# # 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. import pandas as pd from .utils.enum import enum from zipline._protocol import BarData # noqa # 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', 'COMMISSION', 'CLOSE_POSITION' ) # Expected fields/index values for a dividend Series. DIVIDEND_FIELDS = [ 'declared_date', 'ex_date', 'gross_amount', 'net_amount', 'pay_date', 'payment_sid', 'ratio', 'sid', ] # Expected fields/index values for a dividend payment Series. DIVIDEND_PAYMENT_FIELDS = [ 'id', 'payment_sid', 'cash_amount', 'share_count', ] 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 hasattr(other, '__dict__') and self.__dict__ == other.__dict__ def __contains__(self, name): return name in self.__dict__ def __repr__(self): return "Event({0})".format(self.__dict__) def to_series(self, index=None): return pd.Series(self.__dict__, index=index) class Order(Event): pass class Portfolio(object): def __init__(self): self.capital_used = 0.0 self.starting_cash = 0.0 self.portfolio_value = 0.0 self.pnl = 0.0 self.returns = 0.0 self.cash = 0.0 self.positions = Positions() self.start_date = None self.positions_value = 0.0 def __getitem__(self, key): return self.__dict__[key] def __repr__(self): return "Portfolio({0})".format(self.__dict__) class Account(object): ''' The account object tracks information about the trading account. The values are updated as the algorithm runs and its keys remain unchanged. If connected to a broker, one can update these values with the trading account values as reported by the broker. ''' def __init__(self): self.settled_cash = 0.0 self.accrued_interest = 0.0 self.buying_power = float('inf') self.equity_with_loan = 0.0 self.total_positions_value = 0.0 self.total_positions_exposure = 0.0 self.regt_equity = 0.0 self.regt_margin = float('inf') self.initial_margin_requirement = 0.0 self.maintenance_margin_requirement = 0.0 self.available_funds = 0.0 self.excess_liquidity = 0.0 self.cushion = 0.0 self.day_trades_remaining = float('inf') self.leverage = 0.0 self.net_leverage = 0.0 self.net_liquidation = 0.0 def __getitem__(self, key): return self.__dict__[key] def __repr__(self): return "Account({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 self.last_sale_date = None 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) return pos