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46 lines
1.3 KiB
Python
46 lines
1.3 KiB
Python
import pandas
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from datetime import timedelta
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from collections import defaultdict
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from zipline.messaging import BaseTransform
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class ReturnsTransform(BaseTransform):
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def init(self):
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self.by_sid = defaultdict(self._create)
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def transform(self, event):
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cur = self.by_sid[event.sid]
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cur.update(event)
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self.state['value'] = cur.returns
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return self.state
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def _create(self):
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return ReturnsFromPriorClose()
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class ReturnsFromPriorClose(object):
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"""
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Calculates a security's returns since the previous close, using the
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current price.
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"""
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def __init__(self):
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self.last_close = None
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self.last_event = None
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self.returns = 0.0
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def update(self, event):
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next_close = None
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if self.last_close:
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change = event.price - self.last_close.price
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self.returns = change / self.last_close.price
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if self.last_event:
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if self.last_event.dt.day != event.dt.day:
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# the current event is from the day after
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# the last event. Therefore the last event was
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# the last close
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self.last_close = self.last_event
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# the current event is now the last_event
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self.last_event = event |