mirror of
https://github.com/wassname/catalyst.git
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Delaney Granizo-Mackenzie
97c88c3c30
The initialization of perf_tracker had been moved from __init__ in TradingAlgorithm to _create_generator. This caused perf_tracker to not be ready when portfolio requested it. portfolio was consequently not ready for access in init. portfolio can now be accessed in init again, assuming valid sim_params are passed. Otherwise it will be available in handle_data() after _create_generator() is called.
1016 lines
31 KiB
Python
1016 lines
31 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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"""
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Algorithm Protocol
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===================
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For a class to be passed as a trading algorithm to the
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:py:class:`zipline.lines.SimulatedTrading` zipline it must follow an
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implementation protocol. Examples of this algorithm protocol are provided
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below.
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The algorithm must expose methods:
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- initialize: method that takes no args, no returns. Simply called to
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enable the algorithm to set any internal state needed.
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- get_sid_filter: method that takes no args, and returns a list of valid
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sids. List must have a length between 1 and 10. If None is returned the
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filter will block all events.
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- handle_data: method that accepts a :py:class:`zipline.protocol.BarData`
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of the current state of the simulation universe. An example data object:
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.. This outputs the table as an HTML table but for some reason there
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is no bounding box. Make the previous paraagraph ending colon a
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double-colon to turn this back into blockquoted table in ASCII art.
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+-----------------+--------------+----------------+-------------------+
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| | sid(133) | sid(134) | sid(135) |
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+=================+==============+================+===================+
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| price | $10.10 | $22.50 | $13.37 |
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+-----------------+--------------+----------------+-------------------+
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| volume | 10,000 | 5,000 | 50,000 |
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+-----------------+--------------+----------------+-------------------+
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| mvg_avg_30 | $9.97 | $22.61 | $13.37 |
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+-----------------+--------------+----------------+-------------------+
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| dt | 6/30/2012 | 6/30/2011 | 6/29/2012 |
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+-----------------+--------------+----------------+-------------------+
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- set_order: method that accepts a callable. Will be set as the value of the
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order method of trading_client. An algorithm can then place orders with a
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valid sid and a number of shares::
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self.order(sid(133), share_count)
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- set_performance: property which can be set equal to the
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cumulative_trading_performance property of the trading_client. An
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algorithm can then check position information with the
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Portfolio object::
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self.Portfolio[sid(133)]['cost_basis']
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- set_transact_setter: method that accepts a callable. Will
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be set as the value of the set_transact_setter method of
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the trading_client. This allows an algorithm to change the
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slippage model used to predict transactions based on orders
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and trade events.
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"""
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from copy import deepcopy
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import numpy as np
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from nose.tools import assert_raises
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from six.moves import range
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from six import itervalues
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from zipline.algorithm import TradingAlgorithm
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from zipline.api import FixedSlippage
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from zipline.errors import UnsupportedOrderParameters
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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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class TestAlgorithm(TradingAlgorithm):
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"""
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This algorithm will send a specified number of orders, to allow unit tests
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to verify the orders sent/received, transactions created, and positions
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at the close of a simulation.
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"""
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def initialize(self,
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sid,
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amount,
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order_count,
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sid_filter=None,
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slippage=None):
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self.count = order_count
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self.sid = sid
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self.amount = amount
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self.incr = 0
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if sid_filter:
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self.sid_filter = sid_filter
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else:
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self.sid_filter = [self.sid]
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if slippage is not None:
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self.set_slippage(slippage)
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def handle_data(self, data):
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# place an order for amount shares of sid
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if self.incr < self.count:
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self.order(self.sid, self.amount)
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self.incr += 1
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class HeavyBuyAlgorithm(TradingAlgorithm):
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"""
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This algorithm will send a specified number of orders, to allow unit tests
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to verify the orders sent/received, transactions created, and positions
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at the close of a simulation.
