# # 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. ''' Unit tests for finance.slippage ''' import datetime import pytz from nose_parameterized import parameterized import pandas as pd from pandas.tslib import normalize_date from zipline.finance.slippage import VolumeShareSlippage from zipline.protocol import DATASOURCE_TYPE from zipline.finance.blotter import Order from zipline.data.data_portal import DataPortal from zipline.protocol import BarData from zipline.testing import tmp_bcolz_equity_minute_bar_reader from zipline.testing.fixtures import ( WithDataPortal, WithSimParams, ZiplineTestCase, ) class SlippageTestCase(WithSimParams, WithDataPortal, ZiplineTestCase): START_DATE = pd.Timestamp('2006-01-05 14:31', tz='utc') END_DATE = pd.Timestamp('2006-01-05 14:36', tz='utc') SIM_PARAMS_CAPITAL_BASE = 1.0e5 SIM_PARAMS_DATA_FREQUENCY = 'minute' SIM_PARAMS_EMISSION_RATE = 'daily' ASSET_FINDER_EQUITY_SIDS = (133,) ASSET_FINDER_EQUITY_START_DATE = pd.Timestamp('2006-01-05', tz='utc') ASSET_FINDER_EQUITY_END_DATE = pd.Timestamp('2006-01-07', tz='utc') minutes = pd.DatetimeIndex( start=START_DATE, end=END_DATE - pd.Timedelta('1 minute'), freq='1min' ) @classmethod def make_equity_minute_bar_data(cls): yield 133, pd.DataFrame( { 'open': [3.0, 3.0, 3.5, 4.0, 3.5], 'high': [3.15, 3.15, 3.15, 3.15, 3.15], 'low': [2.85, 2.85, 2.85, 2.85, 2.85], 'close': [3.0, 3.5, 4.0, 3.5, 3.0], 'volume': [2000, 2000, 2000, 2000, 2000], }, index=cls.minutes, ) @classmethod def init_class_fixtures(cls): super(SlippageTestCase, cls).init_class_fixtures() cls.ASSET133 = cls.env.asset_finder.retrieve_asset(133) def test_volume_share_slippage(self): assets = ( (133, pd.DataFrame( { 'open': [3.00], 'high': [3.15], 'low': [2.85], 'close': [3.00], 'volume': [200], }, index=[self.minutes[0]], )), ) days = pd.date_range( start=normalize_date(self.minutes[0]), end=normalize_date(self.minutes[-1]) ) with tmp_bcolz_equity_minute_bar_reader(self.trading_calendar, days, assets) \ as reader: data_portal = DataPortal( self.env.asset_finder, self.trading_calendar, first_trading_day=reader.first_trading_day, equity_minute_reader=reader, ) slippage_model = VolumeShareSlippage() open_orders = [ Order( dt=datetime.datetime(2006, 1, 5, 14, 30, tzinfo=pytz.utc), amount=100, filled=0, sid=self.ASSET133 ) ] bar_data = BarData(data_portal, lambda: self.minutes[0], 'minute', self.trading_calendar) orders_txns = list(slippage_model.simulate( bar_data, self.ASSET133, open_orders, )) self.assertEquals(len(orders_txns), 1) _, txn = orders_txns[0] expected_txn = { 'price': float(3.0001875), 'dt': datetime.datetime( 2006, 1, 5, 14, 31, tzinfo=pytz.utc), 'amount': int(5), 'sid': int(133), 'commission': None, 'type': DATASOURCE_TYPE.TRANSACTION, 'order_id': open_orders[0].id } self.assertIsNotNone(txn) # TODO: Make expected_txn an Transaction object and ensure there # is a __eq__ for that class. self.assertEquals(expected_txn, txn.__dict__) open_orders = [ Order( dt=datetime.datetime(2006, 1, 5, 14, 30, tzinfo=pytz.utc), amount=100, filled=0, sid=self.ASSET133 ) ] # Set bar_data to be a minute ahead of last trade. # Volume share slippage should not execute when there is no trade. bar_data = BarData(data_portal, lambda: self.minutes[1], 'minute', self.trading_calendar) orders_txns = list(slippage_model.simulate( bar_data, self.ASSET133, open_orders, )) self.assertEquals(len(orders_txns), 0) def test_orders_limit(self): slippage_model = VolumeShareSlippage() slippage_model.data_portal = self.data_portal # long, does not trade open_orders = [ Order(**{ 'dt': datetime.datetime(2006, 1, 5, 14, 30, tzinfo=pytz.utc), 'amount': 100, 'filled': 0, 'sid': self.ASSET133, 'limit': 3.5}) ] bar_data = BarData(self.data_portal, lambda: self.minutes[3], self.sim_params.data_frequency, self.trading_calendar) orders_txns = list(slippage_model.simulate( bar_data, self.ASSET133, open_orders, )) self.assertEquals(len(orders_txns), 0) # long, does not trade - impacted price worse than limit price open_orders = [ Order(**{ 'dt': datetime.datetime(2006, 1, 5, 14, 30, tzinfo=pytz.utc), 'amount': 100, 'filled': 0, 'sid': self.ASSET133, 'limit': 3.5}) ] bar_data = BarData(self.data_portal, lambda: self.minutes[3], self.sim_params.data_frequency, self.trading_calendar) orders_txns = list(slippage_model.simulate( bar_data, self.ASSET133, open_orders, )) self.assertEquals(len(orders_txns), 0) # long, does trade open_orders = [ Order(**{ 'dt': datetime.datetime(2006, 1, 5, 14, 30, tzinfo=pytz.utc), 'amount': 100, 'filled': 0, 'sid': self.ASSET133, 'limit': 3.6}) ] bar_data = BarData(self.data_portal, lambda: self.minutes[3], self.sim_params.data_frequency, self.trading_calendar) orders_txns = list(slippage_model.simulate( bar_data, self.ASSET133, open_orders, )) self.assertEquals(len(orders_txns), 1) txn = orders_txns[0][1] expected_txn = { 'price': float(3.50021875), 'dt': datetime.datetime( 2006, 1, 5, 14, 34, tzinfo=pytz.utc), # we ordered 100 shares, but default volume slippage only allows # for 2.5% of the volume. 2.5% * 2000 = 50 shares 'amount': int(50), 'sid': int(133), 'order_id': open_orders[0].id } self.assertIsNotNone(txn) for key, value in expected_txn.items(): self.assertEquals(value, txn[key]) # short, does not trade open_orders = [ Order(**{ 'dt': datetime.datetime(2006, 1, 5, 14, 30, tzinfo=pytz.utc), 'amount': -100, 'filled': 0, 'sid': self.ASSET133, 'limit': 3.5}) ] bar_data = BarData(self.data_portal, lambda: self.minutes[0], self.sim_params.data_frequency, self.trading_calendar) orders_txns = list(slippage_model.simulate( bar_data, self.ASSET133, open_orders, )) self.assertEquals(len(orders_txns), 0) # short, does not trade - impacted price worse than limit price open_orders = [ Order(**{ 'dt': datetime.datetime(2006, 1, 5, 14, 30, tzinfo=pytz.utc), 'amount': -100, 'filled': 0, 'sid': self.ASSET133, 'limit': 3.5}) ] bar_data = BarData(self.data_portal, lambda: self.minutes[0], self.sim_params.data_frequency, self.trading_calendar) orders_txns = list(slippage_model.simulate( bar_data, self.ASSET133, open_orders, )) self.assertEquals(len(orders_txns), 0) # short, does trade open_orders = [ Order(**{ 'dt': datetime.datetime(2006, 1, 5, 14, 30, tzinfo=pytz.utc), 'amount': -100, 'filled': 0, 'sid': self.ASSET133, 'limit': 3.4}) ] bar_data = BarData(self.data_portal, lambda: self.minutes[1], self.sim_params.data_frequency, self.trading_calendar) orders_txns = list(slippage_model.simulate( bar_data, self.ASSET133, open_orders, )) self.assertEquals(len(orders_txns), 1) _, txn = orders_txns[0] expected_txn = { 'price': float(3.49978125), 'dt': datetime.datetime( 2006, 1, 5, 14, 32, tzinfo=pytz.utc), 'amount': int(-50), 'sid': int(133) } self.assertIsNotNone(txn) for key, value in expected_txn.items(): self.assertEquals(value, txn[key]) STOP_ORDER_CASES = { # Stop orders can be long/short and have their price greater or # less than the stop. # # A stop being reached is conditional on the order direction. # Long orders reach the stop when the price is greater than the stop. # Short orders reach the stop when the price is less than the stop. # # Which leads to the following 4 cases: # # | long | short | # | price > stop | | | # | price < stop | | | # # Currently the slippage module acts according to the following table, # where 'X' represents triggering a transaction # | long | short | # | price > stop | | X | # | price < stop | X | | # # However, the following behavior *should* be followed. # # | long | short | # | price > stop | X | | # | price < stop | | X | 'long | price gt stop': { 