mirror of
https://github.com/wassname/catalyst.git
synced 2026-07-07 12:47:47 +08:00
Eddie Hebert
f7e4f57425
Previously, on days that were trading days, but there with no event data to process for that day, performance metrics were not emitted, since the handling was based on having an event trigger the daily performance metric. Handled by grouping together performance messages, on market open, for all days since the last market close. Also, changes perf_tracker unit test to simulate missing data. Taken from @richafrank's branch handling the same case.
607 lines
24 KiB
Python
607 lines
24 KiB
Python
#
|
|
# Copyright 2012 Quantopian, Inc.
|
|
#
|
|
# Licensed under the Apache License, Version 2.0 (the "License");
|
|
# you may not use this file except in compliance with the License.
|
|
# You may obtain a copy of the License at
|
|
#
|
|
# http://www.apache.org/licenses/LICENSE-2.0
|
|
#
|
|
# Unless required by applicable law or agreed to in writing, software
|
|
# distributed under the License is distributed on an "AS IS" BASIS,
|
|
# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
|
|
# See the License for the specific language governing permissions and
|
|
# limitations under the License.
|
|
|
|
"""
|
|
|
|
Performance Tracking
|
|
====================
|
|
|
|
+-----------------+----------------------------------------------------+
|
|
| key | value |
|
|
+=================+====================================================+
|
|
| period_start | The beginning of the period to be tracked. datetime|
|
|
| | in pytz.utc timezone. Will always be 0:00 on the |
|
|
| | date in UTC. The fact that the time may be on the |
|
|
| | prior day in the exchange's local time is ignored |
|
|
+-----------------+----------------------------------------------------+
|
|
| period_end | The end of the period to be tracked. datetime |
|
|
| | in pytz.utc timezone. Will always be 23:59 on the |
|
|
| | date in UTC. The fact that the time may be on the |
|
|
| | next day in the exchange's local time is ignored |
|
|
+-----------------+----------------------------------------------------+
|
|
| progress | percentage of test completed |
|
|
+-----------------+----------------------------------------------------+
|
|
| started_at | datetime in utc marking the start of this test |
|
|
+-----------------+----------------------------------------------------+
|
|
| capital_base | The initial capital assumed for this tracker. |
|
|
+-----------------+----------------------------------------------------+
|
|
| cumulative_perf | A dictionary representing the cumulative |
|
|
| | performance through all the events delivered to |
|
|
| | this tracker. For details see the comments on |
|
|
| | :py:meth:`PerformancePeriod.to_dict` |
|
|
+-----------------+----------------------------------------------------+
|
|
| todays_perf | A dictionary representing the cumulative |
|
|
| | performance through all the events delivered to |
|
|
| | this tracker with datetime stamps between last_open|
|
|
| | and last_close. For details see the comments on |
|
|
| | :py:meth:`PerformancePeriod.to_dict` |
|
|
| | TODO: adding this because we calculate it. May be |
|
|
| | overkill. |
|
|
+-----------------+----------------------------------------------------+
|
|
| cumulative_risk | A dictionary representing the risk metrics |
|
|
| _metrics | calculated based on the positions aggregated |
|
|
| | through all the events delivered to this tracker. |
|
|
| | For details look at the comments for |
|
|
| | :py:meth:`zipline.finance.risk.RiskMetrics.to_dict`|
|
|
+-----------------+----------------------------------------------------+
|
|
|
|
Position Tracking
|
|
=================
|
|
|
|
+-----------------+----------------------------------------------------+
|
|
| key | value |
|
|
+=================+====================================================+
|
|
| sid | the identifier for the security held in this |
|
|
| | position. |
|
|
+-----------------+----------------------------------------------------+
|
|
| amount | whole number of shares in the position |
|
|
+-----------------+----------------------------------------------------+
|
|
| last_sale_price | price at last sale of the security on the exchange |
|
|
+-----------------+----------------------------------------------------+
|
|
| cost_basis | the volume weighted average price paid per share |
|
|
+-----------------+----------------------------------------------------+
|
|
|
|
|
|
|
|
Performance Period
|
|
==================
|
|
|
|
Performance Periods are updated with every trade. When calling
|
|
code needs a portfolio object that fulfills the algorithm
|
|
protocol, use the PerformancePeriod.as_portfolio method. See that
|
|
method for comments on the specific fields provided (and
|
|
omitted).
