mirror of
https://github.com/wassname/catalyst.git
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fawce
dba86153d2
- perf modified to let non-performance related events flow through. - changes to support streaming non-trading data through batch transforms and for mixing in sids with just custom data. - allowing CUSTOM events to flow through to transforms. - Added logic to maintain pre-specified sid filter.
137 lines
3.1 KiB
Python
137 lines
3.1 KiB
Python
#
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# Copyright 2013 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 datetime
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from utils.protocol_utils import Enum
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# Datasource type should completely determine the other fields of a
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# message with its type.
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DATASOURCE_TYPE = Enum(
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'AS_TRADED_EQUITY',
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'MERGER',
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'SPLIT',
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'DIVIDEND',
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'TRADE',
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'EMPTY',
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'DONE',
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'CUSTOM'
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)
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class Event(object):
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def __init__(self, initial_values=None):
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if initial_values:
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self.__dict__ = initial_values
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def __getitem__(self, name):
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return getattr(self, name)
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def __setitem__(self, name, value):
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setattr(self, name, value)
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def __delitem__(self, name):
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delattr(self, name)
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def keys(self):
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return self.__dict__.keys()
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def __eq__(self, other):
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return self.__dict__ == other.__dict__
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def __contains__(self, name):
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return name in self.__dict__
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def __repr__(self):
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return "Event({0})".format(self.__dict__)
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class Portfolio(object):
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def __init__(self, initial_values=None):
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if initial_values:
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self.__dict__ = initial_values
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def __getitem__(self, key):
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return self.__dict__[key]
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def __repr__(self):
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return "Portfolio({0})".format(self.__dict__)
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class Position(object):
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def __init__(self, sid):
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self.sid = sid
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self.amount = 0
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self.cost_basis = 0.0 # per share
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self.last_sale_price = 0.0
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def __getitem__(self, key):
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return self.__dict__[key]
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def __repr__(self):
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return "Position({0})".format(self.__dict__)
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class Positions(dict):
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def __missing__(self, key):
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pos = Position(key)
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self[key] = pos
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return pos
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class SIDData(object):
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def __init__(self, initial_values=None):
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if initial_values:
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self.__dict__ = initial_values
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def __getitem__(self, name):
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return self.__dict__[name]
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def __setitem__(self, name, value):
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self.__dict__[name] = value
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def __len__(self):
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return len(self.__dict__)
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def __contains__(self, name):
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return name in self.__dict__
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def __repr__(self):
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return "SIDData({0})".format(self.__dict__)
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class DailyReturn(object):
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def __init__(self, date, returns):
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assert isinstance(date, datetime.datetime)
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self.date = date.replace(hour=0, minute=0, second=0)
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self.returns = returns
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def to_dict(self):
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return {
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'dt': self.date,
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'returns': self.returns
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}
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def __repr__(self):
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return str(self.date) + " - " + str(self.returns)
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