mirror of
https://github.com/wassname/catalyst.git
synced 2026-07-01 00:32:58 +08:00
Scott Sanderson
119a1a4cda
existing `limit_price` and `stop_price` parameters. The goal of this change is to refactor the existing ordering API to provide a cleaner interface for defining more complex order types. Adds a new module, zipline.finance.execution, which defines the ExecutionStyle abstract base class, along with concrete MarketOrder, LimitOrder, StopOrder, and StopLimitOrder subclasses. Adds a new `style` keyword argument to the function signature of the `order` API method, which accepts an instance of ExecutionStyle. The existing limit_price and stop_price parameters are still supported at this time, but are converted into the new ExecutionStyle objects before being passed to Blotter.order.
131 lines
3.5 KiB
Python
131 lines
3.5 KiB
Python
#
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# Copyright 2013 Quantopian, Inc.
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#
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# Licensed under the Apache License, Version 2.0 (the "License");
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# you may not use this file except in compliance with the License.
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# You may obtain a copy of the License at
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#
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# http://www.apache.org/licenses/LICENSE-2.0
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#
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# Unless required by applicable law or agreed to in writing, software
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# distributed under the License is distributed on an "AS IS" BASIS,
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# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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# See the License for the specific language governing permissions and
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# limitations under the License.
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class ZiplineError(Exception):
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msg = None
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def __init__(self, *args, **kwargs):
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self.args = args
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self.kwargs = kwargs
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self.message = str(self)
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def __str__(self):
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msg = self.msg.format(**self.kwargs)
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return msg
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__unicode__ = __str__
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__repr__ = __str__
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class WrongDataForTransform(ZiplineError):
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"""
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Raised whenever a rolling transform is called on an event that
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does not have the necessary properties.
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"""
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msg = "{transform} requires {fields}. Event cannot be processed."
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class UnsupportedSlippageModel(ZiplineError):
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"""
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Raised if a user script calls the override_slippage magic
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with a slipage object that isn't a VolumeShareSlippage or
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FixedSlipapge
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"""
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msg = """
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You attempted to override slippage with an unsupported class. \
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Please use VolumeShareSlippage or FixedSlippage.
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""".strip()
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class OverrideSlippagePostInit(ZiplineError):
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# Raised if a users script calls override_slippage magic
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# after the initialize method has returned.
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msg = """
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You attempted to override slippage after the simulation has \
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started. You may only call override_slippage in your initialize \
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method.
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""".strip()
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class UnsupportedCommissionModel(ZiplineError):
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"""
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Raised if a user script calls the override_commission magic
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with a commission object that isn't a PerShare, PerTrade or
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PerDollar commission
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"""
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msg = """
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You attempted to override commission with an unsupported class. \
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Please use PerShare or PerTrade.
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""".strip()
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class OverrideCommissionPostInit(ZiplineError):
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"""
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Raised if a users script calls override_commission magic
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after the initialize method has returned.
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"""
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msg = """
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You attempted to override commission after the simulation has \
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started. You may only call override_commission in your initialize \
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method.
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""".strip()
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class TransactionWithNoVolume(ZiplineError):
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"""
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Raised if a transact call returns a transaction with zero volume.
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"""
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msg = """
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Transaction {txn} has a volume of zero.
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""".strip()
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class TransactionWithWrongDirection(ZiplineError):
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"""
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Raised if a transact call returns a transaction with a direction that
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does not match the order.
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"""
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msg = """
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Transaction {txn} not in same direction as corresponding order {order}.
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""".strip()
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class TransactionWithNoAmount(ZiplineError):
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"""
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Raised if a transact call returns a transaction with zero amount.
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"""
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msg = """
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Transaction {txn} has an amount of zero.
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""".strip()
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class TransactionVolumeExceedsOrder(ZiplineError):
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"""
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Raised if a transact call returns a transaction with a volume greater than
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the corresponding order.
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"""
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msg = """
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Transaction volume of {txn} exceeds the order volume of {order}.
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""".strip()
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class UnsupportedOrderParameters(ZiplineError):
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"""
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Raised if a set of mutually exclusive parameters are passed to an order
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call.
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"""
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msg = "{msg}"
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