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https://github.com/wassname/catalyst.git
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Changed zipline -> catalyst import paths
* Updated cython build scripts * Updated setup.py to to install catalyst package * Updated momentum example to use catalyst package * catalyst executable now supports loading pipelines from multiple bundles
This commit is contained in:
Conner Fromknecht
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#
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# Copyright 2016 Quantopian, Inc.
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#
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# Licensed under the Apache License, Version 2.0 (the "License");
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# you may not use this file except in compliance with the License.
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# You may obtain a copy of the License at
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#
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# http://www.apache.org/licenses/LICENSE-2.0
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#
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# Unless required by applicable law or agreed to in writing, software
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# distributed under the License is distributed on an "AS IS" BASIS,
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# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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# See the License for the specific language governing permissions and
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# limitations under the License.
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from warnings import warn
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import pandas as pd
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from catalyst.assets import Asset, Future
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from catalyst.utils.input_validation import expect_types
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from .utils.enum import enum
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from catalyst._protocol import BarData # noqa
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# Datasource type should completely determine the other fields of a
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# message with its type.
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DATASOURCE_TYPE = enum(
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'AS_TRADED_EQUITY',
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'MERGER',
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'SPLIT',
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'DIVIDEND',
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'TRADE',
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'TRANSACTION',
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'ORDER',
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'EMPTY',
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'DONE',
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'CUSTOM',
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'BENCHMARK',
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'COMMISSION',
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'CLOSE_POSITION'
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)
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# Expected fields/index values for a dividend Series.
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DIVIDEND_FIELDS = [
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'declared_date',
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'ex_date',
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'gross_amount',
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'net_amount',
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'pay_date',
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'payment_sid',
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'ratio',
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'sid',
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]
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# Expected fields/index values for a dividend payment Series.
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DIVIDEND_PAYMENT_FIELDS = [
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'id',
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'payment_sid',
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'cash_amount',
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'share_count',
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]
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class Event(object):
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def __init__(self, initial_values=None):
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if initial_values:
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self.__dict__.update(initial_values)
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def keys(self):
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return self.__dict__.keys()
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def __eq__(self, other):
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return hasattr(other, '__dict__') and self.__dict__ == other.__dict__
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def __contains__(self, name):
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return name in self.__dict__
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def __repr__(self):
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return "Event({0})".format(self.__dict__)
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def to_series(self, index=None):
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return pd.Series(self.__dict__, index=index)
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def _deprecated_getitem_method(name, attrs):
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"""Create a deprecated ``__getitem__`` method that tells users to use
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getattr instead.
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Parameters
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----------
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name : str
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The name of the object in the warning message.
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attrs : iterable[str]
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The set of allowed attributes.
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Returns
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-------
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__getitem__ : callable[any, str]
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The ``__getitem__`` method to put in the class dict.
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"""
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attrs = frozenset(attrs)
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msg = (
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"'{name}[{attr!r}]' is deprecated, please use"
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" '{name}.{attr}' instead"
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)
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def __getitem__(self, key):
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"""``__getitem__`` is deprecated, please use attribute access instead.
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"""
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warn(msg.format(name=name, attr=key), DeprecationWarning, stacklevel=2)
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if key in attrs:
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return self.__dict__[key]
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raise KeyError(key)
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return __getitem__
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class Order(Event):
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# If you are adding new attributes, don't update this set. This method
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# is deprecated to normal attribute access so we don't want to encourage
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# new usages.
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__getitem__ = _deprecated_getitem_method(
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'order', {
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'dt',
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'sid',
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'amount',
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'stop',
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'limit',
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'id',
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'filled',
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'commission',
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'stop_reached',
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'limit_reached',
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'created',
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},
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)
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def asset_multiplier(asset):
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return asset.multiplier if isinstance(asset, Future) else 1
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class Portfolio(object):
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def __init__(self):
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self.capital_used = 0.0
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self.starting_cash = 0.0
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self.portfolio_value = 0.0
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self.pnl = 0.0
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self.returns = 0.0
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self.cash = 0.0
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self.positions = Positions()
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self.start_date = None
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self.positions_value = 0.0
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def __repr__(self):
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return "Portfolio({0})".format(self.__dict__)
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# If you are adding new attributes, don't update this set. This method
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# is deprecated to normal attribute access so we don't want to encourage
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# new usages.
