mirror of
https://github.com/wassname/catalyst.git
synced 2026-07-10 09:54:34 +08:00
David Michalowicz
45 lines
1.5 KiB
Python
45 lines
1.5 KiB
Python
|
|
from abc import ABCMeta
|
|
from itertools import chain
|
|
|
|
|
|
class FinancialModelMeta(ABCMeta):
|
|
"""
|
|
This metaclass allows users to create custom slippage and commission models
|
|
that support both equities and futures by subclassing the appropriate
|
|
individualized classes.
|
|
|
|
Take for example the following custom model, which subclasses both
|
|
EquitySlippageModel and FutureSlippageModel together:
|
|
|
|
class MyCustomSlippage(EquitySlippageModel, FutureSlippageModel):
|
|
def process_order(self, data, order):
|
|
...
|
|
|
|
Ordinarily the first parent class in the MRO ('EquitySlippageModel' in this
|
|
example) would override the 'allowed_asset_types' class attribute to only
|
|
include equities. However, this is probably not the expected behavior for a
|
|
reasonable user, so the metaclass will handle this specific case by
|
|
manually allowing both equities and futures for the class being created.
|
|
"""
|
|
|
|
def __new__(mcls, name, bases, dict_):
|
|
if 'allowed_asset_types' not in dict_:
|
|
allowed_asset_types = tuple(
|
|
chain.from_iterable(
|
|
marker.allowed_asset_types
|
|
for marker in bases
|
|
if isinstance(marker, AllowedAssetMarker)
|
|
)
|
|
)
|
|
if allowed_asset_types:
|
|
dict_['allowed_asset_types'] = allowed_asset_types
|
|
|
|
return super(FinancialModelMeta, mcls).__new__(
|
|
mcls, name, bases, dict_,
|
|
)
|
|
|
|
|
|
class AllowedAssetMarker(FinancialModelMeta):
|
|
pass
|