mirror of
https://github.com/wassname/catalyst.git
synced 2026-06-28 11:51:47 +08:00
Jonathan Kamens
e942275108
Upgrade the version of the flake8, pep8, and mccabe PyPI packages, and make the code changes necessary for compatibility with the updated packages.
142 lines
3.9 KiB
Python
142 lines
3.9 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 datetime
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import os
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import pickle
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import pytz
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import sys
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sys.path.insert(0, '.') # noqa
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from zipline.finance.blotter import Blotter, Order
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from zipline.finance.commission import PerShare, PerTrade, PerDollar
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from zipline.finance.performance.period import PerformancePeriod
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from zipline.finance.performance.position import Position
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from zipline.finance.performance.position_tracker import PositionTracker
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from zipline.finance.performance.tracker import PerformanceTracker
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from zipline.finance.risk.cumulative import RiskMetricsCumulative
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from zipline.finance.risk.period import RiskMetricsPeriod
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from zipline.finance.risk.report import RiskReport
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from zipline.finance.slippage import (
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FixedSlippage,
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Transaction,
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VolumeShareSlippage
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)
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from zipline.protocol import Account
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from zipline.protocol import Portfolio
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from zipline.protocol import Position as ProtocolPosition
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from zipline.finance.trading import SimulationParameters
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from zipline.utils import factory
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from zipline.utils.serialization_utils import VERSION_LABEL
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base_state_dir = 'tests/resources/saved_state_archive'
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if not os.path.exists(base_state_dir):
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os.makedirs(base_state_dir)
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sim_params_daily = SimulationParameters(
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datetime.datetime(2013, 6, 19, tzinfo=pytz.UTC),
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datetime.datetime(2013, 6, 19, tzinfo=pytz.UTC),
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10000,
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emission_rate='daily')
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sim_params_minute = SimulationParameters(
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datetime.datetime(2013, 6, 19, tzinfo=pytz.UTC),
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datetime.datetime(2013, 6, 19, tzinfo=pytz.UTC),
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10000,
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emission_rate='minute')
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returns = factory.create_returns_from_list(
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[1.0], sim_params_daily)
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argument_list = [
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(Blotter, ()),
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(Order, (datetime.datetime(2013, 6, 19), 8554, 100)),
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(PerShare, ()),
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(PerTrade, ()),
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(PerDollar, ()),
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(PerformancePeriod, (10000,)),
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(Position, (8554,)),
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(PositionTracker, ()),
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(PerformanceTracker, (sim_params_minute,)),
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(RiskMetricsCumulative, (sim_params_minute,)),
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(RiskMetricsPeriod, (returns.index[0], returns.index[0], returns)),
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(RiskReport, (returns, sim_params_minute)),
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(FixedSlippage, ()),
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(Transaction, (8554, 10, datetime.datetime(2013, 6, 19), 100, "0000")),
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(VolumeShareSlippage, ()),
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(Account, ()),
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(Portfolio, ()),
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(ProtocolPosition, (8554,))
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]
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def write_state_to_disk(cls, state, emission_rate=None):
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state_dir = cls.__module__ + '.' + cls.__name__
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full_dir = base_state_dir + '/' + state_dir
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if not os.path.exists(full_dir):
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os.makedirs(full_dir)
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if emission_rate is not None:
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name = 'State_Version_' + emission_rate + \
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str(state['obj_state'][VERSION_LABEL])
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else:
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name = 'State_Version_' + str(state['obj_state'][VERSION_LABEL])
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full_path = full_dir + '/' + name
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f = open(full_path, 'w')
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pickle.dump(state, f)
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f.close()
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def generate_object_state(cls, initargs):
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obj = cls(*initargs)
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state = obj.__getstate__()
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if hasattr(obj, '__getinitargs__'):
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initargs = obj.__getinitargs__()
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else:
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initargs = None
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if hasattr(obj, '__getnewargs__'):
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newargs = obj.__getnewargs__()
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else:
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newargs = None
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on_disk_state = {
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'obj_state': state,
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'initargs': initargs,
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'newargs': newargs
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}
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write_state_to_disk(cls, on_disk_state)
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if __name__ == "__main__":
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for args in argument_list:
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generate_object_state(*args)
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