mirror of
https://github.com/wassname/catalyst.git
synced 2026-07-13 17:42:42 +08:00
Eddie Hebert
35f57ada3e
- Add transaction and order types - Move TransactionSimulator from trading.py to tradesimulation.py (only used by other members of the tradesimulation module) - Make Transaction an independent event, like dividend - Add Blotter class. - Flatten the transaction events to be independent of trade bar events - Make orders into events that reach performance (need to add handling) - Issue IDs to orders and tracking each transaction's order id. - Make volume share slippage fill orders independently, rather than aggregating them into a single transaction. - Perf tracker holds orders, serializes them with transactions. - Order state defined and maintained by order class. - Minutely emission of orders based on last_modified date.
153 lines
4.0 KiB
Python
153 lines
4.0 KiB
Python
from datetime import datetime
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import blist
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from zipline.utils.date_utils import EPOCH
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from itertools import izip
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from logbook import FileHandler
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from zipline.gens.tradesimulation import ORDER_STATUS
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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 check_list(test, a, b, label):
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test.assertTrue(isinstance(a, (list, blist.blist)))
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test.assertTrue(isinstance(b, (list, blist.blist)))
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for i, (a_val, b_val) in enumerate(izip(a, b)):
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check(test, a_val, b_val, label + "[" + str(i) + "]")
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def check_dict(test, a, b, label):
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test.assertTrue(isinstance(a, dict))
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test.assertTrue(isinstance(b, dict))
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for key in a.keys():
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test.assertTrue(key in a, "missing key at: " + label + "." + key)
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test.assertTrue(key in b, "missing key at: " + label + "." + key)
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a_val = a[key]
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b_val = b[key]
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check(test, a_val, b_val, label + "." + key)
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def check_datetime(test, a, b, label):
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test.assertTrue(isinstance(a, datetime))
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test.assertTrue(isinstance(b, datetime))
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test.assertEqual(EPOCH(a), EPOCH(b), "mismatched dates " + label)
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def check(test, a, b, label=None):
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"""
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Check equality for arbitrarily nested dicts and lists that terminate
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in types that allow direct comparisons (string, ints, floats, datetimes)
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"""
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if not label:
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label = '<root>'
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if isinstance(a, dict):
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check_dict(test, a, b, label)
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elif isinstance(a, (list, blist.blist)):
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check_list(test, a, b, label)
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elif isinstance(a, datetime):
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check_datetime(test, a, b, label)
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else:
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test.assertEqual(a, b, "mismatch on path: " + label)
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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 orders_by_id.itervalues():
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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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class ExceptionTransform(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 "ExceptionTransform"
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def update(self, event):
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assert False, "An assertion message"
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