# # Copyright 2012 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. """ Tools to generate data sources. """ __all__ = ['DataFrameSource', 'SpecificEquityTrades'] import random import pytz from itertools import cycle, ifilter, izip from datetime import datetime, timedelta import pandas as pd from copy import copy import numpy as np from zipline.protocol import DATASOURCE_TYPE from zipline.utils import ndict from zipline.gens.utils import hash_args, create_trade def date_gen(start=datetime(2006, 6, 6, 12, tzinfo=pytz.utc), delta=timedelta(minutes=1), count=100, repeats=None): """ Utility to generate a stream of dates. """ if repeats: return (start + (i * delta) for i in xrange(count) for n in xrange(repeats)) else: return (start + (i * delta) for i in xrange(count)) def mock_prices(count, rand=False): """ Utility to generate a stream of mock prices. By default cycles through values from 0.0 to 10.0, n times. Optional flag to give random values between 0.0 and 10.0 """ if rand: return (random.uniform(1.0, 10.0) for i in xrange(count)) else: return (float(i % 10) + 1.0 for i in xrange(count)) def mock_volumes(count, rand=False): """ Utility to generate a set of volumes. By default cycles through values from 100 to 1000, incrementing by 50. Optional flag to give random values between 100 and 1000. """ if rand: return (random.randrange(100, 1000) for i in xrange(count)) else: return ((i * 50) % 900 + 100 for i in xrange(count)) def fuzzy_dates(count=500): """ Add +-10 seconds to each event from a date_gen. Note that this still guarantees sorting, since the default on date_gen is minute separation of events. """ for date in date_gen(count=count): yield date + timedelta(seconds=random.randint(-10, 10)) class SpecificEquityTrades(object): """ Yields all events in event_list that match the given sid_filter. If no event_list is specified, generates an internal stream of events to filter. Returns all events if filter is None. Configuration options: count : integer representing number of trades sids : list of values representing simulated internal sids start : start date delta : timedelta between internal events filter : filter to remove the sids """ def __init__(self, *args, **kwargs): # We shouldn't get any positional arguments. assert len(args) == 0 # Default to None for event_list and filter. self.event_list = kwargs.get('event_list') self.filter = kwargs.get('filter') if self.event_list is not None: # If event_list is provided, extract parameters from there # This isn't really clean and ultimately I think this # class should serve a single purpose (either take an # event_list or autocreate events). self.count = kwargs.get('count', len(self.event_list)) self.sids = kwargs.get( 'sids', np.unique([event.sid for event in self.event_list]).tolist()) self.start = kwargs.get('start', self.event_list[0].dt) self.end = kwargs.get('start', self.event_list[-1].dt) self.delta = kwargs.get( 'delta', self.event_list[1].dt - self.event_list[0].dt) self.concurrent = kwargs.get('concurrent', False) else: # Unpack config dictionary with default values. self.count = kwargs.get('count', 500) self.sids = kwargs.get('sids', [1, 2]) self.start = kwargs.get( 'start', datetime(2008, 6, 6, 15, tzinfo=pytz.utc)) self.delta = kwargs.get( 'delta', timedelta(minutes=1)) self.concurrent = kwargs.get('concurrent', False) # Hash_value for downstream sorting. self.arg_string = hash_args(*args, **kwargs) self.generator = self.create_fresh_generator() def __iter__(self): return self def next(self): return self.generator.next() def rewind(self): self.generator = self.create_fresh_generator() def get_hash(self): return self.__class__.__name__ + "-" + self.arg_string def update_source_id(self, gen): for event in gen: event.source_id = self.get_hash() yield event def create_fresh_generator(self): if self.event_list: event_gen = (event for event in self.event_list) unfiltered = self.update_source_id(event_gen) # Set up iterators for each expected field. else: if self.concurrent: # in this context the count is the number of # trades per sid, not the total. dates = date_gen( count=self.count, start=self.start, delta=self.delta, repeats=len(self.sids), ) else: dates = date_gen( count=self.count, start=self.start, delta=self.delta ) prices = mock_prices(self.count) volumes = mock_volumes(self.count) sids = cycle(self.sids) # Combine the iterators into a single iterator of arguments arg_gen = izip(sids, prices, volumes, dates) # Convert argument packages into events. unfiltered = (create_trade(*args, source_id=self.get_hash()) for args in arg_gen) # If we specified a sid filter, filter out elements that don't # match the filter. if self.filter: filtered = ifilter( lambda event: event.sid in self.filter, unfiltered) # Otherwise just use all events. else: filtered = unfiltered # Return the filtered event stream. return filtered class DataFrameSource(SpecificEquityTrades): """ Yields all events in event_list that match the given sid_filter. If no event_list is specified, generates an internal stream of events to filter. Returns all events if filter is None. Configuration options: count : integer representing number of trades sids : list of values representing simulated internal sids start : start date delta : timedelta between internal events filter : filter to remove the sids """ def __init__(self, data, **kwargs): assert isinstance(data.index, pd.tseries.index.DatetimeIndex) self.data = data # Unpack config dictionary with default values. self.count = kwargs.get('count', len(data)) self.sids = kwargs.get('sids', data.columns) self.start = kwargs.get('start', data.index[0]) self.end = kwargs.get('end', data.index[-1]) self.delta = kwargs.get('delta', data.index[1] - data.index[0]) # Hash_value for downstream sorting. self.arg_string = hash_args(data, **kwargs) self.generator = self.create_fresh_generator() def create_fresh_generator(self): def _generator(df=self.data): for dt, series in df.iterrows(): if (dt < self.start) or (dt > self.end): continue event = {'dt': dt, 'source_id': self.get_hash(), 'type': DATASOURCE_TYPE.TRADE } for sid, price in series.iterkv(): event = copy(event) event['sid'] = sid event['price'] = price event['volume'] = 1000 yield ndict(event) # Return the filtered event stream. drop_sids = lambda x: x.sid in self.sids return ifilter(drop_sids, _generator())