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"""
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def initialize(self, sid, amount):
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self.sid = sid
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self.amount = amount
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self.incr = 0
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def handle_data(self, data):
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# place an order for 100 shares of sid
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self.order(self.sid, self.amount)
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self.incr += 1
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class NoopAlgorithm(TradingAlgorithm):
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"""
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Dolce fa niente.
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"""
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def get_sid_filter(self):
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return []
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def initialize(self):
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pass
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def set_transact_setter(self, txn_sim_callable):
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pass
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def handle_data(self, data):
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pass
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class ExceptionAlgorithm(TradingAlgorithm):
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"""
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Throw an exception from the method name specified in the
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constructor.
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"""
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def initialize(self, throw_from, sid):
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self.throw_from = throw_from
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self.sid = sid
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if self.throw_from == "initialize":
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raise Exception("Algo exception in initialize")
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else:
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pass
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def set_portfolio(self, portfolio):
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if self.throw_from == "set_portfolio":
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raise Exception("Algo exception in set_portfolio")
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else:
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pass
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def handle_data(self, data):
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if self.throw_from == "handle_data":
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raise Exception("Algo exception in handle_data")
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else:
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pass
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def get_sid_filter(self):
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if self.throw_from == "get_sid_filter":
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raise Exception("Algo exception in get_sid_filter")
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else:
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return [self.sid]
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def set_transact_setter(self, txn_sim_callable):
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pass
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class DivByZeroAlgorithm(TradingAlgorithm):
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def initialize(self, sid):
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self.sid = sid
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self.incr = 0
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def handle_data(self, data):
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self.incr += 1
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if self.incr > 4:
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5 / 0
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pass
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class TooMuchProcessingAlgorithm(TradingAlgorithm):
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def initialize(self, sid):
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self.sid = sid
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def handle_data(self, data):
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# Unless we're running on some sort of
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# supercomputer this will hit timeout.
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for i in range(1000000000):
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self.foo = i
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class TimeoutAlgorithm(TradingAlgorithm):
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def initialize(self, sid):
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self.sid = sid
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self.incr = 0
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def handle_data(self, data):
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if self.incr > 4:
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import time
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time.sleep(100)
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pass
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class RecordAlgorithm(TradingAlgorithm):
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def initialize(self):
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self.incr = 0
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def handle_data(self, data):
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self.incr += 1
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self.record(incr=self.incr)
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name = 'name'
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self.record(name, self.incr)
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record(name, self.incr, 'name2', 2, name3=self.incr)
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class TestOrderAlgorithm(TradingAlgorithm):
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def initialize(self):
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self.incr = 0
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def handle_data(self, data):
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if self.incr == 0:
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assert 0 not in self.portfolio.positions
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else:
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assert self.portfolio.positions[0]['amount'] == \
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self.incr, "Orders not filled immediately."
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assert self.portfolio.positions[0]['last_sale_price'] == \
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data[0].price, "Orders not filled at current price."
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self.incr += 1
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self.order(0, 1)
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class TestOrderInstantAlgorithm(TradingAlgorithm):
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def initialize(self):
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self.incr = 0
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self.last_price = None
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def handle_data(self, data):
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if self.incr == 0:
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assert 0 not in self.portfolio.positions
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else:
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assert self.portfolio.positions[0]['amount'] == \
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self.incr, "Orders not filled immediately."
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assert self.portfolio.positions[0]['last_sale_price'] == \
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self.last_price, "Orders was not filled at last price."
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self.incr += 2
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self.order_value(0, data[0].price * 2.)
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self.last_price = data[0].price
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class TestOrderStyleForwardingAlgorithm(TradingAlgorithm):
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"""
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Test Algorithm for verifying that ExecutionStyles are properly forwarded by
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order API helper methods. Pass the name of the method to be tested as a
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string parameter to this algorithm's constructor.
