mirror of
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fawce
9062b9636a
- moved Order and Blotter to zipline.finance.blotter - moved order method from AlgoSimulator to Blotter - eliminated the set_order method in algorithm - moved blotter to the algorithm
508 lines
13 KiB
Python
508 lines
13 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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"""
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Unit tests for finance.slippage
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"""
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import datetime
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import pytz
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from unittest import TestCase
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from zipline.finance.slippage import VolumeShareSlippage
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from zipline.protocol import Event, DATASOURCE_TYPE
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from zipline.finance.blotter import Order
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class SlippageTestCase(TestCase):
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def test_volume_share_slippage(self):
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event = Event(
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{'volume': 200,
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'type': 4,
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'price': 3.0,
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'datetime': datetime.datetime(
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2006, 1, 5, 14, 31, tzinfo=pytz.utc),
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'high': 3.15,
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'low': 2.85,
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'sid': 133,
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'source_id': 'test_source',
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'close': 3.0,
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'dt':
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datetime.datetime(2006, 1, 5, 14, 31, tzinfo=pytz.utc),
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'open': 3.0}
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)
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slippage_model = VolumeShareSlippage()
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open_orders = [
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Order(**{
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'dt': datetime.datetime(2006, 1, 5, 14, 30, tzinfo=pytz.utc),
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'amount': 100,
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'filled': 0,
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'sid': 133})
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]
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txns = slippage_model.simulate(
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event,
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open_orders
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)
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self.assertEquals(len(txns), 1)
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txn = txns[0]
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expected_txn = {
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'price': float(3.01875),
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'dt': datetime.datetime(
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2006, 1, 5, 14, 31, tzinfo=pytz.utc),
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'amount': int(50),
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'sid': int(133),
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'commission': None,
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'type': DATASOURCE_TYPE.TRANSACTION,
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'order_id': open_orders[0].id
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}
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self.assertIsNotNone(txn)
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# TODO: Make expected_txn an Transaction object and ensure there
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# is a __eq__ for that class.
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self.assertEquals(expected_txn, txn.__dict__)
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def test_orders_limit(self):
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events = self.gen_trades()
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slippage_model = VolumeShareSlippage()
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# long, does not trade
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open_orders = [
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Order(**{
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'dt': datetime.datetime(2006, 1, 5, 14, 30, tzinfo=pytz.utc),
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'amount': 100,
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'filled': 0,
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'sid': 133,
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'limit': 3.5})
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]
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txns = slippage_model.simulate(
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events[2],
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open_orders
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)
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self.assertEquals(len(txns), 0)
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# long, does trade
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open_orders = [
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Order(**{
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'dt': datetime.datetime(2006, 1, 5, 14, 30, tzinfo=pytz.utc),
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'amount': 100,
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'filled': 0,
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'sid': 133,
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'limit': 3.5})
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]
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txns = slippage_model.simulate(
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events[3],
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open_orders
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)
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self.assertEquals(len(txns), 1)
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txn = txns[0]
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expected_txn = {
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'price': float(3.500875),
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'dt': datetime.datetime(
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2006, 1, 5, 14, 34, tzinfo=pytz.utc),
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'amount': int(100),
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'sid': int(133),
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'order_id': open_orders[0].id
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}
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self.assertIsNotNone(txn)
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for key, value in expected_txn.items():
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self.assertEquals(value, txn[key])
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# short, does not trade
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open_orders = [
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Order(**{
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'dt': datetime.datetime(2006, 1, 5, 14, 30, tzinfo=pytz.utc),
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'amount': -100,
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'filled': 0,
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'sid': 133,
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'limit': 3.5})
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]
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txns = slippage_model.simulate(
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events[0],
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open_orders
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)
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expected_txn = {}
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self.assertEquals(len(txns), 0)
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# short, does trade
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open_orders = [
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Order(**{
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'dt': datetime.datetime(2006, 1, 5, 14, 30, tzinfo=pytz.utc),
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'amount': -100,
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'filled': 0,
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'sid': 133,
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'limit': 3.5})
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]
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txns = slippage_model.simulate(
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events[1],
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open_orders
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)
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self.assertEquals(len(txns), 1)
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txn = txns[0]
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expected_txn = {
