mirror of
https://github.com/wassname/catalyst.git
synced 2026-07-31 12:10:31 +08:00
fawce
@@ -59,8 +59,10 @@ class TradeSimulationClient(qmsg.Component):
|
||||
:py:mod:`zipline.test.algorithm`
|
||||
"""
|
||||
self.algorithm = algorithm
|
||||
#register the trading_client's order method with the algorithm
|
||||
# register the trading_client's order method with the algorithm
|
||||
self.algorithm.set_order(self.order)
|
||||
# ask the algorithm to initialize
|
||||
self.algorithm.initialize()
|
||||
|
||||
def open(self):
|
||||
self.result_feed = self.connect_result()
|
||||
|
||||
@@ -0,0 +1,67 @@
|
||||
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
|
||||
self.by_sid = defaultdict(DailyVWAP)
|
||||
|
||||
def transform(self, event):
|
||||
cur = self.by_sid(event.sid)
|
||||
cur.update(event)
|
||||
self.state['value'] = cur.vwap
|
||||
return self.state
|
||||
|
||||
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
|
||||
+43
-52
@@ -4,9 +4,7 @@ messaging. All ziplines follow a general topology of parallel sources,
|
||||
datetimestamp serialization, parallel transformations, and finally sinks.
|
||||
Furthermore, many ziplines have common needs. For example, all trade
|
||||
simulations require a
|
||||
:py:class:`~zipline.finance.trading.TradeSimulationClient`, an
|
||||
:py:class:`~zipline.finance.trading.OrderSource`, and a
|
||||
:py:class:`~zipline.finance.trading.TransactionSimulator` (a transform).
|
||||
:py:class:`~zipline.finance.trading.TradeSimulationClient`.
|
||||
|
||||
To establish best practices and minimize code replication, the lines module
|
||||
provides complete zipline topologies. You can extend any zipline without
|
||||
@@ -17,56 +15,49 @@ before invoking simulate.
|
||||
|
||||
Here is a diagram of the SimulatedTrading zipline:
|
||||
|
||||
|
||||
+----------------------+ +------------------------+
|
||||
+-->| Orders DataSource | | (DataSource added |
|
||||
| | Integrates algo | | via add_source) |
|
||||
| | orders into history | | |
|
||||
| +--------------------+-+ +-+----------------------+
|
||||
| | |
|
||||
| | |
|
||||
| v v
|
||||
| +---------+
|
||||
| | Feed |
|
||||
| +-+------++
|
||||
| | |
|
||||
| | |
|
||||
| v v
|
||||
| +----------------------+ +----------------------+
|
||||
| | Transaction | | |
|
||||
| | Transform simulates | | (Transforms added |
|
||||
| | trades based on | | via add_transform) |
|
||||
| | orders from algo. | | |
|
||||
| +-------------------+--+ +-+--------------------+
|
||||
| | |
|
||||
| | |
|
||||
| v v
|
||||
| +------------+
|
||||
| | Merge |
|
||||
| +------+-----+
|
||||
| |
|
||||
| |
|
||||
| V
|
||||
| +--------------------------------+
|
||||
| | |
|
||||
| | TradingSimulationClient |
|
||||
| orders | tracks performance and |
|
||||
+---------------+ provides API to algorithm. |
|
||||
| |
|
||||
+---------------------+----------+
|
||||
^ |
|
||||
| orders | frames
|
||||
| |
|
||||
| v
|
||||
+---------+-----------------------+
|
||||
| |
|
||||
| Algorithm added via |
|
||||
| __init__. |
|
||||
| |
|
||||
| |
|
||||
| |
|
||||
+---------------------------------+
|
||||
|
||||
+----------------------+ +------------------------+
|
||||
| Trade History | | (DataSource added |
|
||||
| | | via add_source) |
|
||||
| | | |
|
||||
+--------------------+-+ +-+----------------------+
|
||||
| |
|
||||
| |
|
||||
v v
|
||||
+---------+
|
||||
| Feed | (ensures events are serialized
|
||||
+-+------++ in chronological order)
|
||||
| |
|
||||
| |
|
||||
v v
|
||||
+----------------------+ +----------------------+
|
||||
| (Transforms added | | (Transforms added |
|
||||
| via add_transform) | | via add_transform) |
|
||||
+-------------------+--+ +-+--------------------+
|
||||
| |
|
||||
| |
|
||||
v v
|
||||
+------------+
|
||||
| Merge | (combines original event and
|
||||
+------+-----+ transforms into one vector)
|
||||
|
|
||||
|
|
||||
V
|
||||
+---------------+ +--------------------------------+
|
||||
| Risk and Perf | | |
|
||||
| Tracker | | TradingSimulationClient |
|
||||
+---------------+ | tracks performance and |
|
||||
^ Trades and | provides API to algorithm. |
|
||||
| simulated | |
|
||||
| transactions +--+------------------+----------+
|
||||
| | ^ |
|
||||
+---------------------+ | orders | frames
|
||||
| |
|
||||
| v
|
||||
+---------------------------------+
|
||||
| Algorithm added via |
|
||||
| __init__. |
|
||||
+---------------------------------+
|
||||
"""
|
||||
|
||||
import mock
|
||||
|
||||
@@ -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
|
||||
|
||||
@@ -9,6 +9,9 @@ are provided below.