|
|
|
|
+---------------+------------------------------------------------------+
|
|
| key | value |
|
|
+===============+======================================================+
|
|
| ending_value | the total market value of the positions held at the |
|
|
| | end of the period |
|
|
+---------------+------------------------------------------------------+
|
|
| capital_used | the net capital consumed (positive means spent) by |
|
|
| | buying and selling securities in the period |
|
|
+---------------+------------------------------------------------------+
|
|
| starting_value| the total market value of the positions held at the |
|
|
| | start of the period |
|
|
+---------------+------------------------------------------------------+
|
|
| starting_cash | cash on hand at the beginning of the period |
|
|
+---------------+------------------------------------------------------+
|
|
| ending_cash | cash on hand at the end of the period |
|
|
+---------------+------------------------------------------------------+
|
|
| positions | a list of dicts representing positions, see |
|
|
| | :py:meth:`Position.to_dict()` |
|
|
| | for details on the contents of the dict |
|
|
+---------------+------------------------------------------------------+
|
|
| pnl | Dollar value profit and loss, for both realized and |
|
|
| | unrealized gains. |
|
|
+---------------+------------------------------------------------------+
|
|
| returns | percentage returns for the entire portfolio over the |
|
|
| | period |
|
|
+---------------+------------------------------------------------------+
|
|
| cumulative\ | The net capital used (positive is spent) during |
|
|
| _capital_used | the period |
|
|
+---------------+------------------------------------------------------+
|
|
| max_capital\ | The maximum amount of capital deployed during the |
|
|
| _used | period. |
|
|
+---------------+------------------------------------------------------+
|
|
| max_leverage | The maximum leverage used during the period. |
|
|
+---------------+------------------------------------------------------+
|
|
| period_close | The last close of the market in period. datetime in |
|
|
| | pytz.utc timezone. |
|
|
+---------------+------------------------------------------------------+
|
|
| period_open | The first open of the market in period. datetime in |
|
|
| | pytz.utc timezone. |
|
|
+---------------+------------------------------------------------------+
|
|
| transactions | all the transactions that were acrued during this |
|
|
| | period. Unset/missing for cumulative periods. |
|
|
+---------------+------------------------------------------------------+
|
|
|
|
|
|
"""
|
|
|
|
import logbook
|
|
import datetime
|
|
import pytz
|
|
import math
|
|
|
|
from zipline.utils.protocol_utils import ndict
|
|
import zipline.protocol as zp
|
|
import zipline.finance.risk as risk
|
|
|
|
log = logbook.Logger('Performance')
|
|
|
|
|
|
class PerformanceTracker(object):
|
|
"""
|
|
Tracks the performance of the zipline as it is running in
|
|
the simulator, relays this out to the Deluge broker and then
|
|
to the client. Visually:
|
|
|
|
+--------------------+ Result Stream +--------+
|
|
| PerformanceTracker | ----------------> | Deluge |
|
|
+--------------------+ +--------+
|
|
|
|
"""
|
|
|
|
def __init__(self, trading_environment):
|
|
|
|
self.trading_environment = trading_environment
|
|
self.trading_day = datetime.timedelta(hours=6, minutes=30)
|
|
self.started_at = datetime.datetime.utcnow().replace(tzinfo=pytz.utc)
|
|
|
|
self.period_start = self.trading_environment.period_start
|
|
self.period_end = self.trading_environment.period_end
|
|
self.last_close = self.trading_environment.last_close
|
|
self.market_open = self.trading_environment.first_open
|
|
self.market_close = self.market_open + self.trading_day
|
|
self.progress = 0.0
|
|
self.total_days = self.trading_environment.days_in_period
|
|
# one indexed so that we reach 100%
|
|
self.day_count = 0.0
|
|
self.capital_base = self.trading_environment.capital_base
|
|
self.returns = []
|
|
self.txn_count = 0
|
|
self.event_count = 0
|
|
self.last_dict = None
|
|
self.cumulative_risk_metrics = risk.RiskMetricsIterative(
|
|
self.period_start, self.trading_environment)
