ENH: Add basis for minute rate emission of performance.

- Create different benchmark containers in performance
  depending on emission rate.
- Add a minute close method which updates algorithm and
  benchmark returns, and calculates the risk metrics
  depending on those methods.
- Provide fake 0.0 values for annualized metrics like
  sharpe, sortino, and information, until we figure out
  how they should be treated in the context of minutely
  calculation.

*NOTE* This does not fully work without the changes to the
simulation loop by @fawce
This commit is contained in:
Eddie Hebert
2013-04-25 16:49:38 -04:00
parent 7d615c5af5
commit d31303b86c
4 changed files with 114 additions and 9 deletions
+13 -1
View File
@@ -1047,19 +1047,31 @@ class TestPerformanceTracker(unittest.TestCase):
dt=foo_event_1.dt,
price=10.0,
commission=0.50)
benchmark_event_1 = Event({
'dt': start_dt,
'returns': 1.0,
'type': DATASOURCE_TYPE.BENCHMARK
})
foo_event_2 = factory.create_trade(
'foo', 11.0, 20, start_dt + datetime.timedelta(minutes=1))
bar_event_2 = factory.create_trade(
'bar', 11.0, 20, start_dt + datetime.timedelta(minutes=1))
benchmark_event_2 = Event({
'dt': start_dt + datetime.timedelta(minutes=1),
'returns': 2.0,
'type': DATASOURCE_TYPE.BENCHMARK
})
events = [
foo_event_1,
order_event_1,
benchmark_event_1,
txn_event_1,
bar_event_1,
foo_event_2,
bar_event_2
benchmark_event_2,
bar_event_2,
]
messages = {date: snapshot[-1].perf_messages[0] for date, snapshot in