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draft of a vwap transform.

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This commit is contained in:
fawce
2012-05-04 13:32:29 -04:00
parent 4da50156e7
commit 9b42a1e63f
2 changed files with 49 additions and 52 deletions
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zipline/finance/transforms.py
+6
View File
@@ -8,7 +8,13 @@ class VWAPTransform(BaseTransform):
def init(self, daycount=3):
self.daycount = daycount
self.by_sid = defaultdict(DailyVWAP)
def transform(self, event):
cur = self.by_sid(event.sid)
cur.update(event)
self.state['value'] = cur.vwap
return self.state
class DailyVWAP:
"""A class that tracks the volume weighted average price
zipline/lines.py
+43 -52
View File
@@ -4,9 +4,7 @@ messaging. All ziplines follow a general topology of parallel sources,
datetimestamp serialization, parallel transformations, and finally sinks.
Furthermore, many ziplines have common needs. For example, all trade
simulations require a
:py:class:`~zipline.finance.trading.TradeSimulationClient`, an
:py:class:`~zipline.finance.trading.OrderSource`, and a
:py:class:`~zipline.finance.trading.TransactionSimulator` (a transform).
:py:class:`~zipline.finance.trading.TradeSimulationClient`.
To establish best practices and minimize code replication, the lines module
provides complete zipline topologies. You can extend any zipline without
@@ -17,56 +15,49 @@ before invoking simulate.
Here is a diagram of the SimulatedTrading zipline:
+----------------------+ +------------------------+
+-->| Orders DataSource | | (DataSource added |
| | Integrates algo | | via add_source) |
| | orders into history | | |
| +--------------------+-+ +-+----------------------+
| | |
| | |
| v v
| +---------+
| | Feed |
| +-+------++
| | |
| | |
| v v
| +----------------------+ +----------------------+
| | Transaction | | |
| | Transform simulates | | (Transforms added |
| | trades based on | | via add_transform) |
| | orders from algo. | | |
| +-------------------+--+ +-+--------------------+
| | |
| | |
| v v
| +------------+
| | Merge |
| +------+-----+
| |
| |
| V
| +--------------------------------+
| | |
| | TradingSimulationClient |
| orders | tracks performance and |
+---------------+ provides API to algorithm. |
| |
+---------------------+----------+
^ |
| orders | frames
| |
| v
+---------+-----------------------+
| |
| Algorithm added via |
| __init__. |
| |
| |
| |
+---------------------------------+
+----------------------+ +------------------------+
| Trade History | | (DataSource added |
| | | via add_source) |
| | | |
+--------------------+-+ +-+----------------------+
| |
| |
v v
+---------+
| Feed | (ensures events are serialized
+-+------++ in chronological order)
| |
| |
v v
+----------------------+ +----------------------+
| (Transforms added | | (Transforms added |
| via add_transform) | | via add_transform) |
+-------------------+--+ +-+--------------------+
| |
| |
v v
+------------+
| Merge | (combines original event and
+------+-----+ transforms into one vector)
|
|
V
+---------------+ +--------------------------------+
| Risk and Perf | | |
| Tracker | | TradingSimulationClient |
+---------------+ | tracks performance and |
^ Trades and | provides API to algorithm. |
| simulated | |
| transactions +--+------------------+----------+
| | ^ |
+---------------------+ | orders | frames
| |
| v
+---------------------------------+
| Algorithm added via |
| __init__. |
+---------------------------------+
"""
import mock