mirror of
https://github.com/wassname/catalyst.git
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scottsanderson
229 lines
8.1 KiB
Python
229 lines
8.1 KiB
Python
"""
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Generator versions of transforms.
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"""
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import types
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from copy import deepcopy
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from datetime import datetime
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from collections import deque, defaultdict
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from numbers import Number
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from zipline import ndict
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from zipline.gens.utils import assert_sort_unframe_protocol, \
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assert_transform_protocol, hash_args
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class Passthrough(object):
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FORWARDER = True
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"""
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Trivial class for forwarding events.
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"""
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def __init__(self):
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pass
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def update(self, event):
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pass
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def functional_transform(stream_in, func, *args, **kwargs):
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"""
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Generic transform generator that takes each message from an in-stream
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and yields the output of a function on that message. Not sure how
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useful this will be in reality, but good for testing.
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"""
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assert isinstance(func, types.FunctionType), \
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"Functional"
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namestring = func.__name__ + hash_args(*args, **kwargs)
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for message in stream_in:
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assert_sort_unframe_protocol(message)
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out_value = func(message, *args, **kwargs)
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assert_transform_protocol(out_value)
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yield(namestring, out_value)
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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, stream_in, tnfm_class, *args, **kwargs):
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assert isinstance(tnfm_class, (types.ObjectType, types.ClassType)), \
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"Stateful transform requires a class."
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assert tnfm_class.__dict__.has_key('update'), \
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"Stateful transform requires the class to have an update method"
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self.forward_all = tnfm_class.__dict__.get('FORWARDER', False)
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self.update_in_place = tnfm_class.__dict__.get('UPDATER', False)
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assert not all([self.forward_all, self.update_in_place])
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self.stream_in = stream_in
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# Create an instance of our transform class.
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self.state = tnfm_class(*args, **kwargs)
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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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# Generator isn't initialized until someone calls __iter__ or next().
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self.__generator = None
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def get_hash(self):
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return self.namestring
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def next(self):
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if self.__generator:
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return self.__generator.next()
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else:
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self.__generator = self._gen()
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return self.__generator.next()
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def __iter__(self):
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return self
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def _gen(self):
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# IMPORTANT: Messages may contain pointers that are shared with
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# other streams, so we only manipulate copies.
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for message in self.stream_in:
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assert_sort_unframe_protocol(message)
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message_copy = deepcopy(message)
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# Same shared pointer issue here as above.
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tnfm_value = self.state.update(deepcopy(message_copy))
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# If we want to keep all original values, plus append tnfm_id
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# and tnfm_value. Used for Passthrough.
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if self.forward_all:
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out_message = message_copy
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out_message.tnfm_id = self.namestring
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out_message.tnfm_value = tnfm_value
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yield out_message
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# Our expectation is that the transform simply updated the
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# message it was passed. Useful for chaining together
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# multiple transforms, e.g. TransactionSimulator/PerformanceTracker.
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elif self.update_in_place:
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yield tnfm_value
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# Otherwise send tnfm_id, tnfm_value, and the message
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# date. Useful for transforms being piped to a merge.
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else:
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out_message = ndict()
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out_message.tnfm_id = self.namestring
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out_message.tnfm_value = tnfm_value
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out_message.dt = message_copy.dt
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yield out_message
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class MovingAverage(object):
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"""
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Class that maintains a dictionary from sids to EventWindows
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Upon receipt of each message we update the
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corresponding window and return the calculated average.
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"""
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FORWARDER = False
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def __init__(self, delta, fields):
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self.delta = delta
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self.fields = fields
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# No way to pass arguments to the defaultdict factory, so we
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# need to define a method to generate the correct EventWindows.
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self.sid_windows = defaultdict(self.create_window)
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def create_window(self):
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"""Factory method for self.sid_windows."""
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return EventWindow(self.delta, self.fields)
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def update(self, event):
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"""
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Update the event window for this event's sid. Return an ndict from
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tracked fields to averages.
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"""
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assert isinstance(event, ndict),"Bad event in MovingAverage: %s" % event
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assert event.has_key('sid'), "No sid in MovingAverage: %s" % event
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assert event.has_key('dt'), "No dt in MovingAverage: %s" % event
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# This will create a new EventWindow if this is the first
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# message for this sid.
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window = self.sid_windows[event.sid]
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window.update(event)
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return window.get_averages()
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class EventWindow(object):
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"""
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Maintains a list of events that are within a certain timedelta
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of the most recent tick. The expected use of this class is to
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track events associated with a single sid. We provide simple
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functionality for averages, but anything more complicated
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should be handled by a containing class.
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"""
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def __init__(self, delta, fields):
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self.ticks = deque()
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self.delta = delta
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self.fields = fields
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self.totals = defaultdict(float)
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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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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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for field in self.fields:
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self.totals[field] += event[field]
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# We return a list of all out-of-range events we removed.
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out_of_range = []
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# Clear out expired events, decrementing totals.
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# newest oldest
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# | |
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# V V
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while (self.ticks[-1].dt - self.ticks[0].dt) >= self.delta:
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# popleft removes and returns ticks[0]
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popped = self.ticks.popleft()
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# Decrement totals
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for field in self.fields:
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self.totals[field] -= popped[field]
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# Add the popped element to the list of dropped events.
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out_of_range.append(popped)
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return out_of_range
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def average(self, field):
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assert field in self.fields
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if len(self.ticks) == 0:
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return 0.0
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else:
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return self.totals[field] / len(self.ticks)
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def get_averages(self):
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"""
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Return an ndict of all our tracked averages.
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"""
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out = ndict()
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# out.ticks = len(self.ticks)
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for field in self.fields:
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out[field] = self.average(field)
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return out
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def assert_well_formed(self, event):
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assert isinstance(event, ndict), "Bad event in EventWindow:%s" % event
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assert event.has_key('dt'), "Missing dt in EventWindow:%s" % event
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assert isinstance(event.dt, datetime),"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" % (event, self.ticks[0])
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for field in self.fields:
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assert event.has_key(field), \
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"Event missing [%s] in EventWindow" % field
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assert isinstance(event[field], Number), \
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"Got %s for %s in EventWindow" % (event[field], field)
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