mirror of
https://github.com/wassname/catalyst.git
synced 2026-08-03 12:40:47 +08:00
Scott Sanderson
a8431944aa
The function that handles a market close for daily frequency changed from `handle_market_close` to `handle_market_close_daily`. The function that is called at on the closing minute each day when running minutely changed from `handle_intraday_close` to `handle_intraday_market_close`.
270 lines
10 KiB
Python
270 lines
10 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 logbook import Logger, Processor
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from zipline.finance import trading
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from zipline.protocol import (
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BarData,
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SIDData,
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DATASOURCE_TYPE
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)
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from zipline.gens.utils import hash_args
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log = Logger('Trade Simulation')
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class AlgorithmSimulator(object):
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EMISSION_TO_PERF_KEY_MAP = {
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'minute': 'minute_perf',
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'daily': 'daily_perf'
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}
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def get_hash(self):
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"""
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There should only ever be one TSC in the system, so
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we don't bother passing args into the hash.
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"""
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return self.__class__.__name__ + hash_args()
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def __init__(self, algo, sim_params):
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# ==============
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# Simulation
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# Param Setup
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# ==============
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self.sim_params = sim_params
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# ==============
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# Algo Setup
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# ==============
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self.algo = algo
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self.algo_start = self.sim_params.first_open
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self.algo_start = self.algo_start.replace(hour=0, minute=0,
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second=0,
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microsecond=0)
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# ==============
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# Snapshot Setup
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# ==============
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# The algorithm's data as of our most recent event.
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# We want an object that will have empty objects as default
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# values on missing keys.
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self.current_data = BarData()
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# We don't have a datetime for the current snapshot until we
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# receive a message.
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self.simulation_dt = None
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# =============
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# Logging Setup
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# =============
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# Processor function for injecting the algo_dt into
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# user prints/logs.
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def inject_algo_dt(record):
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if 'algo_dt' not in record.extra:
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record.extra['algo_dt'] = self.simulation_dt
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self.processor = Processor(inject_algo_dt)
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@property
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def perf_key(self):
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return self.EMISSION_TO_PERF_KEY_MAP[
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self.algo.perf_tracker.emission_rate]
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def process_event(self, event):
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process_trade = self.algo.blotter.process_trade
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for txn, order in process_trade(event):
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self.algo.perf_tracker.process_event(txn)
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self.algo.perf_tracker.process_event(order)
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self.algo.perf_tracker.process_event(event)
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def transform(self, stream_in):
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"""
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Main generator work loop.
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"""
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# Initialize the mkt_close
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mkt_open = self.algo.perf_tracker.market_open
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mkt_close = self.algo.perf_tracker.market_close
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# inject the current algo
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# snapshot time to any log record generated.
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with self.processor.threadbound():
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for date, snapshot in stream_in:
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self.simulation_dt = date
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self.algo.on_dt_changed(date)
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# If we're still in the warmup period. Use the event to
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# update our universe, but don't yield any perf messages,
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# and don't send a snapshot to handle_data.
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if date < self.algo_start:
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for event in snapshot:
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if event.type == DATASOURCE_TYPE.SPLIT:
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self.algo.blotter.process_split(event)
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if event.type in (DATASOURCE_TYPE.TRADE,
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DATASOURCE_TYPE.CUSTOM):
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self.update_universe(event)
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self.algo.perf_tracker.process_event(event)
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else:
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message = self._process_snapshot(
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date,
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snapshot,
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self.algo.instant_fill,
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)
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# Perf messages are only emitted if the snapshot contained
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# a benchmark event.
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if message is not None:
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yield message
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# When emitting minutely, we re-iterate the day as a
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# packet with the entire days performance rolled up.
