wassname/catalyst
1
0
Fork 0
mirror of https://github.com/wassname/catalyst.git synced 2026-07-18 12:20:12 +08:00
Code Issues Packages Projects Releases Wiki Activity

ENH: Performance period compatibility with internal serialization.

Browse Source 
Add a set_positions method so that the serialization process can rebuild
from just the positions, since the last_sale and amounts are derivable
from those values.

Also, use the private naming convention for last sale price and amount
members, so that those members are ignored by the serialization process.
This commit is contained in:
Eddie Hebert
2015-02-23 11:57:07 -05:00
parent 25c762138e
commit eda323dcd4
1 changed files with 25 additions and 17 deletions
Download Patch File Download Diff File Expand all files Collapse all files
zipline/finance/performance/period.py
+25 -17
View File
@@ -123,8 +123,8 @@ class PerformancePeriod(object):
self.keep_orders = keep_orders
# Arrays for quick calculations of positions value
self.position_amounts = OrderedDict()
self.position_last_sale_prices = OrderedDict()
self._position_amounts = OrderedDict()
self._position_last_sale_prices = OrderedDict()
self.calculate_performance()
@@ -142,6 +142,14 @@ class PerformancePeriod(object):
self.loc_map = {}
def set_positions(self, positions):
self.positions = positions
for sid, pos in positions.iteritems():
self._position_amounts[sid] = pos.amount
self._position_last_sale_prices[sid] = pos.last_sale_price
# Invalidate cache.
self._position_values = None # invalidate cache
def rollover(self):
self.starting_value = self.ending_value
self.starting_cash = self.ending_cash
@@ -152,10 +160,10 @@ class PerformancePeriod(object):
self.orders_by_id = OrderedDict()
def set_position_amount(self, sid, amount):
self.position_amounts[sid] = amount
self._position_amounts[sid] = amount
def set_position_last_sale_price(self, sid, last_sale_price):
self.position_last_sale_prices[sid] = last_sale_price
self._position_last_sale_prices[sid] = last_sale_price
def handle_split(self, split):
if split.sid in self.positions:
@@ -163,8 +171,8 @@ class PerformancePeriod(object):
# leftover cash from a fractional share, if there is any.
position = self.positions[split.sid]
leftover_cash = position.handle_split(split)
self.position_amounts[split.sid] = position.amount
self.position_last_sale_prices[split.sid] = \
self._position_amounts[split.sid] = position.amount
self._position_last_sale_prices[split.sid] = \
position.last_sale_price
self._position_values = None # invalidate cache
@@ -227,8 +235,8 @@ class PerformancePeriod(object):
position = self.positions[stock]
position.amount += share_count
self.position_amounts[stock] = position.amount
self.position_last_sale_prices[stock] = position.last_sale_price
self._position_amounts[stock] = position.amount
self._position_last_sale_prices[stock] = position.last_sale_price
# Recalculate performance after applying dividend benefits.
self.calculate_performance()
@@ -294,11 +302,11 @@ class PerformancePeriod(object):
if amount is not None:
pos.amount = amount
self.position_amounts[sid] = amount
self._position_amounts[sid] = amount
self._position_values = None # invalidate cache
if last_sale_price is not None:
pos.last_sale_price = last_sale_price
self.position_last_sale_prices[sid] = last_sale_price
self._position_last_sale_prices[sid] = last_sale_price
self._position_values = None # invalidate cache
if last_sale_date is not None:
pos.last_sale_date = last_sale_date
@@ -314,9 +322,9 @@ class PerformancePeriod(object):
sid = txn.sid
position = self.positions[sid]
position.update(txn)
self.position_amounts[sid] = position.amount
self._position_amounts[sid] = position.amount
self.position_last_sale_prices[sid] = position.last_sale_price
self._position_last_sale_prices[sid] = position.last_sale_price
self._position_values = None # invalidate cache
self.period_cash_flow -= txn.price * txn.amount
@@ -329,12 +337,12 @@ class PerformancePeriod(object):
@property
def position_values(self):
"""
Invalidate any time self.position_amounts or
self.position_last_sale_prices is changed.
Invalidate any time self._position_amounts or
self._position_last_sale_prices is changed.
"""
if self._position_values is None:
vals = list(map(mul, self.position_amounts.values(),
self.position_last_sale_prices.values()))
vals = list(map(mul, self._position_amounts.values(),
self._position_last_sale_prices.values()))
self._position_values = vals
return self._position_values
@@ -395,7 +403,7 @@ class PerformancePeriod(object):
pos = self.positions[sid]
pos.last_sale_date = event.dt
pos.last_sale_price = price
self.position_last_sale_prices[sid] = price
self._position_last_sale_prices[sid] = price
self._position_values = None # invalidate cache
def __core_dict(self):