mirror of
https://github.com/wassname/catalyst.git
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418 lines
15 KiB
Python
418 lines
15 KiB
Python
#
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# Copyright 2015 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 logbook import Logger
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from collections import defaultdict
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from copy import copy
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from six import iteritems
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from catalyst.assets import Equity, Future, Asset
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from catalyst.finance.order import Order
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from catalyst.finance.slippage import (
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DEFAULT_FUTURE_VOLUME_SLIPPAGE_BAR_LIMIT,
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VolatilityVolumeShare,
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VolumeShareSlippage,
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)
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from catalyst.finance.commission import (
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DEFAULT_PER_CONTRACT_COST,
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FUTURE_EXCHANGE_FEES_BY_SYMBOL,
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PerContract,
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PerShare,
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)
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from catalyst.finance.cancel_policy import NeverCancel
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from catalyst.utils.input_validation import expect_types
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from catalyst.constants import LOG_LEVEL
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log = Logger('Blotter', level=LOG_LEVEL)
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warning_logger = Logger('AlgoWarning')
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class Blotter(object):
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def __init__(self, data_frequency, equity_slippage=None,
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future_slippage=None, equity_commission=None,
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future_commission=None, cancel_policy=None):
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# these orders are aggregated by asset
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self.open_orders = defaultdict(list)
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# keep a dict of orders by their own id
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self.orders = {}
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# holding orders that have come in since the last event.
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self.new_orders = []
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self.current_dt = None
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self.max_shares = int(1e+11)
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self.slippage_models = {
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Equity: equity_slippage or VolumeShareSlippage(),
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Future: future_slippage or VolatilityVolumeShare(
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volume_limit=DEFAULT_FUTURE_VOLUME_SLIPPAGE_BAR_LIMIT,
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),
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}
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self.commission_models = {
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Equity: equity_commission or PerShare(),
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Future: future_commission or PerContract(
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cost=DEFAULT_PER_CONTRACT_COST,
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exchange_fee=FUTURE_EXCHANGE_FEES_BY_SYMBOL,
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),
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}
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self.data_frequency = data_frequency
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self.cancel_policy = cancel_policy if cancel_policy else NeverCancel()
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def __repr__(self):
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return """
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{class_name}(
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slippage_models={slippage_models},
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commission_models={commission_models},
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open_orders={open_orders},
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orders={orders},
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new_orders={new_orders},
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current_dt={current_dt})
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""".strip().format(class_name=self.__class__.__name__,
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slippage_models=self.slippage_models,
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commission_models=self.commission_models,
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open_orders=self.open_orders,
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orders=self.orders,
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new_orders=self.new_orders,
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current_dt=self.current_dt)
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def set_date(self, dt):
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self.current_dt = dt
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@expect_types(asset=Asset)
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def order(self, asset, amount, style, order_id=None):
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"""Place an order.
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Parameters
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----------
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asset : catalyst.assets.Asset
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The asset that this order is for.
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amount : int
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The amount of shares to order. If ``amount`` is positive, this is
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the number of shares to buy or cover. If ``amount`` is negative,
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this is the number of shares to sell or short.
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style : catalyst.finance.execution.ExecutionStyle
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The execution style for the order.
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order_id : str, optional
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The unique identifier for this order.
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Returns
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-------
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order_id : str or None
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The unique identifier for this order, or None if no order was
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placed.
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Notes
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-----
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amount > 0 :: Buy/Cover
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amount < 0 :: Sell/Short
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Market order: order(asset, amount)
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Limit order: order(asset, amount, style=LimitOrder(limit_price))
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Stop order: order(asset, amount, style=StopOrder(stop_price))
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StopLimit order: order(asset, amount, style=StopLimitOrder(limit_price,
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stop_price))
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"""
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# something could be done with amount to further divide
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# between buy by share count OR buy shares up to a dollar amount
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# numeric == share count AND "$dollar.cents" == cost amount
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if amount == 0:
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# Don't bother placing orders for 0 shares.
