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MAINT: Deprecate set_do_not_order_list

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In favor of a new method `set_restrictions` which takes a Restrictions
object. Calls to `set_do_not_order_list` should raise a deprecation
warning and create an equivalent Restrictions object, with which
`set_restrictions` will be called. For convenience, create a
RestrictionsSet from which the "restrictions" version of a security
list can be accessed
This commit is contained in:
Andrew Liang
2016-09-28 15:21:36 -04:00
parent a30f48e218
commit 99f6ecab3f
5 changed files with 103 additions and 24 deletions
Download Patch File Download Diff File Expand all files Collapse all files
tests/test_algorithm.py
+32 -12
View File
@@ -79,6 +79,7 @@ from zipline.finance.trading import SimulationParameters
from zipline.finance.restrictions import (
Restriction,
HistoricalRestrictions,
StaticRestrictions,
RESTRICTION_STATES,
)
from zipline.testing import (
@@ -127,6 +128,7 @@ from zipline.test_algorithms import (
SetMaxOrderCountAlgorithm,
SetMaxOrderSizeAlgorithm,
SetDoNotOrderListAlgorithm,
SetAssetRestrictionsAlgorithm,
SetMaxLeverageAlgorithm,
api_algo,
api_get_environment_algo,
@@ -2793,14 +2795,14 @@ class TestTradingControls(WithSimParams, WithDataPortal, ZiplineTestCase):
env=self.env)
self.check_algo_fails(algo, handle_data, 0)
def test_set_do_not_order_list(self):
def test_set_asset_restrictions(self):
def handle_data(algo, data):
algo.could_trade = data.can_trade(algo.sid(self.sid))
algo.order(algo.sid(self.sid), 100)
algo.order_count += 1
# set the restricted list to be one sid for the entire simulation,
# Set HistoricalRestrictions for one sid for the entire simulation,
# and fail.
rlm = HistoricalRestrictions([
Restriction(
@@ -2808,20 +2810,20 @@ class TestTradingControls(WithSimParams, WithDataPortal, ZiplineTestCase):
self.sim_params.start_session,
RESTRICTION_STATES.FROZEN)
])
algo = SetDoNotOrderListAlgorithm(
algo = SetAssetRestrictionsAlgorithm(
sid=self.sid,
restricted_list=rlm,
restrictions=rlm,
sim_params=self.sim_params,
env=self.env,
)
self.check_algo_fails(algo, handle_data, 0)
self.assertFalse(algo.could_trade)
# if the restricted list is a static list, then use a shim.
rlm = [self.sid]
algo = SetDoNotOrderListAlgorithm(
# Set StaticRestrictions for one sid and fail.
rlm = StaticRestrictions([self.sid])
algo = SetAssetRestrictionsAlgorithm(
sid=self.sid,
restricted_list=rlm,
restrictions=rlm,
sim_params=self.sim_params,
env=self.env,
)
@@ -2829,9 +2831,9 @@ class TestTradingControls(WithSimParams, WithDataPortal, ZiplineTestCase):
self.assertFalse(algo.could_trade)
# just log an error on the violation if we choose not to fail.
algo = SetDoNotOrderListAlgorithm(
algo = SetAssetRestrictionsAlgorithm(
sid=self.sid,
restricted_list=rlm,
restrictions=rlm,
sim_params=self.sim_params,
env=self.env,
on_error='log'
@@ -2851,14 +2853,32 @@ class TestTradingControls(WithSimParams, WithDataPortal, ZiplineTestCase):
self.sim_params.start_session,
RESTRICTION_STATES.FROZEN) for sid in [134, 135, 136]
])
algo = SetAssetRestrictionsAlgorithm(
sid=self.sid,
restrictions=rlm,
sim_params=self.sim_params,
env=self.env,
)
self.check_algo_succeeds(algo, handle_data)
self.assertTrue(algo.could_trade)
def test_set_do_not_order_list(self):
def handle_data(algo, data):
algo.could_trade = data.can_trade(algo.sid(self.sid))
algo.order(algo.sid(self.sid), 100)
algo.order_count += 1
rlm = [self.sid]
algo = SetDoNotOrderListAlgorithm(
sid=self.sid,
restricted_list=rlm,
sim_params=self.sim_params,
env=self.env,
)
self.check_algo_succeeds(algo, handle_data)
self.assertTrue(algo.could_trade)
self.check_algo_fails(algo, handle_data, 0)
self.assertFalse(algo.could_trade)
def test_set_max_order_size(self):
tests/test_security_list.py
+24 -6
View File
@@ -2,6 +2,7 @@ from datetime import timedelta
import pandas as pd
from testfixtures import TempDirectory
from nose_parameterized import parameterized
from zipline.algorithm import TradingAlgorithm
from zipline.errors import TradingControlViolation
@@ -29,7 +30,7 @@ LEVERAGED_ETFS = load_from_directory('leveraged_etf_list')
class RestrictedAlgoWithCheck(TradingAlgorithm):
def initialize(self, symbol):
self.rl = SecurityListSet(self.get_datetime, self.asset_finder)
self.set_do_not_order_list(self.rl.leveraged_etf_list)
self.set_asset_restrictions(self.rl.restrict_leveraged_etfs)
