mirror of
https://github.com/wassname/catalyst.git
synced 2026-07-10 10:42:42 +08:00
Eddie Hebert
b5dbaf88d1
In situations where the performance tracker has been reset or patched to handle state juggling with warming up live data, the `market_close` member of the performance tracker could end up out of sync with the current algo time as determined by the The symptom was dividends never triggering, because the end of day checks would not match the current time. Fix by having the tradesimulation loop be responsible, in minute/minute mode, for advancing the market close and passing that value to the performance tracker, instead of having the market close advanced by the performance tracker as well.
389 lines
16 KiB
Python
389 lines
16 KiB
Python
#
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# Copyright 2013 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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Performance Tracking
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====================
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+-----------------+----------------------------------------------------+
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| key | value |
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+=================+====================================================+
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| period_start | The beginning of the period to be tracked. datetime|
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| | in pytz.utc timezone. Will always be 0:00 on the |
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| | date in UTC. The fact that the time may be on the |
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| | prior day in the exchange's local time is ignored |
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+-----------------+----------------------------------------------------+
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| period_end | The end of the period to be tracked. datetime |
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| | in pytz.utc timezone. Will always be 23:59 on the |
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| | date in UTC. The fact that the time may be on the |
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| | next day in the exchange's local time is ignored |
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+-----------------+----------------------------------------------------+
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| progress | percentage of test completed |
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+-----------------+----------------------------------------------------+
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| capital_base | The initial capital assumed for this tracker. |
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+-----------------+----------------------------------------------------+
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| cumulative_perf | A dictionary representing the cumulative |
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| | performance through all the events delivered to |
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| | this tracker. For details see the comments on |
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| | :py:meth:`PerformancePeriod.to_dict` |
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+-----------------+----------------------------------------------------+
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| todays_perf | A dictionary representing the cumulative |
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| | performance through all the events delivered to |
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| | this tracker with datetime stamps between last_open|
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| | and last_close. For details see the comments on |
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| | :py:meth:`PerformancePeriod.to_dict` |
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| | TODO: adding this because we calculate it. May be |
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| | overkill. |
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+-----------------+----------------------------------------------------+
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| cumulative_risk | A dictionary representing the risk metrics |
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| _metrics | calculated based on the positions aggregated |
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| | through all the events delivered to this tracker. |
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| | For details look at the comments for |
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| | :py:meth:`zipline.finance.risk.RiskMetrics.to_dict`|
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+-----------------+----------------------------------------------------+
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"""
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from __future__ import division
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import logbook
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import pandas as pd
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from pandas.tseries.tools import normalize_date
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import zipline.protocol as zp
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import zipline.finance.risk as risk
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from zipline.finance import trading
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from . period import PerformancePeriod
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log = logbook.Logger('Performance')
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class PerformanceTracker(object):
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"""
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Tracks the performance of the algorithm.
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"""
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def __init__(self, sim_params):
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self.sim_params = sim_params
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self.period_start = self.sim_params.period_start
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self.period_end = self.sim_params.period_end
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self.last_close = self.sim_params.last_close
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first_day = self.sim_params.first_open
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self.market_open, self.market_close = \
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trading.environment.get_open_and_close(first_day)
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self.total_days = self.sim_params.days_in_period
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self.capital_base = self.sim_params.capital_base
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self.emission_rate = sim_params.emission_rate
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all_trading_days = trading.environment.trading_days
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mask = ((all_trading_days >= normalize_date(self.period_start)) &
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(all_trading_days <= normalize_date(self.period_end)))
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self.trading_days = all_trading_days[mask]
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self.perf_periods = []
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if self.emission_rate == 'daily':
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self.all_benchmark_returns = pd.Series(
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index=self.trading_days)
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self.intraday_risk_metrics = None
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self.cumulative_risk_metrics = \
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risk.RiskMetricsCumulative(self.sim_params)
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elif self.emission_rate == 'minute':
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self.all_benchmark_returns = pd.Series(index=pd.date_range(
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self.sim_params.first_open, self.sim_params.last_close,
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freq='Min'))
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self.intraday_risk_metrics = \
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risk.RiskMetricsCumulative(self.sim_params)
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self.cumulative_risk_metrics = \
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risk.RiskMetricsCumulative(self.sim_params,
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returns_frequency='daily',
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create_first_day_stats=True)
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self.minute_performance = PerformancePeriod(
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# initial cash is your capital base.
