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ENH: Adds tick_size and renames futures multiplier

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This commit is contained in:
jfkirk
2016-01-05 14:57:07 -05:00
parent 110798b0be
commit db1e62971a
10 changed files with 38 additions and 28 deletions
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tests/test_algorithm.py
+2 -2
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@@ -649,7 +649,7 @@ class TestTransformAlgorithm(TestCase):
cls.env = TradingEnvironment()
cls.env.write_data(equities_identifiers=[0, 1, 133])
futures_metadata = {0: {'contract_multiplier': 10}}
futures_metadata = {0: {'multiplier': 10}}
cls.futures_env = TradingEnvironment()
cls.futures_env.write_data(futures_data=futures_metadata)
@@ -1916,7 +1916,7 @@ class TestFutureFlip(TestCase):
def test_flip_algo(self):
metadata = {1: {'symbol': 'TEST',
'end_date': self.days[3],
'contract_multiplier': 5}}
'multiplier': 5}}
self.env.write_data(futures_data=metadata)
algo = FutureFlipAlgo(sid=1, amount=1, env=self.env,
tests/test_assets.py
+6 -3
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@@ -280,7 +280,8 @@ class TestFuture(TestCase):
notice_date=pd.Timestamp('2014-01-20', tz='UTC'),
expiration_date=pd.Timestamp('2014-02-20', tz='UTC'),
auto_close_date=pd.Timestamp('2014-01-18', tz='UTC'),
contract_multiplier=500
tick_size=.01,
multiplier=500
)
cls.future2 = Future(
0,
@@ -311,7 +312,8 @@ class TestFuture(TestCase):
in reprd)
self.assertTrue("auto_close_date=Timestamp('2014-01-18 00:00:00+0000'"
in reprd)
self.assertTrue("contract_multiplier=500" in reprd)
self.assertTrue("tick_size=0.01" in reprd)
self.assertTrue("multiplier=500" in reprd)
def test_reduce(self):
reduced = self.future.__reduce__()
@@ -323,7 +325,8 @@ class TestFuture(TestCase):
self.assertTrue('notice_date' in dictd)
self.assertTrue('expiration_date' in dictd)
self.assertTrue('auto_close_date' in dictd)
self.assertTrue('contract_multiplier' in dictd)
self.assertTrue('tick_size' in dictd)
self.assertTrue('multiplier' in dictd)
from_dict = Future.from_dict(dictd)
self.assertTrue(isinstance(from_dict, Future))
tests/test_perf_tracking.py
+2 -2
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@@ -2551,8 +2551,8 @@ class TestPositionTracker(unittest.TestCase):
@classmethod
def setUpClass(cls):
cls.env = TradingEnvironment()
futures_metadata = {3: {'contract_multiplier': 1000},
4: {'contract_multiplier': 1000}}
futures_metadata = {3: {'multiplier': 1000},
4: {'multiplier': 1000}}
cls.env.write_data(equities_identifiers=[1, 2],
futures_data=futures_metadata)
zipline/algorithm.py
+1 -1
View File
@@ -855,7 +855,7 @@ class TradingAlgorithm(object):
return 0
if isinstance(asset, Future):
value_multiplier = asset.contract_multiplier
value_multiplier = asset.multiplier
else:
value_multiplier = 1
zipline/assets/_assets.pyx
+17 -11
View File
@@ -37,7 +37,7 @@ cimport numpy as np
# IMPORTANT NOTE: You must change this template if you change
# Asset.__reduce__, or else we'll attempt to unpickle an old version of this
# class
CACHE_FILE_TEMPLATE = '/tmp/.%s-%s.v4.cache'
CACHE_FILE_TEMPLATE = '/tmp/.%s-%s.v5.cache'
cdef class Asset:
@@ -228,7 +228,8 @@ cdef class Future(Asset):
cdef readonly object notice_date
cdef readonly object expiration_date
cdef readonly object auto_close_date
cdef readonly float contract_multiplier
cdef readonly object tick_size
cdef readonly float multiplier
def __cinit__(self,
int sid, # sid is required
@@ -242,13 +243,15 @@ cdef class Future(Asset):
object auto_close_date=None,
object first_traded=None,
object exchange="",
float contract_multiplier=1):
object tick_size="",
float multiplier=1):
self.root_symbol = root_symbol
self.notice_date = notice_date
self.expiration_date = expiration_date
self.auto_close_date = auto_close_date
self.contract_multiplier = contract_multiplier
self.root_symbol = root_symbol
