mirror of
https://github.com/wassname/catalyst.git
synced 2026-08-01 12:20:21 +08:00
Eddie Hebert
3da3cbe7e7
Use explicit references to the performance tracker instead of the proxy lookup. Mainly a putative change, which surfaced when reasoning about places where the position tracker and period need access to the last sale price.
466 lines
18 KiB
Python
466 lines
18 KiB
Python
#
|
|
# Copyright 2014 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 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 |
|
|
+---------------+------------------------------------------------------+
|
|
| cash_flow | the cash flow in the period (negative means spent) |
|
|
| | from buying and selling assets in the period. |
|
|
| | Includes dividend payments in the period as well. |
|
|
+---------------+------------------------------------------------------+
|
|
| 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. |
|
|
+---------------+------------------------------------------------------+
|
|
| 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. |
|
|
+---------------+------------------------------------------------------+
|
|
|
|
|
|
"""
|
|
|
|
from __future__ import division
|
|
import logbook
|
|
|
|
import numpy as np
|
|
|
|
from zipline.finance.trading import TradingEnvironment
|
|
from zipline.assets import Future
|
|
|
|
try:
|
|
# optional cython based OrderedDict
|
|
from cyordereddict import OrderedDict
|
|
except ImportError:
|
|
from collections import OrderedDict
|
|
|
|
from six import itervalues, iteritems
|
|
|
|
import zipline.protocol as zp
|
|
|
|
from zipline.utils.serialization_utils import (
|
|
VERSION_LABEL
|
|
)
|
|
|
|
from .position_tracker import PositionTracker
|
|
|
|
log = logbook.Logger('Performance')
|
|
TRADE_TYPE = zp.DATASOURCE_TYPE.TRADE
|
|
|
|
|
|
class PerformancePeriod(object):
|
|
|
|
def __init__(
|
|
self,
|
|
starting_cash,
|
|
period_open=None,
|
|
period_close=None,
|
|
keep_transactions=True,
|
|
keep_orders=False,
|
|
serialize_positions=True):
|
|
|
|
self.period_open = period_open
|
|
self.period_close = period_close
|
|
|
|
self.ending_value = 0.0
|
|
self.ending_exposure = 0.0
|
|
self.period_cash_flow = 0.0
|
|
self.pnl = 0.0
|
|
|
|
self.ending_cash = starting_cash
|
|
# rollover initializes a number of self's attributes:
|
|
self.rollover()
|
|
self.keep_transactions = keep_transactions
|
|
self.keep_orders = keep_orders
|
|
|
|
# An object to recycle via assigning new values
|
|
# when returning portfolio information.
|
|
# So as not to avoid creating a new object for each event
|
|
self._portfolio_store = zp.Portfolio()
|
|
self._account_store = zp.Account()
|
|
self.serialize_positions = serialize_positions
|
|
|
|
# This dict contains the known cash flow multipliers for sids and is
|
|
# keyed on sid
|
|
self._execution_cash_flow_multipliers = {}
|
|
|
|
_position_tracker = None
|
|
|
|
@property
|
|
def position_tracker(self):
|
|
return self._position_tracker
|
|
|
|
@position_tracker.setter
|
|
def position_tracker(self, obj):
|
|
if obj is None:
|
|
raise ValueError("position_tracker can not be None")
|
|
self._position_tracker = obj
|
|
# we only calculate perf once we inject PositionTracker
|
|
self.calculate_performance()
|
|
|
|
def rollover(self):
|
|
self.starting_value = self.ending_value
|
|
self.starting_exposure = self.ending_exposure
|
|
self.starting_cash = self.ending_cash
|
|
self.period_cash_flow = 0.0
|
|
self.pnl = 0.0
|
|
self.processed_transactions = {}
|
|
self.orders_by_modified = {}
|
|
self.orders_by_id = OrderedDict()
|
|
|
|
def handle_dividends_paid(self, net_cash_payment):
|
|
if net_cash_payment:
|
|
self.handle_cash_payment(net_cash_payment)
|
|
self.calculate_performance()
|
|
|
|
def handle_cash_payment(self, payment_amount):
|
|
self.adjust_cash(payment_amount)
|
|
|
|
def handle_commission(self, commission):
