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REF: Move order class to distinct module.

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This commit is contained in:
Eddie Hebert
2015-12-14 18:10:26 -05:00
parent 5ecb277d84
commit b863733953
4 changed files with 199 additions and 178 deletions
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tests/test_blotter.py
+2 -1
View File
@@ -18,7 +18,8 @@ from nose_parameterized import parameterized
from unittest import TestCase
from zipline.finance import trading
from zipline.finance.blotter import Blotter, ORDER_STATUS
from zipline.finance.blotter import Blotter
from zipline.finance.order import ORDER_STATUS
from zipline.finance.execution import (
LimitOrder,
MarketOrder,
zipline/finance/blotter.py
+2 -176
View File
@@ -1,5 +1,5 @@
#
# Copyright 2014 Quantopian, Inc.
# Copyright 2015 Quantopian, Inc.
#
# Licensed under the Apache License, Version 2.0 (the "License");
# you may not use this file except in compliance with the License.
@@ -13,13 +13,10 @@
# See the License for the specific language governing permissions and
# limitations under the License.
import math
import uuid
from copy import copy
from logbook import Logger
from collections import defaultdict
from six import text_type, iteritems
from six.moves import filter
import zipline.errors
@@ -28,10 +25,9 @@ import zipline.protocol as zp
from zipline.finance.slippage import (
VolumeShareSlippage,
transact_partial,
check_order_triggers
)
from zipline.finance.commission import PerShare
from zipline.utils.enum import enum
from zipline.finance.order import Order
from zipline.utils.serialization_utils import (
VERSION_LABEL
@@ -39,14 +35,6 @@ from zipline.utils.serialization_utils import (
log = Logger('Blotter')
ORDER_STATUS = enum(
'OPEN',
'FILLED',
'CANCELLED',
'REJECTED',
'HELD',
)
class Blotter(object):
@@ -283,165 +271,3 @@ class Blotter(object):
self.open_orders = open_orders
self.__dict__.update(state)
class Order(object):
def __init__(self, dt, sid, amount, stop=None, limit=None, filled=0,
commission=None, id=None):
"""
@dt - datetime.datetime that the order was placed
@sid - stock sid of the order
@amount - the number of shares to buy/sell
a positive sign indicates a buy
a negative sign indicates a sell
@filled - how many shares of the order have been filled so far
"""
# get a string representation of the uuid.
self.id = id or self.make_id()
self.dt = dt
self.reason = None
self.created = dt
self.sid = sid
self.amount = amount
self.filled = filled
self.commission = commission
self._status = ORDER_STATUS.OPEN
self.stop = stop
self.limit = limit
self.stop_reached = False
self.limit_reached = False
self.direction = math.copysign(1, self.amount)
self.type = zp.DATASOURCE_TYPE.ORDER
def make_id(self):
return uuid.uuid4().hex
def to_dict(self):
py = copy(self.__dict__)
for field in ['type', 'direction', '_status']:
del py[field]
py['status'] = self.status
return py
def to_api_obj(self):
pydict = self.to_dict()
obj = zp.Order(initial_values=pydict)
return obj
def check_triggers(self, event):
"""
Update internal state based on price triggers and the
trade event's price.
"""
stop_reached, limit_reached, sl_stop_reached = \
check_order_triggers(self, event)
if (stop_reached, limit_reached) \
!= (self.stop_reached, self.limit_reached):
self.dt = event.dt
self.stop_reached = stop_reached
self.limit_reached = limit_reached
if sl_stop_reached:
# Change the STOP LIMIT order into a LIMIT order
self.stop = None
def handle_split(self, split_event):
ratio = split_event.ratio
# update the amount, limit_price, and stop_price
# by the split's ratio
# info here: http://finra.complinet.com/en/display/display_plain.html?
# rbid=2403&element_id=8950&record_id=12208&print=1
# new_share_amount = old_share_amount / ratio
# new_price = old_price * ratio
self.amount = int(self.amount / ratio)
if self.limit is not None:
self.limit = round(self.limit * ratio, 2)
if self.stop is not None:
self.stop = round(self.stop * ratio, 2)
@property
def status(self):
if not self.open_amount:
return ORDER_STATUS.FILLED
elif self._status == ORDER_STATUS.HELD and self.filled:
return ORDER_STATUS.OPEN
else:
return self._status
@status.setter
def status(self, status):
self._status = status
def cancel(self):
self.status = ORDER_STATUS.CANCELLED
def reject(self, reason=''):
self.status = ORDER_STATUS.REJECTED
self.reason = reason
def hold(self, reason=''):
self.status = ORDER_STATUS.HELD
self.reason = reason
@property
def open(self):
return self.status in [ORDER_STATUS.OPEN, ORDER_STATUS.HELD]
@property
def triggered(self):
"""
For a market order, True.
For a stop order, True IFF stop_reached.
For a limit order, True IFF limit_reached.
"""
if self.stop is not None and not self.stop_reached:
return False
if self.limit is not None and not self.limit_reached:
return False
return True
@property
def open_amount(self):
return self.amount - self.filled
def __repr__(self):
"""
String representation for this object.
"""
return "Order(%s)" % self.to_dict().__repr__()
def __unicode__(self):
"""
Unicode representation for this object.
