Global state for the financial simulation environment is accessed through the
zipline.finance.trading module, which now contains a module variable:
environment.
Parameters are passed into an algorithm as a keyword argument, sim_params.
SimulationParameters creates a trading day index for the test period that
can be used to find trading days, calculate distance between trading days,
and other common operations. The sim params index is just selected from the
global state.
================
Details:
- adding delorean to the requirements.
- made index symbol a parameter for loading the benchmark data. changed
messagepack storage to be symbol specific.
- ported risk, performance, algorithm, transforms, batch transforms
and associated tests to use simulation parameters and global environment
- factory and sim factory use global state and sim params
- factory method parameter names now reflect the class expected
With this patch, on the close of markets we "fast forward" to midnight of the
next trading day and calculate the dividend payments. This patch assumes that
the dividend dates are all at midnight UTC.
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.
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.
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.
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.
We were only incrementing the risk report by one day, and never
checking to see if that day we incremented into was a trading day
or not.
We now increment by day until we are on a trading day.
With an assist from @twiecki on:
Adapted test_risk_compare_batch_iterative to work with fixed
iterative risk class.
The latest flake8 release in now 1.5, which pulls in pep8: 1.3.4a0
The upgrade pep8 has changes to what it picks up as lint.
Making code base compatible, so that new devs can install pep8
from PyPI and not have friction over the version difference.
Currently using these ignores in the config file:
```
[pep8]
ignore = E124,E125,E126
```
Ignoring these since they are difficult to squash while maintaining
an 80 char line length, and appear spurious.
Should address later.
Updates Travis config, README, and pip requirements to reflect change.
Removes TRANSFORM_TYPE from protocol, since it is unused.
Also, removes use of ndict as a member of protocol, since it's
import there was for the TRANSFORM_TYPE. Changed to
utils.protocol_utils instead.
fawce