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if self.algo.perf_tracker.emission_rate == 'minute':
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if date == mkt_close:
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daily_rollup = self.algo.perf_tracker.to_dict(
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emission_type='daily'
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)
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daily_rollup['daily_perf']['recorded_vars'] = \
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self.algo.recorded_vars
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yield daily_rollup
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tp = self.algo.perf_tracker.todays_performance
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tp.rollover()
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if mkt_close <= self.algo.perf_tracker.last_close:
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try:
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mkt_open, mkt_close = \
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trading.environment \
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.next_open_and_close(mkt_close)
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except trading.NoFurtherDataError:
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# If at the end of backtest history,
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# skip advancing market close.
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pass
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self.algo.perf_tracker\
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.handle_intraday_market_close(
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mkt_open,
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mkt_close)
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self.algo.portfolio_needs_update = True
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risk_message = self.algo.perf_tracker.handle_simulation_end()
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yield risk_message
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def _process_snapshot(self, dt, snapshot, instant_fill):
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"""
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Process a stream of events corresponding to a single datetime, possibly
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returning a perf message to be yielded.
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If @instant_fill = True, we delay processing of events until after the
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user's call to handle_data, and we process the user's placed orders
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before the snapshot's events. Note that this introduces a lookahead
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bias, since the user effectively is effectively placing orders that are
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filled based on trades that happened prior to the call the handle_data.
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If @instant_fill = False, we process Trade events before calling
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handle_data. This means that orders are filled based on trades
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occurring in the next snapshot. This is the more conservative model,
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and as such it is the default behavior in TradingAlgorithm.
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"""
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# Flags indicating whether we saw any events of type TRADE and type
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# BENCHMARK. Respectively, these control whether or not handle_data is
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# called for this snapshot and whether we emit a perf message for this
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# snapshot.
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any_trade_occurred = False
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benchmark_event_occurred = False
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if instant_fill:
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events_to_be_processed = []
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for event in snapshot:
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if event.type == DATASOURCE_TYPE.TRADE:
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self.update_universe(event)
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any_trade_occurred = True
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elif event.type == DATASOURCE_TYPE.BENCHMARK:
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benchmark_event_occurred = True
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elif event.type == DATASOURCE_TYPE.CUSTOM:
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self.update_universe(event)
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elif event.type == DATASOURCE_TYPE.SPLIT:
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self.algo.blotter.process_split(event)
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if not self.algo.instant_fill:
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self.process_event(event)
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else:
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events_to_be_processed.append(event)
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if any_trade_occurred:
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new_orders = self._call_handle_data()
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for order in new_orders:
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self.algo.perf_tracker.process_event(order)
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if instant_fill:
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# Now that handle_data has been called and orders have been placed,
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# process the event stream to fill user orders based on the events
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# from this snapshot.
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for event in events_to_be_processed:
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self.process_event(event)
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if benchmark_event_occurred:
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self.algo.updated_portfolio()
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return self.get_message(dt)
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else:
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return None
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def _call_handle_data(self):
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"""
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Call the user's handle_data, returning any orders placed by the algo
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during the call.
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"""
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self.algo.handle_data(self.current_data)
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orders = self.algo.blotter.new_orders
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self.algo.blotter.new_orders = []
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return orders
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def get_message(self, dt):
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"""
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Get a perf message for the given datetime.
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"""
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rvars = self.algo.recorded_vars
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if self.algo.perf_tracker.emission_rate == 'daily':
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perf_message = \
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self.algo.perf_tracker.handle_market_close_daily()
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perf_message['daily_perf']['recorded_vars'] = rvars
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return perf_message
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elif self.algo.perf_tracker.emission_rate == 'minute':
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self.algo.perf_tracker.handle_minute_close(dt)
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perf_message = self.algo.perf_tracker.to_dict()
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perf_message['minute_perf']['recorded_vars'] = rvars
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return perf_message
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def update_universe(self, event):
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"""
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Update the universe with new event information.
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"""
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# Update our knowledge of this event's sid
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# rather than use if event.sid in ..., just trying
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# and handling the exception is significantly faster
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try:
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sid_data = self.current_data[event.sid]
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except KeyError:
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sid_data = self.current_data[event.sid] = SIDData()
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sid_data.__dict__.update(event.__dict__)
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