"""
return text_type(repr(self))
def __getstate__(self):
state_dict = \
{k: v for k, v in iteritems(self.__dict__)
if not k.startswith('_')}
state_dict['_status'] = self._status
STATE_VERSION = 1
state_dict[VERSION_LABEL] = STATE_VERSION
return state_dict
def __setstate__(self, state):
OLDEST_SUPPORTED_STATE = 1
version = state.pop(VERSION_LABEL)
if version < OLDEST_SUPPORTED_STATE:
raise BaseException("Order saved state is too old.")
self.__dict__.update(state)
zipline/finance/order.py
+194
View File
@@ -0,0 +1,194 @@
#
# Copyright 2015 Quantopian, Inc.
#
# Licensed under the Apache License, Version 2.0 (the "License");
# you may not use this file except in compliance with the License.
# You may obtain a copy of the License at
#
# http://www.apache.org/licenses/LICENSE-2.0
#
# Unless required by applicable law or agreed to in writing, software
# distributed under the License is distributed on an "AS IS" BASIS,
# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
# See the License for the specific language governing permissions and
# limitations under the License.
from copy import copy
import math
import uuid
from six import text_type, iteritems
from zipline.finance.slippage import check_order_triggers
import zipline.protocol as zp
from zipline.utils.serialization_utils import VERSION_LABEL
from zipline.utils.enum import enum
ORDER_STATUS = enum(
'OPEN',
'FILLED',
'CANCELLED',
'REJECTED',
'HELD',
)
class Order(object):
def __init__(self, dt, sid, amount, stop=None, limit=None, filled=0,
commission=None, id=None):
"""
@dt - datetime.datetime that the order was placed
@sid - stock sid of the order
@amount - the number of shares to buy/sell
a positive sign indicates a buy
a negative sign indicates a sell
@filled - how many shares of the order have been filled so far
"""
# get a string representation of the uuid.
self.id = id or self.make_id()
self.dt = dt
self.reason = None
self.created = dt
self.sid = sid
self.amount = amount
self.filled = filled
self.commission = commission
self._status = ORDER_STATUS.OPEN
self.stop = stop
self.limit = limit
self.stop_reached = False
self.limit_reached = False
self.direction = math.copysign(1, self.amount)
self.type = zp.DATASOURCE_TYPE.ORDER
def make_id(self):
return uuid.uuid4().hex
def to_dict(self):
py = copy(self.__dict__)
for field in ['type', 'direction', '_status']:
del py[field]
py['status'] = self.status
return py
def to_api_obj(self):
pydict = self.to_dict()
obj = zp.Order(initial_values=pydict)
return obj
def check_triggers(self, event):
"""
Update internal state based on price triggers and the
trade event's price.
"""
stop_reached, limit_reached, sl_stop_reached = \
check_order_triggers(self, event)
if (stop_reached, limit_reached) \
!= (self.stop_reached, self.limit_reached):
self.dt = event.dt
self.stop_reached = stop_reached
self.limit_reached = limit_reached
if sl_stop_reached:
# Change the STOP LIMIT order into a LIMIT order
self.stop = None
def handle_split(self, split_event):
ratio = split_event.ratio
# update the amount, limit_price, and stop_price
# by the split's ratio
# info here: http://finra.complinet.com/en/display/display_plain.html?
# rbid=2403&element_id=8950&record_id=12208&print=1
# new_share_amount = old_share_amount / ratio
# new_price = old_price * ratio
self.amount = int(self.amount / ratio)
if self.limit is not None:
self.limit = round(self.limit * ratio, 2)
if self.stop is not None:
self.stop = round(self.stop * ratio, 2)
@property
def status(self):
if not self.open_amount:
return ORDER_STATUS.FILLED
elif self._status == ORDER_STATUS.HELD and self.filled:
return ORDER_STATUS.OPEN
else:
return self._status
@status.setter
def status(self, status):
self._status = status
def cancel(self):
self.status = ORDER_STATUS.CANCELLED
def reject(self, reason=''):
self.status = ORDER_STATUS.REJECTED
self.reason = reason
def hold(self, reason=''):
self.status = ORDER_STATUS.HELD
self.reason = reason
@property
def open(self):
return self.status in [ORDER_STATUS.OPEN, ORDER_STATUS.HELD]
@property
def triggered(self):
"""
For a market order, True.
For a stop order, True IFF stop_reached.
For a limit order, True IFF limit_reached.
"""
if self.stop is not None and not self.stop_reached:
return False
if self.limit is not None and not self.limit_reached:
return False
return True
@property
def open_amount(self):
return self.amount - self.filled
def __repr__(self):
"""
String representation for this object.
"""
return "Order(%s)" % self.to_dict().__repr__()
def __unicode__(self):
"""
Unicode representation for this object.
"""
return text_type(repr(self))
def __getstate__(self):
state_dict = \
{k: v for k, v in iteritems(self.__dict__)
if not k.startswith('_')}
state_dict['_status'] = self._status
STATE_VERSION = 1
state_dict[VERSION_LABEL] = STATE_VERSION
return state_dict
def __setstate__(self, state):
OLDEST_SUPPORTED_STATE = 1
version = state.pop(VERSION_LABEL)
if version < OLDEST_SUPPORTED_STATE:
raise BaseException("Order saved state is too old.")
self.__dict__.update(state)
zipline/utils/test_utils.py
+1 -1
View File
@@ -24,7 +24,7 @@ from toolz import concat
from zipline.assets import AssetFinder
from zipline.assets.asset_writer import AssetDBWriterFromDataFrame
from zipline.assets.futures import CME_CODE_TO_MONTH
from zipline.finance.blotter import ORDER_STATUS
from zipline.finance.order import ORDER_STATUS
from zipline.utils import security_list