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ENH Allow order_percent to work with various market values
Currently, `order_percent()` and `order_target_percent()` both operate as a percentage of `self.portfolio.portfolio_value`. This PR lets them operate as percentages of other important MVs.
(also adds `context.get_market_value()`, which enables this functionality)
For example:
```python
order_percent('AAPL', 0.5)
order_percent('AAPL', 0.5, percent_of='cash')
order_target_percent('MSFT', 0.1, percent_of='shorts')
tech_stocks = ('AAPL', 'MSFT', 'GOOGL')
tech_filter = lambda p: p.sid in tech_stocks
for stock in tech_stocks:
order_target_percent(stock, 1/3, percent_of_fn=tech_filter)
```
This commit is contained in:
Jeremiah Lowin
committed by
Thomas Wiecki
Thomas Wiecki
parent
38e8d5214d
commit
dd37a49f2f
+126
-19
@@ -88,6 +88,21 @@ from zipline.history.history_container import HistoryContainer
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DEFAULT_CAPITAL_BASE = float("1.0e5")
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def round_if_near_integer(a, epsilon=1e-4):
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"""
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Round a to the nearest integer if that integer is within an epsilon
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of a.
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"""
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if abs(a - round(a)) <= epsilon:
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return round(a)
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else:
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return a
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def round_shares(shares):
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return int(round_if_near_integer(shares))
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class TradingAlgorithm(object):
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"""
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Base class for trading algorithms. Inherit and overload
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@@ -636,20 +651,10 @@ class TradingAlgorithm(object):
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Place an order using the specified parameters.
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"""
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def round_if_near_integer(a, epsilon=1e-4):
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"""
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Round a to the nearest integer if that integer is within an epsilon
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of a.
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"""
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if abs(a - round(a)) <= epsilon:
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return round(a)
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else:
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return a
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# Truncate to the integer share count that's either within .0001 of
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# amount or closer to zero.
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# E.g. 3.9999 -> 4.0; 5.5 -> 5.0; -5.5 -> -5.0
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amount = int(round_if_near_integer(amount))
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amount = round_shares(amount)
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# Raises a ZiplineError if invalid parameters are detected.
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self.validate_order_params(sid,
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@@ -864,16 +869,98 @@ class TradingAlgorithm(object):
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assert value in ('daily', 'minute')
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self.sim_params.data_frequency = value
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def get_market_value(self, mv_type=None, filter_fn=None):
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"""
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Returns the requested market value.
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Options for mv_type are:
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portfolio [default]: net exposure or portfolio value
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net: net exposure or portfolio value
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gross: gross exposure
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cash: available cash
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ex_cash: net invested capital, ex-cash
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longs: long invested capital
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longs_cash: long invested capital plus cash
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shorts: short invested capital
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Alternatively, a filter_fn can be supplied. The filter_fn
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should accept a Position and return True if that Position's
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market_value should be included in the total and False otherwise.
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"""
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period = self.perf_tracker.cumulative_performance
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# first try the filter_fn, if supplied
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if filter_fn is not None:
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positions = period.get_positions()
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mv = sum(
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p.amount * p.last_sale_price
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for p in positions.values()
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if filter_fn(p))
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# net portfolio value
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elif mv_type is None or mv_type == 'portfolio' or mv_type == 'net':
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mv = period.ending_value + period.ending_cash
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elif mv_type == 'gross':
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mv = period._gross_exposure()
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# portfolio cash
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elif mv_type == 'cash':
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mv = period.ending_cash
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# net invested capital
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elif mv_type == 'ex_cash':
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mv = period.ending_value
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# long invested capital
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elif mv_type == 'longs':
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mv = period._long_exposure()
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# long invested capital, plus cash
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elif mv_type == 'longs_cash':
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mv = period._long_exposure() + period.ending_cash
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# short invested capital
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elif mv_type == 'shorts':
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mv = period._short_exposure()
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else:
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raise ValueError(
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'Unrecognized value for "mv_type": {}'.format(mv_type))
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return mv
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@api_method
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def order_percent(self, sid, percent,
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limit_price=None, stop_price=None, style=None):
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limit_price=None,
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stop_price=None,
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style=None,
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percent_of=None,
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percent_of_fn=None):
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"""
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Place an order in the specified security corresponding to the given
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percent of the current portfolio value.
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percent of some market value. If no market value is specified (via
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`percent_of`) then the net portfolio value is used.
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Options for percent_of are:
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portfolio [default]: net exposure or portfolio value
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net: net exposure or portfolio value
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gross: gross exposure
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cash: available cash
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ex_cash: net invested capital, ex-cash
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longs: long invested capital
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longs_cash: long invested capital plus cash
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shorts: short invested capital
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Alternatively, a percent_of_fn can be supplied. The percent_of_fn
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should accept a Position and return True if that Position's
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market_value should be included in the total and False otherwise.
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Note that percent must expressed as a decimal (0.50 means 50\%).
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"""
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value = self.portfolio.portfolio_value * percent
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mv = self.get_market_value(mv_type=percent_of, filter_fn=percent_of_fn)
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value = percent * mv
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return self.order_value(sid, value,
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limit_price=limit_price,
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stop_price=stop_price,
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@@ -891,7 +978,7 @@ class TradingAlgorithm(object):
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"""
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if sid in self.portfolio.positions:
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current_position = self.portfolio.positions[sid].amount
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req_shares = target - current_position
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req_shares = round_shares(target) - current_position
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return self.order(sid, req_shares,
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limit_price=limit_price,
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stop_price=stop_price,
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@@ -927,17 +1014,37 @@ class TradingAlgorithm(object):
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@api_method
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def order_target_percent(self, sid, target,
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limit_price=None, stop_price=None, style=None):
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limit_price=None,
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stop_price=None,
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style=None,
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percent_of=None,
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percent_of_fn=None):
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"""
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Place an order to adjust a position to a target percent of the
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current portfolio value. If the position doesn't already exist, this is
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Place an order to adjust a position to a target percent of some market
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value. If no market value is specified (via `percent_of`) then the net
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portfolio value is used. If the position doesn't already exist, this is
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equivalent to placing a new order. If the position does exist, this is
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equivalent to placing an order for the difference between the target
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percent and the current percent.
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Options for percent_of are:
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portfolio [default]: net exposure or portfolio value
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net: net exposure or portfolio value
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gross: gross exposure
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cash: available cash
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ex_cash: net invested capital, ex-cash
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longs: long invested capital
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longs_cash: long invested capital plus cash
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shorts: short invested capital
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Alternatively, a percent_of_fn can be supplied. The percent_of_fn
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should accept a Position and return True if that Position's
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market_value should be included in the total and False otherwise.
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Note that target must expressed as a decimal (0.50 means 50\%).
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"""
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target_value = self.portfolio.portfolio_value * target
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mv = self.get_market_value(mv_type=percent_of, filter_fn=percent_of_fn)
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target_value = target * mv
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return self.order_target_value(sid, target_value,
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limit_price=limit_price,
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stop_price=stop_price,
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