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scottsanderson
48 lines
1.4 KiB
Python
48 lines
1.4 KiB
Python
from collections import defaultdict
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from zipline.transforms.base import BaseTransform
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class Returns(object):
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"""
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Class that maintains a dictionary from sids to the event
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representing the most recent closing price.
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"""
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def __init__(self, days == 1):
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self.days = days
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self.mapping = defaultdict(self._create)
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def update(self, event):
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"""
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Update and return the calculated returns for this event's sid.
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"""
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sid_returns = self.mapping[event.sid].update(event)
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return sid_returns
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def _create(self):
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return ReturnsFromPriorClose(days)
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class ReturnsFromPriorClose(object):
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"""
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Calculates a security's returns since the previous close, using the
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current price.
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"""
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def __init__(self):
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self.last_close = None
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self.last_event = None
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self.returns = 0.0
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def update(self, event):
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if self.last_close:
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change = event.price - self.last_close.price
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self.returns = change / self.last_close.price
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if self.last_event:
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if self.last_event.dt.day != event.dt.day:
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# the current event is from the day after
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# the last event. Therefore the last event was
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# the last close
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self.last_close = self.last_event
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# the current event is now the last_event
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self.last_event = event
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