7 +125,7 @@ class PositionTracker(object):
def __init__(self, asset_finder, data_frequency):
self.asset_finder = asset_finder
# sid => position object
# asset => position object
self.positions = positiondict()
# Arrays for quick calculations of positions value
self._position_value_multipliers = OrderedDict()
@@ -133,41 +136,42 @@ class PositionTracker(object):
self.data_frequency = data_frequency
def _update_asset(self, sid):
def _update_asset(self, asset):
try:
self._position_value_multipliers[sid]
self._position_exposure_multipliers[sid]
self._position_value_multipliers[asset]
self._position_exposure_multipliers[asset]
except KeyError:
# Check if there is an AssetFinder
if self.asset_finder is None:
raise PositionTrackerMissingAssetFinder()
# Collect the value multipliers from applicable sids
asset = self.asset_finder.retrieve_asset(sid)
# Collect the value multipliers from applicable assets
asset = self.asset_finder.retrieve_asset(asset)
if isinstance(asset, Equity):
self._position_value_multipliers[sid] = 1
self._position_exposure_multipliers[sid] = 1
self._position_value_multipliers[asset] = 1
self._position_exposure_multipliers[asset] = 1
if isinstance(asset, Future):
self._position_value_multipliers[sid] = 0
self._position_exposure_multipliers[sid] = asset.multiplier
self._position_value_multipliers[asset] = 0
self._position_exposure_multipliers[asset] = asset.multiplier
def update_positions(self, positions):
# update positions in batch
self.positions.update(positions)
for sid, pos in iteritems(positions):
self._update_asset(sid)
for asset, pos in iteritems(positions):
self._update_asset(asset)
def update_position(self, sid, amount=None, last_sale_price=None,
@expect_types(asset=Asset)
def update_position(self, asset, amount=None, last_sale_price=None,
last_sale_date=None, cost_basis=None):
if sid not in self.positions:
position = Position(sid)
self.positions[sid] = position
if asset not in self.positions:
position = Position(asset)
self.positions[asset] = position
else:
position = self.positions[sid]
position = self.positions[asset]
if amount is not None:
position.amount = amount
self._update_asset(sid=sid)
self._update_asset(asset=asset)
if last_sale_price is not None:
position.last_sale_price = last_sale_price
if last_sale_date is not None:
@@ -178,36 +182,37 @@ class PositionTracker(object):
def execute_transaction(self, txn):
# Update Position
# ----------------
sid = txn.sid
asset = txn.asset
if sid not in self.positions:
position = Position(sid)
self.positions[sid] = position
if asset not in self.positions:
position = Position(asset)
self.positions[asset] = position
else:
position = self.positions[sid]
position = self.positions[asset]
position.update(txn)
if position.amount == 0:
# if this position now has 0 shares, remove it from our internal
# bookkeeping.
del self.positions[sid]
del self._position_value_multipliers[sid]
del self._position_exposure_multipliers[sid]
del self.positions[asset]
del self._position_value_multipliers[asset]
del self._position_exposure_multipliers[asset]
try:
# if this position exists in our user-facing dictionary,
# remove it as well.
del self._positions_store[sid]
del self._positions_store[asset]
except KeyError:
pass
else:
self._update_asset(sid)
self._update_asset(asset)
def handle_commission(self, sid, cost):
@expect_types(asset=Asset)
def handle_commission(self, asset, cost):
# Adjust the cost basis of the stock if we own it
if sid in self.positions:
self.positions[sid].adjust_commission_cost_basis(sid, cost)
if asset in self.positions:
self.positions[asset].adjust_commission_cost_basis(asset, cost)
def handle_splits(self, splits):
"""
@@ -216,7 +221,8 @@ class PositionTracker(object):
Parameters
----------
splits: list
A list of splits. Each split is a tuple of (sid, ratio).
A list of splits. Each split is a tuple of (sid, ratio), where
sid is an integer.
Returns
-------
@@ -227,11 +233,12 @@ class PositionTracker(object):
for split in splits:
sid = split[0]
if sid in self.positions:
asset = self.asset_finder.retrieve_asset(sid)
if asset in self.positions:
# Make the position object handle the split. It returns the
# leftover cash from a fractional share, if there is any.
position = self.positions[sid]
leftover_cash = position.handle_split(sid, split[1])
position = self.positions[asset]
leftover_cash = position.handle_split(asset, split[1])
self._update_asset(split[0])
total_leftover_cash += leftover_cash
@@ -326,7 +333,7 @@ class PositionTracker(object):
price = self.positions.get(asset).last_sale_price
txn = Transaction(
sid=asset,
asset=asset,
amount=(-1 * amount),
dt=dt,
price=price,
@@ -339,20 +346,20 @@ class PositionTracker(object):
positions = self._positions_store
for sid, pos in iteritems(self.positions):
for asset, pos in iteritems(self.positions):
if pos.amount == 0:
