# # Copyright 2013 Quantopian, Inc. # # Licensed under the Apache License, Version 2.0 (the "License"); # you may not use this file except in compliance with the License. # You may obtain a copy of the License at # # http://www.apache.org/licenses/LICENSE-2.0 # # Unless required by applicable law or agreed to in writing, software # distributed under the License is distributed on an "AS IS" BASIS, # WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. # See the License for the specific language governing permissions and # limitations under the License. from collections import defaultdict import datetime from utils.protocol_utils import Enum # Datasource type should completely determine the other fields of a # message with its type. DATASOURCE_TYPE = Enum( 'AS_TRADED_EQUITY', 'MERGER', 'SPLIT', 'DIVIDEND', 'TRADE', 'TRANSACTION', 'ORDER', 'EMPTY', 'DONE', 'CUSTOM', 'BENCHMARK' ) class Event(object): def __init__(self, initial_values=None): if initial_values: self.__dict__ = initial_values def __getitem__(self, name): return getattr(self, name) def __setitem__(self, name, value): setattr(self, name, value) def __delitem__(self, name): delattr(self, name) def keys(self): return self.__dict__.keys() def __eq__(self, other): return self.__dict__ == other.__dict__ def __contains__(self, name): return name in self.__dict__ def __repr__(self): return "Event({0})".format(self.__dict__) class Order(Event): pass class Portfolio(object): def __init__(self, initial_values=None): if initial_values: self.__dict__ = initial_values def __getitem__(self, key): return self.__dict__[key] def __repr__(self): return "Portfolio({0})".format(self.__dict__) class Position(object): def __init__(self, sid): self.sid = sid self.amount = 0 self.cost_basis = 0.0 # per share self.last_sale_price = 0.0 def __getitem__(self, key): return self.__dict__[key] def __repr__(self): return "Position({0})".format(self.__dict__) class Positions(dict): def __missing__(self, key): pos = Position(key) self[key] = pos return pos class SIDData(object): def __init__(self, initial_values=None): if initial_values: self.__dict__ = initial_values def __getitem__(self, name): return self.__dict__[name] def __setitem__(self, name, value): self.__dict__[name] = value def __len__(self): return len(self.__dict__) def __contains__(self, name): return name in self.__dict__ def __repr__(self): return "SIDData({0})".format(self.__dict__) class BarData(object): """ Holds the event data for all sids for a given dt. This is what is passed as `data` to the `handle_data` function. Note: Many methods are analogues of dictionary because of historical usage of what this replaced as a dictionary subclass. """ def __init__(self): self._data = defaultdict(SIDData) self._contains_override = None def __contains__(self, name): if self._contains_override: return self._contains_override(name) else: return name in self.__dict__ def __setitem__(self, name, value): self._data[name] = value def __getitem__(self, name): return self._data[name] def __delitem__(self, name): del self._data[name] def __iter__(self): return self._data.iterkeys() def keys(self): return self._data.keys() def iterkeys(self): return self._data.iterkeys() def itervalues(self): return self._data.itervalues() def iteritems(self): return self._data.iteritems() def items(self): return self._data.items() class DailyReturn(object): def __init__(self, date, returns): assert isinstance(date, datetime.datetime) self.date = date.replace(hour=0, minute=0, second=0, microsecond=0) self.returns = returns def to_dict(self): return { 'dt': self.date, 'returns': self.returns } def __repr__(self): return str(self.date) + " - " + str(self.returns)