|
|
# Deduct from our total cash pool.
|
|
self.adjust_cash(-commission.cost)
|
|
|
|
def adjust_cash(self, amount):
|
|
self.period_cash_flow += amount
|
|
|
|
def adjust_field(self, field, value):
|
|
setattr(self, field, value)
|
|
|
|
def calculate_performance(self):
|
|
pt = self.position_tracker
|
|
self.ending_value = pt.calculate_positions_value()
|
|
self.ending_exposure = pt.calculate_positions_exposure()
|
|
|
|
total_at_start = self.starting_cash + self.starting_value
|
|
self.ending_cash = self.starting_cash + self.period_cash_flow
|
|
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 record_order(self, order):
|
|
if self.keep_orders:
|
|
try:
|
|
dt_orders = self.orders_by_modified[order.dt]
|
|
if order.id in dt_orders:
|
|
del dt_orders[order.id]
|
|
except KeyError:
|
|
self.orders_by_modified[order.dt] = dt_orders = OrderedDict()
|
|
dt_orders[order.id] = order
|
|
# to preserve the order of the orders by modified date
|
|
# we delete and add back. (ordered dictionary is sorted by
|
|
# first insertion date).
|
|
if order.id in self.orders_by_id:
|
|
del self.orders_by_id[order.id]
|
|
self.orders_by_id[order.id] = order
|
|
|
|
def handle_execution(self, txn):
|
|
self.period_cash_flow += self._calculate_execution_cash_flow(txn)
|
|
|
|
if self.keep_transactions:
|
|
try:
|
|
self.processed_transactions[txn.dt].append(txn)
|
|
except KeyError:
|
|
self.processed_transactions[txn.dt] = [txn]
|
|
|
|
def _calculate_execution_cash_flow(self, txn):
|
|
"""
|
|
Calculates the cash flow from executing the given transaction
|
|
"""
|
|
# Check if the multiplier is cached. If it is not, look up the asset
|
|
# and cache the multiplier.
|
|
try:
|
|
multiplier = self._execution_cash_flow_multipliers[txn.sid]
|
|
except KeyError:
|
|
asset = TradingEnvironment.instance().asset_finder.\
|
|
retrieve_asset(txn.sid)
|
|
# Futures experience no cash flow on transactions
|
|
if isinstance(asset, Future):
|
|
multiplier = 0
|
|
else:
|
|
multiplier = 1
|
|
self._execution_cash_flow_multipliers[txn.sid] = multiplier
|
|
|
|
# Calculate and return the cash flow given the multiplier
|
|
return -1 * txn.price * txn.amount * multiplier
|
|
|
|
# backwards compat. TODO: remove?
|
|
@property
|
|
def positions(self):
|
|
return self.position_tracker.positions
|
|
|
|
@property
|
|
def position_amounts(self):
|
|
return self.position_tracker.position_amounts
|
|
|
|
@property
|
|
def _net_liquidation_value(self):
|
|
pt = self.position_tracker
|
|
return self.ending_cash + pt._long_value() + pt._short_value()
|
|
|
|
def _gross_leverage(self):
|
|
net_liq = self._net_liquidation_value
|
|
if net_liq != 0:
|
|
return self.position_tracker._gross_exposure() / net_liq
|
|
|
|
return np.inf
|
|
|
|
def _net_leverage(self):
|
|
net_liq = self._net_liquidation_value
|
|
if net_liq != 0:
|
|
return self.position_tracker._net_exposure() / net_liq
|
|
|
|
return np.inf
|
|
|
|
def __core_dict(self):