|
|
|
|
# this performance period will span the entire simulation.
|
|
self.cumulative_performance = PerformancePeriod(
|
|
# initial positions are empty
|
|
positiondict(),
|
|
# initial portfolio positions have zero value
|
|
0,
|
|
# initial cash is your capital base.
|
|
self.capital_base,
|
|
# the cumulative period will be calculated over the entire test.
|
|
self.period_start,
|
|
self.period_end
|
|
)
|
|
|
|
# this performance period will span just the current market day
|
|
self.todays_performance = PerformancePeriod(
|
|
# initial positions are empty
|
|
positiondict(),
|
|
# initial portfolio positions have zero value
|
|
0,
|
|
# initial cash is your capital base.
|
|
self.capital_base,
|
|
# the daily period will be calculated for the market day
|
|
self.market_open,
|
|
self.market_close,
|
|
# save the transactions for the daily periods
|
|
keep_transactions=True
|
|
)
|
|
|
|
def __repr__(self):
|
|
return "%s(%r)" % (
|
|
self.__class__.__name__,
|
|
{'trading_environment': self.trading_environment})
|
|
|
|
def transform(self, stream_in):
|
|
"""
|
|
Main generator work loop.
|
|
"""
|
|
for date, snapshot in stream_in:
|
|
new_snapshot = []
|
|
|
|
for event in snapshot:
|
|
if date != "DONE":
|
|
event.perf_messages = self.process_event(event)
|
|
event.portfolio = self.get_portfolio()
|
|
else:
|
|
event.perf_messages, event.risk_message = \
|
|
self.handle_simulation_end()
|
|
|
|
del event['TRANSACTION']
|
|
new_snapshot.append(event)
|
|
|
|
yield date, new_snapshot
|
|
|
|
def get_portfolio(self):
|
|
return self.cumulative_performance.as_portfolio()
|
|
|
|
def to_dict(self):
|
|
"""
|
|
Creates a dictionary representing the state of this tracker.
|
|
Returns a dict object of the form described in header comments.
|
|
"""
|
|
return {
|
|
'started_at': self.started_at,
|
|
'period_start': self.period_start,
|
|
'period_end': self.period_end,
|
|
'progress': self.progress,
|
|
'capital_base': self.capital_base,
|
|
'cumulative_perf': self.cumulative_performance.to_dict(),
|
|
'daily_perf': self.todays_performance.to_dict(),
|
|
'cumulative_risk_metrics': self.cumulative_risk_metrics.to_dict()
|
|
}
|
|
|
|
def process_event(self, event):
|
|
|
|
messages = []
|
|
|
|
self.event_count += 1
|
|
|
|
while event.dt > self.market_close:
|
|
messages.append(self.handle_market_close())
|
|
|
|
if event.TRANSACTION:
|
|
self.txn_count += 1
|
|
self.cumulative_performance.execute_transaction(event.TRANSACTION)
|
|
self.todays_performance.execute_transaction(event.TRANSACTION)
|
|
|
|
#update last sale
|
|
self.cumulative_performance.update_last_sale(event)
|
|
self.todays_performance.update_last_sale(event)
|
|
|
|
#calculate performance as of last trade
|
|
self.cumulative_performance.calculate_performance()
|
|
self.todays_performance.calculate_performance()
|
|
|
|
return messages
|
|
|
|
def handle_market_close(self):
