Merge pull request #220 from quantopian/minimum_price_variation

Merging branch "Minimum price variation"

Ensure limit prices conform to a minimum price variation of a penny, which works for most stocks (not, for instance, BRK). The rounding "midpoint" is custom and depends on buy/sell direction, instead of .5 of a penny.

tests/test_blotter.py

@@ -0,0 +1,35 @@
+import math
+
+from nose_parameterized import parameterized
+from unittest import TestCase
+
+from zipline.finance.blotter import round_for_minimum_price_variation
+
+
+class BlotterTestCase(TestCase):
+
+    @parameterized.expand([(0.00, 0.00),
+                           (0.01, 0.01),
+                           (0.0005, 0.00),
+                           (1.006, 1.00),
+                           (1.0095, 1.01),
+                           (1.00949, 1.00),
+                           (1.0005, 1.00)])
+    def test_round_for_minimum_price_variation_buy(self, price, expected):
+        result = round_for_minimum_price_variation(price, is_buy=True)
+        self.assertEqual(result, expected)
+        self.assertEqual(math.copysign(1.0, result),
+                         math.copysign(1.0, expected))
+
+    @parameterized.expand([(0.00, 0.00),
+                           (0.01, 0.01),
+                           (0.0005, 0.00),
+                           (1.006, 1.01),
+                           (1.0005, 1.00),
+                           (1.00051, 1.01),
+                           (1.0095, 1.01)])
+    def test_round_for_minimum_price_variation_sell(self, price, expected):
+        result = round_for_minimum_price_variation(price, is_buy=False)
+        self.assertEqual(result, expected)
+        self.assertEqual(math.copysign(1.0, result),
+                         math.copysign(1.0, expected))

zipline/finance/blotter.py

@@ -42,6 +42,17 @@ ORDER_STATUS = Enum(
 )
 
 
+# On an order to buy, between .05 below to .95 above a penny, use that penny.
+# On an order to sell, between .05 above to .95 below a penny, use that penny.
+# buy: [.0095, .0195) -> round to .01, sell: (.0005, .0105] -> round to .01
+def round_for_minimum_price_variation(x, is_buy, diff=(0.0095 - .005)):
+    # relies on rounding half away from zero, unlike numpy's bankers' rounding
+    rounded = round(x - (diff if is_buy else -diff), 2)
+    if zp_math.tolerant_equals(rounded, 0.0):
+        return 0.0
+    return rounded
+
+
 class Blotter(object):
 
     def __init__(self):
@@ -107,6 +118,9 @@ class Blotter(object):
             raise OverflowError("Can't order more than %d shares" %
                                 self.max_shares)
 
+        if limit_price:
+            limit_price = round_for_minimum_price_variation(limit_price,
+                                                            amount > 0)
         order = Order(
             dt=self.current_dt,
             sid=sid,