mirror of
https://github.com/wassname/catalyst.git
synced 2026-07-15 11:22:18 +08:00
234 lines
8.4 KiB
Python
234 lines
8.4 KiB
Python
#
|
|
# Copyright 2014 Quantopian, Inc.
|
|
#
|
|
# Licensed under the Apache License, Version 2.0 (the "License");
|
|
# you may not use this file except in compliance with the License.
|
|
# You may obtain a copy of the License at
|
|
#
|
|
# http://www.apache.org/licenses/LICENSE-2.0
|
|
#
|
|
# Unless required by applicable law or agreed to in writing, software
|
|
# distributed under the License is distributed on an "AS IS" BASIS,
|
|
# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
|
|
# See the License for the specific language governing permissions and
|
|
# limitations under the License.
|
|
|
|
"""
|
|
Position Tracking
|
|
=================
|
|
|
|
+-----------------+----------------------------------------------------+
|
|
| key | value |
|
|
+=================+====================================================+
|
|
| sid | the identifier for the security held in this |
|
|
| | position. |
|
|
+-----------------+----------------------------------------------------+
|
|
| amount | whole number of shares in the position |
|
|
+-----------------+----------------------------------------------------+
|
|
| last_sale_price | price at last sale of the security on the exchange |
|
|
+-----------------+----------------------------------------------------+
|
|
| cost_basis | the volume weighted average price paid per share |
|
|
+-----------------+----------------------------------------------------+
|
|
|
|
"""
|
|
|
|
from __future__ import division
|
|
import logbook
|
|
import math
|
|
|
|
from collections import Counter
|
|
|
|
log = logbook.Logger('Performance')
|
|
|
|
|
|
class Position(object):
|
|
|
|
def __init__(self, sid, amount=0, cost_basis=0.0,
|
|
last_sale_price=0.0, last_sale_date=None,
|
|
dividends=None):
|
|
self.sid = sid
|
|
self.amount = amount
|
|
self.cost_basis = cost_basis # per share
|
|
self.last_sale_price = last_sale_price
|
|
self.last_sale_date = last_sale_date
|
|
self.dividends = dividends or []
|
|
|
|
def update_dividends(self, midnight_utc):
|
|
"""
|
|
midnight_utc is the 0 hour for the current (not yet open) trading day.
|
|
This method will be invoked at the end of the market
|
|
close handling, before the next market open.
|
|
"""
|
|
cash_payment = 0.0
|
|
stock_payment = Counter() # maps sid to number of shares paid
|
|
unpaid_dividends = []
|
|
for dividend in self.dividends:
|
|
if midnight_utc == dividend.ex_date:
|
|
# if we own shares at midnight of the div_ex date
|
|
# we are entitled to the dividend.
|
|
dividend.amount_on_ex_date = self.amount
|
|
# stock dividend
|
|
if dividend.payment_sid:
|
|
# e.g., 33.333
|
|
raw_share_count = self.amount * float(dividend.ratio)
|
|
# e.g., 33
|
|
dividend.stock_payment = math.floor(raw_share_count)
|
|
else:
|
|
dividend.stock_payment = None
|
|
# cash dividend
|
|
if dividend.net_amount:
|
|
dividend.cash_payment = self.amount * dividend.net_amount
|
|
elif dividend.gross_amount:
|
|
dividend.cash_payment = self.amount * dividend.gross_amount
|
|
else:
|
|
dividend.cash_payment = None
|
|
|
|
if midnight_utc == dividend.pay_date:
|
|
# if it is the payment date, include this
|
|
# dividend's actual payment (calculated on
|
|
# ex_date)
|
|
if dividend.stock_payment:
|
|
stock_payment[dividend.payment_sid] += \
|
|
dividend.stock_payment
|
|
|
|
if dividend.cash_payment:
|
|
cash_payment += dividend.cash_payment
|
|
else:
|
|
unpaid_dividends.append(dividend)
|
|
|
|
self.dividends = unpaid_dividends
|
|
return cash_payment, stock_payment
|
|
|
|
def add_dividend(self, dividend):
|
|
self.dividends.append(dividend)
|
|
|
|
# Update the position by the split ratio, and return the
|
|
# resulting fractional share that will be converted into cash.
|
|
|
|
# Returns the unused cash.
|
|
def handle_split(self, split):
|
|
if self.sid != split.sid:
|
|
raise Exception("updating split with the wrong sid!")
