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https://github.com/wassname/catalyst.git
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fawce
817ed88e38
Algorithm returns and the risk calculations that depend on them now include cash dividends. This commit does _not_ provide an API for user algorithms to access dividends. PerformanceTracker expects the dividend data to arrive as events, similar to the way that Trades arrive. Dividends are expected to have adjusted payment amounts that are inline with adjusted trades. PerformanceTracker maintains state of all the unpaid dividends in the position objects held in PerformancePeriod. Dividend objects contain all the relevant dates (declared, ex, payment) as well as net and gross amounts. Dividends are removed from the list as they are paid. Cash flow is not incremented until the payment day. This creates the possibility of a dividend being owed but not paid or realized before the end of a test. For example, a dividend with an ex_date of today may have a pay date 2 weeks in the future. Right now the algorithm does not receive any credit for unpaid dividends. Tests cover buying/selling around the ex_date and payment_date, and checking that the performance calculated is as expected.
124 lines
3.4 KiB
Python
124 lines
3.4 KiB
Python
#
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# Copyright 2012 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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import pytz
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import numbers
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from hashlib import md5
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from datetime import datetime
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from itertools import izip_longest
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from zipline.protocol import (
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DATASOURCE_TYPE,
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Event
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)
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def mock_raw_event(sid, dt):
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event = {
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'sid': sid,
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'dt': dt,
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'price': 1.0,
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'volume': 1
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}
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return event
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def alternate(g1, g2):
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"""Specialized version of roundrobin for just 2 generators."""
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for e1, e2 in izip_longest(g1, g2):
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if e1 is not None:
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yield e1
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if e2 is not None:
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yield e2
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def hash_args(*args, **kwargs):
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"""Define a unique string for any set of representable args."""
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arg_string = '_'.join([str(arg) for arg in args])
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kwarg_string = '_'.join([str(key) + '=' + str(value)
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for key, value in kwargs.iteritems()])
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combined = ':'.join([arg_string, kwarg_string])
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hasher = md5()
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hasher.update(combined)
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return hasher.hexdigest()
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def create_trade(sid, price, amount, datetime, source_id="test_factory"):
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trade = Event()
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trade.source_id = source_id
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trade.type = DATASOURCE_TYPE.TRADE
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trade.sid = sid
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trade.dt = datetime
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trade.price = price
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trade.close = price
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trade.open = price
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trade.low = price * .95
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trade.high = price * 1.05
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trade.volume = amount
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trade.TRANSACTION = None
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return trade
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def assert_datasource_protocol(event):
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"""Assert that an event meets the protocol for datasource outputs."""
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assert isinstance(event.source_id, basestring)
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assert event.type in DATASOURCE_TYPE
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# Done packets have no dt.
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if not event.type == DATASOURCE_TYPE.DONE:
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assert isinstance(event.dt, datetime)
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assert event.dt.tzinfo == pytz.utc
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def assert_trade_protocol(event):
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"""Assert that an event meets the protocol for datasource TRADE outputs."""
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assert_datasource_protocol(event)
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assert event.type == DATASOURCE_TYPE.TRADE
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assert isinstance(event.sid, int)
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assert isinstance(event.price, numbers.Real)
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assert isinstance(event.volume, numbers.Integral)
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assert isinstance(event.dt, datetime)
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def assert_datasource_unframe_protocol(event):
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"""Assert that an event is valid output of zp.DATASOURCE_UNFRAME."""
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assert isinstance(event.source_id, basestring)
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assert event.type in DATASOURCE_TYPE
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def assert_sort_protocol(event):
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"""Assert that an event is valid input to zp.FEED_FRAME."""
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assert isinstance(event.source_id, basestring)
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assert event.type in DATASOURCE_TYPE
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def assert_sort_unframe_protocol(event):
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"""Same as above."""
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assert isinstance(event.source_id, basestring)
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assert event.type in DATASOURCE_TYPE
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def assert_merge_protocol(tnfm_ids, message):
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"""Merge should output an ndict with a field for each id
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in its transform set."""
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assert set(tnfm_ids) == set(message.keys())
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