Algorithm returns and the risk calculations that depend on them now include
cash dividends. This commit does _not_ provide an API for user algorithms to
access dividends.
PerformanceTracker expects the dividend data to arrive as events, similar to
the way that Trades arrive. Dividends are expected to have adjusted payment
amounts that are inline with adjusted trades.
PerformanceTracker maintains state of all the unpaid dividends in the position
objects held in PerformancePeriod. Dividend objects contain all the relevant
dates (declared, ex, payment) as well as net and gross amounts. Dividends are
removed from the list as they are paid. Cash flow is not incremented until the
payment day. This creates the possibility of a dividend being owed but not
paid or realized before the end of a test. For example, a dividend with an
ex_date of today may have a pay date 2 weeks in the future. Right now the
algorithm does not receive any credit for unpaid dividends.
Tests cover buying/selling around the ex_date and payment_date, and checking
that the performance calculated is as expected.
Changes these tests to use market_aware==True, so that unit tests
follow the same code path as actual execution.
All use of EventWindows against data follows market_aware behavior.
These tests are the only use of market_aware==False, so heading
down the path of removing market aware completely.
Takes the value set for a variable on handle_data and records it,
e.g.:
```
def initialize(self):
self.incr = 0
self.record_variables(['incr'])
def handle_data(self, data):
self.incr += 1
```
Would record a variable of `incr`.
Emits the recorded variables as part of the daily performance.
This batch combins work from:
Thomas Wiecki <thomas.wiecki@gmail.com> (@twiecki)
fawce <fawce@quantopian.com> (@fawce)
The test factory was creating non-market days.
i.e. the date range spanned the weekend.
Using pandas' BDay frequency so that only business days are created.
This specific date range doesn't have holidays, so not accounting
for holidays in the factory.
Also, widens the range of the trading calendar to cover the test dates
generated by the factory which include 1990.
Previously the trading calendar began with 2002, meaning that holiday
and weekend adjustments with the data exercised by the factory did
not trigger when run with data in 1990.
This does increase the memory footprint of the tradingcalendar module.
However, only by a couple MB, so taking the hit there to enable
correct behavior.
These tests ensure that there are three, not two, empty values
at the beginning of the transform.
Also, ensures that we are using a window length of 3 on the tests.
So that wordings of errors,etc. match the window length.
Though the addition of tracking mulitple values in the window
is powerful, the changes broke behavior of existing algorithms
by changing method signatures and names.
So temporarily reverting these changes, to be pulled back in when
a way to have the multiple fields tracked with the existing API
is written, or a cutover of the API is figured out and determined.
Instead of doing the rollover by creating a new PerformancePeriod,
introduces a `rollover` method that resets the values that need
to be fresh in a new period, and moves the ending values to starting
values, and leaves positions intact.
This isn't a major runtime improvement in of itself, but it does
allow us to more easily keep track of position values from period
to period, which other improvements will use.
Instead of doing the rollover by creating a new PerformancePeriod,
introduces a `rollover` method that resets the values that need
to be fresh in a new period, and moves the ending values to starting
values, and leaves positions intact.
This isn't a major runtime improvement in of itself, but it does
allow us to more easily keep track of position values from period
to period, which other improvements will use.
Previously, the list was generated, but only used to calculate
the number of days in the environment.
With exposing this list, working towards a path where the simulation
uses the trading days to determine when to handle market closes.
There are only 6 trading days between the open and close specified
in test_perf test.
Also, removes getting the period_end off of the last trade,
since the test can now use the end date specified for the trading
environment.
Previously, on days that were trading days, but there with no
event data to process for that day, performance metrics were
not emitted, since the handling was based on having an event
trigger the daily performance metric.
Handled by grouping together performance messages, on market open,
for all days since the last market close.
Also, changes perf_tracker unit test to simulate missing data.
Taken from @richafrank's branch handling the same case.
The main bottle neck here was using `len`.
A boolean check is a sufficient test for more items in the queue.
Also, uses all instead of several functions.
To handle, for instance, Columbus Day (Oct 10),
on which there is no treasury data.
We're only forward-filling data now, and
no longer searching both back and forward in time.
fawce