# # Copyright 2016 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 abc import ABCMeta, abstractmethod from collections import namedtuple import six import warnings import datetime import numpy as np import pandas as pd import pytz from toolz import curry from zipline.utils.input_validation import preprocess from zipline.utils.memoize import lazyval from .context_tricks import nop_context __all__ = [ 'EventManager', 'Event', 'EventRule', 'StatelessRule', 'ComposedRule', 'Always', 'Never', 'AfterOpen', 'BeforeClose', 'NotHalfDay', 'NthTradingDayOfWeek', 'NDaysBeforeLastTradingDayOfWeek', 'NthTradingDayOfMonth', 'NDaysBeforeLastTradingDayOfMonth', 'StatefulRule', 'OncePerDay', # Factory API 'date_rules', 'time_rules', 'make_eventrule', ] MAX_MONTH_RANGE = 23 MAX_WEEK_RANGE = 5 def naive_to_utc(ts): """ Converts a UTC tz-naive timestamp to a tz-aware timestamp. """ # Drop the nanoseconds field. warn=False suppresses the warning # that we are losing the nanoseconds; however, this is intended. return pd.Timestamp(ts.to_pydatetime(warn=False), tz='UTC') def ensure_utc(time, tz='UTC'): """ Normalize a time. If the time is tz-naive, assume it is UTC. """ if not time.tzinfo: time = time.replace(tzinfo=pytz.timezone(tz)) return time.replace(tzinfo=pytz.utc) def _out_of_range_error(a, b=None, var='offset'): start = 0 if b is None: end = a - 1 else: start = a end = b - 1 return ValueError( '{var} must be in between {start} and {end} inclusive'.format( var=var, start=start, end=end, ) ) def _td_check(td): seconds = td.total_seconds() # 43200 seconds = 12 hours if 60 <= seconds <= 43200: return td else: raise ValueError('offset must be in between 1 minute and 12 hours, ' 'inclusive.') def _build_offset(offset, kwargs, default): """ Builds the offset argument for event rules. """ if offset is None: if not kwargs: return default # use the default. else: return _td_check(datetime.timedelta(**kwargs)) elif kwargs: raise ValueError('Cannot pass kwargs and an offset') elif isinstance(offset, datetime.timedelta): return _td_check(offset) else: raise TypeError("Must pass 'hours' and/or 'minutes' as keywords") def _build_date(date, kwargs): """ Builds the date argument for event rules. """ if date is None: if not kwargs: raise ValueError('Must pass a date or kwargs') else: return datetime.date(**kwargs) elif kwargs: raise ValueError('Cannot pass kwargs and a date') else: return date def _build_time(time, kwargs): """ Builds the time argument for event rules. """ tz = kwargs.pop('tz', 'UTC') if time: if kwargs: raise ValueError('Cannot pass kwargs and a time') else: return ensure_utc(time, tz) elif not kwargs: raise ValueError('Must pass a time or kwargs') else: return datetime.time(**kwargs) @curry def lossless_float_to_int(funcname, func, argname, arg): """ A preprocessor that coerces integral floats to ints. Receipt of non-integral floats raises a TypeError. """ if not isinstance(arg, float): return arg arg_as_int = int(arg) if arg == arg_as_int: warnings.warn( "{f} expected an int for argument {name!r}, but got float {arg}." " Coercing to int.".format( f=funcname, name=argname, arg=arg, ), ) return arg_as_int raise TypeError(arg) class EventManager(object): """Manages a list of Event objects. This manages the logic for checking the rules and dispatching to the handle_data function of the Events. Parameters ---------- create_context : (BarData) -> context manager, optional An optional callback to produce a context manager to wrap the calls to handle_data. This will be passed the current BarData. """ def __init__(self, create_context=None): self._events = [] self._create_context = ( create_context if create_context is not None else lambda *_: nop_context ) def add_event(self, event, prepend=False): """ Adds an event to the manager. """ if prepend: self._events.insert(0, event) else: self._events.append(event) def handle_data(self, context, data, dt): with self._create_context(data): for event in self._events: event.handle_data( context, data, dt, ) class Event(namedtuple('Event', ['rule', 'callback'])): """ An event is a pairing of an EventRule and a callable that will be invoked with the current algorithm context, data, and datetime only when the rule is triggered. """ def __new__(cls, rule=None, callback=None): callback = callback or (lambda *args, **kwargs: None) return super(cls, cls).