mirror of
https://github.com/wassname/catalyst.git
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291 lines
9.7 KiB
Python
291 lines
9.7 KiB
Python
#
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# Copyright 2015 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 math
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from logbook import Logger
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from collections import defaultdict
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from six.moves import filter
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import zipline.errors
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import zipline.protocol as zp
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from zipline.finance.slippage import (
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VolumeShareSlippage,
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transact_partial,
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)
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from zipline.finance.commission import PerShare
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from zipline.finance.order import Order
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from zipline.utils.serialization_utils import (
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VERSION_LABEL
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)
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log = Logger('Blotter')
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class Blotter(object):
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def __init__(self):
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self.transact = transact_partial(VolumeShareSlippage(), PerShare())
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# these orders are aggregated by sid
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self.open_orders = defaultdict(list)
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# keep a dict of orders by their own id
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self.orders = {}
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# holding orders that have come in since the last
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# event.
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self.new_orders = []
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self.current_dt = None
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self.max_shares = int(1e+11)
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def __repr__(self):
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return """
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{class_name}(
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transact_partial={transact_partial},
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open_orders={open_orders},
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orders={orders},
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new_orders={new_orders},
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current_dt={current_dt})
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""".strip().format(class_name=self.__class__.__name__,
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transact_partial=self.transact.args,
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open_orders=self.open_orders,
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orders=self.orders,
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new_orders=self.new_orders,
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current_dt=self.current_dt)
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def set_date(self, dt):
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self.current_dt = dt
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def order(self, sid, amount, style, order_id=None):
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# something could be done with amount to further divide
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# between buy by share count OR buy shares up to a dollar amount
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# numeric == share count AND "$dollar.cents" == cost amount
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"""
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amount > 0 :: Buy/Cover
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amount < 0 :: Sell/Short
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Market order: order(sid, amount)
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Limit order: order(sid, amount, style=LimitOrder(limit_price))
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Stop order: order(sid, amount, style=StopOrder(stop_price))
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StopLimit order: order(sid, amount, style=StopLimitOrder(limit_price,
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stop_price))
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"""
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if amount == 0:
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# Don't bother placing orders for 0 shares.
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return
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elif amount > self.max_shares:
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# Arbitrary limit of 100 billion (US) shares will never be
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# exceeded except by a buggy algorithm.
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raise OverflowError("Can't order more than %d shares" %
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self.max_shares)
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is_buy = (amount > 0)
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order = Order(
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dt=self.current_dt,
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sid=sid,
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amount=amount,
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stop=style.get_stop_price(is_buy),
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limit=style.get_limit_price(is_buy),
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id=order_id
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)
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self.open_orders[order.sid].append(order)
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self.orders[order.id] = order
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self.new_orders.append(order)
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return order.id
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def cancel(self, order_id):
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if order_id not in self.orders:
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return
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cur_order = self.orders[order_id]
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if cur_order.open:
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order_list = self.open_orders[cur_order.sid]
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if cur_order in order_list:
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order_list.remove(cur_order)
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if cur_order in self.new_orders:
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self.new_orders.remove(cur_order)
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cur_order.cancel()
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cur_order.dt = self.current_dt
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# we want this order's new status to be relayed out
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# along with newly placed orders.
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self.new_orders.append(cur_order)
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def cancel_all(self, sid):
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"""
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Cancel all open orders for a given sid.
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"""
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# (sadly) open_orders is a defaultdict, so this will always succeed.
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orders = self.open_orders[sid]
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# We're making a copy here because `cancel` mutates the list of open
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# orders in place. The right thing to do here would be to make
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# self.open_orders no longer a defaultdict. If we do that, then we
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# should just remove the orders once here and be done with the matter.
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for order in orders[:]:
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self.cancel(order.id)
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assert not orders
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del self.open_orders[sid]
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def reject(self, order_id, reason=''):
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"""
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Mark the given order as 'rejected', which is functionally similar to
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cancelled. The distinction is that rejections are involuntary (and
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usually include a message from a broker indicating why the order was
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rejected) while cancels are typically user-driven.
