mirror of
https://github.com/wassname/catalyst.git
synced 2026-06-28 18:43:15 +08:00
Scott Sanderson
119a1a4cda
existing `limit_price` and `stop_price` parameters. The goal of this change is to refactor the existing ordering API to provide a cleaner interface for defining more complex order types. Adds a new module, zipline.finance.execution, which defines the ExecutionStyle abstract base class, along with concrete MarketOrder, LimitOrder, StopOrder, and StopLimitOrder subclasses. Adds a new `style` keyword argument to the function signature of the `order` API method, which accepts an instance of ExecutionStyle. The existing limit_price and stop_price parameters are still supported at this time, but are converted into the new ExecutionStyle objects before being passed to Blotter.order.
136 lines
4.2 KiB
Python
136 lines
4.2 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 unittest import TestCase
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from six.moves import range
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from nose_parameterized import parameterized
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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.utils.test_utils import(
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setup_logger,
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teardown_logger,
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)
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class ExecutionStyleTestCase(TestCase):
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"""
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Tests for zipline ExecutionStyle classes.
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"""
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epsilon = .000001
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# Input, expected for buy, expected for sell.
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EXPECTED_PRICE_ROUNDING = [
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(0.00, 0.00, 0.00),
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(0.0005, 0.00, 0.00),
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(1.0005, 1.00, 1.00), # Lowest value to round down on sell.
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(1.0005 + epsilon, 1.00, 1.01),
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(1.0095 - epsilon, 1.0, 1.01),
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(1.0095, 1.01, 1.01), # Highest value to round up on buy.
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(0.01, 0.01, 0.01)
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]
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# Test that the same rounding behavior is maintained if we add between 1
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# and 10 to all values, because floating point math is made of lies.
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EXPECTED_PRICE_ROUNDING += [
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(x + delta, y + delta, z + delta)
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for (x, y, z) in EXPECTED_PRICE_ROUNDING
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for delta in range(1, 10)
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]
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INVALID_PRICES = [(-1,), (-1.0,), (0 - epsilon,)]
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def setUp(self):
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setup_logger(self)
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def tearDown(self):
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teardown_logger(self)
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@parameterized.expand(INVALID_PRICES)
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def test_invalid_prices(self, price):
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"""
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Test that execution styles throw appropriate exceptions upon receipt
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of an invalid price field.
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"""
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with self.assertRaises(ValueError):
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LimitOrder(price)
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with self.assertRaises(ValueError):
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StopOrder(price)
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for lmt, stp in [(price, 1), (1, price), (price, price)]:
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with self.assertRaises(ValueError):
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StopLimitOrder(lmt, stp)
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def test_market_order_prices(self):
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"""
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Basic unit tests for the MarketOrder class.
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"""
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style = MarketOrder()
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self.assertEqual(style.get_limit_price(True), None)
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self.assertEqual(style.get_limit_price(False), None)
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self.assertEqual(style.get_stop_price(True), None)
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self.assertEqual(style.get_stop_price(False), None)
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@parameterized.expand(EXPECTED_PRICE_ROUNDING)
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def test_limit_order_prices(self, price, expected_buy, expected_sell):
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"""
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Test price getters for the LimitOrder class.
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"""
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style = LimitOrder(price)
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self.assertEqual(expected_buy, style.get_limit_price(True))
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self.assertEqual(expected_sell, style.get_limit_price(False))
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self.assertEqual(None, style.get_stop_price(True))
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self.assertEqual(None, style.get_stop_price(False))
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@parameterized.expand(EXPECTED_PRICE_ROUNDING)
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def test_stop_order_prices(self, price, expected_buy, expected_sell):
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"""
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Test price getters for StopOrder class.
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"""
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style = StopOrder(price)
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self.assertEqual(None, style.get_limit_price(True))
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self.assertEqual(None, style.get_limit_price(False))
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self.assertEqual(expected_buy, style.get_stop_price(True))
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self.assertEqual(expected_sell, style.get_stop_price(False))
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@parameterized.expand(EXPECTED_PRICE_ROUNDING)
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def test_stop_limit_order_prices(self, price, expected_buy, expected_sell):
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"""
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Test price getters for StopLimitOrder class.
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"""
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style = StopLimitOrder(price, price + 1)
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self.assertEqual(expected_buy, style.get_limit_price(True))
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self.assertEqual(expected_sell, style.get_limit_price(False))
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self.assertEqual(expected_buy + 1, style.get_stop_price(True))
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self.assertEqual(expected_sell + 1, style.get_stop_price(False))
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