mirror of
https://github.com/wassname/catalyst.git
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Delaney Granizo-Mackenzie
140 lines
3.8 KiB
Python
140 lines
3.8 KiB
Python
#
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# Copyright 2015 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 datetime
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import os
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import pickle
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import pytz
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import sys
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sys.path.insert(0, '.')
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from zipline.finance.blotter import Blotter, Order
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from zipline.finance.commission import PerShare, PerTrade, PerDollar
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from zipline.finance.performance.period import PerformancePeriod
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from zipline.finance.performance.position import Position
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from zipline.finance.performance.tracker import PerformanceTracker
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from zipline.finance.risk.cumulative import RiskMetricsCumulative
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from zipline.finance.risk.period import RiskMetricsPeriod
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from zipline.finance.risk.report import RiskReport
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from zipline.finance.slippage import (
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FixedSlippage,
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Transaction,
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VolumeShareSlippage
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)
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from zipline.protocol import Account
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from zipline.protocol import Portfolio
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from zipline.protocol import Position as ProtocolPosition
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from zipline.finance.trading import SimulationParameters
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from zipline.utils import factory
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from zipline.utils.serialization_utils import VERSION_LABEL
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base_state_dir = 'tests/resources/saved_state_archive'
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if not os.path.exists(base_state_dir):
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os.makedirs(base_state_dir)
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sim_params_daily = SimulationParameters(
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datetime.datetime(2013, 6, 19, tzinfo=pytz.UTC),
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datetime.datetime(2013, 6, 19, tzinfo=pytz.UTC),
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10000,
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emission_rate='daily')
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sim_params_minute = SimulationParameters(
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datetime.datetime(2013, 6, 19, tzinfo=pytz.UTC),
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datetime.datetime(2013, 6, 19, tzinfo=pytz.UTC),
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10000,
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emission_rate='minute')
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returns = factory.create_returns_from_list(
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[1.0], sim_params_daily)
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argument_list = [
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(Blotter, ()),
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(Order, (datetime.datetime(2013, 6, 19), 8554, 100)),
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(PerShare, ()),
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(PerTrade, ()),
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(PerDollar, ()),
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(PerformancePeriod, (10000,)),
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(Position, (8554,)),
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(PerformanceTracker, (sim_params_minute,)),
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(RiskMetricsCumulative, (sim_params_minute,)),
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(RiskMetricsPeriod, (returns.index[0], returns.index[0], returns)),
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(RiskReport, (returns, sim_params_minute)),
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(FixedSlippage, ()),
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(Transaction, (8554, 10, datetime.datetime(2013, 6, 19), 100, "0000")),
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(VolumeShareSlippage, ()),
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(Account, ()),
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(Portfolio, ()),
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(ProtocolPosition, (8554,))
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]
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def write_state_to_disk(cls, state, emission_rate=None):
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state_dir = cls.__module__ + '.' + cls.__name__
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full_dir = base_state_dir + '/' + state_dir
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if not os.path.exists(full_dir):
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os.makedirs(full_dir)
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if emission_rate is not None:
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name = 'State_Version_' + emission_rate + \
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str(state['obj_state'][VERSION_LABEL])
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else:
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name = 'State_Version_' + str(state['obj_state'][VERSION_LABEL])
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full_path = full_dir + '/' + name
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f = open(full_path, 'w')
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pickle.dump(state, f)
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f.close()
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def generate_object_state(cls, initargs):
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obj = cls(*initargs)
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state = obj.__getstate__()
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if hasattr(obj, '__getinitargs__'):
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initargs = obj.__getinitargs__()
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else:
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initargs = None
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if hasattr(obj, '__getnewargs__'):
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newargs = obj.__getnewargs__()
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else:
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newargs = None
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on_disk_state = {
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'obj_state': state,
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'initargs': initargs,
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'newargs': newargs
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}
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write_state_to_disk(cls, on_disk_state)
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if __name__ == "__main__":
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for args in argument_list:
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generate_object_state(*args)
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