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https://github.com/wassname/catalyst.git
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Jean Bredeche
b1248cb6d6
(Instead of `sid`, which were already usually assets) Perf packets are unchanged and still emit `sid`: int
66 lines
1.9 KiB
Python
66 lines
1.9 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 __future__ import division
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from copy import copy
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from zipline.assets import Asset
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from zipline.protocol import DATASOURCE_TYPE
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from zipline.utils.input_validation import expect_types
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class Transaction(object):
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@expect_types(asset=Asset)
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def __init__(self, asset, amount, dt, price, order_id, commission=None):
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self.asset = asset
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self.amount = amount
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self.dt = dt
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self.price = price
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self.order_id = order_id
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self.commission = commission
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self.type = DATASOURCE_TYPE.TRANSACTION
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def __getitem__(self, name):
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return self.__dict__[name]
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def to_dict(self):
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py = copy(self.__dict__)
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del py['type']
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del py['asset']
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py['sid'] = self.asset
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return py
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def create_transaction(order, dt, price, amount):
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# floor the amount to protect against non-whole number orders
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# TODO: Investigate whether we can add a robust check in blotter
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# and/or tradesimulation, as well.
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amount_magnitude = int(abs(amount))
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if amount_magnitude < 1:
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raise Exception("Transaction magnitude must be at least 1.")
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transaction = Transaction(
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asset=order.asset,
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amount=int(amount),
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dt=dt,
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price=price,
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order_id=order.id
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)
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return transaction
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