__new__(cls, rule=rule, callback=callback) def handle_data(self, context, data, dt): """ Calls the callable only when the rule is triggered. """ if self.rule.should_trigger(dt): self.callback(context, data) class EventRule(six.with_metaclass(ABCMeta)): @abstractmethod def should_trigger(self, dt): """ Checks if the rule should trigger with its current state. This method should be pure and NOT mutate any state on the object. """ raise NotImplementedError('should_trigger') class StatelessRule(EventRule): """ A stateless rule has no observable side effects. This is reentrant and will always give the same result for the same datetime. Because these are pure, they can be composed to create new rules. """ def and_(self, rule): """ Logical and of two rules, triggers only when both rules trigger. This follows the short circuiting rules for normal and. """ return ComposedRule(self, rule, ComposedRule.lazy_and) __and__ = and_ class ComposedRule(StatelessRule): """ A rule that composes the results of two rules with some composing function. The composing function should be a binary function that accepts the results first(dt) and second(dt) as positional arguments. For example, operator.and_. If lazy=True, then the lazy composer is used instead. The lazy composer expects a function that takes the two should_trigger functions and the datetime. This is useful of you don't always want to call should_trigger for one of the rules. For example, this is used to implement the & and | operators so that they will have the same short circuit logic that is expected. """ def __init__(self, first, second, composer): if not (isinstance(first, StatelessRule) and isinstance(second, StatelessRule)): raise ValueError('Only two StatelessRules can be composed') self.first = first self.second = second self.composer = composer def should_trigger(self, dt): """ Composes the two rules with a lazy composer. """ return self.composer( self.first.should_trigger, self.second.should_trigger, dt ) @staticmethod def lazy_and(first_should_trigger, second_should_trigger, dt): """ Lazily ands the two rules. This will NOT call the should_trigger of the second rule if the first one returns False. """ return first_should_trigger(dt) and second_should_trigger(dt) class Always(StatelessRule): """ A rule that always triggers. """ @staticmethod def always_trigger(dt): """ A should_trigger implementation that will always trigger. """ return True should_trigger = always_trigger class Never(StatelessRule): """ A rule that never triggers. """ @staticmethod def never_trigger(dt): """ A should_trigger implementation that will never trigger. """ return False should_trigger = never_trigger class AfterOpen(StatelessRule): """ A rule that triggers for some offset after the market opens. Example that triggers after 30 minutes of the market opening: >>> AfterOpen(minutes=30) # doctest: +ELLIPSIS """ def __init__(self, offset=None, **kwargs): self.offset = _build_offset( offset, kwargs, datetime.timedelta(minutes=1), # Defaults to the first minute. ) self._period_start = None self._period_end = None self._period_close = None self._one_minute = datetime.timedelta(minutes=1) def calculate_dates(self, dt): # given a dt, find that day's open and period end (open + offset) self._period_start, self._period_close = \ self.cal.open_and_close_for_session( self.cal.minute_to_session_label(dt) ) self._period_end = self._period_start + self.offset - self._one_minute def should_trigger(self, dt): # There are two reasons why we might want to recalculate the dates. # One is the first time we ever call should_trigger, when # self._period_start is none. The second is when we're on a new day, # and need to recalculate the dates. For performance reasons, we rely # on the fact that our clock only ever ticks forward, since it's # cheaper to do dt1 <= dt2 than dt1.date() != dt2.date(). This means # that we will NOT correctly recognize a new date if we go backwards # in time(which should never happen in a simulation, or in live # trading) if ( self._period_start is None or self._period_close <= dt ): self.calculate_dates(dt) return dt == self._period_end class BeforeClose(StatelessRule): """ A rule that triggers for some offset time before the market closes. Example that triggers for the last 30 minutes every day: >>> BeforeClose(minutes=30) # doctest: +ELLIPSIS """ def __init__(self, offset=None, **kwargs): self.offset = _build_offset( offset, kwargs, datetime.timedelta(minutes=1), # Defaults to the last minute. ) self._period_start = None self._period_close = None self._period_end = None self._one_minute = datetime.timedelta(minutes=1) def calculate_dates(self, dt): # given a dt, find that day's close and period start (close - offset) self._period_end = \ self.cal.open_and_close_for_session( self.cal.minute_to_session_label(dt) )[1] self._period_start = self._period_end - self.offset self._period_close = self._period_end def should_trigger(self, dt): # There are two reasons why we might want to recalculate the dates. # One is the first time we ever call should_trigger, when # self._period_start is none. The second is when we're on a new day, # and need to recalculate the dates. For performance reasons, we rely # on the fact that our clock only ever ticks forward, since it's # cheaper to do dt1 <= dt2 than dt1.date() != dt2.date(). This means # that we will NOT correctly