|
|
|
|
# add the return results from today to the list of DailyReturn objects.
|
|
todays_date = self.market_close.replace(hour=0, minute=0, second=0)
|
|
todays_return_obj = risk.DailyReturn(
|
|
todays_date,
|
|
self.todays_performance.returns
|
|
)
|
|
self.returns.append(todays_return_obj)
|
|
|
|
#update risk metrics for cumulative performance
|
|
self.cumulative_risk_metrics.update(
|
|
self.market_close,
|
|
self.todays_performance.returns)
|
|
|
|
# increment the day counter before we move markers forward.
|
|
self.day_count += 1.0
|
|
# calculate progress of test
|
|
self.progress = self.day_count / self.total_days
|
|
|
|
# Take a snapshot of our current peformance to return to the
|
|
# browser.
|
|
daily_update = self.to_dict()
|
|
|
|
# On the last day of the test, don't create tomorrow's performance
|
|
# period. We may not be able to find the next trading day if we're
|
|
# at the end of our historical data
|
|
if self.market_close >= self.last_close:
|
|
return daily_update
|
|
|
|
#move the market day markers forward
|
|
next_open = self.trading_environment.next_trading_day(self.market_open)
|
|
if next_open is None:
|
|
raise Exception(
|
|
"Attempt to backtest beyond available history. \
|
|
Last successful date: %s" % self.market_open)
|
|
|
|
# next_open is a midnight date, but we want the time too
|
|
self.market_open = next_open.replace(hour=self.market_open.hour,
|
|
minute=self.market_open.minute,
|
|
second=self.market_open.second)
|
|
self.market_close = self.market_open + self.trading_day
|
|
|
|
# Roll over positions to current day.
|
|
self.todays_performance = PerformancePeriod(
|
|
self.todays_performance.positions,
|
|
self.todays_performance.ending_value,
|
|
self.todays_performance.ending_cash,
|
|
self.market_open,
|
|
self.market_close,
|
|
keep_transactions=True
|
|
)
|
|
|
|
return daily_update
|
|
|
|
def handle_simulation_end(self):
|
|
"""
|
|
When the simulation is complete, run the full period risk report
|
|
and send it out on the results socket.
|
|
"""
|
|
# the stream will end on the last trading day, but will
|
|
# not trigger an end of day, so we trigger the final
|
|
# market close(s) here
|
|
perf_messages = []
|
|
|
|
while self.last_close > self.market_close:
|
|
perf_messages.append(self.handle_market_close())
|
|
|
|
perf_messages.append(self.handle_market_close())
|
|
|
|
log_msg = "Simulated {n} trading days out of {m}."
|
|
log.info(log_msg.format(n=int(self.day_count), m=self.total_days))
|
|
log.info("first open: {d}".format(
|
|
d=self.trading_environment.first_open))
|
|
log.info("last close: {d}".format(
|
|
d=self.trading_environment.last_close))
|
|
|
|
self.risk_report = risk.RiskReport(
|
|
self.returns,
|
|
self.trading_environment
|
|
)
|
|
|
|
risk_dict = self.risk_report.to_dict()
|
|
return perf_messages, risk_dict
|
|
|
|
|
|
class Position(object):
|
|
|
|
def __init__(self, sid):
|
|
self.sid = sid
|
|
self.amount = 0
|
|
self.cost_basis = 0.0 # per share
|
|
self.last_sale_price = 0.0
|
|
self.last_sale_date = 0.0
|
|
|
|
def update(self, txn):
|
|
if(self.sid != txn.sid):
|
|
raise NameError('updating position with txn for a different sid')
|
|
|
|
#we're covering a short or closing a position
|
|
if(self.amount + txn.amount == 0):
|
|
self.cost_basis = 0.0
|
|
self.amount = 0
|
|
else:
|
|
prev_cost = self.cost_basis * self.amount
|
|
txn_cost = txn.amount * txn.price
|
|
total_cost = prev_cost + txn_cost
|
|
total_shares = self.amount + txn.amount
|
|
self.cost_basis = total_cost / total_shares
|
|
self.amount = self.amount + txn.amount
|
|
|
|
def currentValue(self):
|
|
return self.amount * self.last_sale_price
|
|
|
|
def __repr__(self):
|
|
template = "sid: {sid}, amount: {amount}, cost_basis: {cost_basis}, \
|
|
last_sale_price: {last_sale_price}"
|
|
return template.format(
|
|
sid=self.sid,
|
|
amount=self.amount,
|
|
cost_basis=self.cost_basis,
|
|
last_sale_price=self.last_sale_price
|
|
)
|
|
|
|
def to_dict(self):
|
|
"""
|
|
Creates a dictionary representing the state of this position.