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"""
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def __init__(self, *args, **kwargs):
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self.method_name = kwargs.pop('method_name')
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super(TestOrderStyleForwardingAlgorithm, self)\
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.__init__(*args, **kwargs)
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def initialize(self):
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self.incr = 0
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self.last_price = None
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def handle_data(self, data):
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if self.incr == 0:
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assert len(self.portfolio.positions.keys()) == 0
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method_to_check = getattr(self, self.method_name)
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method_to_check(0, data[0].price, style=StopLimitOrder(10, 10))
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assert len(self.blotter.open_orders[0]) == 1
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result = self.blotter.open_orders[0][0]
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assert result.limit == 10
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assert result.stop == 10
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self.incr += 1
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class TestOrderValueAlgorithm(TradingAlgorithm):
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def initialize(self):
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self.incr = 0
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self.sale_price = None
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def handle_data(self, data):
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if self.incr == 0:
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assert 0 not in self.portfolio.positions
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else:
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assert self.portfolio.positions[0]['amount'] == \
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self.incr, "Orders not filled immediately."
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assert self.portfolio.positions[0]['last_sale_price'] == \
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data[0].price, "Orders not filled at current price."
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self.incr += 2
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self.order_value(0, data[0].price * 2.)
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class TestTargetAlgorithm(TradingAlgorithm):
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def initialize(self):
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self.target_shares = 0
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self.sale_price = None
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def handle_data(self, data):
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if self.target_shares == 0:
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assert 0 not in self.portfolio.positions
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else:
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assert self.portfolio.positions[0]['amount'] == \
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self.target_shares, "Orders not filled immediately."
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assert self.portfolio.positions[0]['last_sale_price'] == \
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data[0].price, "Orders not filled at current price."
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self.target_shares = np.random.randint(1, 30)
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self.order_target(0, self.target_shares)
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class TestOrderPercentAlgorithm(TradingAlgorithm):
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def initialize(self):
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self.target_shares = 0
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self.sale_price = None
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def handle_data(self, data):
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if self.target_shares == 0:
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assert 0 not in self.portfolio.positions
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self.order(0, 10)
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self.target_shares = 10
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return
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else:
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assert self.portfolio.positions[0]['amount'] == \
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self.target_shares, "Orders not filled immediately."
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assert self.portfolio.positions[0]['last_sale_price'] == \
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data[0].price, "Orders not filled at current price."
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self.order_percent(0, .001)
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self.target_shares += np.floor((.001 *
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self.portfolio.portfolio_value)
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/ data[0].price)
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class TestTargetPercentAlgorithm(TradingAlgorithm):
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def initialize(self):
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self.target_shares = 0
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self.sale_price = None
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def handle_data(self, data):
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if self.target_shares == 0:
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assert 0 not in self.portfolio.positions
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self.target_shares = 1
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else:
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assert np.round(self.portfolio.portfolio_value * 0.002) == \
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self.portfolio.positions[0]['amount'] * self.sale_price, \
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"Orders not filled correctly."
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assert self.portfolio.positions[0]['last_sale_price'] == \
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data[0].price, "Orders not filled at current price."
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self.sale_price = data[0].price
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self.order_target_percent(0, .002)
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class TestTargetValueAlgorithm(TradingAlgorithm):
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def initialize(self):
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self.target_shares = 0
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self.sale_price = None
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def handle_data(self, data):
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if self.target_shares == 0:
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assert 0 not in self.portfolio.positions
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self.order(0, 10)
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self.target_shares = 10
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return
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else:
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print(self.portfolio)
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assert self.portfolio.positions[0]['amount'] == \
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self.target_shares, "Orders not filled immediately."
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assert self.portfolio.positions[0]['last_sale_price'] == \
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data[0].price, "Orders not filled at current price."
