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MAINT: Factor out order processing from slippage models.

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Step towards having a shared simulate method in the base SlippageModel,
which would call a process_order method in each model.
This commit is contained in:
Eddie Hebert
2013-06-13 17:49:18 -04:00
parent 7f669c4391
commit e727bfbd03
1 changed files with 54 additions and 46 deletions
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zipline/finance/slippage.py
+54 -46
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@@ -145,11 +145,45 @@ class VolumeShareSlippage(SlippageModel):
volume_limit=self.volume_limit,
price_impact=self.price_impact)
def process_order(self, event, order):
# price impact accounts for the total volume of transactions
# created against the current minute bar
remaining_volume = self.max_volume - self.total_volume
if (
remaining_volume <= 0
or
zp_math.tolerant_equals(remaining_volume, 0)
):
# we can't fill any more transactions
return
# the current order amount will be the min of the
# volume available in the bar or the open amount.
cur_volume = min(remaining_volume, abs(order.open_amount))
# tally the current amount into our total amount ordered.
# total amount will be used to calculate price impact
self.total_volume = self.total_volume + cur_volume
volume_share = min(self.total_volume / event.volume,
self.volume_limit)
simulated_impact = (volume_share) ** 2 \
* math.copysign(self.price_impact, order.direction) \
* event.price
return create_transaction(
event,
order,
# In the future, we may want to change the next line
# for limit pricing
event.price + simulated_impact,
math.copysign(cur_volume, order.direction)
)
def simulate(self, event, current_orders):
simulated_impact = 0.0
max_volume = self.volume_limit * event.volume
total_volume = 0
self.max_volume = self.volume_limit * event.volume
self.total_volume = 0
txns = []
for order in current_orders:
@@ -163,41 +197,10 @@ class VolumeShareSlippage(SlippageModel):
if not order.triggered:
continue
# price impact accounts for the total volume of transactions
# created against the current minute bar
remaining_volume = max_volume - total_volume
if (
remaining_volume <= 0
or
zp_math.tolerant_equals(remaining_volume, 0)
):
# we can't fill any more transactions
return txns
txn = self.process_order(event, order)
# the current order amount will be the min of the
# volume available in the bar or the open amount.
cur_volume = min(remaining_volume, abs(open_amount))
# tally the current amount into our total amount ordered.
# total amount will be used to calculate price impact
total_volume = total_volume + cur_volume
volume_share = min(total_volume / event.volume,
self.volume_limit)
simulated_impact = (volume_share) ** 2 \
* math.copysign(self.price_impact, order.direction) \
* event.price
txn = create_transaction(
event,
order,
# In the future, we may want to change the next line
# for limit pricing
event.price + simulated_impact,
math.copysign(cur_volume, order.direction)
)
txns.append(txn)
if txn:
txns.append(txn)
return txns
@@ -212,6 +215,14 @@ class FixedSlippage(SlippageModel):
"""
self.spread = spread
def process_order(self, event, order):
return create_transaction(
event,
order,
event.price + (self.spread / 2.0 * order.direction),
order.amount,
)
def simulate(self, event, orders):
txns = []
@@ -227,14 +238,11 @@ class FixedSlippage(SlippageModel):
if zp_math.tolerant_equals(order.amount, 0):
continue
txn = create_transaction(
event,
order,
event.price + (self.spread / 2.0 * order.direction),
order.amount,
)
txn = self.process_order(event, order)
if txn:
# mark the date of the order to match the transaction
order.dt = event.dt
txns.append(txn)
# mark the date of the order to match the transaction
order.dt = event.dt
txns.append(txn)
return txns