|
|
Returns a dict object of the form:
|
|
"""
|
|
return {
|
|
'sid': self.sid,
|
|
'amount': self.amount,
|
|
'cost_basis': self.cost_basis,
|
|
'last_sale_price': self.last_sale_price
|
|
}
|
|
|
|
|
|
class PerformancePeriod(object):
|
|
|
|
def __init__(
|
|
self,
|
|
initial_positions,
|
|
starting_value,
|
|
starting_cash,
|
|
period_open=None,
|
|
period_close=None,
|
|
keep_transactions=False):
|
|
|
|
self.period_open = period_open
|
|
self.period_close = period_close
|
|
|
|
self.ending_value = 0.0
|
|
self.period_capital_used = 0.0
|
|
self.pnl = 0.0
|
|
#sid => position object
|
|
if not isinstance(initial_positions, positiondict):
|
|
self.positions = positiondict()
|
|
self.positions.update(initial_positions)
|
|
else:
|
|
self.positions = initial_positions
|
|
self.starting_value = starting_value
|
|
#cash balance at start of period
|
|
self.starting_cash = starting_cash
|
|
self.ending_cash = starting_cash
|
|
self.keep_transactions = keep_transactions
|
|
self.processed_transactions = []
|
|
self.cumulative_capital_used = 0.0
|
|
self.max_capital_used = 0.0
|
|
self.max_leverage = 0.0
|
|
|
|
self.calculate_performance()
|
|
|
|
def calculate_performance(self):
|
|
self.ending_value = self.calculate_positions_value()
|
|
|
|
total_at_start = self.starting_cash + self.starting_value
|
|
self.ending_cash = self.starting_cash + self.period_capital_used
|
|
total_at_end = self.ending_cash + self.ending_value
|
|
|
|
self.pnl = total_at_end - total_at_start
|
|
if total_at_start != 0:
|
|
self.returns = self.pnl / total_at_start
|
|
else:
|
|
self.returns = 0.0
|
|
|
|
def execute_transaction(self, txn):
|
|
# Update Position
|
|
# ----------------
|
|
self.positions[txn.sid].update(txn)
|
|
self.period_capital_used += -1 * txn.price * txn.amount
|
|
|
|
# Max Leverage
|
|
# ---------------
|
|
# Calculate the maximum capital used and maximum leverage
|
|
transaction_cost = txn.price * txn.amount
|
|
self.cumulative_capital_used += transaction_cost
|
|
|
|
if math.fabs(self.cumulative_capital_used) > self.max_capital_used:
|
|
self.max_capital_used = math.fabs(self.cumulative_capital_used)
|
|
|
|
# We want to conveye a level, rather than a precise figure.
|
|
# round to the nearest 5,000 to keep the number easy on the eyes
|
|
self.max_capital_used = self.round_to_nearest(
|
|
self.max_capital_used,
|
|
base=5000
|
|
)