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self.order_target_value(0, 20)
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self.target_shares = np.round(20 / data[0].price)
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############################
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# TradingControl Test Algos#
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############################
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class SetMaxPositionSizeAlgorithm(TradingAlgorithm):
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def initialize(self, sid=None, max_shares=None, max_notional=None):
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self.order_count = 0
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self.set_max_position_size(sid=sid,
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max_shares=max_shares,
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max_notional=max_notional)
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class SetMaxOrderSizeAlgorithm(TradingAlgorithm):
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def initialize(self, sid=None, max_shares=None, max_notional=None):
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self.order_count = 0
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self.set_max_order_size(sid=sid,
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max_shares=max_shares,
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max_notional=max_notional)
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class SetMaxOrderCountAlgorithm(TradingAlgorithm):
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def initialize(self, count):
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self.order_count = 0
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self.set_max_order_count(count)
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class SetLongOnlyAlgorithm(TradingAlgorithm):
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def initialize(self):
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self.order_count = 0
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self.set_long_only()
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from zipline.transforms import BatchTransform, batch_transform
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from zipline.transforms import MovingAverage
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class TestRegisterTransformAlgorithm(TradingAlgorithm):
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def initialize(self, *args, **kwargs):
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self.add_transform(MovingAverage, 'mavg', ['price'],
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market_aware=True,
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window_length=2)
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self.set_slippage(FixedSlippage())
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def handle_data(self, data):
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pass
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class AmbitiousStopLimitAlgorithm(TradingAlgorithm):
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"""
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Algorithm that tries to buy with extremely low stops/limits and tries to
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sell with extremely high versions of same. Should not end up with any
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positions for reasonable data.
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"""
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def initialize(self, *args, **kwargs):
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self.sid = kwargs.pop('sid')
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def handle_data(self, data):
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########
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# Buys #
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########
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# Buy with low limit, shouldn't trigger.
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self.order(self.sid, 100, limit_price=1)
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# But with high stop, shouldn't trigger
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self.order(self.sid, 100, stop_price=10000000)
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# Buy with high limit (should trigger) but also high stop (should
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# prevent trigger).
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self.order(self.sid, 100, limit_price=10000000, stop_price=10000000)
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# Buy with low stop (should trigger), but also low limit (should
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# prevent trigger).
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self.order(self.sid, 100, limit_price=1, stop_price=1)
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#########
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# Sells #
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#########
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# Sell with high limit, shouldn't trigger.
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self.order(self.sid, -100, limit_price=1000000)
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# Sell with low stop, shouldn't trigger.
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self.order(self.sid, -100, stop_price=1)
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# Sell with low limit (should trigger), but also high stop (should
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# prevent trigger).
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self.order(self.sid, -100, limit_price=1000000, stop_price=1000000)
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# Sell with low limit (should trigger), but also low stop (should
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# prevent trigger).