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return None
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elif amount > self.max_shares:
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# Arbitrary limit of 100 billion (US) shares will never be
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# exceeded except by a buggy algorithm.
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raise OverflowError("Can't order more than %d shares" %
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self.max_shares)
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is_buy = (amount > 0)
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order = Order(
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dt=self.current_dt,
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asset=asset,
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amount=amount,
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stop=style.get_stop_price(is_buy),
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limit=style.get_limit_price(is_buy),
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id=order_id
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)
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self.open_orders[order.asset].append(order)
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self.orders[order.id] = order
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self.new_orders.append(order)
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return order.id
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def batch_order(self, order_arg_lists):
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"""Place a batch of orders.
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Parameters
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----------
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order_arg_lists : iterable[tuple]
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Tuples of args that `order` expects.
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Returns
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-------
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order_ids : list[str or None]
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The unique identifier (or None) for each of the orders placed
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(or not placed).
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Notes
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-----
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This is required for `Blotter` subclasses to be able to place a batch
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of orders, instead of being passed the order requests one at a time.
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"""
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return [self.order(*order_args) for order_args in order_arg_lists]
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def cancel(self, order_id, relay_status=True):
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if order_id not in self.orders:
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return
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cur_order = self.orders[order_id]
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if cur_order.open:
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order_list = self.open_orders[cur_order.asset]
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if cur_order in order_list:
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order_list.remove(cur_order)
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if cur_order in self.new_orders:
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self.new_orders.remove(cur_order)
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cur_order.cancel()
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cur_order.dt = self.current_dt
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if relay_status:
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# we want this order's new status to be relayed out
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# along with newly placed orders.
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self.new_orders.append(cur_order)
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def cancel_all_orders_for_asset(self, asset, warn=False,
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relay_status=True):
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"""
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Cancel all open orders for a given asset.
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"""
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# (sadly) open_orders is a defaultdict, so this will always succeed.
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orders = self.open_orders[asset]
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# We're making a copy here because `cancel` mutates the list of open
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# orders in place. The right thing to do here would be to make
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# self.open_orders no longer a defaultdict. If we do that, then we
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# should just remove the orders once here and be done with the matter.
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for order in orders[:]:
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self.cancel(order.id, relay_status)
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if warn:
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# Message appropriately depending on whether there's
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# been a partial fill or not.
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if order.filled > 0:
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warning_logger.warn(
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'Your order for {order_amt} shares of '
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'{order_sym} has been partially filled. '
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'{order_filled} shares were successfully '
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'purchased. {order_failed} shares were not '
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'filled by the end of day and '
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'were canceled.'.format(
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order_amt=order.amount,
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order_sym=order.asset.symbol,
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order_filled=order.filled,
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order_failed=order.amount - order.filled,
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)
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)
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elif order.filled < 0:
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warning_logger.warn(
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'Your order for {order_amt} shares of '
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'{order_sym} has been partially filled. '
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'{order_filled} shares were successfully '
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'sold. {order_failed} shares were not '
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'filled by the end of day and '
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'were canceled.'.format(
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order_amt=order.amount,
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order_sym=order.asset.symbol,
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order_filled=-1 * order.filled,
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order_failed=-1 * (order.amount - order.filled),
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)
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)
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else:
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warning_logger.warn(
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'Your order for {order_amt} shares of '
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'{order_sym} failed to fill by the end of day '
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'and was canceled.'.format(
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order_amt=order.amount,
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order_sym=order.asset.symbol,
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)
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)
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assert not orders
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del self.open_orders[asset]
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def execute_cancel_policy(self, event):
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if self.cancel_policy.should_cancel(event):
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warn = self.cancel_policy.warn_on_cancel
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for asset in copy(self.open_orders):
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self.cancel_all_orders_for_asset(asset, warn,
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relay_status=False)
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def reject(self, order_id, reason=''):
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"""
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Mark the given order as 'rejected', which is functionally similar to
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cancelled. The distinction is that rejections are involuntary (and
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usually include a message from a broker indicating why the order was
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rejected) while cancels are typically user-driven.
