This commit adds support for arbitrary objects in addition to NaN
and infinity values. The object well be returned in string format
as part of the error message.
Previously order was not checking for nan values sent as
limit or stop prices. It will now raise a runtime exception
in the event that an attempt to order with a nan price is made.
Stop and limit prices both trigger when a price crosses some threshold, but
they trigger in "opposite directions". For example, on a buy, a limit price is
triggered when a price falls below a specified value, whereas a stop price
triggers when the price exceeds a specified value.
Our current stop/limit price rounding logic is asymmetric, preferring to "round
to improve" the specified price. This change makes it so that we interpret
"improvement" in opposite directions for stop vs limit prices.
existing `limit_price` and `stop_price` parameters. The goal of this change is
to refactor the existing ordering API to provide a cleaner interface for
defining more complex order types.
Adds a new module, zipline.finance.execution, which defines the ExecutionStyle
abstract base class, along with concrete MarketOrder, LimitOrder, StopOrder,
and StopLimitOrder subclasses.
Adds a new `style` keyword argument to the function signature of the `order`
API method, which accepts an instance of ExecutionStyle.
The existing limit_price and stop_price parameters are still supported at this
time, but are converted into the new ExecutionStyle objects before being passed
to Blotter.order.
Delaney Granizo-Mackenzie