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self.order(self.sid, -100, limit_price=1, stop_price=1)
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###################
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# Rounding Checks #
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###################
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self.order(self.sid, 100, limit_price=.00000001)
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self.order(self.sid, -100, stop_price=.00000001)
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##########################################
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# Algorithm using simple batch transforms
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class ReturnPriceBatchTransform(BatchTransform):
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def get_value(self, data):
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assert data.shape[1] == self.window_length, \
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"data shape={0} does not equal window_length={1} for data={2}".\
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format(data.shape[1], self.window_length, data)
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return data.price
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@batch_transform
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def return_price_batch_decorator(data):
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return data.price
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@batch_transform
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def return_args_batch_decorator(data, *args, **kwargs):
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return args, kwargs
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@batch_transform
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def return_data(data, *args, **kwargs):
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return data
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@batch_transform
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def uses_ufunc(data, *args, **kwargs):
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# ufuncs like np.log should not crash
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return np.log(data)
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@batch_transform
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def price_multiple(data, multiplier, extra_arg=1):
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return data.price * multiplier * extra_arg
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class BatchTransformAlgorithm(TradingAlgorithm):
|
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def initialize(self, *args, **kwargs):
|
|
self.refresh_period = kwargs.pop('refresh_period', 1)
|
|
self.window_length = kwargs.pop('window_length', 3)
|
|
|
|
self.args = args
|
|
self.kwargs = kwargs
|
|
|
|
self.history_return_price_class = []
|
|
self.history_return_price_decorator = []
|
|
self.history_return_args = []
|
|
self.history_return_arbitrary_fields = []
|
|
self.history_return_nan = []
|
|
self.history_return_sid_filter = []
|
|
self.history_return_field_filter = []
|
|
self.history_return_field_no_filter = []
|
|
self.history_return_ticks = []
|
|
self.history_return_not_full = []
|
|
|
|
self.return_price_class = ReturnPriceBatchTransform(
|
|
refresh_period=self.refresh_period,
|
|
window_length=self.window_length,
|
|
clean_nans=False
|
|
)
|
|
|
|
self.return_price_decorator = return_price_batch_decorator(
|
|
refresh_period=self.refresh_period,
|
|
window_length=self.window_length,
|
|
clean_nans=False
|
|
)
|
|
|
|
self.return_args_batch = return_args_batch_decorator(
|
|
refresh_period=self.refresh_period,
|
|
window_length=self.window_length,
|
|
clean_nans=False
|
|
)
|
|
|
|
self.return_arbitrary_fields = return_data(
|
|
refresh_period=self.refresh_period,
|
|
window_length=self.window_length,
|
|
clean_nans=False
|
|
)
|
|
|
|
self.return_nan = return_price_batch_decorator(
|
|
refresh_period=self.refresh_period,
|
|
window_length=self.window_length,
|
|
clean_nans=True
|
|
)
|
|
|
|
self.return_sid_filter = return_price_batch_decorator(
|
|
refresh_period=self.refresh_period,
|
|
window_length=self.window_length,
|
|
clean_nans=True,
|
|
sids=[0]
|
|
)
|
|
|
|
self.return_field_filter = return_data(
|
|
refresh_period=self.refresh_period,
|
|
window_length=self.window_length,
|
|
clean_nans=True,
|
|
fields=['price']
|
|
)
|
|
|
|
self.return_field_no_filter = return_data(
|
|
refresh_period=self.refresh_period,
|
|
window_length=self.window_length,
|
|
clean_nans=True
|
|
)
|
|
|
|
self.return_not_full = return_data(
|
|
refresh_period=1,
|
|
window_length=self.window_length,
|
|
compute_only_full=False
|
|
)
|
|
|
|
self.uses_ufunc = uses_ufunc(
|
|
refresh_period=self.refresh_period,
|
|
window_length=self.window_length,
|
|
clean_nans=False
|
|
)
|
|
|
|
self.price_multiple = price_multiple(
|
|
refresh_period=self.refresh_period,
|
|
window_length=self.window_length,
|
|
clean_nans=False
|
|
)
|
|
|
|
self.iter = 0
|
|
|
|
self.set_slippage(FixedSlippage())
|
|
|
|
def handle_data(self, data):
|
|
self.history_return_price_class.append(
|
|
self.return_price_class.handle_data(data))
|
|
self.history_return_price_decorator.append(
|
|
self.return_price_decorator.handle_data(data))
|
|
self.history_return_args.append(
|
|
self.return_args_batch.handle_data(
|
|
data, *self.args, **self.kwargs))
|
|
self.history_return_not_full.append(
|
|
self.return_not_full.handle_data(data))
|
|
self.uses_ufunc.handle_data(data)
|
|
|
|
# check that calling transforms with the same arguments
|
|
# is idempotent
|
|
self.price_multiple.handle_data(data, 1, extra_arg=1)
|
|
|
|
if self.price_multiple.full:
|
|
pre = self.price_multiple.rolling_panel.get_current().shape[0]
|
|
result1 = self.price_multiple.handle_data(data, 1, extra_arg=1)
|
|
post = self.price_multiple.rolling_panel.get_current().shape[0]
|
|
assert pre == post, "batch transform is appending redundant events"
|
|
result2 = self.price_multiple.handle_data(data, 1, extra_arg=1)
|
|
assert result1 is result2, "batch transform is not idempotent"