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__getitem__ = _deprecated_getitem_method(
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'portfolio', {
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'capital_used',
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'starting_cash',
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'portfolio_value',
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'pnl',
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'returns',
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'cash',
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'positions',
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'start_date',
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'positions_value',
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},
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)
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@property
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def current_portfolio_weights(self):
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"""
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Compute each asset's weight in the portfolio by calculating its held
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value divided by the total value of all positions.
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Each equity's value is its price times the number of shares held. Each
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futures contract's value is its unit price times number of shares held
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times the multiplier.
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"""
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position_values = pd.Series({
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asset: (
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position.last_sale_price *
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position.amount *
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asset_multiplier(asset)
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)
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for asset, position in self.positions.items()
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})
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return position_values / self.portfolio_value
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class Account(object):
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'''
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The account object tracks information about the trading account. The
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values are updated as the algorithm runs and its keys remain unchanged.
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If connected to a broker, one can update these values with the trading
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account values as reported by the broker.
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'''
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def __init__(self):
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self.settled_cash = 0.0
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self.accrued_interest = 0.0
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self.buying_power = float('inf')
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self.equity_with_loan = 0.0
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self.total_positions_value = 0.0
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self.total_positions_exposure = 0.0
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self.regt_equity = 0.0
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self.regt_margin = float('inf')
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self.initial_margin_requirement = 0.0
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self.maintenance_margin_requirement = 0.0
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self.available_funds = 0.0
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self.excess_liquidity = 0.0
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self.cushion = 0.0
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self.day_trades_remaining = float('inf')
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self.leverage = 0.0
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self.net_leverage = 0.0
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self.net_liquidation = 0.0
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def __repr__(self):
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return "Account({0})".format(self.__dict__)
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# If you are adding new attributes, don't update this set. This method
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# is deprecated to normal attribute access so we don't want to encourage
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# new usages.
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__getitem__ = _deprecated_getitem_method(
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'account', {
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'settled_cash',
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'accrued_interest',
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'buying_power',
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'equity_with_loan',
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'total_positions_value',
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'total_positions_exposure',
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'regt_equity',
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'regt_margin',
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'initial_margin_requirement',
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'maintenance_margin_requirement',
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'available_funds',
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'excess_liquidity',
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'cushion',
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'day_trades_remaining',
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'leverage',
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'net_leverage',
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'net_liquidation',
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},
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)
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class Position(object):
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@expect_types(asset=Asset)
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def __init__(self, asset):
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self.asset = asset
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self.amount = 0
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self.cost_basis = 0.0 # per share
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self.last_sale_price = 0.0
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self.last_sale_date = None
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@property
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def sid(self):
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# for backwards compatibility
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return self.asset
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def __repr__(self):
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return "Position({0})".format(self.__dict__)
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# If you are adding new attributes, don't update this set. This method
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# is deprecated to normal attribute access so we don't want to encourage
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# new usages.
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__getitem__ = _deprecated_getitem_method(
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'position', {
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'sid',
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'amount',
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'cost_basis',
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'last_sale_price',
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'last_sale_date',
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},
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)
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# Copied from Position and renamed. This is used to handle cases where a user
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# does something like `context.portfolio.positions[100]` instead of
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# `context.portfolio.positions[sid(100)]`.
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class _DeprecatedSidLookupPosition(object):
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def __init__(self, sid):
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self.sid = sid
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self.amount = 0
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self.cost_basis = 0.0 # per share
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self.last_sale_price = 0.0
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self.last_sale_date = None
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def __repr__(self):
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return "_DeprecatedSidLookupPosition({0})".format(self.__dict__)
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# If you are adding new attributes, don't update this set. This method
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# is deprecated to normal attribute access so we don't want to encourage
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# new usages.
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__getitem__ = _deprecated_getitem_method(
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'position', {
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'sid',
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'amount',
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'cost_basis',
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'last_sale_price',
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'last_sale_date',
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},
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)
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class Positions(dict):
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def __missing__(self, key):
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if isinstance(key, Asset):
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return Position(key)
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elif isinstance(key, int):
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warn("Referencing positions by integer is deprecated."
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" Use an asset instead.")
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else:
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warn("Position lookup expected a value of type Asset but got {0}"
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" instead.".format(type(key).__name__))
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return _DeprecatedSidLookupPosition(key)
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