mirror of
https://github.com/wassname/catalyst.git
synced 2026-06-28 22:52:02 +08:00
Eddie Hebert
8481e2df49
Use six's with_metaclass to have objects that use metaclasses, in both Python 2 and 3. Otherwise, in Python 3 the objects were being treated as if they did not have a metaclass, when the Python 2 syntax is used, leading to errors because of missing attributes, etc.
258 lines
9.2 KiB
Python
258 lines
9.2 KiB
Python
#
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# Copyright 2013 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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Generator versions of transforms.
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"""
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import logbook
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from numbers import Integral
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from datetime import datetime
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from collections import deque
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from abc import ABCMeta, abstractmethod
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from six import with_metaclass
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from zipline.protocol import DATASOURCE_TYPE
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from zipline.gens.utils import assert_sort_unframe_protocol, hash_args
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from zipline.finance import trading
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log = logbook.Logger('Transform')
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class UnsupportedEventWindowFlagValue(Exception):
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"""
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Error state when an EventWindow option is attempted to be set
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to a value that is no longer supported by the library.
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This is to help enforce deprecation of the market_aware and delta flags,
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without completely removing it and breaking existing algorithms.
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"""
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pass
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class InvalidWindowLength(Exception):
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"""
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Error raised when the window length is unusable.
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"""
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pass
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def check_window_length(window_length):
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"""
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Ensure the window length provided to a transform is valid.
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"""
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if window_length is None:
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raise InvalidWindowLength("window_length must be provided")
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if not isinstance(window_length, Integral):
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raise InvalidWindowLength(
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"window_length must be an integer-like number")
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if window_length == 0:
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raise InvalidWindowLength("window_length must be non-zero")
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if window_length < 0:
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raise InvalidWindowLength("window_length must be positive")
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class TransformMeta(type):
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"""
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Metaclass that automatically packages a class inside of
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StatefulTransform on initialization. Specifically, if Foo is a
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class with its __metaclass__ attribute set to TransformMeta, then
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calling Foo(*args, **kwargs) will return StatefulTransform(Foo,
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*args, **kwargs) instead of an instance of Foo. (Note that you can
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still recover an instance of a "raw" Foo by introspecting the
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resulting StatefulTransform's 'state' field.)
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"""
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def __call__(cls, *args, **kwargs):
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return StatefulTransform(cls, *args, **kwargs)
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class StatefulTransform(object):
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"""
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Generic transform generator that takes each message from an
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in-stream and passes it to a state object. For each call to
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update, the state class must produce a message to be fed
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downstream. Any transform class with the FORWARDER class variable
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set to true will forward all fields in the original message.
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Otherwise only dt, tnfm_id, and tnfm_value are forwarded.
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"""
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def __init__(self, tnfm_class, *args, **kwargs):
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assert hasattr(tnfm_class, 'update'), \
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"Stateful transform requires the class to have an update method"
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# Create an instance of our transform class.
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if isinstance(tnfm_class, TransformMeta):
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# Classes derived TransformMeta have their __call__
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# attribute overridden. Since this is what is usually
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# used to create an instance, we have to delegate the
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# responsibility of creating an instance to
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# TransformMeta's parent class, which is 'type'. This is
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# what is implicitly done behind the scenes by the python
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# interpreter for most classes anyway, but here we have to
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# be explicit because we've overridden the method that
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# usually resolves to our super call.
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self.state = super(TransformMeta, tnfm_class).__call__(
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*args, **kwargs)
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# Normal object instantiation.
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else:
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self.state = tnfm_class(*args, **kwargs)
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# save the window_length of the state for external access.
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self.window_length = self.state.window_length
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# Create the string associated with this generator's output.
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self.namestring = tnfm_class.__name__ + hash_args(*args, **kwargs)
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def get_hash(self):
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return self.namestring
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def transform(self, stream_in):
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return self._gen(stream_in)
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def _gen(self, stream_in):
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# IMPORTANT: Messages may contain pointers that are shared with
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# other streams. Transforms that modify their input
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# messages should only manipulate copies.