|
|
|
|
# check that calling transform with the same data, but
|
|
# different supplemental arguments results in new
|
|
# results.
|
|
result3 = self.price_multiple.handle_data(data, 2, extra_arg=1)
|
|
assert result1 is not result3, \
|
|
"batch transform is not updating for new args"
|
|
|
|
result4 = self.price_multiple.handle_data(data, 1, extra_arg=2)
|
|
assert result1 is not result4,\
|
|
"batch transform is not updating for new kwargs"
|
|
|
|
new_data = deepcopy(data)
|
|
for sid in new_data:
|
|
new_data[sid]['arbitrary'] = 123
|
|
|
|
self.history_return_arbitrary_fields.append(
|
|
self.return_arbitrary_fields.handle_data(new_data))
|
|
|
|
# nan every second event price
|
|
if self.iter % 2 == 0:
|
|
self.history_return_nan.append(
|
|
self.return_nan.handle_data(data))
|
|
else:
|
|
nan_data = deepcopy(data)
|
|
for sid in nan_data.iterkeys():
|
|
nan_data[sid].price = np.nan
|
|
self.history_return_nan.append(
|
|
self.return_nan.handle_data(nan_data))
|
|
|
|
self.iter += 1
|
|
|
|
# Add a new sid to check that it does not get included
|
|
extra_sid_data = deepcopy(data)
|
|
extra_sid_data[1] = extra_sid_data[0]
|
|
self.history_return_sid_filter.append(
|
|
self.return_sid_filter.handle_data(extra_sid_data)
|
|
)
|
|
|
|
# Add a field to check that it does not get included
|
|
extra_field_data = deepcopy(data)
|
|
extra_field_data[0]['ignore'] = extra_sid_data[0]['price']
|
|
self.history_return_field_filter.append(
|
|
self.return_field_filter.handle_data(extra_field_data)
|
|
)
|
|
self.history_return_field_no_filter.append(
|
|
self.return_field_no_filter.handle_data(extra_field_data)
|
|
)
|
|
|
|
|
|
class BatchTransformAlgorithmMinute(TradingAlgorithm):
|
|
def initialize(self, *args, **kwargs):
|
|
self.refresh_period = kwargs.pop('refresh_period', 1)
|
|
self.window_length = kwargs.pop('window_length', 3)
|
|
|
|
self.args = args
|
|
self.kwargs = kwargs
|
|
|
|
self.history = []
|
|
|
|
self.batch_transform = return_price_batch_decorator(
|
|
refresh_period=self.refresh_period,
|
|
window_length=self.window_length,
|
|
clean_nans=False,
|
|
bars='minute'
|
|
)
|
|
|
|
def handle_data(self, data):
|
|
self.history.append(self.batch_transform.handle_data(data))
|
|
|
|
|
|
class SetPortfolioAlgorithm(TradingAlgorithm):
|
|
"""
|
|
An algorithm that tries to set the portfolio directly.
|
|
|
|
The portfolio should be treated as a read-only object
|
|
within the algorithm.
|
|
"""
|
|
|
|
def initialize(self, *args, **kwargs):
|
|
pass
|
|
|
|
def handle_data(self, data):
|
|
self.portfolio = 3
|
|
|
|
|
|
class TALIBAlgorithm(TradingAlgorithm):
|
|
"""
|
|
An algorithm that applies a TA-Lib transform. The transform object can be
|
|
passed at initialization with the 'talib' keyword argument. The results are
|
|
stored in the talib_results array.
|
|
"""
|
|
def initialize(self, *args, **kwargs):
|
|
|
|
if 'talib' not in kwargs:
|
|
raise KeyError('No TA-LIB transform specified '
|
|
'(use keyword \'talib\').')