|
|
|
|
ratio = split.ratio
|
|
|
|
log.info("handling split for sid = " + str(split.sid) +
|
|
", ratio = " + str(split.ratio))
|
|
log.info("before split: " + str(self))
|
|
|
|
# adjust the # of shares by the ratio
|
|
# (if we had 100 shares, and the ratio is 3,
|
|
# we now have 33 shares)
|
|
# (old_share_count / ratio = new_share_count)
|
|
# (old_price * ratio = new_price)
|
|
|
|
# e.g., 33.333
|
|
raw_share_count = self.amount / float(ratio)
|
|
|
|
# e.g., 33
|
|
full_share_count = math.floor(raw_share_count)
|
|
|
|
# e.g., 0.333
|
|
fractional_share_count = raw_share_count - full_share_count
|
|
|
|
# adjust the cost basis to the nearest cent, e.g., 60.0
|
|
new_cost_basis = round(self.cost_basis * ratio, 2)
|
|
|
|
# adjust the last sale price
|
|
new_last_sale_price = round(self.last_sale_price * ratio, 2)
|
|
|
|
self.cost_basis = new_cost_basis
|
|
self.last_sale_price = new_last_sale_price
|
|
self.amount = full_share_count
|
|
|
|
return_cash = round(float(fractional_share_count * new_cost_basis), 2)
|
|
|
|
log.info("after split: " + str(self))
|
|
log.info("returning cash: " + str(return_cash))
|
|
|
|
# return the leftover cash, which will be converted into cash
|
|
# (rounded to the nearest cent)
|
|
return return_cash
|
|
|
|
def update(self, txn):
|
|
if self.sid != txn.sid:
|
|
raise Exception('updating position with txn for a '
|
|
'different sid')
|
|
|
|
total_shares = self.amount + txn.amount
|
|
|
|
if total_shares == 0:
|
|
self.cost_basis = 0.0
|
|
else:
|
|
prev_direction = math.copysign(1, self.amount)
|
|
txn_direction = math.copysign(1, txn.amount)
|
|
|
|
if prev_direction != txn_direction:
|
|
# we're covering a short or closing a position
|
|
if abs(txn.amount) > abs(self.amount):
|
|
# we've closed the position and gone short
|
|
# or covered the short position and gone long
|
|
self.cost_basis = txn.price
|
|
else:
|
|
prev_cost = self.cost_basis * self.amount
|
|
txn_cost = txn.amount * txn.price
|
|
total_cost = prev_cost + txn_cost
|
|
self.cost_basis = total_cost / total_shares
|
|
|
|
self.amount = total_shares
|
|
|
|
def adjust_commission_cost_basis(self, commission):
|
|
"""
|
|
A note about cost-basis in zipline: all positions are considered
|
|
to share a cost basis, even if they were executed in different
|
|
transactions with different commission costs, different prices, etc.
|
|
|
|
Due to limitations about how zipline handles positions, zipline will
|
|
currently spread an externally-delivered commission charge across
|
|
all shares in a position.
|
|
"""
|
|
|
|
if commission.sid != self.sid:
|
|
raise Exception('Updating a commission for a different sid?')
|
|
if commission.cost == 0.0:
|
|
return
|
|
|
|
# If we no longer hold this position, there is no cost basis to
|
|
# adjust.
|
|
if self.amount == 0:
|
|
return
|
|
|
|
prev_cost = self.cost_basis * self.amount
|
|
new_cost = prev_cost + commission.cost
|
|
self.cost_basis = new_cost / self.amount
|
|
|
|
def __repr__(self):
|
|
template = "sid: {sid}, amount: {amount}, cost_basis: {cost_basis}, \
|
|
last_sale_price: {last_sale_price}"
|
|
return template.format(
|
|
sid=self.sid,
|
|
amount=self.amount,
|
|
cost_basis=self.cost_basis,
|
|
last_sale_price=self.last_sale_price
|
|
)
|
|
|
|
def to_dict(self):
|
|
"""
|
|
Creates a dictionary representing the state of this position.
|
|
Returns a dict object of the form:
|
|
"""
|
|
return {
|
|
'sid': self.sid,
|
|
'amount': self.amount,
|
|
'cost_basis': self.cost_basis,
|
|
'last_sale_price': self.last_sale_price
|
|
}
|
|
|
|
|
|
class positiondict(dict):
|
|
|
|
def __missing__(self, key):
|
|
pos = Position(key)
|
|
self[key] = pos
|
|
return pos
|