mirror of
https://github.com/wassname/catalyst.git
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fawce
108 lines
2.9 KiB
Python
108 lines
2.9 KiB
Python
"""
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Provides data handlers that can push messages to a zipline.core.DataFeed
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"""
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import datetime
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import random
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import pytz
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import zipline.messaging as zm
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import zipline.protocol as zp
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class TradeDataSource(zm.DataSource):
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def send(self, event):
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"""
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Sends the event iff it matches the internal SID filter.
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:param dict event: is a trade event with data as per
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:py:func: `zipline.protocol.TRADE_FRAME`
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:rtype: None
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"""
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event.source_id = self.get_id
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if event.sid in self.filter['SID']:
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message = zp.DATASOURCE_FRAME(event)
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else:
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blank = zp.namedict({
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"type" : zp.DATASOURCE_TYPE.TRADE,
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"source_id" : self.get_id
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})
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message = zp.DATASOURCE_FRAME(blank)
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self.data_socket.send(message)
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class RandomEquityTrades(TradeDataSource):
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"""
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Generates a random stream of trades for testing.
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"""
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def __init__(self, sid, source_id, count):
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zm.DataSource.__init__(self, source_id)
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self.count = count
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self.incr = 0
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self.sid = sid
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self.trade_start = datetime.datetime.now().replace(tzinfo=pytz.utc)
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self.day = datetime.timedelta(days=1)
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self.price = random.uniform(5.0, 50.0)
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def get_type(self):
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zp.COMPONENT_TYPE.SOURCE
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def do_work(self):
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if not self.incr < self.count:
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self.signal_done()
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return
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self.price = self.price + random.uniform(-0.05, 0.05)
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volume = random.randrange(100,10000,100)
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event = zp.namedict({
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"type" : zp.DATASOURCE_TYPE.TRADE,
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"sid" : self.sid,
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"price" : self.price,
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"volume" : volume,
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"dt" : self.trade_start + (self.day * self.incr),
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})
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self.send(event)
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self.incr += 1
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class SpecificEquityTrades(TradeDataSource):
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"""
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Generates a random stream of trades for testing.
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"""
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def __init__(self, source_id, event_list):
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"""
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:param event_list: should be a chronologically ordered list of
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dictionaries in the following form:
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event = {
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'sid' : an integer for security id,
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'dt' : datetime object,
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'price' : float for price,
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'volume' : integer for volume
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}
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"""
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zm.DataSource.__init__(self, source_id)
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self.event_list = event_list
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self.count = 0
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def get_type(self):
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zp.COMPONENT_TYPE.SOURCE
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def do_work(self):
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if(len(self.event_list) == 0):
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self.signal_done()
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return
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event = self.event_list.pop(0)
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self.send(zp.namedict(event))
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self.count +=1
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