'order': { 'dt': pd.Timestamp('2006-01-05 14:30', tz='UTC'), 'amount': 100, 'filled': 0, 'sid': 133, 'stop': 3.5 }, 'event': { 'dt': pd.Timestamp('2006-01-05 14:31', tz='UTC'), 'volume': 2000, 'price': 4.0, 'high': 3.15, 'low': 2.85, 'sid': 133, 'close': 4.0, 'open': 3.5 }, 'expected': { 'transaction': { 'price': 4.00025, 'dt': pd.Timestamp('2006-01-05 14:31', tz='UTC'), 'amount': 50, 'sid': 133, } } }, 'long | price lt stop': { 'order': { 'dt': pd.Timestamp('2006-01-05 14:30', tz='UTC'), 'amount': 100, 'filled': 0, 'sid': 133, 'stop': 3.6 }, 'event': { 'dt': pd.Timestamp('2006-01-05 14:31', tz='UTC'), 'volume': 2000, 'price': 3.5, 'high': 3.15, 'low': 2.85, 'sid': 133, 'close': 3.5, 'open': 4.0 }, 'expected': { 'transaction': None } }, 'short | price gt stop': { 'order': { 'dt': pd.Timestamp('2006-01-05 14:30', tz='UTC'), 'amount': -100, 'filled': 0, 'sid': 133, 'stop': 3.4 }, 'event': { 'dt': pd.Timestamp('2006-01-05 14:31', tz='UTC'), 'volume': 2000, 'price': 3.5, 'high': 3.15, 'low': 2.85, 'sid': 133, 'close': 3.5, 'open': 3.0 }, 'expected': { 'transaction': None } }, 'short | price lt stop': { 'order': { 'dt': pd.Timestamp('2006-01-05 14:30', tz='UTC'), 'amount': -100, 'filled': 0, 'sid': 133, 'stop': 3.5 }, 'event': { 'dt': pd.Timestamp('2006-01-05 14:31', tz='UTC'), 'volume': 2000, 'price': 3.0, 'high': 3.15, 'low': 2.85, 'sid': 133, 'close': 3.0, 'open': 3.0 }, 'expected': { 'transaction': { 'price': 2.9998125, 'dt': pd.Timestamp('2006-01-05 14:31', tz='UTC'), 'amount': -50, 'sid': 133, } } }, } @parameterized.expand([ (name, case['order'], case['event'], case['expected']) for name, case in STOP_ORDER_CASES.items() ]) def test_orders_stop(self, name, order_data, event_data, expected): data = order_data data['sid'] = self.ASSET133 order = Order(**data) assets = ( (133, pd.DataFrame( { 'open': [event_data['open']], 'high': [event_data['high']], 'low': [event_data['low']], 'close': [event_data['close']], 'volume': [event_data['volume']], }, index=[pd.Timestamp('2006-01-05 14:31', tz='UTC')], )), ) days = pd.date_range( start=normalize_date(self.minutes[0]), end=normalize_date(self.minutes[-1]) ) with tmp_bcolz_equity_minute_bar_reader(self.trading_calendar, days, assets) \ as reader: data_portal = DataPortal( self.env.asset_finder, self.trading_calendar, first_trading_day=reader.first_trading_day, equity_minute_reader=reader, ) slippage_model = VolumeShareSlippage() try: dt = pd.Timestamp('2006-01-05 14:31', tz='UTC') bar_data = BarData(data_portal, lambda: dt, 'minute', self.trading_calendar) _, txn = next(slippage_model.simulate( bar_data, self.ASSET133, [order], )) except StopIteration: txn = None if expected['transaction'] is None: self.assertIsNone(txn) else: self.assertIsNotNone(txn) for key, value in expected['transaction'].items(): self.assertEquals(value, txn[key]) def test_orders_stop_limit(self): slippage_model = VolumeShareSlippage() slippage_model.data_portal = self.data_portal # long, does not trade open_orders = [ Order(**{ 'dt': datetime.datetime(2006, 1, 5, 14, 30, tzinfo=pytz.utc), 'amount': 100, 'filled': 0, 'sid': self.ASSET133, 'stop': 4.0, 'limit': 3.0}) ] bar_data = BarData(self.data_portal, lambda: self.minutes[2], self.sim_params.data_frequency, self.trading_calendar) orders_txns = list(slippage_model.simulate( bar_data, self.ASSET133, open_orders, )) self.assertEquals(len(orders_txns), 0) bar_data = BarData(self.data_portal, lambda: self.minutes[3], self.sim_params.data_frequency, self.trading_calendar) orders_txns = list(slippage_model.simulate( bar_data, self.ASSET133, open_orders, )) self.assertEquals(len(orders_txns), 0) # long, does not trade - impacted price worse than limit price open_orders = [ Order(**{ 'dt': datetime.datetime(2006, 1, 5, 14, 30, tzinfo=pytz.utc), 