|
||||
|
||||
The algorithm must expose methods:
|
||||
|
||||
- initialize: method that takes no args, no returns. Simply called to
|
||||
enable the algorithm to set any internal state needed.
|
||||
|
||||
- get_sid_filter: method that takes no args, and returns a list
|
||||
of valid sids. List must have a length between 1 and 10. If None is returned
|
||||
the filter will block all events.
|
||||
@@ -18,7 +21,7 @@ The algorithm must expose methods:
|
||||
|
||||
+-----------------+--------------+----------------+--------------------+
|
||||
| | SID(133) | SID(134) | SID(135) |
|
||||
+=================+==============+=====================================+
|
||||
+=================+==============+================+====================+
|
||||
| price | $10.10 | $22.50 | $13.37 |
|
||||
+-----------------+--------------+----------------+--------------------+
|
||||
| volume | 10,000 | 5,000 | 50,000 |
|
||||
@@ -61,6 +64,9 @@ class TestAlgorithm():
|
||||
self.order = None
|
||||
self.frame_count = 0
|
||||
self.portfolio = None
|
||||
|
||||
def initialize(self):
|
||||
pass
|
||||
|
||||
def set_order(self, order_callable):
|
||||
self.order = order_callable
|
||||
@@ -94,7 +100,10 @@ class HeavyBuyAlgorithm():
|
||||
self.order = None
|
||||
self.frame_count = 0
|
||||
self.portfolio = None
|
||||
|
||||
|
||||
def initialize(self):
|
||||
pass
|
||||
|
||||
def set_order(self, order_callable):
|
||||
self.order = order_callable
|
||||
|
||||
@@ -114,6 +123,9 @@ class NoopAlgorithm(object):
|
||||
"""
|
||||
Dolce fa niente.
|
||||
"""
|
||||
|
||||
def initialize(self):
|
||||
pass
|
||||
|
||||
def set_order(self, order_callable):
|
||||
pass
|
||||
|
||||
@@ -368,33 +368,54 @@ class FinanceTestCase(TestCase):
