wassname/catalyst
1
0
Fork 0
mirror of https://github.com/wassname/catalyst.git synced 2026-07-23 12:50:22 +08:00
Code Issues Packages Projects Releases Wiki Activity

BUG: Stop account_needs_update from blocking performance updates

Browse Source 
Referencing context.account in handle_data() can block updates to account,
portfolio and performance metrics, which can cause unintended changes in
financial performance. Additionally, since context.account metrics are not
updating frequenctly enough (daily, rather than minutely) algos which base
decisions on these metrics can have undesired behavior.

To address this we do not base our decision to update performance on the
state of account_needs_update.

When we call get_account() from the market and minute close methods, we
set the performance_needs_update parameter to False since we just updated
performance.

_get_account() is renamed to _update_account() since the method does not
return account information.

Also remove redundant asset_needs_update = True lines.
This commit is contained in:
Stewart Douglas
2015-05-28 11:15:40 -04:00
parent d01e718373
commit b24bd561e7
1 changed files with 9 additions and 13 deletions
Download Patch File Download Diff File Expand all files Collapse all files
zipline/finance/performance/tracker.py
+9 -13
View File
@@ -248,16 +248,18 @@ class PerformanceTracker(object):
def get_portfolio(self, performance_needs_update):
if performance_needs_update:
self.update_performance()
self.account_needs_update = True
return self.cumulative_performance.as_portfolio()
def get_account(self, performance_needs_update):
if self.account_needs_update:
self._get_account(performance_needs_update)
return self._account
def _get_account(self, performance_needs_update):
if performance_needs_update:
self.update_performance()
self.account_needs_update = True
if self.account_needs_update:
self._update_account()
return self._account
def _update_account(self):
self._account = self.cumulative_performance.as_account()
self.account_needs_update = False
@@ -389,7 +391,7 @@ class PerformanceTracker(object):
def handle_minute_close(self, dt):
self.update_performance()
todays_date = normalize_date(dt)
account = self.get_account(True)
account = self.get_account(False)
self.minute_performance.rollover()
@@ -407,8 +409,6 @@ class PerformanceTracker(object):
if dt == self.market_close:
self.check_upcoming_dividends(todays_date)
self.account_needs_update = True
def handle_intraday_market_close(self, new_mkt_open, new_mkt_close):
"""
Function called at market close only when emitting at minutely
@@ -419,8 +419,6 @@ class PerformanceTracker(object):
self.market_open = new_mkt_open
self.market_close = new_mkt_close
self.account_needs_update = True
def handle_market_close_daily(self):
"""
Function called after handle_data when running with daily emission
@@ -428,7 +426,7 @@ class PerformanceTracker(object):
"""
self.update_performance()
completed_date = self.day
account = self.get_account(True)
account = self.get_account(False)
# update risk metrics for cumulative performance
self.cumulative_risk_metrics.update(
@@ -462,8 +460,6 @@ class PerformanceTracker(object):
self.check_upcoming_dividends(completed_date)
self.account_needs_update = True
return daily_update
def handle_simulation_end(self):