'amount': 100, 'filled': 0, 'sid': self.ASSET133, 'stop': 4.0, 'limit': 3.5}) ] bar_data = BarData(self.data_portal, lambda: self.minutes[2], self.sim_params.data_frequency, self.trading_calendar) orders_txns = list(slippage_model.simulate( bar_data, self.ASSET133, open_orders, )) self.assertEquals(len(orders_txns), 0) bar_data = BarData(self.data_portal, lambda: self.minutes[3], self.sim_params.data_frequency, self.trading_calendar) orders_txns = list(slippage_model.simulate( bar_data, self.ASSET133, open_orders, )) self.assertEquals(len(orders_txns), 0) # long, does trade open_orders = [ Order(**{ 'dt': datetime.datetime(2006, 1, 5, 14, 30, tzinfo=pytz.utc), 'amount': 100, 'filled': 0, 'sid': self.ASSET133, 'stop': 4.0, 'limit': 3.6}) ] bar_data = BarData(self.data_portal, lambda: self.minutes[2], self.sim_params.data_frequency, self.trading_calendar) orders_txns = list(slippage_model.simulate( bar_data, self.ASSET133, open_orders, )) self.assertEquals(len(orders_txns), 0) bar_data = BarData(self.data_portal, lambda: self.minutes[3], self.sim_params.data_frequency, self.trading_calendar) orders_txns = list(slippage_model.simulate( bar_data, self.ASSET133, open_orders, )) self.assertEquals(len(orders_txns), 1) _, txn = orders_txns[0] expected_txn = { 'price': float(3.50021875), 'dt': datetime.datetime( 2006, 1, 5, 14, 34, tzinfo=pytz.utc), 'amount': int(50), 'sid': int(133) } for key, value in expected_txn.items(): self.assertEquals(value, txn[key]) # short, does not trade open_orders = [ Order(**{ 'dt': datetime.datetime(2006, 1, 5, 14, 30, tzinfo=pytz.utc), 'amount': -100, 'filled': 0, 'sid': self.ASSET133, 'stop': 3.0, 'limit': 4.0}) ] bar_data = BarData(self.data_portal, lambda: self.minutes[0], self.sim_params.data_frequency, self.trading_calendar) orders_txns = list(slippage_model.simulate( bar_data, self.ASSET133, open_orders, )) self.assertEquals(len(orders_txns), 0) bar_data = BarData(self.data_portal, lambda: self.minutes[1], self.sim_params.data_frequency, self.trading_calendar) orders_txns = list(slippage_model.simulate( bar_data, self.ASSET133, open_orders, )) self.assertEquals(len(orders_txns), 0) # short, does not trade - impacted price worse than limit price open_orders = [ Order(**{ 'dt': datetime.datetime(2006, 1, 5, 14, 30, tzinfo=pytz.utc), 'amount': -100, 'filled': 0, 'sid': self.ASSET133, 'stop': 3.0, 'limit': 3.5}) ] bar_data = BarData(self.data_portal, lambda: self.minutes[0], self.sim_params.data_frequency, self.trading_calendar) orders_txns = list(slippage_model.simulate( bar_data, self.ASSET133, open_orders, )) self.assertEquals(len(orders_txns), 0) bar_data = BarData(self.data_portal, lambda: self.minutes[1], self.sim_params.data_frequency, self.trading_calendar) orders_txns = list(slippage_model.simulate( bar_data, self.ASSET133, open_orders, )) self.assertEquals(len(orders_txns), 0) # short, does trade open_orders = [ Order(**{ 'dt': datetime.datetime(2006, 1, 5, 14, 30, tzinfo=pytz.utc), 'amount': -100, 'filled': 0, 'sid': self.ASSET133, 'stop': 3.0, 'limit': 3.4}) ] bar_data = BarData(self.data_portal, lambda: self.minutes[0], self.sim_params.data_frequency, self.trading_calendar) orders_txns = list(slippage_model.simulate( bar_data, self.ASSET133, open_orders, )) self.assertEquals(len(orders_txns), 0) bar_data = BarData(self.data_portal, lambda: self.minutes[1], self.sim_params.data_frequency, self.trading_calendar) orders_txns = list(slippage_model.simulate( bar_data, self.ASSET133, open_orders, )) self.assertEquals(len(orders_txns), 1) _, txn = orders_txns[0] expected_txn = { 'price': float(3.49978125), 'dt': datetime.datetime( 2006, 1, 5, 14, 32, tzinfo=pytz.utc), 'amount': int(-50), 'sid': int(133) } for key, value in expected_txn.items(): self.assertEquals(value, txn[key])