Only fill limit order if impacted fill price is better than the limit price.
If a limit order is partially filled, only fill the remaining shares if the
impacted fill price is better than the limit price.
Previously the class SerializeableZiplineObject was used to
house basic __setstate__ and __getstate__ methods. It wasn't
really doing much that was helpful, so it is now gone.
Use six's with_metaclass to have objects that use metaclasses, in
both Python 2 and 3.
Otherwise, in Python 3 the objects were being treated as if they
did not have a metaclass, when the Python 2 syntax is used, leading
to errors because of missing attributes, etc.
Instead of nesting order direction and related stop and limit logic,
derive a bitwise mask from the combination of order configurations
and use the mask as a 'switch'.
So that blotter.process_trade doesn't need to reindex the dictionary of
open orders, yield a tuple of (order, transaction) from simulate.
Also, update corresponding unit tests now that the method returns
a generator instead of a list.
Instead of using copysign with a param of 1, use `abs` to make the
code more clear between when slippage is using the absolute value,
and when it is creating an amount that uses the order direction.
To make implementing a custom slippage model more straightforward,
provide a simulate method that will setup the calling of
`process_order`, which individual slippage models override to
do the unique slippage handling, where the simulate method handles
the boilerplate of checking order triggers, etc.
In the volume share slippgae, the current amount had the direction,
i.e. buy/sell was baked into the value of `cur_amount` which then
needed to have the direction multiplied out when parts of the slippage
model needed to take in just the magnitude/amount into account.
So calculate the current volume, use that in calculations and then
apply at the order direction at order time.
Also, when applying the direction to the magnitude of the sell,
use copysign to make the code more explicit about taking the direction
of the order, instead of it possibly having some scalar impact.
As well as remove direction from volume_share calculation since that
calculation and subsequent calculations only care about the magnitude,
so make the disregard for direction more explicit by removing it.
Since `cur_amount` before it's changed by the direction, is always
a positive value, multiplying it back by the direction should also
always be positive.
- Change the expected type for order information from the string
of the order id to an `Order` object, so that it matches the same
abstraction level as passing in an event.
- Change the order (not to be confused with the parameter named `order`)
of the parameters so that they go from left to right in order of
static -> dynamic, i.e. the parameters most likely to change within
each invoration are the amount and price, with amount more likely
to change than price.
create_transaction accepted both sid and order, which in all cases
was derived from the current event, so remove `sid` and `order`,
replacing them with event
If there is a scenario where sid and order need to be set independently
of each other, then the underlying Transaction object can be called
directly.
Looking towards making writing custom slippage models slightly easier
by removing the redundancy.
Work towards a set_slippage method accepts a function that takes
event and orders as the argument, instead of being tightly bound
to using classes like FixedSlippage etc., in that scenario the
instances of SlippageModel will be used via `__call__`, so that
backwards compatiblity is maintained.
Now that the tradesimulation transform calls the blotter/slippage
within, instead of being wrapped in a slippage generator, the logging
for slippage can rely on the processor set within the tradesimulation
loop, instead of maintaining its own.
For printability in the repr when debugging algo config and state,
change the repr of TradingAlgorithm and the objects it contains
so that the more closely adhere to the repr interface of being
able to recreate an object instance.
To fix the grouping of events so that (dt, events) ordering
is preserved, the tracking of order states needs to change
in the following way.
Change how order keeps track of dates:
- Change order's dt field to reflect modified date.
- Add a created field.
Change how performance keeps track of orders by:
- Map dt to transactions
- Map dt to orders
- Map order ids to keep track of updated orders.
The emission of order updates from the blotter were incorrect,
and subsequently, performance.
Previously, only the first action of the order was emitted,
fix so that all status updates are emitted.
The use of np.allclose introduced a severe performance penalty,
caused by the creation of two `np.array`s for each check.
Instead create and use a similar check which maintains tolerance
to floating point rounding, but operates only on scalars.
- Add transaction and order types
- Move TransactionSimulator from trading.py to tradesimulation.py
(only used by other members of the tradesimulation module)
- Make Transaction an independent event, like dividend
- Add Blotter class.
- Flatten the transaction events to be independent of trade bar events
- Make orders into events that reach performance (need to add
handling)
- Issue IDs to orders and tracking each transaction's order id.
- Make volume share slippage fill orders independently, rather than
aggregating them into a single transaction.
- Perf tracker holds orders, serializes them with transactions.
- Order state defined and maintained by order class.
- Minutely emission of orders based on last_modified date.
So that Transaction object behavior is exercised, uses the Transaction
object in performance module tests instead of ndict.
Also, adds fields to the __init__ of Transaction, to make the
definition of the object more well defined.
Instead of using division of the amount by itself to extract
the direction, uses math's copysign.
Should be almost functionally equivalent,
but copysign won't have a possible floating point error leading
the direction to not be exactly 1.
Joe Jevnik