self.order_count = 0
self.sid = self.symbol(symbol)
@@ -43,6 +44,18 @@ class RestrictedAlgoWithCheck(TradingAlgorithm):
class RestrictedAlgoWithoutCheck(TradingAlgorithm):
def initialize(self, symbol):
self.rl = SecurityListSet(self.get_datetime, self.asset_finder)
self.set_asset_restrictions(self.rl.restrict_leveraged_etfs)
self.order_count = 0
self.sid = self.symbol(symbol)
def handle_data(self, data):
self.order(self.sid, 100)
self.order_count += 1
class RestrictedAlgoWithoutCheckSetDoNotOrderList(TradingAlgorithm):
def initialize(self, symbol):
self.rl = SecurityListSet(self.get_datetime, self.asset_finder)
self.set_do_not_order_list(self.rl.leveraged_etf_list)
@@ -57,7 +70,7 @@ class RestrictedAlgoWithoutCheck(TradingAlgorithm):
class IterateRLAlgo(TradingAlgorithm):
def initialize(self, symbol):
self.rl = SecurityListSet(self.get_datetime, self.asset_finder)
self.set_do_not_order_list(self.rl.leveraged_etf_list)
self.set_asset_restrictions(self.rl.restrict_leveraged_etfs)
self.order_count = 0
self.sid = self.symbol(symbol)
self.found = False
@@ -213,10 +226,15 @@ class SecurityListTestCase(WithLogger, WithTradingCalendars, ZiplineTestCase):
env=self.env)
algo.run(self.data_portal)
def test_algo_with_rl_violation(self):
algo = RestrictedAlgoWithoutCheck(symbol='BZQ',
sim_params=self.sim_params,
env=self.env)
@parameterized.expand([
('using_set_do_not_order_list',
RestrictedAlgoWithoutCheckSetDoNotOrderList),
('using_set_restrictions', RestrictedAlgoWithoutCheck),
])
def test_algo_with_rl_violation(self, name, algo_class):
algo = algo_class(symbol='BZQ',
sim_params=self.sim_params,
env=self.env)
with self.assertRaises(TradingControlViolation) as ctx:
algo.run(self.data_portal)
zipline/algorithm.py
+36 -6
View File
@@ -2173,15 +2173,45 @@ class TradingAlgorithm(object):
restricted_list : container[Asset], SecurityList
The assets that cannot be ordered.
"""
if isinstance(restricted_list, SecurityList):
warnings.warn(
"`set_do_not_order_list(security_lists.leveraged_etf_list)` "
"is deprecated. Use `set_asset_restrictions("
"security_lists.restrict_leveraged_etfs)` instead.",
category=ZiplineDeprecationWarning,
stacklevel=2
)
restrictions = SecurityListRestrictions(restricted_list)
else:
warnings.warn(
"`set_do_not_order_list(container_of_assets)` is deprecated. "
"Create a zipline.finance.restrictions.StaticRestrictions "
"object with a container of assets and use "
"`set_asset_restrictions(StaticRestrictions("
"container_of_assets))` instead.",
category=ZiplineDeprecationWarning,
stacklevel=2
)
restrictions = StaticRestrictions(restricted_list)
if isinstance(restricted_list, (list, tuple, set)):
restricted_list = StaticRestrictions(restricted_list)
elif isinstance(restricted_list, SecurityList):
restricted_list = SecurityListRestrictions(restricted_list)
self.set_asset_restrictions(restrictions, on_error)
control = RestrictedListOrder(on_error, restricted_list)
@api_method
@expect_types(
restrictions=Restrictions,
on_error=str,
)
def set_asset_restrictions(self, restrictions, on_error='fail'):
"""Set a restriction on which assets can be ordered.
Parameters
----------
restricted_list : container[Asset], SecurityList, Restrictions
The assets that cannot be ordered.
"""
control = RestrictedListOrder(on_error, restrictions)
self.register_trading_control(control)
self.restrictions = restricted_list
self.restrictions = restrictions
@api_method
def set_long_only(self, on_error='fail'):
zipline/test_algorithms.py
+6
View File
@@ -510,6 +510,12 @@ class SetDoNotOrderListAlgorithm(TradingAlgorithm):
self.set_do_not_order_list(restricted_list, on_error)
class SetAssetRestrictionsAlgorithm(TradingAlgorithm):
def initialize(self, sid=None, restrictions=None, on_error='fail'):
self.order_count = 0
self.set_asset_restrictions(restrictions, on_error)
class SetMaxOrderCountAlgorithm(TradingAlgorithm):
def initialize(self, count):
self.order_count = 0
zipline/utils/security_list.py
+5
View File
@@ -8,6 +8,7 @@ import pytz
import zipline
from zipline.errors import SymbolNotFound
from zipline.finance.restrictions import SecurityListRestrictions
from zipline.zipline_warnings import ZiplineDeprecationWarning
@@ -114,6 +115,10 @@ class SecurityListSet(object):
)
return self._leveraged_etf
@property
def restrict_leveraged_etfs(self):
return SecurityListRestrictions(self.leveraged_etf_list)
def load_from_directory(list_name):
"""