mirror of
https://github.com/wassname/catalyst.git
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Jean Bredeche
fbd3774278
BarData now takes the trading calendar as a parameter. can_trade now checks if the asset’s exchange is open at the current or next market minute (defined by the given trading calendar).
339 lines
13 KiB
Python
339 lines
13 KiB
Python
#
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# Copyright 2014 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 nose_parameterized import parameterized
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import pandas as pd
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from zipline.finance.blotter import Blotter
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from zipline.finance.order import ORDER_STATUS, Order
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from zipline.finance.execution import (
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LimitOrder,
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MarketOrder,
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StopLimitOrder,
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StopOrder,
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)
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from zipline.gens.sim_engine import SESSION_END, BAR
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from zipline.finance.cancel_policy import EODCancel, NeverCancel
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from zipline.finance.slippage import (
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DEFAULT_VOLUME_SLIPPAGE_BAR_LIMIT,
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FixedSlippage,
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)
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from zipline.protocol import BarData
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from zipline.testing.fixtures import (
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WithDataPortal,
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WithLogger,
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WithSimParams,
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ZiplineTestCase,
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)
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class BlotterTestCase(WithLogger,
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WithDataPortal,
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WithSimParams,
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ZiplineTestCase):
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START_DATE = pd.Timestamp('2006-01-05', tz='utc')
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END_DATE = pd.Timestamp('2006-01-06', tz='utc')
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ASSET_FINDER_EQUITY_SIDS = 24, 25
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@classmethod
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def make_equity_daily_bar_data(cls):
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yield 24, pd.DataFrame(
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{
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'open': [50, 50],
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'high': [50, 50],
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'low': [50, 50],
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'close': [50, 50],
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'volume': [100, 400],
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},
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index=cls.sim_params.sessions,
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)
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yield 25, pd.DataFrame(
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{
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'open': [50, 50],
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'high': [50, 50],
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'low': [50, 50],
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'close': [50, 50],
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'volume': [100, 400],
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},
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index=cls.sim_params.sessions,
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)
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@parameterized.expand([(MarketOrder(), None, None),
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(LimitOrder(10), 10, None),
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(StopOrder(10), None, 10),
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(StopLimitOrder(10, 20), 10, 20)])
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def test_blotter_order_types(self, style_obj, expected_lmt, expected_stp):
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blotter = Blotter('daily', self.env.asset_finder)
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asset_24 = blotter.asset_finder.retrieve_asset(24)
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blotter.order(asset_24, 100, style_obj)
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result = blotter.open_orders[asset_24][0]
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self.assertEqual(result.limit, expected_lmt)
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self.assertEqual(result.stop, expected_stp)
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def test_cancel(self):
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blotter = Blotter('daily', self.env.asset_finder)
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asset_24 = blotter.asset_finder.retrieve_asset(24)
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asset_25 = blotter.asset_finder.retrieve_asset(25)
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oid_1 = blotter.order(asset_24, 100, MarketOrder())
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oid_2 = blotter.order(asset_24, 200, MarketOrder())
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oid_3 = blotter.order(asset_24, 300, MarketOrder())
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# Create an order for another asset to verify that we don't remove it
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# when we do cancel_all on 24.