recognize a new date if we go backwards # in time(which should never happen in a simulation, or in live # trading) if self._period_start is None or self._period_close <= dt: self.calculate_dates(dt) return self._period_start == dt class NotHalfDay(StatelessRule): """ A rule that only triggers when it is not a half day. """ def should_trigger(self, dt): return self.cal.minute_to_session_label(dt) \ not in self.cal.early_closes class TradingDayOfWeekRule(six.with_metaclass(ABCMeta, StatelessRule)): @preprocess(n=lossless_float_to_int('TradingDayOfWeekRule')) def __init__(self, n, invert): if not 0 <= n < MAX_WEEK_RANGE: raise _out_of_range_error(MAX_WEEK_RANGE) self.td_delta = (-n - 1) if invert else n def should_trigger(self, dt): # is this market minute's period in the list of execution periods? val = self.cal.minute_to_session_label(dt, direction="none").value return val in self.execution_period_values @lazyval def execution_period_values(self): # calculate the list of periods that match the given criteria sessions = self.cal.all_sessions return set( pd.Series(data=sessions) .groupby([sessions.year, sessions.weekofyear]) .nth(self.td_delta) .astype(np.int64) ) class NthTradingDayOfWeek(TradingDayOfWeekRule): """ A rule that triggers on the nth trading day of the week. This is zero-indexed, n=0 is the first trading day of the week. """ def __init__(self, n): super(NthTradingDayOfWeek, self).__init__(n, invert=False) class NDaysBeforeLastTradingDayOfWeek(TradingDayOfWeekRule): """ A rule that triggers n days before the last trading day of the week. """ def __init__(self, n): super(NDaysBeforeLastTradingDayOfWeek, self).__init__(n, invert=True) class TradingDayOfMonthRule(six.with_metaclass(ABCMeta, StatelessRule)): @preprocess(n=lossless_float_to_int('TradingDayOfMonthRule')) def __init__(self, n, invert): if not 0 <= n < MAX_MONTH_RANGE: raise _out_of_range_error(MAX_MONTH_RANGE) if invert: self.td_delta = -n - 1 else: self.td_delta = n def should_trigger(self, dt): # is this market minute's period in the list of execution periods? value = self.cal.minute_to_session_label(dt, direction="none").value return value in self.execution_period_values @lazyval def execution_period_values(self): # calculate the list of periods that match the given criteria sessions = self.cal.all_sessions return set( pd.Series(data=sessions) .groupby([sessions.year, sessions.month]) .nth(self.td_delta) .astype(np.int64) ) class NthTradingDayOfMonth(TradingDayOfMonthRule): """ A rule that triggers on the nth trading day of the month. This is zero-indexed, n=0 is the first trading day of the month. """ def __init__(self, n): super(NthTradingDayOfMonth, self).__init__(n, invert=False) class NDaysBeforeLastTradingDayOfMonth(TradingDayOfMonthRule): """ A rule that triggers n days before the last trading day of the month. """ def __init__(self, n): super(NDaysBeforeLastTradingDayOfMonth, self).__init__(n, invert=True) # Stateful rules class StatefulRule(EventRule): """ A stateful rule has state. This rule will give different results for the same datetimes depending on the internal state that this holds. StatefulRules wrap other rules as state transformers. """ def __init__(self, rule=None): self.rule = rule or Always() def new_should_trigger(self, callable_): """ Replace the should trigger implementation for the current rule. """ self.should_trigger = callable_ class OncePerDay(StatefulRule): def __init__(self, rule=None): self.triggered = False self.date = None self.next_date = None super(OncePerDay, self).__init__(rule) def should_trigger(self, dt): if self.date is None or dt >= self.next_date: # initialize or reset for new date self.triggered = False self.date = dt # record the timestamp for the next day, so that we can use it # to know if we've moved to the next day self.next_date = dt + pd.Timedelta(1, unit="d") if not self.triggered and self.rule.should_trigger(dt): self.triggered = True return True # Factory API class date_rules(object): every_day = Always @staticmethod def month_start(days_offset=0): return NthTradingDayOfMonth(n=days_offset) @staticmethod def month_end(days_offset=0): return NDaysBeforeLastTradingDayOfMonth(n=days_offset) @staticmethod def week_start(days_offset=0): return NthTradingDayOfWeek(n=days_offset) @staticmethod def week_end(days_offset=0): return NDaysBeforeLastTradingDayOfWeek(n=days_offset) class time_rules(object): market_open = AfterOpen market_close = BeforeClose every_minute = Always def make_eventrule(date_rule, time_rule, cal, half_days=True): """ Constructs an event rule from the factory api. """ # Insert the calendar in to the individual rules date_rule.cal = cal time_rule.cal = cal if half_days: inner_rule = date_rule & time_rule else: nhd_rule = NotHalfDay() nhd_rule.cal = cal inner_rule = date_rule & time_rule & nhd_rule return OncePerDay(rule=inner_rule)