mirror of
https://github.com/wassname/catalyst.git
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356 lines
12 KiB
Python
356 lines
12 KiB
Python
#
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# Copyright 2013 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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import math
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import uuid
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from copy import copy
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from logbook import Logger
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from collections import defaultdict
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import numpy as np
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import zipline.errors
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import zipline.protocol as zp
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from zipline.finance.slippage import (
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VolumeShareSlippage,
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transact_partial,
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check_order_triggers
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)
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from zipline.finance.commission import PerShare
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import zipline.utils.math_utils as zp_math
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log = Logger('Blotter')
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from zipline.utils.protocol_utils import Enum
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ORDER_STATUS = Enum(
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'OPEN',
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'FILLED',
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'CANCELLED'
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)
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# On an order to buy, between .05 below to .95 above a penny, use that penny.
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# On an order to sell, between .05 above to .95 below a penny, use that penny.
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# buy: [.0095, .0195) -> round to .01, sell: (.0005, .0105] -> round to .01
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def round_for_minimum_price_variation(x, is_buy, diff=(0.0095 - .005)):
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# relies on rounding half away from zero, unlike numpy's bankers' rounding
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rounded = round(x - (diff if is_buy else -diff), 2)
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if zp_math.tolerant_equals(rounded, 0.0):
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return 0.0
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return rounded
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class Blotter(object):
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def __init__(self):
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self.transact = transact_partial(VolumeShareSlippage(), PerShare())
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# these orders are aggregated by sid
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self.open_orders = defaultdict(list)
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# keep a dict of orders by their own id
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self.orders = {}
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# holding orders that have come in since the last
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# event.
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self.new_orders = []
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self.current_dt = None
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self.max_shares = int(1e+11)
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def __repr__(self):
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return """
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{class_name}(
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transact_partial={transact_partial},
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open_orders={open_orders},
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orders={orders},
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new_orders={new_orders},
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current_dt={current_dt})
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""".strip().format(class_name=self.__class__.__name__,
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transact_partial=self.transact.args,
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open_orders=self.open_orders,
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orders=self.orders,
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new_orders=self.new_orders,
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current_dt=self.current_dt)
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def set_date(self, dt):
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self.current_dt = dt
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def order(self, sid, amount, limit_price, stop_price, order_id=None):
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# something could be done with amount to further divide
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# between buy by share count OR buy shares up to a dollar amount
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# numeric == share count AND "$dollar.cents" == cost amount
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"""
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amount > 0 :: Buy/Cover
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amount < 0 :: Sell/Short
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Market order: order(sid, amount)
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Limit order: order(sid, amount, limit_price)
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Stop order: order(sid, amount, None, stop_price)
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StopLimit order: order(sid, amount, limit_price, stop_price)
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"""
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# Fractional shares are not supported.
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amount = int(amount)
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# just validates amount and passes rest on to TransactionSimulator
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# Tell the user if they try to buy 0 shares of something.
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if amount == 0:
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zero_message = "Requested to trade zero shares of {psid}".format(
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psid=sid
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)
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log.debug(zero_message)
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# Don't bother placing orders for 0 shares.
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return
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elif amount > self.max_shares:
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# Arbitrary limit of 100 billion (US) shares will never be
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# exceeded except by a buggy algorithm.
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raise OverflowError("Can't order more than %d shares" %
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self.max_shares)
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if limit_price:
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limit_price = round_for_minimum_price_variation(limit_price,
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amount > 0)
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order = Order(
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dt=self.current_dt,
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sid=sid,
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amount=amount,
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stop=stop_price,
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limit=limit_price,
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id=order_id
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)
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self.open_orders[order.sid].append(order)
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self.orders[order.id] = order
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self.new_orders.append(order)
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return order.id
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def order_value(self, sid, value, last_price,
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limit_price=None, stop_price=None):
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"""
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Place an order by desired value rather than desired number of shares.
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If the requested sid is found in the universe, the requested value is
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divided by its price to imply the number of shares to transact.
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value > 0 :: Buy/Cover
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value < 0 :: Sell/Short
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Market order: order(sid, value)
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Limit order: order(sid, value, limit_price)
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Stop order: order(sid, value, None, stop_price)
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StopLimit order: order(sid, value, limit_price, stop_price)
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"""
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if np.allclose(last_price, 0):
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zero_message = "Price of 0 for {psid}; can't infer value".format(
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psid=sid
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)
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log.debug(zero_message)
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# Don't place any order
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return
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else:
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amount = value / last_price
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return self.order(sid, amount, limit_price, stop_price)
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def cancel(self, order_id):
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if order_id not in self.orders:
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return
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cur_order = self.orders[order_id]
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if cur_order.open:
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order_list = self.open_orders[cur_order.sid]
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if cur_order in order_list:
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order_list.remove(cur_order)
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if cur_order in self.new_orders:
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self.new_orders.remove(cur_order)
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cur_order.cancel()
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cur_order.dt = self.current_dt
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# we want this order's new status to be relayed out
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# along with newly placed orders.