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"""
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if order_id not in self.orders:
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return
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cur_order = self.orders[order_id]
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order_list = self.open_orders[cur_order.sid]
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if cur_order in order_list:
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order_list.remove(cur_order)
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if cur_order in self.new_orders:
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self.new_orders.remove(cur_order)
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cur_order.reject(reason=reason)
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cur_order.dt = self.current_dt
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# we want this order's new status to be relayed out
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# along with newly placed orders.
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self.new_orders.append(cur_order)
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def hold(self, order_id, reason=''):
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"""
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Mark the order with order_id as 'held'. Held is functionally similar
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to 'open'. When a fill (full or partial) arrives, the status
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will automatically change back to open/filled as necessary.
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"""
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if order_id not in self.orders:
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return
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cur_order = self.orders[order_id]
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if cur_order.open:
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if cur_order in self.new_orders:
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self.new_orders.remove(cur_order)
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cur_order.hold(reason=reason)
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cur_order.dt = self.current_dt
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# we want this order's new status to be relayed out
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# along with newly placed orders.
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self.new_orders.append(cur_order)
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def process_split(self, split_event):
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if split_event.sid not in self.open_orders:
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return
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orders_to_modify = self.open_orders[split_event.sid]
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for order in orders_to_modify:
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order.handle_split(split_event)
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def process_benchmark(self, benchmark_event):
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return
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yield
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def process_trade(self, trade_event):
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if trade_event.sid not in self.open_orders:
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return
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if trade_event.volume < 1:
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# there are zero volume trade_events bc some stocks trade
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# less frequently than once per minute.
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return
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orders = self.open_orders[trade_event.sid]
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orders.sort(key=lambda o: o.dt)
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# Only use orders for the current day or before
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current_orders = filter(
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lambda o: o.dt <= trade_event.dt,
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orders)
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processed_orders = []
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for txn, order in self.process_transactions(trade_event,
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current_orders):
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processed_orders.append(order)
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yield txn, order
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# remove closed orders. we should only have to check
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# processed orders
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def not_open(order):
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return not order.open
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closed_orders = filter(not_open, processed_orders)
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for order in closed_orders:
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orders.remove(order)
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if len(orders) == 0:
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del self.open_orders[trade_event.sid]
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def process_transactions(self, trade_event, current_orders):
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for order, txn in self.transact(trade_event, current_orders):
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if txn.type == zp.DATASOURCE_TYPE.COMMISSION:
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order.commission = (order.commission or 0.0) + txn.cost
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else:
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if txn.amount == 0:
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raise zipline.errors.TransactionWithNoAmount(txn=txn)
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if math.copysign(1, txn.amount) != order.direction:
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raise zipline.errors.TransactionWithWrongDirection(
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txn=txn, order=order)
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if abs(txn.amount) > abs(self.orders[txn.order_id].amount):
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raise zipline.errors.TransactionVolumeExceedsOrder(
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txn=txn, order=order)
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order.filled += txn.amount
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if txn.commission is not None:
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order.commission = ((order.commission or 0.0) +
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txn.commission)
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# mark the date of the order to match the transaction
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# that is filling it.
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order.dt = txn.dt
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yield txn, order
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def __getstate__(self):
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state_to_save = ['new_orders', 'orders', '_status']
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state_dict = {k: self.__dict__[k] for k in state_to_save
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if k in self.__dict__}
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# Have to handle defaultdicts specially
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state_dict['open_orders'] = dict(self.open_orders)
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STATE_VERSION = 1
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state_dict[VERSION_LABEL] = STATE_VERSION
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return state_dict
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def __setstate__(self, state):
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self.__init__()
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OLDEST_SUPPORTED_STATE = 1
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version = state.pop(VERSION_LABEL)
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if version < OLDEST_SUPPORTED_STATE:
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raise BaseException("Blotter saved is state too old.")
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open_orders = defaultdict(list)
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open_orders.update(state.pop('open_orders'))
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self.open_orders = open_orders
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self.__dict__.update(state)
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