Merge pull request #1750 from quantopian/remove-batch-otp

MAINT: batch_order_target_percent -> batch_market_order.

.gitattributes

@@ -1 +1,2 @@
 zipline/_version.py export-subst
+*.ipynb binary

tests/test_algorithm.py

@@ -127,7 +127,6 @@ from zipline.test_algorithms import (
     TestTargetAlgorithm,
     TestTargetPercentAlgorithm,
     TestTargetValueAlgorithm,
-    TestBatchTargetPercentAlgorithm,
     SetLongOnlyAlgorithm,
     SetAssetDateBoundsAlgorithm,
     SetMaxPositionSizeAlgorithm,
@@ -963,7 +962,6 @@ def before_trading_start(context, data):
         ('order_percent', TestOrderPercentAlgorithm,),
         ('order_target_percent', TestTargetPercentAlgorithm,),
         ('order_target_value', TestTargetValueAlgorithm,),
-        ('batch_order_target_percent', TestBatchTargetPercentAlgorithm,),
     ])
     def test_order_methods(self, test_name, algo_class):
         algo = algo_class(
@@ -1809,8 +1807,8 @@ def handle_data(context, data):
         )
         test_algo.run(self.data_portal)
 
-    def test_batch_order_target_percent_matches_multi_order(self):
-        weights = pd.Series([.3, .7])
+    def test_batch_market_order_matches_multiple_manual_orders(self):
+        share_counts = pd.Series([50, 100])
 
         multi_blotter = RecordBatchBlotter(self.SIM_PARAMS_DATA_FREQUENCY)
         multi_test_algo = TradingAlgorithm(
@@ -1818,7 +1816,7 @@ def handle_data(context, data):
                 from collections import OrderedDict
                 from six import iteritems
 
-                from zipline.api import sid, order_target_percent
+                from zipline.api import sid, order
 
 
                 def initialize(context):
@@ -1827,14 +1825,14 @@ def handle_data(context, data):
 
                 def handle_data(context, data):
                     if not context.placed:
-                        for asset, weight in iteritems(OrderedDict(zip(
-                            context.assets, {weights}
+                        for asset, shares in iteritems(OrderedDict(zip(
+                            context.assets, {share_counts}
                         ))):
-                            order_target_percent(asset, weight)
+                            order(asset, shares)
 
                         context.placed = True
 
-            """).format(weights=list(weights)),
+            """).format(share_counts=list(share_counts)),
             blotter=multi_blotter,
             env=self.env,
         )
@@ -1844,9 +1842,9 @@ def handle_data(context, data):
         batch_blotter = RecordBatchBlotter(self.SIM_PARAMS_DATA_FREQUENCY)
         batch_test_algo = TradingAlgorithm(
             script=dedent("""\
-                from collections import OrderedDict
+                import pandas as pd
 
-                from zipline.api import sid, batch_order_target_percent
+                from zipline.api import sid, batch_market_order
 
 
                 def initialize(context):
@@ -1855,9 +1853,9 @@ def handle_data(context, data):
 
                 def handle_data(context, data):
                     if not context.placed:
-                        orders = batch_order_target_percent(OrderedDict(zip(
-                            context.assets, {weights}
-                        )))
+                        orders = batch_market_order(pd.Series(
+                            index=context.assets, data={share_counts}
+                        ))
                         assert len(orders) == 2, \
                             "len(orders) was %s but expected 2" % len(orders)
                         for o in orders:
@@ -1865,7 +1863,7 @@ def handle_data(context, data):
 
                         context.placed = True
 
-            """).format(weights=list(weights)),
+            """).format(share_counts=list(share_counts)),
             blotter=batch_blotter,
             env=self.env,
         )
@@ -1881,16 +1879,15 @@ def handle_data(context, data):
             )
         assert_equal(multi_stats, batch_stats)
 
-    def test_batch_order_target_percent_filters_null_orders(self):
-        weights = pd.Series([1, 0])
+    def test_batch_market_order_filters_null_orders(self):
+        share_counts = [50, 0]
 
         batch_blotter = RecordBatchBlotter(self.SIM_PARAMS_DATA_FREQUENCY)
         batch_test_algo = TradingAlgorithm(
             script=dedent("""\
-                from collections import OrderedDict
-
-                from zipline.api import sid, batch_order_target_percent
+                import pandas as pd
 
+                from zipline.api import sid, batch_market_order
 
                 def initialize(context):
                     context.assets = [sid(0), sid(3)]
@@ -1898,9 +1895,9 @@ def handle_data(context, data):
 
                 def handle_data(context, data):
                     if not context.placed:
-                        orders = batch_order_target_percent(OrderedDict(zip(
-                            context.assets, {weights}
-                        )))
+                        orders = batch_market_order(pd.Series(
+                            index=context.assets, data={share_counts}
+                        ))
                         assert len(orders) == 1, \
                             "len(orders) was %s but expected 1" % len(orders)
                         for o in orders:
@@ -1908,7 +1905,7 @@ def handle_data(context, data):
 