|
|
pt = self.position_tracker
|
|
rval = {
|
|
'ending_value': self.ending_value,
|
|
'ending_exposure': self.ending_exposure,
|
|
# this field is renamed to capital_used for backward
|
|
# compatibility.
|
|
'capital_used': self.period_cash_flow,
|
|
'starting_value': self.starting_value,
|
|
'starting_exposure': self.starting_exposure,
|
|
'starting_cash': self.starting_cash,
|
|
'ending_cash': self.ending_cash,
|
|
'portfolio_value': self.ending_cash + self.ending_value,
|
|
'pnl': self.pnl,
|
|
'returns': self.returns,
|
|
'period_open': self.period_open,
|
|
'period_close': self.period_close,
|
|
'gross_leverage': self._gross_leverage(),
|
|
'net_leverage': self._net_leverage(),
|
|
'short_exposure': pt._short_exposure(),
|
|
'long_exposure': pt._long_exposure(),
|
|
'short_value': pt._short_value(),
|
|
'long_value': pt._long_value(),
|
|
'longs_count': pt._longs_count(),
|
|
'shorts_count': pt._shorts_count()
|
|
}
|
|
|
|
return rval
|
|
|
|
def to_dict(self, dt=None):
|
|
"""
|
|
Creates a dictionary representing the state of this performance
|
|
period. See header comments for a detailed description.
|
|
|
|
Kwargs:
|
|
dt (datetime): If present, only return transactions for the dt.
|
|
"""
|
|
rval = self.__core_dict()
|
|
|
|
if self.serialize_positions:
|
|
positions = self.position_tracker.get_positions_list()
|
|
rval['positions'] = positions
|
|
|
|
# we want the key to be absent, not just empty
|
|
if self.keep_transactions:
|
|
if dt:
|
|
# Only include transactions for given dt
|
|
try:
|
|
transactions = [x.to_dict()
|
|
for x in self.processed_transactions[dt]]
|
|
except KeyError:
|
|
transactions = []
|
|
else:
|
|
transactions = \
|
|
[y.to_dict()
|
|
for x in itervalues(self.processed_transactions)
|
|
for y in x]
|
|
rval['transactions'] = transactions
|
|
|
|
if self.keep_orders:
|
|
if dt:
|
|
# only include orders modified as of the given dt.
|
|
try:
|
|
orders = [x.to_dict()
|
|
for x in itervalues(self.orders_by_modified[dt])]
|
|
except KeyError:
|
|
orders = []
|
|
else:
|
|
orders = [x.to_dict() for x in itervalues(self.orders_by_id)]
|
|
rval['orders'] = orders
|
|
|
|
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.
|
|
"""
|
|
# Recycles containing objects' Portfolio object
|
|
# which is used for returning values.
|
|
# as_portfolio is called in an inner loop,
|
|
# so repeated object creation becomes too expensive
|
|
portfolio = self._portfolio_store
|
|
# maintaining the old name for the portfolio field for
|
|
# backward compatibility
|
|
portfolio.capital_used = self.period_cash_flow
|
|
portfolio.starting_cash = self.starting_cash
|
|
portfolio.portfolio_value = self.ending_cash + self.ending_value
|
|
portfolio.pnl = self.pnl
|
|
portfolio.returns = self.returns
|
|
portfolio.cash = self.ending_cash
|
|
portfolio.start_date = self.period_open
|
|
portfolio.positions = self.position_tracker.get_positions()
|
|
portfolio.positions_value = self.ending_value
|
|
portfolio.positions_exposure = self.ending_exposure
|
|
return portfolio
|
|
|
|
def as_account(self):
