mirror of
https://github.com/wassname/catalyst.git
synced 2026-08-03 12:40:47 +08:00
Richard Frank
f21bbe58fc
recent 2 for 1 stock split, where 1 class C share was distributed for each share of class A held. Now a dividend can specify a sid and ratio of stock that will be paid to owners of the original security. If the ratio is 2.0, then for every existing share, two shares will be paid.
234 lines
8.3 KiB
Python
234 lines
8.3 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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"""
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Position Tracking
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=================
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+-----------------+----------------------------------------------------+
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| key | value |
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+=================+====================================================+
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| sid | the identifier for the security held in this |
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| | position. |
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+-----------------+----------------------------------------------------+
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| amount | whole number of shares in the position |
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+-----------------+----------------------------------------------------+
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| last_sale_price | price at last sale of the security on the exchange |
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+-----------------+----------------------------------------------------+
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| cost_basis | the volume weighted average price paid per share |
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+-----------------+----------------------------------------------------+
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"""
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from __future__ import division
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import logbook
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import math
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from collections import Counter
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log = logbook.Logger('Performance')
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class Position(object):
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def __init__(self, sid, amount=0, cost_basis=0.0,
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last_sale_price=0.0, last_sale_date=None,
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dividends=None):
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self.sid = sid
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self.amount = amount
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self.cost_basis = cost_basis # per share
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self.last_sale_price = last_sale_price
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self.last_sale_date = last_sale_date
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self.dividends = dividends or []
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def update_dividends(self, midnight_utc):
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"""
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midnight_utc is the 0 hour for the current (not yet open) trading day.
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This method will be invoked at the end of the market
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close handling, before the next market open.
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"""
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cash_payment = 0.0
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stock_payment = Counter() # maps sid to number of shares paid
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unpaid_dividends = []
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for dividend in self.dividends:
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if midnight_utc == dividend.ex_date:
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# if we own shares at midnight of the div_ex date
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# we are entitled to the dividend.
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dividend.amount_on_ex_date = self.amount
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# stock dividend
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if dividend.payment_sid:
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# ie, 33.333
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raw_share_count = self.amount * float(dividend.ratio)
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# ie, 33
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dividend.stock_payment = math.floor(raw_share_count)
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else:
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dividend.stock_payment = None
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# cash dividend
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if dividend.net_amount:
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dividend.cash_payment = self.amount * dividend.net_amount
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elif dividend.gross_amount:
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dividend.cash_payment = self.amount * dividend.gross_amount
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else:
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dividend.cash_payment = None
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if midnight_utc == dividend.pay_date:
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# if it is the payment date, include this
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# dividend's actual payment (calculated on
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# ex_date)
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if dividend.stock_payment:
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stock_payment[dividend.payment_sid] += \
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dividend.stock_payment
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if dividend.cash_payment:
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cash_payment += dividend.cash_payment
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else:
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unpaid_dividends.append(dividend)
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self.dividends = unpaid_dividends
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return cash_payment, stock_payment
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def add_dividend(self, dividend):
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self.dividends.append(dividend)
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# Update the position by the split ratio, and return the
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# resulting fractional share that will be converted into cash.
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# Returns the unused cash.
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def handle_split(self, split):
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if self.sid != split.sid:
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raise Exception("updating split with the wrong sid!")
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ratio = split.ratio
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log.info("handling split for sid = " + str(split.sid) +
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", ratio = " + str(split.ratio))
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log.info("before split: " + str(self))
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# adjust the # of shares by the ratio
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# (if we had 100 shares, and the ratio is 3,
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# we now have 33 shares)
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# (old_share_count / ratio = new_share_count)
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# (old_price * ratio = new_price)
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# ie, 33.333
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raw_share_count = self.amount / float(ratio)
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# ie, 33
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full_share_count = math.floor(raw_share_count)
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# ie, 0.333
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fractional_share_count = raw_share_count - full_share_count
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# adjust the cost basis to the nearest cent, ie, 60.0
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new_cost_basis = round(self.cost_basis * ratio, 2)
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# adjust the last sale price
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new_last_sale_price = round(self.last_sale_price * ratio, 2)
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self.cost_basis = new_cost_basis
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self.last_sale_price = new_last_sale_price
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self.amount = full_share_count
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return_cash = round(float(fractional_share_count * new_cost_basis), 2)
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log.info("after split: " + str(self))
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log.info("returning cash: " + str(return_cash))
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# return the leftover cash, which will be converted into cash
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# (rounded to the nearest cent)
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return return_cash
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def update(self, txn):
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if self.sid != txn.sid:
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raise Exception('updating position with txn for a '
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'different sid')
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total_shares = self.amount + txn.amount
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if total_shares == 0:
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self.cost_basis = 0.0
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else:
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prev_direction = math.copysign(1, self.amount)
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txn_direction = math.copysign(1, txn.amount)
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if prev_direction != txn_direction:
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# we're covering a short or closing a position
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if abs(txn.amount) > abs(self.amount):
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# we've closed the position and gone short
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# or covered the short position and gone long
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self.cost_basis = txn.price
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else:
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prev_cost = self.cost_basis * self.amount
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txn_cost = txn.amount * txn.price
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total_cost = prev_cost + txn_cost
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self.cost_basis = total_cost / total_shares
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self.amount = total_shares
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def adjust_commission_cost_basis(self, commission):
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"""
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A note about cost-basis in zipline: all positions are considered
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to share a cost basis, even if they were executed in different
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transactions with different commission costs, different prices, etc.
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Due to limitations about how zipline handles positions, zipline will
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currently spread an externally-delivered commission charge across
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all shares in a position.
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"""
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if commission.sid != self.sid:
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raise Exception('Updating a commission for a different sid?')
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if commission.cost == 0.0:
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return
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# If we no longer hold this position, there is no cost basis to
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# adjust.
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if self.amount == 0:
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return
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prev_cost = self.cost_basis * self.amount
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new_cost = prev_cost + commission.cost
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self.cost_basis = new_cost / self.amount
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def __repr__(self):
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template = "sid: {sid}, amount: {amount}, cost_basis: {cost_basis}, \
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last_sale_price: {last_sale_price}"
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return template.format(
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sid=self.sid,
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amount=self.amount,
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cost_basis=self.cost_basis,
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last_sale_price=self.last_sale_price
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)
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def to_dict(self):
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"""
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Creates a dictionary representing the state of this position.
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Returns a dict object of the form:
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"""
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return {
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'sid': self.sid,
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'amount': self.amount,
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'cost_basis': self.cost_basis,
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'last_sale_price': self.last_sale_price
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}
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class positiondict(dict):
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def __missing__(self, key):
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pos = Position(key)
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self[key] = pos
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return pos
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