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101 lines
3.1 KiB
Python
101 lines
3.1 KiB
Python
from numbers import Number
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from datetime import datetime, timedelta
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from collections import defaultdict
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from math import sqrt
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from zipline import ndict
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from zipline.gens.transform import EventWindow
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class MovingStandardDev(object):
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"""
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Class that maintains a dicitonary from sids to
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MovingStandardDevWindows. For each sid, we maintain a the
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standard deviation of all events falling within the specified
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window.
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"""
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def __init__(self, market_aware, days = None, delta = None):
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self.market_aware = market_aware
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self.delta = delta
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self.days = days
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# Market-aware mode only works with full-day windows.
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if self.market_aware:
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assert self.days and not self.delta,\
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"Market-aware mode only works with full-day windows."
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# Non-market-aware mode requires a timedelta.
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else:
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assert self.delta and not self.days, \
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"Non-market-aware mode requires a timedelta."
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# No way to pass arguments to the defaultdict factory, so we
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# need to define a method to generate the correct EventWindows.
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self.sid_windows = defaultdict(self.create_window)
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def create_window(self):
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"""
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Factory method for self.sid_windows.
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"""
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return MovingStandardDevWindow(
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self.market_aware,
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self.days,
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self.delta
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)
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def update(self, event):
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"""
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Update the event window for this event's sid. Return an ndict
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from tracked fields to moving averages.
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"""
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# This will create a new EventWindow if this is the first
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# message for this sid.
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window = self.sid_windows[event.sid]
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window.update(event)
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return window.get_stddev()
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class MovingStandardDevWindow(EventWindow):
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"""
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Iteratively calculates standard deviation for a particular sid
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over a given time window. The expected functionality of this
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class is to be instantiated inside a MovingStandardDev.
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"""
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def __init__(self, market_aware, days, delta):
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# Call the superclass constructor to set up base EventWindow
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# infrastructure.
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EventWindow.__init__(self, market_aware, days, delta)
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self.sum = 0.0
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self.sum_sqr = 0.0
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def handle_add(self, event):
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assert event.has_key('price')
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assert isinstance(event.price, Number)
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self.sum += event.price
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self.sum_sqr += event.price ** 2
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def handle_remove(self, event):
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assert event.has_key('price')
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assert isinstance(event.price, Number)
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self.sum -= event.price
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self.sum_sqr -= event.price ** 2
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def get_stddev(self):
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# Sample standard deviation is undefined for a single event or
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# no events.
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if len(self) <= 1:
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return None
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else:
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average = self.sum /len(self)
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s_squared = (self.sum_sqr - self.sum*average) / (len(self) - 1)
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stddev = sqrt(s_squared)
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return stddev
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