mirror of
https://github.com/wassname/catalyst.git
synced 2026-06-30 22:52:42 +08:00
Scott Sanderson
644486e6da
Adds four new methods to the Zipline API that can be used as circuit-breakers to interrupt the execution of an algorithm. The API methods are: `set_max_position_size` `set_max_order_size` `set_max_order_count` `set_long_only` Internally, these methods are implemented by each registering a TradingControl callback object with the TradingAlgorithm. During TradingAlgorithm.__validate_order_params (and thus before any side-effects of the order call occur), each callback's `validate` method is called with information about the order to be placed and the algorithm's current state, raising an exception if the callback detects that an error condition has been breached.
126 lines
2.9 KiB
Python
126 lines
2.9 KiB
Python
from contextlib import contextmanager
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from logbook import FileHandler
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from zipline.finance.blotter import ORDER_STATUS
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from six import itervalues
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def setup_logger(test, path='test.log'):
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test.log_handler = FileHandler(path)
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test.log_handler.push_application()
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def teardown_logger(test):
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test.log_handler.pop_application()
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test.log_handler.close()
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def drain_zipline(test, zipline):
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output = []
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transaction_count = 0
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msg_counter = 0
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# start the simulation
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for update in zipline:
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msg_counter += 1
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output.append(update)
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if 'daily_perf' in update:
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transaction_count += \
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len(update['daily_perf']['transactions'])
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return output, transaction_count
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def assert_single_position(test, zipline):
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output, transaction_count = drain_zipline(test, zipline)
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if 'expected_transactions' in test.zipline_test_config:
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test.assertEqual(
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test.zipline_test_config['expected_transactions'],
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transaction_count
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)
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else:
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test.assertEqual(
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test.zipline_test_config['order_count'],
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transaction_count
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)
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# the final message is the risk report, the second to
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# last is the final day's results. Positions is a list of
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# dicts.
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closing_positions = output[-2]['daily_perf']['positions']
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# confirm that all orders were filled.
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# iterate over the output updates, overwriting
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# orders when they are updated. Then check the status on all.
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orders_by_id = {}
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for update in output:
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if 'daily_perf' in update:
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if 'orders' in update['daily_perf']:
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for order in update['daily_perf']['orders']:
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orders_by_id[order['id']] = order
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for order in itervalues(orders_by_id):
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test.assertEqual(
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order['status'],
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ORDER_STATUS.FILLED,
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"")
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test.assertEqual(
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len(closing_positions),
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1,
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"Portfolio should have one position."
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)
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sid = test.zipline_test_config['sid']
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test.assertEqual(
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closing_positions[0]['sid'],
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sid,
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"Portfolio should have one position in " + str(sid)
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)
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return output, transaction_count
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class ExceptionSource(object):
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def __init__(self):
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pass
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def get_hash(self):
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return "ExceptionSource"
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def __iter__(self):
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return self
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def next(self):
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5 / 0
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def __next__(self):
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5 / 0
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class ExceptionTransform(object):
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def __init__(self):
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self.window_length = 1
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pass
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def get_hash(self):
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return "ExceptionTransform"
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def update(self, event):
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assert False, "An assertion message"
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@contextmanager
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def nullctx():
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"""
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Null context manager. Useful for conditionally adding a contextmanager in
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a single line, e.g.:
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with SomeContextManager() if some_expr else nullcontext:
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do_stuff()
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"""
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yield
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