                         context.placed = True
 
-            """).format(weights=list(weights)),
+            """).format(share_counts=share_counts),
             blotter=batch_blotter,
             env=self.env,
         )

zipline/algorithm.py

@@ -13,11 +13,6 @@
 # See the License for the specific language governing permissions and
 # limitations under the License.
 from collections import Iterable
-try:
-    # optional cython based OrderedDict
-    from cyordereddict import OrderedDict
-except ImportError:
-    from collections import OrderedDict
 from copy import copy
 import operator as op
 import warnings
@@ -38,7 +33,6 @@ from six import (
     itervalues,
     string_types,
     viewkeys,
-    viewvalues,
 )
 
 from zipline._protocol import handle_non_market_minutes
@@ -107,9 +101,11 @@ from zipline.utils.input_validation import (
     coerce_string,
     ensure_upper_case,
     error_keywords,
+    expect_dtypes,
     expect_types,
     optional,
 )
+from zipline.utils.numpy_utils import int64_dtype
 from zipline.utils.calendars.trading_calendar import days_at_time
 from zipline.utils.cache import CachedObject, Expired
 from zipline.utils.calendars import get_calendar
@@ -2039,35 +2035,28 @@ class TradingAlgorithm(object):
         return self._calculate_order_target_amount(asset, target_amount)
 
     @api_method
-    @disallowed_in_before_trading_start(OrderInBeforeTradingStart())
-    def batch_order_target_percent(self, weights):
-        """Place orders towards a given portfolio of weights.
+    @expect_types(share_counts=pd.Series)
+    @expect_dtypes(share_counts=int64_dtype)
+    def batch_market_order(self, share_counts):
+        """Place a batch market order for multiple assets.
 
         Parameters
         ----------
-        weights : collections.Mapping[Asset -> float]
+        share_counts : pd.Series[Asset -> int]
+            Map from asset to number of shares to order for that asset.
 
         Returns
         -------
-        order_ids : pd.Series[Asset -> str]
-            The unique identifiers for the orders that were placed.
-
-        See Also
-        --------
-        :func:`zipline.api.order_target_percent`
+        order_ids : pd.Index[str]
+            Index of ids for newly-created orders.
         """
-        order_args = OrderedDict()
-        for asset, target in iteritems(weights):
-            if self._can_order_asset(asset):
-                amount = self._calculate_order_target_percent_amount(
-                    asset, target,
-                )
-                amount, style = self._calculate_order(asset, amount)
-                order_args[asset] = (asset, amount, style)
-
-        order_ids = self.blotter.batch_order(viewvalues(order_args))
-        order_ids = pd.Series(data=order_ids, index=order_args)
-        return order_ids[~order_ids.isnull()]
+        style = MarketOrder()
+        order_args = [
+            (asset, amount, style)
+            for (asset, amount) in iteritems(share_counts)
+            if amount
+        ]
+        return self.blotter.batch_order(order_args)
 
     @error_keywords(sid='Keyword argument `sid` is no longer supported for '
                         'get_open_orders. Use `asset` instead.')

zipline/api.pyi

@@ -34,21 +34,18 @@ def attach_pipeline(pipeline, name, chunks=None):
     :func:`zipline.api.pipeline_output`
     """
 
-def batch_order_target_percent(weights):
-    """Place orders towards a given portfolio of weights.
+def batch_market_order(share_counts):
+    """Place a batch market order for multiple assets.
 
     Parameters
     ----------
-    weights : collections.Mapping[Asset -> float]
+    share_counts : pd.Series[Asset -> int]
+        Map from asset to number of shares to order for that asset.
 
     Returns
     -------
-    order_ids : pd.Series[Asset -> str]
-        The unique identifiers for the orders that were placed.
-
-    See Also
-    --------
-    :func:`zipline.api.order_target_percent`
+    order_ids : pd.Index[str]
+        Index of ids for newly-created orders.
     """
 
 def cancel_order(order_param):

zipline/test_algorithms.py

@@ -436,11 +436,6 @@ class TestTargetPercentAlgorithm(TradingAlgorithm):
         return self.order_target_percent(asset, target)
 
 
-class TestBatchTargetPercentAlgorithm(TestTargetPercentAlgorithm):
-    def _order(self, asset, target):
-        return self.batch_order_target_percent({asset: target})
-
-
 class TestTargetValueAlgorithm(TradingAlgorithm):
     def initialize(self):
         self.set_slippage(FixedSlippage())