mirror of
https://github.com/wassname/catalyst.git
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Eddie HebertandJean Bredeche
16fd6681a6
More documentation to follow in release notes. Based on lazy-mainline branch, see for more details. Also-By: Jean Bredeche <jean@quantopian.com> Also-By: Andrew Liang <aliang@quantopian.com> Also-By: Abhijeet Kalyan <akalyan@quantopian.com>
51 lines
1.3 KiB
Python
51 lines
1.3 KiB
Python
#
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# Copyright 2016 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 abc import abstractmethod
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from six import with_metaclass
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from zipline.gens.sim_engine import DAY_END
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class CancelPolicy(with_metaclass(abc.ABCMeta)):
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@abstractmethod
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def should_cancel(self, event):
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pass
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class EODCancel(CancelPolicy):
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"""
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This policy cancels open orders at the end of the day. For now, Zipline
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will only apply this policy to minutely simulations.
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"""
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def __init__(self, warn_on_cancel=True):
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self.warn_on_cancel = warn_on_cancel
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def should_cancel(self, event):
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return event == DAY_END
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class NeverCancel(CancelPolicy):
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"""
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Orders are never automatically canceled.
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"""
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def __init__(self):
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self.warn_on_cancel = False
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def should_cancel(self, event):
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return False
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