mirror of
https://github.com/wassname/catalyst.git
synced 2026-06-28 14:29:26 +08:00
Scott Sanderson
119a1a4cda
existing `limit_price` and `stop_price` parameters. The goal of this change is to refactor the existing ordering API to provide a cleaner interface for defining more complex order types. Adds a new module, zipline.finance.execution, which defines the ExecutionStyle abstract base class, along with concrete MarketOrder, LimitOrder, StopOrder, and StopLimitOrder subclasses. Adds a new `style` keyword argument to the function signature of the `order` API method, which accepts an instance of ExecutionStyle. The existing limit_price and stop_price parameters are still supported at this time, but are converted into the new ExecutionStyle objects before being passed to Blotter.order.
54 lines
1.5 KiB
Python
54 lines
1.5 KiB
Python
#
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# Copyright 2014 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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from nose_parameterized import parameterized
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from unittest import TestCase
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from zipline.finance.blotter import Blotter
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from zipline.finance.execution import (
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LimitOrder,
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MarketOrder,
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StopLimitOrder,
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StopOrder,
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)
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from zipline.utils.test_utils import(
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setup_logger,
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teardown_logger,
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)
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class BlotterTestCase(TestCase):
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def setUp(self):
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setup_logger(self)
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def tearDown(self):
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teardown_logger(self)
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@parameterized.expand([(MarketOrder(), None, None),
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(LimitOrder(10), 10, None),
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(StopOrder(10), None, 10),
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(StopLimitOrder(10, 20), 10, 20)])
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def test_blotter_order_types(self, style_obj, expected_lmt, expected_stp):
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blotter = Blotter()
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blotter.order(24, 100, style_obj)
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result = blotter.open_orders[24][0]
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self.assertEqual(result.limit, expected_lmt)
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self.assertEqual(result.stop, expected_stp)
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