wassname/catalyst
1
0
Fork 0
mirror of https://github.com/wassname/catalyst.git synced 2026-07-01 23:13:58 +08:00
Code Issues Packages Projects Releases Wiki Activity

Merge pull request #1459 from quantopian/target_cash_capital_change_from_raw_cash

Browse Source 
BUG/ENH: Fix behavior of 'target' capital changes
This commit is contained in:
John Ricklefs
2016-09-01 16:54:56 -04:00
committed by GitHub
parent 615d1535f7 311284475a
commit dd2bc5a736
2 changed files with 17 additions and 12 deletions
Download Patch File Download Diff File Expand all files Collapse all files
tests/test_algorithm.py
+10 -9
View File
@@ -2167,7 +2167,7 @@ class TestCapitalChanges(WithLogger,
)
@parameterized.expand([
('target', 153000.0), ('delta', 50000.0)
('target', 127000.0), ('delta', 50000.0)
])
def test_capital_changes_daily_mode(self, change_type, value):
sim_params = factory.create_simulation_parameters(
@@ -2215,8 +2215,9 @@ def order_stuff(context, data):
capital_change_packets[0],
{'date': pd.Timestamp('2006-01-06', tz='UTC'),
'type': 'cash',
'target': 153000.0 if change_type == 'target' else None,
'delta': 50000.0})
'target': value if change_type == 'target' else None,
'delta': 50000.0
})
# 1/03: price = 10, place orders
# 1/04: orders execute at price = 11, place orders
@@ -2320,10 +2321,10 @@ def order_stuff(context, data):
)
@parameterized.expand([
('interday_target', [('2006-01-04', 2388.0)]),
('interday_target', [('2006-01-04', 1899.0)]),
('interday_delta', [('2006-01-04', 1000.0)]),
('intraday_target', [('2006-01-04 17:00', 2186.0),
('2006-01-04 18:00', 2806.0)]),
('intraday_target', [('2006-01-04 17:00', 908.0),
('2006-01-04 18:00', 1408.0)]),
('intraday_delta', [('2006-01-04 17:00', 500.0),
('2006-01-04 18:00', 500.0)]),
])
@@ -2486,10 +2487,10 @@ def order_stuff(context, data):
)
@parameterized.expand([
('interday_target', [('2006-01-04', 2388.0)]),
('interday_target', [('2006-01-04', 1899.0)]),
('interday_delta', [('2006-01-04', 1000.0)]),
('intraday_target', [('2006-01-04 17:00', 2186.0),
('2006-01-04 18:00', 2806.0)]),
('intraday_target', [('2006-01-04 17:00', 908.0),
('2006-01-04 18:00', 1408.0)]),
('intraday_delta', [('2006-01-04 17:00', 500.0),
('2006-01-04 18:00', 500.0)]),
])
zipline/algorithm.py
+7 -3
View File
@@ -825,12 +825,17 @@ class TradingAlgorithm(object):
return daily_stats
def calculate_capital_changes(self, dt, emission_rate, is_interday):
def calculate_capital_changes(self, dt, emission_rate, is_interday,
portfolio_value_adjustment=0.0):
"""
If there is a capital change for a given dt, this means the the change
occurs before `handle_data` on the given dt. In the case of the
change being a target value, the change will be computed on the
portfolio value according to prices at the given dt
`portfolio_value_adjustment`, if specified, will be removed from the
portfolio_value of the cumulative performance when calculating deltas
from target capital changes.
"""
try:
capital_change = self.capital_changes[dt]
@@ -852,13 +857,12 @@ class TradingAlgorithm(object):
False,
self.data_portal
)
self.perf_tracker.prepare_capital_change(is_interday)
if capital_change['type'] == 'target':
target = capital_change['value']
capital_change_amount = target - \
self.updated_portfolio().portfolio_value
(self.updated_portfolio().cash - portfolio_value_adjustment)
self.portfolio_needs_update = True
log.info('Processing capital change to target %s at %s. Capital '