mirror of
https://github.com/wassname/catalyst.git
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Conner Fromknecht
a38a35d664
* Updated cython build scripts * Updated setup.py to to install catalyst package * Updated momentum example to use catalyst package * catalyst executable now supports loading pipelines from multiple bundles
45 lines
1.5 KiB
Python
45 lines
1.5 KiB
Python
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from abc import ABCMeta
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from itertools import chain
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class FinancialModelMeta(ABCMeta):
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"""
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This metaclass allows users to create custom slippage and commission models
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that support both equities and futures by subclassing the appropriate
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individualized classes.
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Take for example the following custom model, which subclasses both
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EquitySlippageModel and FutureSlippageModel together:
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class MyCustomSlippage(EquitySlippageModel, FutureSlippageModel):
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def process_order(self, data, order):
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...
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Ordinarily the first parent class in the MRO ('EquitySlippageModel' in this
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example) would override the 'allowed_asset_types' class attribute to only
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include equities. However, this is probably not the expected behavior for a
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reasonable user, so the metaclass will handle this specific case by
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manually allowing both equities and futures for the class being created.
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"""
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def __new__(mcls, name, bases, dict_):
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if 'allowed_asset_types' not in dict_:
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allowed_asset_types = tuple(
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chain.from_iterable(
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marker.allowed_asset_types
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for marker in bases
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if isinstance(marker, AllowedAssetMarker)
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)
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)
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if allowed_asset_types:
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dict_['allowed_asset_types'] = allowed_asset_types
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return super(FinancialModelMeta, mcls).__new__(
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mcls, name, bases, dict_,
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)
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class AllowedAssetMarker(FinancialModelMeta):
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pass
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