mirror of
https://github.com/wassname/catalyst.git
synced 2026-07-27 11:20:45 +08:00
Jean Bredeche
2854c77d55
`AlgorithmSimulator` listens to that event to call the algorithm's `before_trading_start` method.
72 lines
2.0 KiB
Python
72 lines
2.0 KiB
Python
#
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# Copyright 2016 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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import abc
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from abc import abstractmethod
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from six import with_metaclass
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from zipline.gens.sim_engine import SESSION_END
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class CancelPolicy(with_metaclass(abc.ABCMeta)):
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"""Abstract cancellation policy interface.
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"""
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@abstractmethod
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def should_cancel(self, event):
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"""Should all open orders be cancelled?
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Parameters
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----------
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event : enum-value
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An event type, one of:
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- :data:`zipline.gens.sim_engine.BAR`
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- :data:`zipline.gens.sim_engine.DAY_START`
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- :data:`zipline.gens.sim_engine.DAY_END`
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- :data:`zipline.gens.sim_engine.MINUTE_END`
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Returns
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-------
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should_cancel : bool
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Should all open orders be cancelled?
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"""
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pass
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class EODCancel(CancelPolicy):
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"""This policy cancels open orders at the end of the day. For now,
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Zipline will only apply this policy to minutely simulations.
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Parameters
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----------
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warn_on_cancel : bool, optional
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Should a warning be raised if this causes an order to be cancelled?
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"""
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def __init__(self, warn_on_cancel=True):
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self.warn_on_cancel = warn_on_cancel
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def should_cancel(self, event):
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return event == SESSION_END
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class NeverCancel(CancelPolicy):
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"""Orders are never automatically canceled.
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"""
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def __init__(self):
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self.warn_on_cancel = False
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def should_cancel(self, event):
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return False
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