self.notice_date = notice_date
self.expiration_date = expiration_date
self.auto_close_date = auto_close_date
self.tick_size = tick_size
self.multiplier = multiplier
def __str__(self):
if self.symbol:
@@ -259,7 +262,8 @@ cdef class Future(Asset):
def __repr__(self):
attrs = ('symbol', 'root_symbol', 'asset_name', 'exchange',
'start_date', 'end_date', 'first_traded', 'notice_date',
'expiration_date', 'auto_close_date', 'contract_multiplier')
'expiration_date', 'auto_close_date', 'tick_size',
'multiplier')
tuples = ((attr, repr(getattr(self, attr, None)))
for attr in attrs)
strings = ('%s=%s' % (t[0], t[1]) for t in tuples)
@@ -284,7 +288,8 @@ cdef class Future(Asset):
self.auto_close_date,
self.first_traded,
self.exchange,
self.contract_multiplier,))
self.tick_size,
self.multiplier,))
cpdef to_dict(self):
"""
@@ -295,7 +300,8 @@ cdef class Future(Asset):
super_dict['notice_date'] = self.notice_date
super_dict['expiration_date'] = self.expiration_date
super_dict['auto_close_date'] = self.auto_close_date
super_dict['contract_multiplier'] = self.contract_multiplier
super_dict['tick_size'] = self.tick_size
super_dict['multiplier'] = self.multiplier
return super_dict
zipline/assets/asset_db_schema.py
+3 -2
View File
@@ -4,7 +4,7 @@ import sqlalchemy as sa
# Define a version number for the database generated by these writers
# Increment this version number any time a change is made to the schema of the
# assets database
ASSET_DB_VERSION = 0
ASSET_DB_VERSION = 1
def generate_asset_db_metadata(bind=None):
@@ -120,7 +120,8 @@ def _futures_contracts_schema(metadata):
sa.Column('notice_date', sa.Integer, nullable=False),
sa.Column('expiration_date', sa.Integer, nullable=False),
sa.Column('auto_close_date', sa.Integer, nullable=False),
sa.Column('contract_multiplier', sa.Float),
sa.Column('multiplier', sa.Float),
sa.Column('tick_size', sa.Float),
)
zipline/assets/asset_writer.py
+2 -1
View File
@@ -60,7 +60,8 @@ _futures_defaults = {
'notice_date': None,
'expiration_date': None,
'auto_close_date': None,
'contract_multiplier': 1,
'tick_size': None,
'multiplier': 1,
}
# Default values for the exchanges DataFrame
zipline/finance/performance/position_tracker.py
+1 -2
View File
@@ -156,8 +156,7 @@ class PositionTracker(object):
self._position_exposure_multipliers[sid] = 1
if isinstance(asset, Future):
self._position_value_multipliers[sid] = 0
self._position_exposure_multipliers[sid] = \
asset.contract_multiplier
self._position_exposure_multipliers[sid] = asset.multiplier
# Futures auto-close timing is controlled by the Future's
# auto_close_date property
self._insert_auto_close_position_date(
zipline/test_algorithms.py
+3 -3
View File
@@ -343,7 +343,7 @@ class TestOrderValueAlgorithm(TradingAlgorithm):
multiplier = 2.
if isinstance(self.sid(0), Future):
multiplier *= self.sid(0).contract_multiplier
multiplier *= self.sid(0).multiplier
self.order_value(self.sid(0), data[0].price * multiplier)
@@ -391,7 +391,7 @@ class TestOrderPercentAlgorithm(TradingAlgorithm):
if isinstance(self.sid(0), Future):
self.target_shares += np.floor(
(.001 * self.portfolio.portfolio_value) /
(data[0].price * self.sid(0).contract_multiplier)
(data[0].price * self.sid(0).multiplier)
)
@@ -439,7 +439,7 @@ class TestTargetValueAlgorithm(TradingAlgorithm):
self.target_shares = np.round(20 / data[0].price)
if isinstance(self.sid(0), Future):
self.target_shares = np.round(
20 / (data[0].price * self.sid(0).contract_multiplier))
20 / (data[0].price * self.sid(0).multiplier))
class FutureFlipAlgo(TestAlgorithm):
zipline/utils/test_utils.py
+1 -1
View File
@@ -388,7 +388,7 @@ def make_future_info(first_sid,
'start_date': start_date_func(month_begin),
'notice_date': notice_date_func(month_begin),
'expiration_date': notice_date_func(month_begin),
'contract_multiplier': 500,
'multiplier': 500,
})
return pd.DataFrame.from_records(contracts, index='sid').convert_objects()