|
||||
|
||||
# same scenario, but short sales.
|
||||
params2 = {
|
||||
'trade_count':100,
|
||||
'trade_amount':100,
|
||||
'trade_delay': timedelta(minutes=5),
|
||||
'trade_interval': timedelta(days=1),
|
||||
'order_count':3,
|
||||
'order_amount':1000,
|
||||
'order_interval': timedelta(minutes=30),
|
||||
'trade_count' : 100,
|
||||
'trade_amount' : 100,
|
||||
'trade_delay' : timedelta(minutes=5),
|
||||
'trade_interval' : timedelta(days=1),
|
||||
'order_count' : 3,
|
||||
'order_amount' :-1000,
|
||||
'order_interval' : timedelta(minutes=30),
|
||||
# because we placed an orders totaling less than 25% of one trade
|
||||
# the simulator should produce just one transaction.
|
||||
'expected_txn_count' : 1,
|
||||
'expected_txn_volume' : 25
|
||||
'expected_txn_count' : 1,
|
||||
'expected_txn_volume' : -25
|
||||
}
|
||||
self.transaction_sim(**params2)
|
||||
|
||||
|
||||
|
||||
@timed(DEFAULT_TIMEOUT)
|
||||
def test_alternating_long_short(self):
|
||||
# create a scenario where we alternate buys and sells
|
||||
params1 = {
|
||||
'trade_count' : int(6.5 * 60 * 4),
|
||||
'trade_amount' : 100,
|
||||
'trade_interval' : timedelta(minutes=1),
|
||||
'order_count' : 4,
|
||||
'order_amount' : 10,
|
||||
'order_interval' : timedelta(hours=24),
|
||||
'alternate' : True,
|
||||
'complete_fill' : True,
|
||||
'expected_txn_count' : 4,
|
||||
'expected_txn_volume' : 0 #equal buys and sells
|
||||
}
|
||||
self.transaction_sim(**params1)
|
||||
|
||||
def transaction_sim(self, **params):
|
||||
|
||||
trade_count = params['trade_count']
|
||||
trade_amount = params['trade_amount']
|
||||
trade_interval = params['trade_interval']
|
||||
trade_delay = params.get('trade_delay')
|
||||
order_count = params['order_count']
|
||||
order_amount = params['order_amount']
|
||||
order_interval = params['order_interval']
|
||||
expected_txn_count = params['expected_txn_count']
|
||||
trade_count = params['trade_count']
|
||||
trade_amount = params['trade_amount']
|
||||
trade_interval = params['trade_interval']
|
||||
trade_delay = params.get('trade_delay')
|
||||
order_count = params['order_count']
|
||||
order_amount = params['order_amount']
|
||||
order_interval = params['order_interval']
|
||||
expected_txn_count = params['expected_txn_count']
|
||||
expected_txn_volume = params['expected_txn_volume']
|
||||
# optional parameters
|
||||
# ---------------------
|
||||
# if present, alternate between long and short sales
|
||||
alternate = params.get('alternate')
|
||||
# if present, expect transaction amounts to match orders exactly.
|
||||
complete_fill = params.get('complete_fill')
|
||||
|
||||
trading_environment = factory.create_trading_environment()
|
||||
trade_sim = TransactionSimulator()
|
||||
@@ -411,17 +432,31 @@ class FinanceTestCase(TestCase):
|
||||
trading_environment
|
||||
)
|
||||
|
||||
for i in range(order_count):
|
||||
if alternate:
|
||||
alternator = -1
|
||||
else:
|
||||
alternator = 1
|
||||
|
||||
order_date = start_date
|
||||
for i in xrange(order_count):
|
||||
order = namedict(
|
||||
{
|
||||
'sid':sid,
|
||||
'amount':order_amount,
|
||||
'type':zp.DATASOURCE_TYPE.ORDER,
|
||||
'dt' : start_date + i * order_interval
|
||||
'sid' : sid,
|
||||
'amount' : order_amount * alternator**i,
|
||||
'type' : zp.DATASOURCE_TYPE.ORDER,
|
||||
'dt' : order_date
|
||||
})
|
||||
|
||||
trade_sim.add_open_order(order)
|
||||
|
||||
|
||||
order_date = order_date + order_interval
|
||||
# move after market orders to just after market next
|
||||
# market open.
|
||||
if order_date.hour >= 21:
|
||||
if order_date.minute >= 00:
|
||||
order_date = order_date + timedelta(days=1)
|
||||
order_date = order_date.replace(hour=14, minute=30)
|
||||
|
||||
# there should now be one open order list stored under the sid
|
||||
oo = trade_sim.open_orders
|
||||
self.assertEqual(len(oo), 1)
|
||||
@@ -429,9 +464,10 @@ class FinanceTestCase(TestCase):
|
||||
order_list = oo[sid]
|
||||
self.assertEqual(order_count, len(order_list))
|
||||
|
||||
for order in order_list:
|
||||
for i in xrange(order_count):
|
||||
order = order_list[i]
|
||||
self.assertEqual(order.sid, sid)
|
||||
self.assertEqual(order.amount, order_amount)
|
||||
self.assertEqual(order.amount, order_amount * alternator**i)
|
||||
|
||||
|
||||
tracker = PerformanceTracker(trading_environment)
|
||||
@@ -450,10 +486,17 @@ class FinanceTestCase(TestCase):
|
||||
trade.TRANSACTION = None
|
||||
|
||||
tracker.process_event(trade)
|
||||
|
||||
|
||||
if complete_fill:
|
||||
self.assertEqual(len(transactions), len(order_list))
|
||||
|
||||
total_volume = 0
|
||||
for txn in transactions:
|
||||
for i in xrange(len(transactions)):
|
||||
txn = transactions[i]
|
||||
total_volume += txn.amount
|
||||
if complete_fill:
|
||||
order = order_list[i]
|
||||
self.assertEqual(order.amount, txn.amount)
|
||||
|
||||
self.assertEqual(total_volume, expected_txn_volume)
|
||||
self.assertEqual(len(transactions), expected_txn_count)
|
||||
|
||||
Reference in New Issue
Block a user