intersticial commit for transforms

zipline/finance/transforms.py

@@ -0,0 +1,61 @@
+from datetime import timedelta
+from itertools import ifilter
+from collections import defaultdict
+
+from zipline.messaging import BaseTransform
+
+class VWAPTransform(BaseTransform):
+    
+    def init(self, daycount=3):
+        self.daycount = daycount
+        
+        
+class DailyVWAP:
+    """A class that tracks the volume weighted average price
+       based on tick updates."""
+    def __init__(self, daycount=3):
+        self.ticks = []
+        self.dropped_ticks = []
+        self.flux = 0.0
+        self.volume = 0
+        self.lastTick = None
+        self.vwap = 0.0
+        self.delta = timedelta(days=daycount)
+    
+    def update(self, event):
+        
+        self.ticks.append(event)
+        flux, volume = self.calculate_flux([event])
+        self.flux += flux
+        self.volume += volume
+        
+        self.last_date = event['dt']
+        self.first_date = self.last_date - self.delta
+        #use a list comprehension to filter the ticks to those within 
+        #desired day range. The dt properties are full datetime objects
+        #and provide overloads for arithmetic operations. 
+        self.dropped_ticks = []
+        for tick in self.ticks:
+            if tick['dt'] < self.first_date:
+                self.dropped_ticks.append(tick)
+              
+        slice_index = len(self.dropped_ticks)      
+        self.ticks = self.ticks[slice_index:]
+
+        dropped_flux, dropped_volume = self.calculate_flux(self.dropped_ticks)
+        
+        self.flux -= dropped_flux
+        self.volume -= dropped_volume
+                                      
+        if(self.volume != 0):
+            self.vwap = self.flux / self.volume
+        else:
+            self.vwap = None
+            
+    def calculate_flux(self, ticks):
+        flux = 0.0
+        volume = 0
+        for tick in ticks:
+            flux += tick['volume'] * tick['price']
+            volume += tick['volume']
+        return flux, volume

zipline/messaging.py

@@ -440,14 +440,14 @@ class BaseTransform(Component):
     method to create a new derived value from the combined feed.
     """
 
-    def __init__(self, name):
+    def __init__(self, name, **kwargs):
         Component.__init__(self)
 
         self.state = {
             'name': name
         }
 
-        self.init()
+        self.init(**kwargs)
 
     def init(self):
         pass
@@ -564,11 +564,11 @@ class PassthroughTransform(BaseTransform):
 
     """
 
-    def __init__(self):
+    def __init__(self, **kwargs):
         BaseTransform.__init__(self, "PASSTHROUGH")
-        self.init()
+        self.init(**kwargs)
 
-    def init(self):
+    def init(self, **kwargs):
         pass
 
     @property