mirror of
https://github.com/wassname/catalyst.git
synced 2026-07-12 11:17:44 +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.
152 lines
4.4 KiB
Python
152 lines
4.4 KiB
Python
#
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# Copyright 2014 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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import abc
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from sys import float_info
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from six import with_metaclass
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import zipline.utils.math_utils as zp_math
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def round_for_minimum_price_variation(x, is_buy,
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diff=(0.0095 - .005)):
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"""
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On an order to buy, between .05 below to .95 above a penny, use that penny.
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On an order to sell, between .95 below to .05 above a penny, use that
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penny.
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buy: [<X-1>.0095, X.0195) -> round to X.01,
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sell: (<X-1>.0005, X.0105] -> round to X.01
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"""
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# Subtracting an epsilon from diff to enforce the open-ness of the upper
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# bound on buys and the lower bound on sells. Using the actual system
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# epsilon doesn't quite get there, so use a slightly less epsilon-ey value.
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epsilon = float_info.epsilon * 10
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diff = diff - epsilon
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# relies on rounding half away from zero, unlike numpy's bankers' rounding
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rounded = round(x - (diff if is_buy else -diff), 2)
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if zp_math.tolerant_equals(rounded, 0.0):
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return 0.0
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return rounded
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class ExecutionStyle(with_metaclass(abc.ABCMeta)):
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"""
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Abstract base class representing a modification to a standard order.
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"""
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@abc.abstractmethod
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def get_limit_price(self, is_buy):
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"""
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Get the limit price for this order.
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Returns either None or a numerical value >= 0.
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"""
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raise NotImplemented
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@abc.abstractmethod
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def get_stop_price(self, is_buy):
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"""
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Get the stop price for this order.
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Returns either None or a numerical value >= 0.
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"""
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raise NotImplemented
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class MarketOrder(ExecutionStyle):
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"""
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Class encapsulating an order to be placed at the current market price.
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"""
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def __init__(self):
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pass
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def get_limit_price(self, _is_buy):
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return None
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def get_stop_price(self, _is_buy):
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return None
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class LimitOrder(ExecutionStyle):
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"""
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Execution style representing an order to be executed at a price equal to or
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better than a specified limit price.
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"""
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def __init__(self, limit_price):
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"""
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Store the given price.
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"""
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if limit_price < 0:
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raise ValueError("Can't place a limit with a negative price.")
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self.limit_price = limit_price
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def get_limit_price(self, is_buy):
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return round_for_minimum_price_variation(self.limit_price, is_buy)
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def get_stop_price(self, _is_buy):
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return None
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class StopOrder(ExecutionStyle):
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"""
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Execution style representing an order to be placed once the market price
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reaches a specified stop price.
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"""
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def __init__(self, stop_price):
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"""
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Store the given price.
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"""
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if stop_price < 0:
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raise ValueError(
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"Can't place a stop order with a negative price."
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)
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self.stop_price = stop_price
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def get_limit_price(self, _is_buy):
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return None
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def get_stop_price(self, is_buy):
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return round_for_minimum_price_variation(self.stop_price, is_buy)
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class StopLimitOrder(ExecutionStyle):
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"""
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Execution style representing a limit order to be placed with a specified
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limit price once the market reaches a specified stop price.
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"""
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def __init__(self, limit_price, stop_price):
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"""
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Store the given prices
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"""
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if limit_price < 0:
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raise ValueError(
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"Can't place a limit with a negative price."
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)
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if stop_price < 0:
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raise ValueError(
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"Can't place a stop order with a negative price."
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)
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self.limit_price = limit_price
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self.stop_price = stop_price
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def get_limit_price(self, is_buy):
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return round_for_minimum_price_variation(self.limit_price, is_buy)
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def get_stop_price(self, is_buy):
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return round_for_minimum_price_variation(self.stop_price, is_buy)
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