|
|
|
|
# we're adding a 10% cushion to the capital used.
|
|
self.max_leverage = 1.1 * \
|
|
self.max_capital_used / self.starting_cash
|
|
|
|
# add transaction to the list of processed transactions
|
|
if self.keep_transactions:
|
|
self.processed_transactions.append(txn)
|
|
|
|
def round_to_nearest(self, x, base=5):
|
|
return int(base * round(float(x) / base))
|
|
|
|
def calculate_positions_value(self):
|
|
mktValue = 0.0
|
|
for key, pos in self.positions.iteritems():
|
|
mktValue += pos.currentValue()
|
|
return mktValue
|
|
|
|
def update_last_sale(self, event):
|
|
is_trade = event.type == zp.DATASOURCE_TYPE.TRADE
|
|
if event.sid in self.positions and is_trade:
|
|
self.positions[event.sid].last_sale_price = event.price
|
|
self.positions[event.sid].last_sale_date = event.dt
|
|
|
|
def __core_dict(self):
|
|
rval = {
|
|
'ending_value': self.ending_value,
|
|
'capital_used': self.period_capital_used,
|
|
'starting_value': self.starting_value,
|
|
'starting_cash': self.starting_cash,
|
|
'ending_cash': self.ending_cash,
|
|
'portfolio_value': self.ending_cash + self.ending_value,
|
|
'cumulative_capital_used': self.cumulative_capital_used,
|
|
'max_capital_used': self.max_capital_used,
|
|
'max_leverage': self.max_leverage,
|
|
'pnl': self.pnl,
|
|
'returns': self.returns,
|
|
'period_open': self.period_open,
|
|
'period_close': self.period_close
|
|
}
|
|
|
|
return rval
|
|
|
|
def to_dict(self):
|
|
"""
|
|
Creates a dictionary representing the state of this performance
|
|
period. See header comments for a detailed description.
|
|
"""
|
|
rval = self.__core_dict()
|
|
positions = self.get_positions_list()
|
|
rval['positions'] = positions
|
|
|
|
# we want the key to be absent, not just empty
|
|
if self.keep_transactions:
|
|
transactions = [x.as_dict() for x in self.processed_transactions]
|
|
rval['transactions'] = transactions
|
|
|
|
return rval
|
|
|
|
def as_portfolio(self):
|
|
"""
|
|
The purpose of this method is to provide a portfolio
|
|
object to algorithms running inside the same trading
|
|
client. The data needed is captured raw in a
|
|
PerformancePeriod, and in this method we rename some
|
|
fields for usability and remove extraneous fields.
|
|
"""
|
|
portfolio = self.__core_dict()
|
|
# rename:
|
|
# ending_cash -> cash
|
|
# period_open -> backtest_start
|
|
#
|
|
# remove:
|
|
# period_close, starting_value,
|
|
# cumulative_capital_used, max_leverage, max_capital_used
|
|
portfolio['cash'] = portfolio['ending_cash']
|
|
portfolio['start_date'] = portfolio['period_open']
|
|
portfolio['positions_value'] = portfolio['ending_value']
|
|
|
|
del(portfolio['ending_cash'])
|
|
del(portfolio['period_open'])
|
|
del(portfolio['period_close'])
|
|
del(portfolio['starting_value'])
|
|
del(portfolio['ending_value'])
|
|
del(portfolio['cumulative_capital_used'])
|
|
del(portfolio['max_leverage'])
|
|
del(portfolio['max_capital_used'])
|
|
|
|
portfolio['positions'] = self.get_positions()
|
|
|
|
return ndict(portfolio)
|
|
|
|
def get_positions(self):
|
|
|
|
positions = ndict(internal=position_ndict())
|
|
|
|
for sid, pos in self.positions.iteritems():
|
|
cur = pos.to_dict()
|
|
positions[sid] = ndict(cur)
|
|
|
|
return positions
|
|
|
|
def get_positions_list(self):
|
|
positions = []
|
|
for sid, pos in self.positions.iteritems():
|
|
cur = pos.to_dict()
|
|
positions.append(cur)
|
|
return positions
|
|
|
|
|
|
class positiondict(dict):
|
|
|
|
def __missing__(self, key):
|
|
pos = Position(key)
|
|
self[key] = pos
|
|
return pos
|
|
|
|
|
|
class position_ndict(dict):
|
|
|
|
def __missing__(self, key):
|
|
pos = Position(key)
|
|
self[key] = ndict(pos.to_dict())
|
|
return pos
|