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'price': float(3.499125),
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'dt': datetime.datetime(
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2006, 1, 5, 14, 32, tzinfo=pytz.utc),
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'amount': int(-100),
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'sid': int(133)
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}
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self.assertIsNotNone(txn)
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for key, value in expected_txn.items():
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self.assertEquals(value, txn[key])
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def test_orders_stop(self):
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events = self.gen_trades()
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slippage_model = VolumeShareSlippage()
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# long, does not trade
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open_orders = [
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Order(**{
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'dt': datetime.datetime(2006, 1, 5, 14, 30, tzinfo=pytz.utc),
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'amount': 100,
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'filled': 0,
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'sid': 133,
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'stop': 3.5})
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]
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txns = slippage_model.simulate(
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events[2],
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open_orders
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)
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self.assertEquals(len(txns), 0)
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# long, does trade
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open_orders = [
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Order(**{
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'dt': datetime.datetime(2006, 1, 5, 14, 30, tzinfo=pytz.utc),
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'amount': 100,
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'filled': 0,
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'sid': 133,
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'stop': 3.6
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})
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]
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txns = slippage_model.simulate(
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events[3],
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open_orders
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)
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self.assertEquals(len(txns), 1)
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txn = txns[0]
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expected_txn = {
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'price': float(3.500875),
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'dt': datetime.datetime(
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2006, 1, 5, 14, 34, tzinfo=pytz.utc),
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'amount': int(100),
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'sid': int(133),
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'order_id': open_orders[0].id
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}
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for key, value in expected_txn.items():
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self.assertEquals(value, txn[key])
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# short, does not trade
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open_orders = [
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Order(**{
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'dt': datetime.datetime(2006, 1, 5, 14, 30, tzinfo=pytz.utc),
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'amount': -100,
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'filled': 0,
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'sid': 133,
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'stop': 3.5})
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]
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txns = slippage_model.simulate(
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events[0],
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open_orders
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)
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self.assertEquals(len(txns), 0)
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# short, does trade
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open_orders = [
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Order(**{
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'dt': datetime.datetime(2006, 1, 5, 14, 30, tzinfo=pytz.utc),
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'amount': -100,
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'filled': 0,
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'sid': 133,
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'stop': 3.4})
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]
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txns = slippage_model.simulate(
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events[1],
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open_orders
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)
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self.assertEquals(len(txns), 1)
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txn = txns[0]
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expected_txn = {
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'price': float(3.499125),
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'dt': datetime.datetime(
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2006, 1, 5, 14, 32, tzinfo=pytz.utc),
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'amount': int(-100),
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'sid': int(133)
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}
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for key, value in expected_txn.items():
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self.assertEquals(value, txn[key])
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def test_orders_stop_limit(self):
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events = self.gen_trades()
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slippage_model = VolumeShareSlippage()
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# long, does not trade
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open_orders = [
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Order(**{
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'dt': datetime.datetime(2006, 1, 5, 14, 30, tzinfo=pytz.utc),
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'amount': 100,
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'filled': 0,
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'sid': 133,
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'stop': 4.0,
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'limit': 3.0})
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]
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txns = slippage_model.simulate(
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events[2],
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open_orders
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)
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self.assertEquals(len(txns), 0)
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txns = slippage_model.simulate(
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events[3],
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open_orders
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)
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self.assertEquals(len(txns), 0)
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# long, does trade
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open_orders = [
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Order(**{
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'dt': datetime.datetime(2006, 1, 5, 14, 30, tzinfo=pytz.utc),
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'amount': 100,
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'filled': 0,
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'sid': 133,
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'stop': 4.0,
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'limit': 3.5})
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]
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txns = slippage_model.simulate(
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events[2],
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open_orders
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)
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self.assertEquals(len(txns), 0)
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txns = slippage_model.simulate(
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events[3],
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open_orders
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)
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self.assertEquals(len(txns), 1)
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txn = txns[0]
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expected_txn = {
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'price': float(3.500875),
