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https://github.com/wassname/catalyst.git
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Eddie Hebert
91 lines
3.0 KiB
Python
91 lines
3.0 KiB
Python
#
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# Copyright 2012 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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from zipline.transforms.utils import TransformMeta
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from collections import defaultdict, deque
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class Returns(object):
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"""
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Class that maintains a dictionary from sids to the sid's
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closing price N trading days ago.
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"""
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__metaclass__ = TransformMeta
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def __init__(self, days):
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self.days = days
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self.mapping = defaultdict(self._create)
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def update(self, event):
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"""
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Update and return the calculated returns for this event's sid.
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"""
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assert 'dt' in event
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assert 'price' in event
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tracker = self.mapping[event.sid]
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tracker.update(event)
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return tracker.returns
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def _create(self):
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return ReturnsFromPriorClose(self.days)
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class ReturnsFromPriorClose(object):
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"""
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Records the last N closing events for a given security as well as the
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last event for the security. When we get an event for a new day, we
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treat the last event seen as the close for the previous day.
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"""
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def __init__(self, days):
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self.closes = deque()
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self.last_event = None
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self.returns = 0.0
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self.days = days
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def update(self, event):
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if self.last_event:
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# Day has changed since the last event we saw. Treat
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# the last event as the closing price for its day and
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# clear out the oldest close if it has expired.
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if self.last_event.dt.date() != event.dt.date():
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self.closes.append(self.last_event)
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# We keep an event for the end of each trading day, so
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# if the number of stored events is greater than the
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# number of days we want to track, the oldest close
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# is expired and should be discarded.
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while len(self.closes) > self.days:
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# Pop the oldest event.
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self.closes.popleft()
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# We only generate a return value once we've seen enough days
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# to give a sensible value. Would be nice if we could query
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# db for closes prior to our initial event, but that would
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# require giving this transform database creds, which we want
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# to avoid.
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if len(self.closes) == self.days:
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last_close = self.closes[0].price
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change = event.price - last_close
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self.returns = change / last_close
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# the current event is now the last_event
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self.last_event = event
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