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self.capital_base,
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# the cumulative period will be calculated over the
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# entire test.
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self.period_start,
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self.period_end,
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# don't save the transactions for the cumulative
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# period
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keep_transactions=False,
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keep_orders=False,
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# don't serialize positions for cumualtive period
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serialize_positions=False
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)
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self.perf_periods.append(self.minute_performance)
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# this performance period will span the entire simulation from
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# inception.
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self.cumulative_performance = PerformancePeriod(
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# initial cash is your capital base.
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self.capital_base,
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# the cumulative period will be calculated over the entire test.
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self.period_start,
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self.period_end,
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# don't save the transactions for the cumulative
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# period
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keep_transactions=False,
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keep_orders=False,
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# don't serialize positions for cumualtive period
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serialize_positions=False
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)
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self.perf_periods.append(self.cumulative_performance)
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# this performance period will span just the current market day
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self.todays_performance = PerformancePeriod(
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# initial cash is your capital base.
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self.capital_base,
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# the daily period will be calculated for the market day
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self.market_open,
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self.market_close,
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keep_transactions=True,
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keep_orders=True,
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serialize_positions=True
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)
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self.perf_periods.append(self.todays_performance)
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self.saved_dt = self.period_start
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self.returns = pd.Series(index=self.trading_days)
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# one indexed so that we reach 100%
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self.day_count = 0.0
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self.txn_count = 0
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self.event_count = 0
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def __repr__(self):
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return "%s(%r)" % (
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self.__class__.__name__,
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{'simulation parameters': self.sim_params})
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@property
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def progress(self):
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if self.emission_rate == 'minute':
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# Fake a value
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return 1.0
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elif self.emission_rate == 'daily':
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return self.day_count / self.total_days
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def set_date(self, date):
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if self.emission_rate == 'minute':
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self.saved_dt = date
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self.todays_performance.period_close = self.saved_dt
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def update_performance(self):
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# calculate performance as of last trade
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for perf_period in self.perf_periods:
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perf_period.calculate_performance()
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def get_portfolio(self):
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self.update_performance()
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return self.cumulative_performance.as_portfolio()
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def to_dict(self, emission_type=None):
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"""
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Creates a dictionary representing the state of this tracker.
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Returns a dict object of the form described in header comments.
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"""
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if not emission_type:
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emission_type = self.emission_rate
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_dict = {
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'period_start': self.period_start,
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'period_end': self.period_end,
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'capital_base': self.capital_base,
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'cumulative_perf': self.cumulative_performance.to_dict(),
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'progress': self.progress,
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'cumulative_risk_metrics': self.cumulative_risk_metrics.to_dict()
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}
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if emission_type == 'daily':
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_dict.update({'daily_perf': self.todays_performance.to_dict()})
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elif emission_type == 'minute':
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_dict.update({
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'intraday_risk_metrics': self.intraday_risk_metrics.to_dict(),
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'minute_perf': self.todays_performance.to_dict(self.saved_dt)
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})
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return _dict
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def process_event(self, event):
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self.event_count += 1
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if event.type == zp.DATASOURCE_TYPE.TRADE:
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# update last sale
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for perf_period in self.perf_periods:
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perf_period.update_last_sale(event)
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elif event.type == zp.DATASOURCE_TYPE.TRANSACTION:
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# Trade simulation always follows a transaction with the
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# TRADE event that was used to simulate it, so we don't
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# check for end of day rollover messages here.
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self.txn_count += 1
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for perf_period in self.perf_periods:
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perf_period.execute_transaction(event)
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elif event.type == zp.DATASOURCE_TYPE.DIVIDEND:
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for perf_period in self.perf_periods:
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perf_period.add_dividend(event)
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elif event.type == zp.DATASOURCE_TYPE.SPLIT:
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for perf_period in self.perf_periods:
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perf_period.handle_split(event)
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elif event.type == zp.DATASOURCE_TYPE.ORDER:
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for perf_period in self.perf_periods:
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perf_period.record_order(event)
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elif event.type == zp.DATASOURCE_TYPE.COMMISSION:
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for perf_period in self.perf_periods:
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perf_period.handle_commission(event)
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elif event.type == zp.DATASOURCE_TYPE.CUSTOM:
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pass
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elif event.type == zp.DATASOURCE_TYPE.BENCHMARK:
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if (
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self.sim_params.data_frequency == 'minute'
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and
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self.sim_params.emission_rate == 'daily'
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):
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# Minute data benchmarks should have a timestamp of market
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# close, so that calculations are triggered at the right time.