|
|
account = self._account_store
|
|
|
|
# If no attribute is found on the PerformancePeriod resort to the
|
|
# following default values. If an attribute is found use the existing
|
|
# value. For instance, a broker may provide updates to these
|
|
# attributes. In this case we do not want to over write the broker
|
|
# values with the default values.
|
|
account.settled_cash = \
|
|
getattr(self, 'settled_cash', self.ending_cash)
|
|
account.accrued_interest = \
|
|
getattr(self, 'accrued_interest', 0.0)
|
|
account.buying_power = \
|
|
getattr(self, 'buying_power', float('inf'))
|
|
account.equity_with_loan = \
|
|
getattr(self, 'equity_with_loan',
|
|
self.ending_cash + self.ending_value)
|
|
account.total_positions_value = \
|
|
getattr(self, 'total_positions_value', self.ending_value)
|
|
account.total_positions_value = \
|
|
getattr(self, 'total_positions_exposure', self.ending_exposure)
|
|
account.regt_equity = \
|
|
getattr(self, 'regt_equity', self.ending_cash)
|
|
account.regt_margin = \
|
|
getattr(self, 'regt_margin', float('inf'))
|
|
account.initial_margin_requirement = \
|
|
getattr(self, 'initial_margin_requirement', 0.0)
|
|
account.maintenance_margin_requirement = \
|
|
getattr(self, 'maintenance_margin_requirement', 0.0)
|
|
account.available_funds = \
|
|
getattr(self, 'available_funds', self.ending_cash)
|
|
account.excess_liquidity = \
|
|
getattr(self, 'excess_liquidity', self.ending_cash)
|
|
account.cushion = \
|
|
getattr(self, 'cushion',
|
|
self.ending_cash / (self.ending_cash + self.ending_value))
|
|
account.day_trades_remaining = \
|
|
getattr(self, 'day_trades_remaining', float('inf'))
|
|
account.leverage = \
|
|
getattr(self, 'leverage', self._gross_leverage())
|
|
account.net_leverage = self._net_leverage()
|
|
account.net_liquidation = \
|
|
getattr(self, 'net_liquidation', self._net_liquidation_value)
|
|
return account
|
|
|
|
def __getstate__(self):
|
|
state_dict = {k: v for k, v in iteritems(self.__dict__)
|
|
if not k.startswith('_')}
|
|
|
|
state_dict['_portfolio_store'] = self._portfolio_store
|
|
state_dict['_account_store'] = self._account_store
|
|
|
|
state_dict['processed_transactions'] = \
|
|
dict(self.processed_transactions)
|
|
state_dict['orders_by_id'] = \
|
|
dict(self.orders_by_id)
|
|
state_dict['orders_by_modified'] = \
|
|
dict(self.orders_by_modified)
|
|
|
|
STATE_VERSION = 2
|
|
state_dict[VERSION_LABEL] = STATE_VERSION
|
|
return state_dict
|
|
|
|
def __setstate__(self, state):
|
|
|
|
OLDEST_SUPPORTED_STATE = 1
|
|
version = state.pop(VERSION_LABEL)
|
|
|
|
if version < OLDEST_SUPPORTED_STATE:
|
|
raise BaseException("PerformancePeriod saved state is too old.")
|
|
|
|
processed_transactions = {}
|
|
processed_transactions.update(state.pop('processed_transactions'))
|
|
|
|
orders_by_id = OrderedDict()
|
|
orders_by_id.update(state.pop('orders_by_id'))
|
|
|
|
orders_by_modified = {}
|
|
orders_by_modified.update(state.pop('orders_by_modified'))
|
|
self.processed_transactions = processed_transactions
|
|
self.orders_by_id = orders_by_id
|
|
self.orders_by_modified = orders_by_modified
|
|
|
|
self._execution_cash_flow_multipliers = {}
|
|
|
|
# pop positions to use for v1
|
|
positions = state.pop('positions', None)
|
|
self.__dict__.update(state)
|
|
|
|
if version == 1:
|
|
# version 1 had PositionTracker logic inside of Period
|
|
# we create the PositionTracker here.
|
|
# Note: that in V2 it is assumed that the position_tracker
|
|
# will be dependency injected and so is not reconstructed
|
|
assert positions is not None, "positions should exist in v1"
|
|
position_tracker = PositionTracker()
|
|
position_tracker.update_positions(positions)
|
|
self.position_tracker = position_tracker
|