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for message in stream_in:
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# we only handle TRADE events.
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if (hasattr(message, 'type')
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and message.type not in (
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DATASOURCE_TYPE.TRADE,
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DATASOURCE_TYPE.CUSTOM)):
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yield message
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continue
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# allow upstream generators to yield None to avoid
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# blocking.
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if message is None:
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continue
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assert_sort_unframe_protocol(message)
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tnfm_value = self.state.update(message)
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out_message = message
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out_message[self.namestring] = tnfm_value
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yield out_message
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class EventWindow(with_metaclass(ABCMeta)):
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"""
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Abstract base class for transform classes that calculate iterative
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metrics on events within a given timedelta. Maintains a list of
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events that are within a certain timedelta of the most recent
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tick. Calls self.handle_add(event) for each event added to the
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window. Calls self.handle_remove(event) for each event removed
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from the window. Subclass these methods along with init(*args,
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**kwargs) to calculate metrics over the window.
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If the market_aware flag is True, the EventWindow drops old events
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based on the number of elapsed trading days between newest and oldest.
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Otherwise old events are dropped based on a raw timedelta.
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See zipline/transforms/mavg.py and zipline/transforms/vwap.py for example
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implementations of moving average and volume-weighted average
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price.
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"""
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# Mark this as an abstract base class.
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def __init__(self, market_aware=True, window_length=None, delta=None):
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check_window_length(window_length)
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self.window_length = window_length
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self.ticks = deque()
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# Only Market-aware mode is now supported.
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if not market_aware:
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raise UnsupportedEventWindowFlagValue(
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"Non-'market aware' mode is no longer supported."
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)
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if delta:
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raise UnsupportedEventWindowFlagValue(
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"delta values are no longer supported."
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)
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# Set the behavior for dropping events from the back of the
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# event window.
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self.drop_condition = self.out_of_market_window
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@abstractmethod
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def handle_add(self, event):
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raise NotImplementedError()
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@abstractmethod
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def handle_remove(self, event):
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raise NotImplementedError()
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def __len__(self):
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return len(self.ticks)
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def update(self, event):
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if (hasattr(event, 'type')
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and event.type not in (
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DATASOURCE_TYPE.TRADE,
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DATASOURCE_TYPE.CUSTOM)):
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return
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self.assert_well_formed(event)
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# Add new event and increment totals.
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self.ticks.append(event)
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# Subclasses should override handle_add to define behavior for
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# adding new ticks.
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self.handle_add(event)
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# Clear out any expired events.
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#
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# oldest newest
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# | |
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# V V
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while self.drop_condition(self.ticks[0].dt, self.ticks[-1].dt):
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# popleft removes and returns the oldest tick in self.ticks
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popped = self.ticks.popleft()
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# Subclasses should override handle_remove to define
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# behavior for removing ticks.
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self.handle_remove(popped)
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def out_of_market_window(self, oldest, newest):
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oldest_index = \
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trading.environment.trading_days.searchsorted(oldest)
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newest_index = \
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trading.environment.trading_days.searchsorted(newest)
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trading_days_between = newest_index - oldest_index
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# "Put back" a day if oldest is earlier in its day than newest,
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# reflecting the fact that we haven't yet completed the last
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# day in the window.
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if oldest.time() > newest.time():
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trading_days_between -= 1
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return trading_days_between >= self.window_length
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# All event windows expect to receive events with datetime fields
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# that arrive in sorted order.
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def assert_well_formed(self, event):
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assert isinstance(event.dt, datetime), \
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"Bad dt in EventWindow:%s" % event
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if len(self.ticks) > 0:
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# Something is wrong if new event is older than previous.
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assert event.dt >= self.ticks[-1].dt, \
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"Events arrived out of order in EventWindow: %s -> %s" % \
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(event, self.ticks[0])
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