|
|
elif not isinstance(kwargs['talib'], (list, tuple)):
|
|
self.talib_transforms = (kwargs['talib'],)
|
|
else:
|
|
self.talib_transforms = kwargs['talib']
|
|
|
|
self.talib_results = dict((t, []) for t in self.talib_transforms)
|
|
|
|
def handle_data(self, data):
|
|
for t in self.talib_transforms:
|
|
result = t.handle_data(data)
|
|
if result is None:
|
|
if len(t.talib_fn.output_names) == 1:
|
|
result = np.nan
|
|
else:
|
|
result = (np.nan,) * len(t.talib_fn.output_names)
|
|
self.talib_results[t].append(result)
|
|
|
|
|
|
class EmptyPositionsAlgorithm(TradingAlgorithm):
|
|
"""
|
|
An algorithm that ensures that 'phantom' positions do not appear
|
|
portfolio.positions in the case that a position has been entered
|
|
and fully exited.
|
|
"""
|
|
def initialize(self, *args, **kwargs):
|
|
self.ordered = False
|
|
self.exited = False
|
|
|
|
def handle_data(self, data):
|
|
if not self.ordered:
|
|
for s in data:
|
|
self.order(s, 100)
|
|
self.ordered = True
|
|
|
|
if not self.exited:
|
|
amounts = [pos.amount for pos
|
|
in itervalues(self.portfolio.positions)]
|
|
if (
|
|
all([(amount == 100) for amount in amounts]) and
|
|
(len(amounts) == len(data.keys()))
|
|
):
|
|
for stock in self.portfolio.positions:
|
|
self.order(stock, -100)
|
|
self.exited = True
|
|
|
|
# Should be 0 when all positions are exited.
|
|
self.record(num_positions=len(self.portfolio.positions))
|
|
|
|
|
|
class InvalidOrderAlgorithm(TradingAlgorithm):
|
|
"""
|
|
An algorithm that tries to make various invalid order calls, verifying that
|
|
appropriate exceptions are raised.
|
|
"""
|
|
def initialize(self, *args, **kwargs):
|
|
self.sid = kwargs.pop('sids')[0]
|
|
|
|
def handle_data(self, data):
|
|
from zipline.api import (
|
|
order_percent,
|
|
order_target,
|
|
order_target_percent,
|
|
order_target_value,
|
|
order_value,
|
|
)
|
|
|
|
for style in [MarketOrder(), LimitOrder(10),
|
|
StopOrder(10), StopLimitOrder(10, 10)]:
|
|
|
|
with assert_raises(UnsupportedOrderParameters):
|
|
order(self.sid, 10, limit_price=10, style=style)
|
|
|
|
with assert_raises(UnsupportedOrderParameters):
|
|
order(self.sid, 10, stop_price=10, style=style)
|
|
|
|
with assert_raises(UnsupportedOrderParameters):
|
|
order_value(self.sid, 300, limit_price=10, style=style)
|
|
|
|
with assert_raises(UnsupportedOrderParameters):
|
|
order_value(self.sid, 300, stop_price=10, style=style)
|
|
|
|
with assert_raises(UnsupportedOrderParameters):
|
|
order_percent(self.sid, .1, limit_price=10, style=style)
|
|
|
|
with assert_raises(UnsupportedOrderParameters):
|
|
order_percent(self.sid, .1, stop_price=10, style=style)
|
|
|
|
with assert_raises(UnsupportedOrderParameters):
|
|
order_target(self.sid, 100, limit_price=10, style=style)
|
|
|
|
with assert_raises(UnsupportedOrderParameters):
|
|
order_target(self.sid, 100, stop_price=10, style=style)
|
|
|
|
with assert_raises(UnsupportedOrderParameters):
|
|
order_target_value(self.sid, 100, limit_price=10, style=style)
|
|
|
|
with assert_raises(UnsupportedOrderParameters):
|
|
order_target_value(self.sid, 100, stop_price=10, style=style)
|
|
|
|
with assert_raises(UnsupportedOrderParameters):
|
|
order_target_percent(self.sid, .2, limit_price=10, style=style)
|
|
|
|
with assert_raises(UnsupportedOrderParameters):
|
|
order_target_percent(self.sid, .2, stop_price=10, style=style)
|
|
|
|
|
|
##############################
|
|
# Quantopian style algorithms
|
|
from zipline.api import (order,
|
|
set_slippage,
|
|
record)
|
|
|
|
|
|
# Noop algo
|
|
def initialize_noop(context):
|
|
pass
|
|
|
|
|
|
def handle_data_noop(context, data):
|
|
pass
|
|
|
|
|
|
# API functions
|
|
def initialize_api(context):
|
|
context.incr = 0
|
|
context.sale_price = None
|
|
set_slippage(FixedSlippage())
|
|
|
|
|
|
def handle_data_api(context, data):
|
|
if context.incr == 0:
|
|
assert 0 not in context.portfolio.positions
|
|
else:
|
|
assert context.portfolio.positions[0]['amount'] == \
|
|
context.incr, "Orders not filled immediately."
