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https://github.com/wassname/catalyst.git
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Jean Bredeche
1f8e194e09
For futures, we need to divide the position’s commission by the contract size to get a per-unit commission in order to properly update the position’s cost basis.
209 lines
7.2 KiB
Python
209 lines
7.2 KiB
Python
#
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# Copyright 2016 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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Position Tracking
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=================
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+-----------------+----------------------------------------------------+
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| key | value |
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+=================+====================================================+
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| asset | the asset held in this position |
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+-----------------+----------------------------------------------------+
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| amount | whole number of shares in the position |
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+-----------------+----------------------------------------------------+
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| last_sale_price | price at last sale of the asset on the exchange |
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+-----------------+----------------------------------------------------+
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| cost_basis | the volume weighted average price paid per share |
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+-----------------+----------------------------------------------------+
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"""
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from __future__ import division
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from math import copysign
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from collections import OrderedDict
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import numpy as np
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import logbook
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from zipline.assets import Future, Asset
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from zipline.utils.input_validation import expect_types
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log = logbook.Logger('Performance')
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class Position(object):
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@expect_types(asset=Asset)
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def __init__(self, asset, amount=0, cost_basis=0.0,
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last_sale_price=0.0, last_sale_date=None):
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self.asset = asset
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self.amount = amount
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self.cost_basis = cost_basis # per share
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self.last_sale_price = last_sale_price
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self.last_sale_date = last_sale_date
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def earn_dividend(self, dividend):
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"""
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Register the number of shares we held at this dividend's ex date so
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that we can pay out the correct amount on the dividend's pay date.
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"""
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return {
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'amount': self.amount * dividend.amount
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}
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def earn_stock_dividend(self, stock_dividend):
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"""
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Register the number of shares we held at this dividend's ex date so
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that we can pay out the correct amount on the dividend's pay date.
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"""
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return {
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'payment_asset': stock_dividend.payment_asset,
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'share_count': np.floor(
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self.amount * float(stock_dividend.ratio)
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)
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}
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@expect_types(asset=Asset)
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def handle_split(self, asset, ratio):
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"""
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Update the position by the split ratio, and return the resulting
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fractional share that will be converted into cash.
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Returns the unused cash.
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"""
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if self.asset != asset:
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raise Exception("updating split with the wrong asset!")
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# adjust the # of shares by the ratio
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# (if we had 100 shares, and the ratio is 3,
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# we now have 33 shares)
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# (old_share_count / ratio = new_share_count)
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# (old_price * ratio = new_price)
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# e.g., 33.333
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raw_share_count = self.amount / float(ratio)
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# e.g., 33
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full_share_count = np.floor(raw_share_count)
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# e.g., 0.333
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fractional_share_count = raw_share_count - full_share_count
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# adjust the cost basis to the nearest cent, e.g., 60.0
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new_cost_basis = round(self.cost_basis * ratio, 2)
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self.cost_basis = new_cost_basis
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self.amount = full_share_count
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return_cash = round(float(fractional_share_count * new_cost_basis), 2)
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log.info("after split: " + str(self))
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log.info("returning cash: " + str(return_cash))
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# return the leftover cash, which will be converted into cash
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# (rounded to the nearest cent)
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return return_cash
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def update(self, txn):
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if self.asset != txn.asset:
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raise Exception('updating position with txn for a '
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'different asset')
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total_shares = self.amount + txn.amount
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if total_shares == 0:
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self.cost_basis = 0.0
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else:
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prev_direction = copysign(1, self.amount)
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txn_direction = copysign(1, txn.amount)
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if prev_direction != txn_direction:
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# we're covering a short or closing a position
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if abs(txn.amount) > abs(self.amount):
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# we've closed the position and gone short
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# or covered the short position and gone long
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self.cost_basis = txn.price
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else:
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prev_cost = self.cost_basis * self.amount
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txn_cost = txn.amount * txn.price
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total_cost = prev_cost + txn_cost
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self.cost_basis = total_cost / total_shares
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# Update the last sale price if txn is
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# best data we have so far
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if self.last_sale_date is None or txn.dt > self.last_sale_date:
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self.last_sale_price = txn.price
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self.last_sale_date = txn.dt
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self.amount = total_shares
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@expect_types(asset=Asset)
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def adjust_commission_cost_basis(self, asset, cost):
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"""
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A note about cost-basis in zipline: all positions are considered
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to share a cost basis, even if they were executed in different
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transactions with different commission costs, different prices, etc.
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Due to limitations about how zipline handles positions, zipline will
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currently spread an externally-delivered commission charge across
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all shares in a position.
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"""
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if asset != self.asset:
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raise Exception('Updating a commission for a different asset?')
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if cost == 0.0:
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return
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# If we no longer hold this position, there is no cost basis to
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# adjust.
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if self.amount == 0:
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return
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prev_cost = self.cost_basis * self.amount
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if isinstance(asset, Future):
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cost_to_use = cost / asset.multiplier
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else:
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cost_to_use = cost
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new_cost = prev_cost + cost_to_use
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self.cost_basis = new_cost / self.amount
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def __repr__(self):
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template = "asset: {asset}, amount: {amount}, cost_basis: {cost_basis}, \
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last_sale_price: {last_sale_price}"
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return template.format(
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asset=self.asset,
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amount=self.amount,
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cost_basis=self.cost_basis,
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last_sale_price=self.last_sale_price
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)
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def to_dict(self):
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"""
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Creates a dictionary representing the state of this position.
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Returns a dict object of the form:
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"""
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return {
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'sid': self.asset,
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'amount': self.amount,
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'cost_basis': self.cost_basis,
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'last_sale_price': self.last_sale_price
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}
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class positiondict(OrderedDict):
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def __missing__(self, key):
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return None
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