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'dt': datetime.datetime(
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2006, 1, 5, 14, 34, tzinfo=pytz.utc),
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'amount': int(100),
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'sid': int(133)
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}
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for key, value in expected_txn.items():
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self.assertEquals(value, txn[key])
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# short, does not trade
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open_orders = [
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Order(**{
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'dt': datetime.datetime(2006, 1, 5, 14, 30, tzinfo=pytz.utc),
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'amount': -100,
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'filled': 0,
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'sid': 133,
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'stop': 3.0,
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'limit': 4.0})
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]
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txns = slippage_model.simulate(
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events[0],
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open_orders
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)
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self.assertEquals(len(txns), 0)
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txns = slippage_model.simulate(
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events[1],
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open_orders
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)
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self.assertEquals(len(txns), 0)
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# short, does trade
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open_orders = [
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Order(**{
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'dt': datetime.datetime(2006, 1, 5, 14, 30, tzinfo=pytz.utc),
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'amount': -100,
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'filled': 0,
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'sid': 133,
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'stop': 3.0,
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'limit': 3.5})
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]
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txns = slippage_model.simulate(
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events[0],
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open_orders
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)
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self.assertEquals(len(txns), 0)
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txns = slippage_model.simulate(
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events[1],
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open_orders
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)
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self.assertEquals(len(txns), 1)
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txn = txns[0]
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expected_txn = {
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'price': float(3.499125),
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'dt': datetime.datetime(
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2006, 1, 5, 14, 32, tzinfo=pytz.utc),
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'amount': int(-100),
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'sid': int(133)
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}
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for key, value in expected_txn.items():
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self.assertEquals(value, txn[key])
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def gen_trades(self):
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# create a sequence of trades
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events = [
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Event({
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'volume': 2000,
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'type': 4,
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'price': 3.0,
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'datetime': datetime.datetime(
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2006, 1, 5, 14, 31, tzinfo=pytz.utc),
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'high': 3.15,
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'low': 2.85,
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'sid': 133,
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'source_id': 'test_source',
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'close': 3.0,
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'dt':
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datetime.datetime(2006, 1, 5, 14, 31, tzinfo=pytz.utc),
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'open': 3.0
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}),
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Event({
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'volume': 2000,
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'type': 4,
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'price': 3.5,
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'datetime': datetime.datetime(
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2006, 1, 5, 14, 32, tzinfo=pytz.utc),
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'high': 3.15,
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'low': 2.85,
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'sid': 133,
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'source_id': 'test_source',
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'close': 3.5,
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'dt':
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datetime.datetime(2006, 1, 5, 14, 32, tzinfo=pytz.utc),
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'open': 3.0
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}),
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Event({
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'volume': 2000,
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'type': 4,
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'price': 4.0,
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'datetime': datetime.datetime(
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2006, 1, 5, 14, 33, tzinfo=pytz.utc),
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'high': 3.15,
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'low': 2.85,
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'sid': 133,
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'source_id': 'test_source',
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'close': 4.0,
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'dt':
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datetime.datetime(2006, 1, 5, 14, 33, tzinfo=pytz.utc),
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'open': 3.5
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}),
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Event({
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'volume': 2000,
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'type': 4,
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'price': 3.5,
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'datetime': datetime.datetime(
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2006, 1, 5, 14, 34, tzinfo=pytz.utc),
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'high': 3.15,
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'low': 2.85,
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'sid': 133,
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'source_id': 'test_source',
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'close': 3.5,
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'dt':
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datetime.datetime(2006, 1, 5, 14, 34, tzinfo=pytz.utc),
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'open': 4.0
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}),
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Event({
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'volume': 2000,
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'type': 4,
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'price': 3.0,
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'datetime': datetime.datetime(
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2006, 1, 5, 14, 35, tzinfo=pytz.utc),
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'high': 3.15,
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'low': 2.85,
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'sid': 133,
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'source_id': 'test_source',
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'close': 3.0,
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'dt':
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datetime.datetime(2006, 1, 5, 14, 35, tzinfo=pytz.utc),
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'open': 3.5
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})
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]
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return events
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