# Clear out the position if it has become empty since the last
# time get_positions was called. Catching the KeyError is
# faster than checking `if sid in positions`, and this can be
# faster than checking `if asset in positions`, and this can be
# potentially called in a tight inner loop.
try:
del positions[sid]
del positions[asset]
except KeyError:
pass
continue
position = zp.Position(sid)
position = zp.Position(asset)
position.amount = pos.amount
position.cost_basis = pos.cost_basis
position.last_sale_price = pos.last_sale_price
@@ -360,13 +367,13 @@ class PositionTracker(object):
# Adds the new position if we didn't have one before, or overwrite
# one we have currently
positions[sid] = position
positions[asset] = position
return positions
def get_positions_list(self):
positions = []
for sid, pos in iteritems(self.positions):
for asset, pos in iteritems(self.positions):
if pos.amount != 0:
positions.append(pos.to_dict())
return positions
zipline/finance/performance/tracker.py
+2 -2
View File
@@ -275,10 +275,10 @@ class PerformanceTracker(object):
self.todays_performance.record_order(event)
def process_commission(self, commission):
sid = commission['sid']
asset = commission['asset']
cost = commission['cost']
self.position_tracker.handle_commission(sid, cost)
self.position_tracker.handle_commission(asset, cost)
self.cumulative_performance.handle_commission(cost)
self.todays_performance.handle_commission(cost)
zipline/finance/transaction.py
+8 -6
View File
@@ -18,14 +18,13 @@ from copy import copy
from zipline.assets import Asset
from zipline.protocol import DATASOURCE_TYPE
from zipline.utils.input_validation import expect_types
class Transaction(object):
def __init__(self, sid, amount, dt, price, order_id, commission=None):
assert isinstance(sid, Asset)
self.sid = sid
@expect_types(asset=Asset)
def __init__(self, asset, amount, dt, price, order_id, commission=None):
self.asset = asset
self.amount = amount
self.dt = dt
self.price = price
@@ -39,6 +38,9 @@ class Transaction(object):
def to_dict(self):
py = copy(self.__dict__)
del py['type']
del py['asset']
py['sid'] = self.asset
return py
@@ -53,7 +55,7 @@ def create_transaction(order, dt, price, amount):
raise Exception("Transaction magnitude must be at least 1.")
transaction = Transaction(
sid=order.sid,
asset=order.asset,
amount=int(amount),
dt=dt,
price=price,
zipline/protocol.py
+8 -3
View File
@@ -16,6 +16,8 @@ from warnings import warn
import pandas as pd
from zipline.assets import Asset
from zipline.utils.input_validation import expect_types
from .utils.enum import enum
from zipline._protocol import BarData # noqa
@@ -225,14 +227,17 @@ class Account(object):
class Position(object):
def __init__(self, sid):
self.sid = sid
@expect_types(asset=Asset)
def __init__(self, asset):
self.asset = asset
self.amount = 0
self.cost_basis = 0.0 # per share
self.last_sale_price = 0.0
self.last_sale_date = None
# for backwards compatibility
self.sid = asset
def __repr__(self):
return "Position({0})".format(self.__dict__)
zipline/utils/factory.py
+16 -14
View File
@@ -21,6 +21,8 @@ import pandas as pd
import numpy as np
from datetime import timedelta, datetime
from zipline.assets import Asset
from zipline.finance.transaction import Transaction
from zipline.protocol import Event, DATASOURCE_TYPE
from zipline.sources import SpecificEquityTrades
from zipline.finance.trading import SimulationParameters
@@ -30,7 +32,7 @@ from zipline.data.loader import ( # For backwards compatibility
load_bars_from_yahoo,
)
from zipline.utils.calendars import get_calendar
from zipline.utils.input_validation import expect_types
__all__ = ['load_from_yahoo', 'load_bars_from_yahoo']
@@ -150,27 +152,27 @@ def create_split(sid, ratio, date):
})
def create_txn(sid, price, amount, datetime):
txn = Event({
'sid': sid,
'amount': amount,
'dt': datetime,
'price': price,
'type': DATASOURCE_TYPE.TRANSACTION,
'source_id': 'MockTransactionSource'
})
return txn
@expect_types(asset=Asset)
def create_txn(asset, price, amount, datetime, order_id):
return Transaction(
asset=asset,
price=price,
amount=amount,
dt=datetime,
order_id=order_id,
)
def create_txn_history(sid, priceList, amtList, interval, sim_params,
@expect_types(asset=Asset)
def create_txn_history(asset, priceList, amtList, interval, sim_params,
trading_calendar):
txns = []
current = sim_params.first_open
for price, amount in zip(priceList, amtList):
current = get_next_trading_dt(current, interval, trading_calendar)
dt = get_next_trading_dt(current, interval, trading_calendar)
txns.append(create_txn(sid, price, amount, current))
txns.append(create_txn(asset, price, amount, dt, None))
current = current + interval
return txns