catalyst/zipline/protocol.py

#
# Copyright 2016 Quantopian, Inc.
#
# Licensed under the Apache License, Version 2.0 (the "License");
# you may not use this file except in compliance with the License.
# You may obtain a copy of the License at
#
#     http://www.apache.org/licenses/LICENSE-2.0
#
# Unless required by applicable law or agreed to in writing, software
# distributed under the License is distributed on an "AS IS" BASIS,
# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
# See the License for the specific language governing permissions and
# limitations under the License.
from warnings import warn

import pandas as pd

from .utils.enum import enum
from zipline._protocol import BarData  # noqa


# Datasource type should completely determine the other fields of a
# message with its type.
DATASOURCE_TYPE = enum(
    'AS_TRADED_EQUITY',
    'MERGER',
    'SPLIT',
    'DIVIDEND',
    'TRADE',
    'TRANSACTION',
    'ORDER',
    'EMPTY',
    'DONE',
    'CUSTOM',
    'BENCHMARK',
    'COMMISSION',
    'CLOSE_POSITION'
)

# Expected fields/index values for a dividend Series.
DIVIDEND_FIELDS = [
    'declared_date',
    'ex_date',
    'gross_amount',
    'net_amount',
    'pay_date',
    'payment_sid',
    'ratio',
    'sid',
]
# Expected fields/index values for a dividend payment Series.
DIVIDEND_PAYMENT_FIELDS = [
    'id',
    'payment_sid',
    'cash_amount',
    'share_count',
]


class Event(object):

    def __init__(self, initial_values=None):
        if initial_values:
            self.__dict__.update(initial_values)

    def keys(self):
        return self.__dict__.keys()

    def __eq__(self, other):
        return hasattr(other, '__dict__') and self.__dict__ == other.__dict__

    def __contains__(self, name):
        return name in self.__dict__

    def __repr__(self):
        return "Event({0})".format(self.__dict__)

    def to_series(self, index=None):
        return pd.Series(self.__dict__, index=index)


def _deprecated_getitem_method(name, attrs):
    """Create a deprecated ``__getitem__`` method that tells users to use
    getattr instead.

    Parameters
    ----------
    name : str
        The name of the object in the warning message.
    attrs : iterable[str]
        The set of allowed attributes.

    Returns
    -------
    __getitem__ : callable[any, str]
        The ``__getitem__`` method to put in the class dict.
    """
    attrs = frozenset(attrs)
    msg = (
        "'{name}[{attr!r}]' is deprecated, please use"
        " '{name}.{attr}' instead"
    )

    def __getitem__(self, key):
        """``__getitem__`` is deprecated, please use attribute access instead.
        """
        warn(msg.format(name=name, attr=key), DeprecationWarning, stacklevel=2)
        if key in attrs:
            return self.__dict__[key]
        raise KeyError(key)

    return __getitem__


class Order(Event):
    # If you are adding new attributes, don't update this set. This method
    # is deprecated to normal attribute access so we don't want to encourage
    # new usages.
    __getitem__ = _deprecated_getitem_method(
        'order', {
            'dt',
            'sid',
            'amount',
            'stop',
            'limit',
            'id',
            'filled',
            'commission',
            'stop_reached',
            'limit_reached',
            'created',
        },
    )


class Portfolio(object):

    def __init__(self):
        self.capital_used = 0.0
        self.starting_cash = 0.0
        self.portfolio_value = 0.0
        self.pnl = 0.0
        self.returns = 0.0
        self.cash = 0.0
        self.positions = Positions()
        self.start_date = None
        self.positions_value = 0.0

    def __repr__(self):
        return "Portfolio({0})".format(self.__dict__)

    # If you are adding new attributes, don't update this set. This method
    # is deprecated to normal attribute access so we don't want to encourage
    # new usages.
    __getitem__ = _deprecated_getitem_method(
        'portfolio', {
            'capital_used',
            'starting_cash',
            'portfolio_value',
            'pnl',
            'returns',
            'cash',
            'positions',
            'start_date',
            'positions_value',
        },
    )


class Account(object):
    '''
    The account object tracks information about the trading account. The
    values are updated as the algorithm runs and its keys remain unchanged.
    If connected to a broker, one can update these values with the trading
    account values as reported by the broker.
    '''

    def __init__(self):
        self.settled_cash = 0.0
        self.accrued_interest = 0.0
        self.buying_power = float('inf')
        self.equity_with_loan = 0.0
        self.total_positions_value = 0.0
        self.total_positions_exposure = 0.0
        self.regt_equity = 0.0
        self.regt_margin = float('inf')
        self.initial_margin_requirement = 0.0
        self.maintenance_margin_requirement = 0.0
        self.available_funds = 0.0
        self.excess_liquidity = 0.0
        self.cushion = 0.0
        self.day_trades_remaining = float('inf')
        self.leverage = 0.0
        self.net_leverage = 0.0
        self.net_liquidation = 0.0

    def __repr__(self):
        return "Account({0})".format(self.__dict__)

    # If you are adding new attributes, don't update this set. This method
    # is deprecated to normal attribute access so we don't want to encourage
    # new usages.
    __getitem__ = _deprecated_getitem_method(
        'account', {
            'settled_cash',
            'accrued_interest',
            'buying_power',
            'equity_with_loan',
            'total_positions_value',
            'total_positions_exposure',
            'regt_equity',
            'regt_margin',
            'initial_margin_requirement',
            'maintenance_margin_requirement',
            'available_funds',
            'excess_liquidity',
            'cushion',
            'day_trades_remaining',
            'leverage',
            'net_leverage',
            'net_liquidation',
        },
    )


class Position(object):

    def __init__(self, sid):
        self.sid = sid
        self.amount = 0
        self.cost_basis = 0.0  # per share
        self.last_sale_price = 0.0
        self.last_sale_date = None

    def __repr__(self):
        return "Position({0})".format(self.__dict__)

    # If you are adding new attributes, don't update this set. This method
    # is deprecated to normal attribute access so we don't want to encourage
    # new usages.
    __getitem__ = _deprecated_getitem_method(
        'position', {
            'sid',
            'amount',
            'cost_basis',
            'last_sale_price',
            'last_sale_date',
        },
    )


class Positions(dict):

    def __missing__(self, key):
        pos = Position(key)
        return pos