mirror of
https://github.com/wassname/catalyst.git
synced 2026-06-30 17:56:34 +08:00
Eddie Hebert
b3efb5eb69
Now that ndict is no longer used in any part of the system during a backtest, remove all remaining references in tests, etc.
124 lines
4.0 KiB
Python
124 lines
4.0 KiB
Python
#
|
|
# Copyright 2013 Quantopian, Inc.
|
|
#
|
|
# Licensed under the Apache License, Version 2.0 (the "License");
|
|
# you may not use this file except in compliance with the License.
|
|
# You may obtain a copy of the License at
|
|
#
|
|
# http://www.apache.org/licenses/LICENSE-2.0
|
|
#
|
|
# Unless required by applicable law or agreed to in writing, software
|
|
# distributed under the License is distributed on an "AS IS" BASIS,
|
|
# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
|
|
# See the License for the specific language governing permissions and
|
|
# limitations under the License.
|
|
|
|
from collections import defaultdict
|
|
from math import sqrt
|
|
|
|
from zipline.errors import WrongDataForTransform
|
|
from zipline.transforms.utils import EventWindow, TransformMeta
|
|
import zipline.utils.math_utils as zp_math
|
|
|
|
|
|
class MovingStandardDev(object):
|
|
"""
|
|
Class that maintains a dictionary from sids to
|
|
MovingStandardDevWindows. For each sid, we maintain a the
|
|
standard deviation of all events falling within the specified
|
|
window.
|
|
"""
|
|
__metaclass__ = TransformMeta
|
|
|
|
def __init__(self, market_aware=True, window_length=None, delta=None):
|
|
|
|
self.market_aware = market_aware
|
|
|
|
self.delta = delta
|
|
self.window_length = window_length
|
|
|
|
# Market-aware mode only works with full-day windows.
|
|
if self.market_aware:
|
|
assert self.window_length and not self.delta,\
|
|
"Market-aware mode only works with full-day windows."
|
|
|
|
# Non-market-aware mode requires a timedelta.
|
|
else:
|
|
assert self.delta and not self.window_length, \
|
|
"Non-market-aware mode requires a timedelta."
|
|
|
|
# No way to pass arguments to the defaultdict factory, so we
|
|
# need to define a method to generate the correct EventWindows.
|
|
self.sid_windows = defaultdict(self.create_window)
|
|
|
|
def create_window(self):
|
|
"""
|
|
Factory method for self.sid_windows.
|
|
"""
|
|
return MovingStandardDevWindow(
|
|
self.market_aware,
|
|
self.window_length,
|
|
self.delta
|
|
)
|
|
|
|
def update(self, event):
|
|
"""
|
|
Update the event window for this event's sid. Return a dict
|
|
from tracked fields to moving averages.
|
|
"""
|
|
# This will create a new EventWindow if this is the first
|
|
# message for this sid.
|
|
window = self.sid_windows[event.sid]
|
|
window.update(event)
|
|
return window.get_stddev()
|
|
|
|
def assert_required_fields(self, event):
|
|
"""
|
|
We only allow events with a price field to be run through
|
|
the returns transform.
|
|
"""
|
|
if 'price' not in event:
|
|
raise WrongDataForTransform(
|
|
transform="StdDevEventWindow",
|
|
fields='price')
|
|
|
|
|
|
class MovingStandardDevWindow(EventWindow):
|
|
"""
|
|
Iteratively calculates standard deviation for a particular sid
|
|
over a given time window. The expected functionality of this
|
|
class is to be instantiated inside a MovingStandardDev.
|
|
"""
|
|
|
|
def __init__(self, market_aware=True, window_length=None, delta=None):
|
|
# Call the superclass constructor to set up base EventWindow
|
|
# infrastructure.
|
|
EventWindow.__init__(self, market_aware, window_length, delta)
|
|
|
|
self.sum = 0.0
|
|
self.sum_sqr = 0.0
|
|
|
|
def handle_add(self, event):
|
|
self.sum += event.price
|
|
self.sum_sqr += event.price ** 2
|
|
|
|
def handle_remove(self, event):
|
|
self.sum -= event.price
|
|
self.sum_sqr -= event.price ** 2
|
|
|
|
def get_stddev(self):
|
|
# Sample standard deviation is undefined for a single event or
|
|
# no events.
|
|
if len(self) <= 1:
|
|
return None
|
|
|
|
else:
|
|
average = self.sum / len(self)
|
|
s_squared = (self.sum_sqr - self.sum * average) \
|
|
/ (len(self) - 1)
|
|
|
|
if zp_math.tolerant_equals(0, s_squared):
|
|
return 0.0
|
|
stddev = sqrt(s_squared)
|
|
return stddev
|