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180 lines
6.7 KiB
Python
180 lines
6.7 KiB
Python
#
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# Copyright 2012 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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TRADING_DAYS_IN_YEAR = 250
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TRADING_HOURS_IN_DAY = 6.5
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MINUTES_IN_HOUR = 60
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ANNUALIZER = {'daily': TRADING_DAYS_IN_YEAR,
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'hourly': TRADING_DAYS_IN_YEAR * TRADING_HOURS_IN_DAY,
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'minute': TRADING_DAYS_IN_YEAR * TRADING_HOURS_IN_DAY *
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MINUTES_IN_HOUR}
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# NOTE: It may be worth revisiting how the keys for this dictionary are
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# specified, for instance making them ContinuousFuture objects instead of
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# static strings.
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FUTURE_EXCHANGE_FEES_BY_SYMBOL = {
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'AD': 1.60, # AUD
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'AI': 0.96, # Bloomberg Commodity Index
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'BD': 1.50, # Big Dow
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'BO': 1.95, # Soybean Oil
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'BP': 1.60, # GBP
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'CD': 1.60, # CAD
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'CL': 1.50, # Crude Oil
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'CM': 1.03, # Corn e-mini
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'CN': 1.95, # Corn
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'DJ': 1.50, # Dow Jones
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'EC': 1.60, # Euro FX
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'ED': 1.25, # Eurodollar
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'EE': 1.50, # Euro FX e-mini
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'EI': 1.50, # MSCI Emerging Markets mini
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'EL': 1.50, # Eurodollar NYSE LIFFE
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'ER': 0.65, # Russell2000 e-mini
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'ES': 1.18, # SP500 e-mini
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'ET': 1.50, # Ethanol
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'EU': 1.50, # Eurodollar e-micro
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'FC': 2.03, # Feeder Cattle
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'FF': 0.96, # 3-Day Federal Funds
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'FI': 0.56, # Deliverable Interest Rate Swap 5y
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'FS': 1.50, # Interest Rate Swap 5y
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'FV': 0.65, # US 5y
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'GC': 1.50, # Gold
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'HG': 1.50, # Copper
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'HO': 1.50, # Heating Oil
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'HU': 1.50, # Unleaded Gasoline
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'JE': 0.16, # JPY e-mini
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'JY': 1.60, # JPY
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'LB': 2.03, # Lumber
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'LC': 2.03, # Live Cattle
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'LH': 2.03, # Lean Hogs
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'MB': 1.50, # Municipal Bonds
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'MD': 1.50, # SP400 Midcap
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'ME': 1.60, # MXN
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'MG': 1.50, # MSCI EAFE mini
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'MI': 1.18, # SP400 Midcap e-mini
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'MS': 1.03, # Soybean e-mini
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'MW': 1.03, # Wheat e-mini
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'ND': 1.50, # Nasdaq100
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'NG': 1.50, # Natural Gas
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'NK': 2.15, # Nikkei225
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'NQ': 1.18, # Nasdaq100 e-mini
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'NZ': 1.60, # NZD
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'OA': 1.95, # Oats
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'PA': 1.50, # Palladium
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'PB': 1.50, # Pork Bellies
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'PL': 1.50, # Platinum
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'QG': 0.50, # Natural Gas e-mini
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'QM': 1.20, # Crude Oil e-mini
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'RM': 1.50, # Russell1000 e-mini
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'RR': 1.95, # Rough Rice
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'SB': 2.10, # Sugar
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'SF': 1.60, # CHF
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'SM': 1.95, # Soybean Meal
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'SP': 2.40, # SP500
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'SV': 1.50, # Silver
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'SY': 1.95, # Soybean
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'TB': 1.50, # Treasury Bills
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'TN': 0.56, # Deliverable Interest Rate Swap 10y
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'TS': 1.50, # Interest Rate Swap 10y
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'TU': 1.50, # US 2y
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'TY': 0.75, # US 10y
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'UB': 0.85, # Ultra Tbond
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'US': 0.80, # US 30y
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'VX': 1.50, # VIX
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'WC': 1.95, # Wheat
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'XB': 1.50, # RBOB Gasoline
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'XG': 0.75, # Gold e-mini
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'YM': 1.50, # Dow Jones e-mini
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'YS': 0.75, # Silver e-mini
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}
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# See `zipline.finance.slippage.VolatilityVolumeShare` for more information on
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# how these constants are used.