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# However, risk module uses midnight as the 'day'
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# marker for returns, so adjust back to midgnight.
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midnight = event.dt.replace(
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hour=0,
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minute=0,
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second=0,
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microsecond=0)
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else:
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midnight = event.dt
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self.all_benchmark_returns[midnight] = event.returns
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def handle_minute_close(self, dt):
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self.update_performance()
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todays_date = normalize_date(dt)
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minute_returns = self.minute_performance.returns
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self.minute_performance.rollover()
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# the intraday risk is calculated on top of minute performance
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# returns for the bench and the algo
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self.intraday_risk_metrics.update(dt,
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minute_returns,
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self.all_benchmark_returns[dt])
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bench_since_open = \
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self.intraday_risk_metrics.benchmark_cumulative_returns[dt]
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# if we've reached market close, check on dividends
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if dt == self.market_close:
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for perf_period in self.perf_periods:
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perf_period.update_dividends(todays_date)
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self.cumulative_risk_metrics.update(todays_date,
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self.todays_performance.returns,
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bench_since_open)
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# if this is the close, save the returns objects for cumulative
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# risk calculations
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if dt == self.market_close:
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self.returns[todays_date] = self.todays_performance.returns
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def handle_intraday_close(self, new_mkt_open, new_mkt_close):
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# update_performance should have been called in handle_minute_close
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# so it is not repeated here.
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self.intraday_risk_metrics = \
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risk.RiskMetricsCumulative(self.sim_params)
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# increment the day counter before we move markers forward.
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self.day_count += 1.0
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self.market_open = new_mkt_open
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self.market_close = new_mkt_close
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def handle_market_close(self):
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self.update_performance()
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# add the return results from today to the returns series
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todays_date = normalize_date(self.market_close)
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self.cumulative_performance.update_dividends(todays_date)
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self.todays_performance.update_dividends(todays_date)
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self.returns[todays_date] = self.todays_performance.returns
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# update risk metrics for cumulative performance
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self.cumulative_risk_metrics.update(
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todays_date,
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self.todays_performance.returns,
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self.all_benchmark_returns[todays_date])
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# increment the day counter before we move markers forward.
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self.day_count += 1.0
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# Take a snapshot of our current performance to return to the
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# browser.
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daily_update = self.to_dict()
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# On the last day of the test, don't create tomorrow's performance
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# period. We may not be able to find the next trading day if we're
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# at the end of our historical data
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if self.market_close >= self.last_close:
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return daily_update
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# move the market day markers forward
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self.market_open, self.market_close = \
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trading.environment.next_open_and_close(self.market_open)
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# Roll over positions to current day.
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self.todays_performance.rollover()
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self.todays_performance.period_open = self.market_open
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self.todays_performance.period_close = self.market_close
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# The dividend calculation for the daily needs to be made
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# after the rollover. midnight_between is the last midnight
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# hour between the close of markets and the next open. To
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# make sure midnight_between matches identically with
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# dividend data dates, it is in UTC.
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midnight_between = self.market_open.replace(hour=0, minute=0, second=0,
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microsecond=0)
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self.cumulative_performance.update_dividends(midnight_between)
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self.todays_performance.update_dividends(midnight_between)
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return daily_update
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def handle_simulation_end(self):
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"""
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When the simulation is complete, run the full period risk report
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and send it out on the results socket.
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"""
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log_msg = "Simulated {n} trading days out of {m}."
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log.info(log_msg.format(n=int(self.day_count), m=self.total_days))
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log.info("first open: {d}".format(
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d=self.sim_params.first_open))
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log.info("last close: {d}".format(
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d=self.sim_params.last_close))
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bms = self.cumulative_risk_metrics.benchmark_returns
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ars = self.cumulative_risk_metrics.algorithm_returns
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self.risk_report = risk.RiskReport(
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ars,
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self.sim_params,
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benchmark_returns=bms)
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risk_dict = self.risk_report.to_dict()
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return risk_dict
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