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self.new_orders.append(cur_order)
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def process_split(self, split_event):
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if split_event.sid not in self.open_orders:
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return
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orders_to_modify = self.open_orders[split_event.sid]
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for order in orders_to_modify:
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order.handle_split(split_event)
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def process_trade(self, trade_event):
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if trade_event.type != zp.DATASOURCE_TYPE.TRADE:
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return
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if zp_math.tolerant_equals(trade_event.volume, 0):
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# there are zero volume trade_events bc some stocks trade
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# less frequently than once per minute.
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return
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if trade_event.sid not in self.open_orders:
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return
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orders = self.open_orders[trade_event.sid]
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orders = sorted(orders, key=lambda o: o.dt)
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# Only use orders for the current day or before
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current_orders = filter(
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lambda o: o.dt <= trade_event.dt,
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orders)
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for order, txn in self.process_transactions(trade_event,
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current_orders):
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yield order, txn
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# update the open orders for the trade_event's sid
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self.open_orders[trade_event.sid] = \
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[order for order
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in self.open_orders[trade_event.sid]
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if order.open]
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def process_transactions(self, trade_event, current_orders):
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for order, txn in self.transact(trade_event, current_orders):
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if txn.type == zp.DATASOURCE_TYPE.COMMISSION:
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order.commission = (order.commission or 0.0) + txn.cost
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else:
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if txn.amount == 0:
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raise zipline.errors.TransactionWithNoAmount(txn=txn)
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if math.copysign(1, txn.amount) != order.direction:
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raise zipline.errors.TransactionWithWrongDirection(
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txn=txn, order=order)
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if abs(txn.amount) > abs(self.orders[txn.order_id].amount):
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raise zipline.errors.TransactionVolumeExceedsOrder(
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txn=txn, order=order)
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order.filled += txn.amount
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if txn.commission is not None:
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order.commission = ((order.commission or 0.0)
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+ txn.commission)
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# mark the date of the order to match the transaction
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# that is filling it.
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order.dt = txn.dt
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yield txn, order
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class Order(object):
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def __init__(self, dt, sid, amount, stop=None, limit=None, filled=0,
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commission=None, id=None):
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"""
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@dt - datetime.datetime that the order was placed
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@sid - stock sid of the order
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@amount - the number of shares to buy/sell
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a positive sign indicates a buy
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a negative sign indicates a sell
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@filled - how many shares of the order have been filled so far
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"""
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# get a string representation of the uuid.
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self.id = id or self.make_id()
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self.dt = dt
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self.created = dt
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self.sid = sid
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self.amount = amount
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self.filled = filled
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self.commission = commission
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self._cancelled = False
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self.stop = stop
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self.limit = limit
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self.stop_reached = False
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self.limit_reached = False
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self.direction = math.copysign(1, self.amount)
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self.type = zp.DATASOURCE_TYPE.ORDER
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def make_id(self):
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return uuid.uuid4().hex
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def to_dict(self):
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py = copy(self.__dict__)
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for field in ['type', 'direction', '_cancelled']:
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del py[field]
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py['status'] = self.status
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return py
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def to_api_obj(self):
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pydict = self.to_dict()
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obj = zp.Order(initial_values=pydict)
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return obj
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def check_triggers(self, event):
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"""
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Update internal state based on price triggers and the
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trade event's price.
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"""
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stop_reached, limit_reached, sl_stop_reached = \
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check_order_triggers(self, event)
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if (stop_reached, limit_reached) \
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!= (self.stop_reached, self.limit_reached):
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self.dt = event.dt
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self.stop_reached = stop_reached
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self.limit_reached = limit_reached
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if sl_stop_reached:
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# Change the STOP LIMIT order into a LIMIT order
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self.stop = None
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def handle_split(self, split_event):
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ratio = split_event.ratio
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# update the amount, limit_price, and stop_price
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# by the split's ratio
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# info here: http://finra.complinet.com/en/display/display_plain.html?
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# rbid=2403&element_id=8950&record_id=12208&print=1
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# new_share_amount = old_share_amount / ratio
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# new_price = old_price * ratio
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self.amount = int(self.amount / ratio)
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if self.limit:
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self.limit = round(self.limit * ratio, 2)
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if self.stop:
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self.stop = round(self.stop * ratio, 2)
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@property
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def status(self):
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if self._cancelled:
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return ORDER_STATUS.CANCELLED
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return ORDER_STATUS.FILLED \
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if not self.open_amount else ORDER_STATUS.OPEN
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def cancel(self):
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self._cancelled = True
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@property
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def open(self):
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return self.status == ORDER_STATUS.OPEN
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@property
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def triggered(self):
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"""
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For a market order, True.
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For a stop order, True IFF stop_reached.
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For a limit order, True IFF limit_reached.
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"""
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if self.stop and not self.stop_reached:
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return False
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if self.limit and not self.limit_reached:
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return False
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return True
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@property
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def open_amount(self):
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return self.amount - self.filled
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