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blotter.order(asset_25, 150, MarketOrder())
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self.assertEqual(len(blotter.open_orders), 2)
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self.assertEqual(len(blotter.open_orders[asset_24]), 3)
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self.assertEqual(
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[o.amount for o in blotter.open_orders[asset_24]],
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[100, 200, 300],
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)
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blotter.cancel(oid_2)
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self.assertEqual(len(blotter.open_orders), 2)
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self.assertEqual(len(blotter.open_orders[asset_24]), 2)
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self.assertEqual(
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[o.amount for o in blotter.open_orders[asset_24]],
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[100, 300],
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)
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self.assertEqual(
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[o.id for o in blotter.open_orders[asset_24]],
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[oid_1, oid_3],
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)
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blotter.cancel_all_orders_for_asset(asset_24)
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self.assertEqual(len(blotter.open_orders), 1)
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self.assertEqual(list(blotter.open_orders), [asset_25])
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def test_blotter_eod_cancellation(self):
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blotter = Blotter('minute', self.env.asset_finder,
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cancel_policy=EODCancel())
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asset_24 = blotter.asset_finder.retrieve_asset(24)
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# Make two orders for the same sid, so we can test that we are not
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# mutating the orders list as we are cancelling orders
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blotter.order(asset_24, 100, MarketOrder())
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blotter.order(asset_24, -100, MarketOrder())
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self.assertEqual(len(blotter.new_orders), 2)
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order_ids = [order.id for order in blotter.open_orders[asset_24]]
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self.assertEqual(blotter.new_orders[0].status, ORDER_STATUS.OPEN)
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self.assertEqual(blotter.new_orders[1].status, ORDER_STATUS.OPEN)
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blotter.execute_cancel_policy(BAR)
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self.assertEqual(blotter.new_orders[0].status, ORDER_STATUS.OPEN)
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self.assertEqual(blotter.new_orders[1].status, ORDER_STATUS.OPEN)
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blotter.execute_cancel_policy(SESSION_END)
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for order_id in order_ids:
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order = blotter.orders[order_id]
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self.assertEqual(order.status, ORDER_STATUS.CANCELLED)
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def test_blotter_never_cancel(self):
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blotter = Blotter('minute', self.env.asset_finder,
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cancel_policy=NeverCancel())
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blotter.order(blotter.asset_finder.retrieve_asset(24), 100,
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MarketOrder())
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self.assertEqual(len(blotter.new_orders), 1)
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self.assertEqual(blotter.new_orders[0].status, ORDER_STATUS.OPEN)
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blotter.execute_cancel_policy(BAR)
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self.assertEqual(blotter.new_orders[0].status, ORDER_STATUS.OPEN)
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blotter.execute_cancel_policy(SESSION_END)
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self.assertEqual(blotter.new_orders[0].status, ORDER_STATUS.OPEN)
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def test_order_rejection(self):
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blotter = Blotter(self.sim_params.data_frequency,
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self.env.asset_finder)
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asset_24 = blotter.asset_finder.retrieve_asset(24)
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# Reject a nonexistent order -> no order appears in new_order,
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# no exceptions raised out
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blotter.reject(56)
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self.assertEqual(blotter.new_orders, [])
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# Basic tests of open order behavior
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open_order_id = blotter.order(asset_24, 100, MarketOrder())
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second_order_id = blotter.order(asset_24, 50, MarketOrder())
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self.assertEqual(len(blotter.open_orders[asset_24]), 2)
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open_order = blotter.open_orders[asset_24][0]
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self.assertEqual(open_order.status, ORDER_STATUS.OPEN)
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self.assertEqual(open_order.id, open_order_id)
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self.assertIn(open_order, blotter.new_orders)
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# Reject that order immediately (same bar, i.e. still in new_orders)
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blotter.reject(open_order_id)
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self.assertEqual(len(blotter.new_orders), 2)
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self.assertEqual(len(blotter.open_orders[asset_24]), 1)
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still_open_order = blotter.new_orders[0]
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self.assertEqual(still_open_order.id, second_order_id)
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self.assertEqual(still_open_order.status, ORDER_STATUS.OPEN)
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rejected_order = blotter.new_orders[1]
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self.assertEqual(rejected_order.status, ORDER_STATUS.REJECTED)
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self.assertEqual(rejected_order.reason, '')
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# Do it again, but reject it at a later time (after tradesimulation
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# pulls it from new_orders)
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blotter = Blotter(self.sim_params.data_frequency,
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self.env.asset_finder)
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new_open_id = blotter.order(asset_24, 10, MarketOrder())
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new_open_order = blotter.open_orders[asset_24][0]
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self.assertEqual(new_open_id, new_open_order.id)
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# Pretend that the trade simulation did this.
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blotter.new_orders = []
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rejection_reason = "Not enough cash on hand."
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blotter.reject(new_open_id, reason=rejection_reason)
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rejected_order = blotter.new_orders[0]
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self.assertEqual(rejected_order.id, new_open_id)
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self.assertEqual(rejected_order.status, ORDER_STATUS.REJECTED)
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self.assertEqual(rejected_order.reason, rejection_reason)
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# You can't reject a filled order.