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DEFAULT_ETA = 0.049018143225019836
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ROOT_SYMBOL_TO_ETA = {
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'AD': DEFAULT_ETA, # AUD
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'AI': DEFAULT_ETA, # Bloomberg Commodity Index
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'BD': 0.050346811117733474, # Big Dow
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'BO': 0.054930995070046298, # Soybean Oil
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'BP': 0.047841544238716338, # GBP
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'CD': 0.051124420640250717, # CAD
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'CL': 0.04852544628414196, # Crude Oil
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'CM': 0.052683478163348625, # Corn e-mini
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'CN': 0.053499718390037809, # Corn
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'DJ': 0.02313009072076987, # Dow Jones
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'EC': 0.04885131067661861, # Euro FX
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'ED': 0.094184297090245755, # Eurodollar
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'EE': 0.048713151357687556, # Euro FX e-mini
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'EI': 0.031712708439692663, # MSCI Emerging Markets mini
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'EL': 0.044207422018209361, # Eurodollar NYSE LIFFE
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'ER': 0.045930567737711307, # Russell2000 e-mini
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'ES': 0.047304418321993502, # SP500 e-mini
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'ET': DEFAULT_ETA, # Ethanol
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'EU': 0.049750396084029064, # Eurodollar e-micro
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'FC': 0.058728734202178494, # Feeder Cattle
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'FF': 0.048970591527624042, # 3-Day Federal Funds
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'FI': 0.033477176738170772, # Deliverable Interest Rate Swap 5y
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'FS': 0.034557788010453824, # Interest Rate Swap 5y
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'FV': 0.046544427716056963, # US 5y
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'GC': 0.048933313546125207, # Gold
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'HG': 0.052238417524987799, # Copper
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'HO': 0.045061318412156062, # Heating Oil
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'HU': 0.017154313062463938, # Unleaded Gasoline
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'JE': 0.013948949613401812, # JPY e-mini
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'JY': DEFAULT_ETA, # JPY
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'LB': 0.06146586386903994, # Lumber
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'LC': 0.055853801862858619, # Live Cattle
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'LH': 0.057557004630219781, # Lean Hogs
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'MB': DEFAULT_ETA, # Municipal Bonds
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'MD': DEFAULT_ETA, # SP400 Midcap
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'ME': 0.030383767727818548, # MXN
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'MG': 0.029579261656151684, # MSCI EAFE mini
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'MI': 0.041026288873007355, # SP400 Midcap e-mini
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'MS': DEFAULT_ETA, # Soybean e-mini
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'MW': 0.052579919663880245, # Wheat e-mini
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'ND': DEFAULT_ETA, # Nasdaq100
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'NG': 0.047897809233755716, # Natural Gas
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'NK': 0.044555435054791433, # Nikkei225
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'NQ': 0.044772425085977945, # Nasdaq100 e-mini
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'NZ': 0.049170418073872041, # NZD
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'OA': 0.056973267232775522, # Oats
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'PA': DEFAULT_ETA, # Palladium
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'PB': DEFAULT_ETA, # Pork Bellies
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'PL': 0.054579379665647493, # Platinum
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'QG': DEFAULT_ETA, # Natural Gas e-mini
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'QM': DEFAULT_ETA, # Crude Oil e-mini
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'RM': 0.037425041244579654, # Russell1000 e-mini
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'RR': DEFAULT_ETA, # Rough Rice
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'SB': 0.057388160345668134, # Sugar
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'SF': 0.047784825569615726, # CHF
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'SM': 0.048552860559844223, # Soybean Meal
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'SP': DEFAULT_ETA, # SP500
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'SV': 0.052691435039931109, # Silver
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'SY': 0.052041703657281613, # Soybean
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'TB': DEFAULT_ETA, # Treasury Bills
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'TN': 0.033363465365262503, # Deliverable Interest Rate Swap 10y
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'TS': 0.032908878455069152, # Interest Rate Swap 10y
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'TU': 0.063867646063840794, # US 2y
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'TY': 0.050586988554700826, # US 10y
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'UB': DEFAULT_ETA, # Ultra Tbond
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'US': 0.047984179873590722, # US 30y
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'VX': DEFAULT_ETA, # VIX
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'WC': 0.052636542119329242, # Wheat
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'XB': 0.044444916388854484, # RBOB Gasoline
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'XG': DEFAULT_ETA, # Gold e-mini
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'YM': DEFAULT_ETA, # Dow Jones e-mini
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'YS': DEFAULT_ETA, # Silver e-mini
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}
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