mirror of
https://github.com/wassname/catalyst.git
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205 lines
7.2 KiB
Python
205 lines
7.2 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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"""
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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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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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payment = 0.0
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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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if dividend.net_amount:
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dividend.payment = self.amount * dividend.net_amount
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else:
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dividend.payment = self.amount * dividend.gross_amount
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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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payment += dividend.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 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 NameError("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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# we're covering a short or closing a position
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if(self.amount + txn.amount == 0):
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self.cost_basis = 0.0
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self.amount = 0
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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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total_shares = self.amount + txn.amount
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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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