mirror of
https://github.com/wassname/catalyst.git
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Eddie Hebert
106 lines
3.5 KiB
Python
106 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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from collections import defaultdict
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from zipline.errors import WrongDataForTransform
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from zipline.transforms.utils import EventWindow, TransformMeta
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class MovingVWAP(object):
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"""
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Class that maintains a dictionary from sids to VWAPEventWindows.
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"""
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__metaclass__ = TransformMeta
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def __init__(self, market_aware=True, delta=None, window_length=None):
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self.market_aware = market_aware
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self.delta = delta
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self.window_length = window_length
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# Market-aware mode only works with full-day windows.
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if self.market_aware:
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assert self.window_length and not self.delta,\
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"Market-aware mode only works with full-day windows."
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# Non-market-aware mode requires a timedelta.
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else:
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assert self.delta and not self.window_length, \
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"Non-market-aware mode requires a timedelta."
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# No way to pass arguments to the defaultdict factory, so we
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# need to define a method to generate the correct EventWindows.
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self.sid_windows = defaultdict(self.create_window)
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def create_window(self):
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"""Factory method for self.sid_windows."""
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return VWAPEventWindow(
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self.market_aware,
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window_length=self.window_length,
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delta=self.delta
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)
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def update(self, event):
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"""
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Update the event window for this event's sid. Returns the
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current vwap for the sid.
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"""
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# This will create a new EventWindow if this is the first
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# message for this sid.
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window = self.sid_windows[event.sid]
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window.update(event)
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return window.get_vwap()
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class VWAPEventWindow(EventWindow):
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"""
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Iteratively maintains a vwap for a single sid over a given
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timedelta.
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"""
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def __init__(self, market_aware=True, window_length=None, delta=None):
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EventWindow.__init__(self, market_aware, window_length, delta)
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self.flux = 0.0
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self.totalvolume = 0.0
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# Subclass customization for adding new events.
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def handle_add(self, event):
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# Sanity check on the event.
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self.assert_required_fields(event)
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self.flux += event.volume * event.price
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self.totalvolume += event.volume
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# Subclass customization for removing expired events.
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def handle_remove(self, event):
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self.flux -= event.volume * event.price
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self.totalvolume -= event.volume
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def get_vwap(self):
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"""
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Return the calculated vwap for this sid.
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"""
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# By convention, vwap is None if we have no events.
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if len(self.ticks) == 0:
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return None
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else:
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return (self.flux / self.totalvolume)
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# We need numerical price and volume to calculate a vwap.
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def assert_required_fields(self, event):
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if 'price' not in event or 'volume' not in event:
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raise WrongDataForTransform(
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transform="VWAPEventWindow",
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fields=self.fields)
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