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"""
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if order_id not in self.orders:
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return
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cur_order = self.orders[order_id]
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order_list = self.open_orders[cur_order.asset]
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if cur_order in order_list:
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order_list.remove(cur_order)
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if cur_order in self.new_orders:
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self.new_orders.remove(cur_order)
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cur_order.reject(reason=reason)
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cur_order.dt = self.current_dt
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# we want this order's new status to be relayed out
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# along with newly placed orders.
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self.new_orders.append(cur_order)
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def hold(self, order_id, reason=''):
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"""
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Mark the order with order_id as 'held'. Held is functionally similar
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to 'open'. When a fill (full or partial) arrives, the status
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will automatically change back to open/filled as necessary.
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"""
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if order_id not in self.orders:
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return
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cur_order = self.orders[order_id]
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if cur_order.open:
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if cur_order in self.new_orders:
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self.new_orders.remove(cur_order)
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cur_order.hold(reason=reason)
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cur_order.dt = self.current_dt
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# we want this order's new status to be relayed out
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# along with newly placed orders.
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self.new_orders.append(cur_order)
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def process_splits(self, splits):
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"""
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Processes a list of splits by modifying any open orders as needed.
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Parameters
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----------
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splits: list
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A list of splits. Each split is a tuple of (asset, ratio).
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Returns
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-------
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None
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"""
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for asset, ratio in splits:
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if asset not in self.open_orders:
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continue
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orders_to_modify = self.open_orders[asset]
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for order in orders_to_modify:
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order.handle_split(ratio)
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def get_transactions(self, bar_data):
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"""
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Creates a list of transactions based on the current open orders,
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slippage model, and commission model.
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Parameters
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----------
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bar_data: catalyst._protocol.BarData
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Notes
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-----
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This method book-keeps the blotter's open_orders dictionary, so that
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it is accurate by the time we're done processing open orders.
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Returns
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-------
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transactions_list: List
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transactions_list: list of transactions resulting from the current
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open orders. If there were no open orders, an empty list is
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returned.
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commissions_list: List
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commissions_list: list of commissions resulting from filling the
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open orders. A commission is an object with "asset" and "cost"
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parameters.
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closed_orders: List
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closed_orders: list of all the orders that have filled.
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"""
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closed_orders = []
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transactions = []
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commissions = []
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if self.open_orders:
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for asset, asset_orders in iteritems(self.open_orders):
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slippage = self.slippage_models[type(asset)]
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for order, txn in \
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slippage.simulate(bar_data, asset, asset_orders):
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commission = self.commission_models[type(asset)]
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additional_commission = commission.calculate(order, txn)
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if additional_commission > 0:
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commissions.append({
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"asset": order.asset,
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"order": order,
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"cost": additional_commission
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})
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order.filled += txn.amount
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order.commission += additional_commission
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order.dt = txn.dt
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transactions.append(txn)
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if not order.open:
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closed_orders.append(order)
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return transactions, commissions, closed_orders
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def prune_orders(self, closed_orders):
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"""
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Removes all given orders from the blotter's open_orders list.
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Parameters
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----------
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closed_orders: iterable of orders that are closed.
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Returns
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-------
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None
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"""
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# remove all closed orders from our open_orders dict
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for order in closed_orders:
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asset = order.asset
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asset_orders = self.open_orders[asset]
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try:
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asset_orders.remove(order)
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except ValueError:
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continue
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# now clear out the assets from our open_orders dict that have
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# zero open orders
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for asset in list(self.open_orders.keys()):
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if len(self.open_orders[asset]) == 0:
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del self.open_orders[asset]
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