|
|
assert context.portfolio.positions[0]['last_sale_price'] == \
|
|
data[0].price, "Orders not filled at current price."
|
|
context.incr += 1
|
|
order(0, 1)
|
|
|
|
record(incr=context.incr)
|
|
|
|
###########################
|
|
# AlgoScripts as strings
|
|
noop_algo = """
|
|
# Noop algo
|
|
def initialize(context):
|
|
pass
|
|
|
|
def handle_data(context, data):
|
|
pass
|
|
"""
|
|
|
|
api_algo = """
|
|
from zipline.api import (order,
|
|
set_slippage,
|
|
FixedSlippage,
|
|
record)
|
|
|
|
def initialize(context):
|
|
context.incr = 0
|
|
context.sale_price = None
|
|
set_slippage(FixedSlippage())
|
|
|
|
def handle_data(context, data):
|
|
if context.incr == 0:
|
|
assert 0 not in context.portfolio.positions
|
|
else:
|
|
assert context.portfolio.positions[0]['amount'] == \
|
|
context.incr, "Orders not filled immediately."
|
|
assert context.portfolio.positions[0]['last_sale_price'] == \
|
|
data[0].price, "Orders not filled at current price."
|
|
context.incr += 1
|
|
order(0, 1)
|
|
|
|
record(incr=context.incr)
|
|
"""
|
|
|
|
api_symbol_algo = """
|
|
from zipline.api import (order,
|
|
symbol)
|
|
|
|
def initialize(context):
|
|
pass
|
|
|
|
def handle_data(context, data):
|
|
order(symbol(0), 1)
|
|
"""
|
|
|
|
call_order_in_init = """
|
|
from zipline.api import (order)
|
|
|
|
def initialize(context):
|
|
order(0, 10)
|
|
pass
|
|
|
|
def handle_data(context, data):
|
|
pass
|
|
"""
|
|
|
|
access_portfolio_in_init = """
|
|
def initialize(context):
|
|
var = context.portfolio.cash
|
|
pass
|
|
|
|
def handle_data(context, data):
|
|
pass
|
|
"""
|
|
|
|
call_all_order_methods = """
|
|
from zipline.api import (order,
|
|
order_value,
|
|
order_percent,
|
|
order_target,
|
|
order_target_value,
|
|
order_target_percent)
|
|
|
|
def initialize(context):
|
|
pass
|
|
|
|
def handle_data(context, data):
|
|
order(0, 10)
|
|
order_value(0, 300)
|
|
order_percent(0, .1)
|
|
order_target(0, 100)
|
|
order_target_value(0, 100)
|
|
order_target_percent(0, .2)
|
|
"""
|
|
|
|
record_variables = """
|
|
from zipline.api import record
|
|
|
|
def initialize(context):
|
|
context.stocks = [0, 1]
|
|
context.incr = 0
|
|
|
|
def handle_data(context, data):
|
|
context.incr += 1
|
|
record(incr=context.incr)
|
|
"""
|
|
|
|
record_float_magic = """
|
|
from zipline.api import record
|
|
|
|
def initialize(context):
|
|
context.stocks = [0, 1]
|
|
context.incr = 0
|
|
|
|
def handle_data(context, data):
|
|
context.incr += 1
|
|
record(data=float('%s'))
|
|
"""
|