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# Reset for paranoia
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blotter = Blotter(self.sim_params.data_frequency,
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self.env.asset_finder)
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blotter.slippage_func = FixedSlippage()
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filled_id = blotter.order(asset_24, 100, MarketOrder())
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filled_order = None
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blotter.current_dt = self.sim_params.sessions[-1]
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bar_data = BarData(
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self.data_portal,
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lambda: self.sim_params.sessions[-1],
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self.sim_params.data_frequency,
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self.trading_calendar
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)
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txns, _, closed_orders = blotter.get_transactions(bar_data)
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for txn in txns:
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filled_order = blotter.orders[txn.order_id]
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blotter.prune_orders(closed_orders)
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self.assertEqual(filled_order.id, filled_id)
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self.assertIn(filled_order, blotter.new_orders)
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self.assertEqual(filled_order.status, ORDER_STATUS.FILLED)
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self.assertNotIn(filled_order, blotter.open_orders[asset_24])
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blotter.reject(filled_id)
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updated_order = blotter.orders[filled_id]
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self.assertEqual(updated_order.status, ORDER_STATUS.FILLED)
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def test_order_hold(self):
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"""
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Held orders act almost identically to open orders, except for the
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status indication. When a fill happens, the order should switch
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status to OPEN/FILLED as necessary
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"""
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blotter = Blotter(self.sim_params.data_frequency,
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self.env.asset_finder)
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# Nothing happens on held of a non-existent order
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blotter.hold(56)
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self.assertEqual(blotter.new_orders, [])
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asset_24 = blotter.asset_finder.retrieve_asset(24)
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open_id = blotter.order(asset_24, 100, MarketOrder())
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open_order = blotter.open_orders[asset_24][0]
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self.assertEqual(open_order.id, open_id)
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blotter.hold(open_id)
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self.assertEqual(len(blotter.new_orders), 1)
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self.assertEqual(len(blotter.open_orders[asset_24]), 1)
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held_order = blotter.new_orders[0]
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self.assertEqual(held_order.status, ORDER_STATUS.HELD)
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self.assertEqual(held_order.reason, '')
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blotter.cancel(held_order.id)
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self.assertEqual(len(blotter.new_orders), 1)
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self.assertEqual(len(blotter.open_orders[asset_24]), 0)
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cancelled_order = blotter.new_orders[0]
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self.assertEqual(cancelled_order.id, held_order.id)
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self.assertEqual(cancelled_order.status, ORDER_STATUS.CANCELLED)
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for data in ([100, self.sim_params.sessions[0]],
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[400, self.sim_params.sessions[1]]):
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# Verify that incoming fills will change the order status.
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trade_amt = data[0]
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dt = data[1]
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order_size = 100
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expected_filled = int(trade_amt *
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DEFAULT_VOLUME_SLIPPAGE_BAR_LIMIT)
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expected_open = order_size - expected_filled
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expected_status = ORDER_STATUS.OPEN if expected_open else \
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ORDER_STATUS.FILLED
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blotter = Blotter(self.sim_params.data_frequency,
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self.env.asset_finder)
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open_id = blotter.order(blotter.asset_finder.retrieve_asset(24),
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order_size, MarketOrder())
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open_order = blotter.open_orders[asset_24][0]
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self.assertEqual(open_id, open_order.id)
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blotter.hold(open_id)
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held_order = blotter.new_orders[0]
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filled_order = None
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blotter.current_dt = dt
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bar_data = BarData(
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self.data_portal,
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lambda: dt,
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self.sim_params.data_frequency,
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self.trading_calendar
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)
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txns, _, _ = blotter.get_transactions(bar_data)
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for txn in txns:
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filled_order = blotter.orders[txn.order_id]
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self.assertEqual(filled_order.id, held_order.id)
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self.assertEqual(filled_order.status, expected_status)
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self.assertEqual(filled_order.filled, expected_filled)
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self.assertEqual(filled_order.open_amount, expected_open)
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def test_prune_orders(self):
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blotter = Blotter(self.sim_params.data_frequency,
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self.env.asset_finder)
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asset_24 = blotter.asset_finder.retrieve_asset(24)
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asset_25 = blotter.asset_finder.retrieve_asset(25)
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blotter.order(asset_24, 100, MarketOrder())
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open_order = blotter.open_orders[asset_24][0]
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blotter.prune_orders([])
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self.assertEqual(1, len(blotter.open_orders[asset_24]))
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blotter.prune_orders([open_order])
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self.assertEqual(0, len(blotter.open_orders[asset_24]))
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# prune an order that isn't in our our open orders list, make sure
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# nothing blows up
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other_order = Order(
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dt=blotter.current_dt,
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sid=asset_25,
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amount=1
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)
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blotter.prune_orders([other_order])
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