zipline.finance.SlippageModel.__call__() - Code Metrics - Inspection of "Q 2.0" - quantopian/zipline - Measure and Improve Code Quality continuously with Scrutinizer

Completed

Pull Request — master (#858)

by Eddie

created 2015-11-25 20:27 UTC

zipline.finance.SlippageModel.call() A

↳ Parent: zipline.finance.SlippageModel

Complexity

Conditions

Size

Total Lines

Duplication

Lines	0
Ratio	0 %

Metric	Value
cc	1
dl	0
loc	2
rs	10

#
# 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.
from __future__ import division

import abc
from copy import copy
import math

from six import with_metaclass
from zipline.finance.transaction import create_transaction

from zipline.utils.serialization_utils import VERSION_LABEL


class LiquidityExceeded(Exception):
    pass


class SlippageModel(with_metaclass(abc.ABCMeta)):
    def __init__(self):
        self._volume_for_bar = 0

    @property
    def volume_for_bar(self):
        return self._volume_for_bar

    @abc.abstractproperty
    def process_order(self, price, volume, order, dt):
        pass

    def simulate(self, current_orders, dt, price, volume):
        self._volume_for_bar = 0

        for order in current_orders:
            if order.open_amount == 0:
                continue

            order.check_triggers(price, dt)
            if not order.triggered:
                continue

            try:
                txn = self.process_order(order, price, volume, dt)
            except LiquidityExceeded:
                break

            if txn:
                self._volume_for_bar += abs(txn.amount)
                yield order, txn

    def __call__(self, current_orders, dt, price, volume, **kwargs):
        return self.simulate(current_orders, dt, price, volume, **kwargs)


class VolumeShareSlippage(SlippageModel):

    def __init__(self, volume_limit=0.25, price_impact=0.1):
        self.volume_limit = volume_limit
        self.price_impact = price_impact

    def __repr__(self):
        return """
{class_name}(
    volume_limit={volume_limit},
    price_impact={price_impact})
""".strip().format(class_name=self.__class__.__name__,
                   volume_limit=self.volume_limit,
                   price_impact=self.price_impact)

    def process_order(self, order, price, volume, dt):
        max_volume = self.volume_limit * volume

        # price impact accounts for the total volume of transactions
        # created against the current minute bar
        remaining_volume = max_volume - self.volume_for_bar
        if remaining_volume < 1:
            # we can't fill any more transactions
            raise LiquidityExceeded()

        # the current order amount will be the min of the
        # volume available in the bar or the open amount.
        cur_volume = int(min(remaining_volume, abs(order.open_amount)))

        if cur_volume < 1:
            return

        # tally the current amount into our total amount ordered.
        # total amount will be used to calculate price impact
        total_volume = self.volume_for_bar + cur_volume

        volume_share = min(total_volume / volume,
                           self.volume_limit)

        simulated_impact = volume_share ** 2 \
            * math.copysign(self.price_impact, order.direction) \
            * price
        impacted_price = price + simulated_impact

        if order.limit:
            # this is tricky! if an order with a limit price has reached
            # the limit price, we will try to fill the order. do not fill
            # these shares if the impacted price is worse than the limit
            # price. return early to avoid creating the transaction.

            # buy order is worse if the impacted price is greater than
            # the limit price. sell order is worse if the impacted price
            # is less than the limit price
            if (order.direction > 0 and impacted_price > order.limit) or \
                    (order.direction < 0 and impacted_price < order.limit):
                return

        return create_transaction(
            order.sid,
            dt,
            order,
            impacted_price,
            math.copysign(cur_volume, order.direction)
        )

    def __getstate__(self):

        state_dict = copy(self.__dict__)

        STATE_VERSION = 1
        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("VolumeShareSlippage saved state is too old.")

        self.__dict__.update(state)


class FixedSlippage(SlippageModel):

    def __init__(self, spread=0.0):
        """
        Use the fixed slippage model, which will just add/subtract
        a specified spread spread/2 will be added on buys and subtracted
        on sells per share
        """
        self.spread = spread

    def process_order(self, order, price, volume, dt):
        return create_transaction(
            order.sid,
            dt,
            order,
            price + (self.spread / 2.0 * order.direction),
            order.amount,
        )

    def __getstate__(self):
        state_dict = copy(self.__dict__)

        STATE_VERSION = 1
        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("FixedSlippage saved state is too old.")

        self.__dict__.update(state)


1			#
2			# Copyright 2014 Quantopian, Inc.
3			#
4			# Licensed under the Apache License, Version 2.0 (the "License");
5			# you may not use this file except in compliance with the License.
6			# You may obtain a copy of the License at
7			#
8			# http://www.apache.org/licenses/LICENSE-2.0
9			#
10			# Unless required by applicable law or agreed to in writing, software
11			# distributed under the License is distributed on an "AS IS" BASIS,
12			# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
13			# See the License for the specific language governing permissions and
14			# limitations under the License.
15			from __future__ import division
16
17			import abc
18			from copy import copy
19			import math
20
21			from six import with_metaclass
22			from zipline.finance.transaction import create_transaction
23
24			from zipline.utils.serialization_utils import VERSION_LABEL
25
26
27			class LiquidityExceeded(Exception):
28			pass
29
30
31			class SlippageModel(with_metaclass(abc.ABCMeta)):
32			def __init__(self):
33			self._volume_for_bar = 0
34
35			@property
36			def volume_for_bar(self):
37			return self._volume_for_bar
38
39			@abc.abstractproperty
40			def process_order(self, price, volume, order, dt):
41			pass
42
43			def simulate(self, current_orders, dt, price, volume):
44			self._volume_for_bar = 0
45
46			for order in current_orders:
47			if order.open_amount == 0:
48			continue
49
50			order.check_triggers(price, dt)
51			if not order.triggered:
52			continue
53
54			try:
55			txn = self.process_order(order, price, volume, dt)
56			except LiquidityExceeded:
57			break
58
59			if txn:
60			self._volume_for_bar += abs(txn.amount)
61			yield order, txn
62
63			def __call__(self, current_orders, dt, price, volume, **kwargs):
64			return self.simulate(current_orders, dt, price, volume, **kwargs)
65
66
67			class VolumeShareSlippage(SlippageModel):
68
69			def __init__(self, volume_limit=0.25, price_impact=0.1):
70			self.volume_limit = volume_limit
71			self.price_impact = price_impact
72
73			def __repr__(self):
74			return """
75			{class_name}(
76			volume_limit={volume_limit},
77			price_impact={price_impact})
78			""".strip().format(class_name=self.__class__.__name__,
79			volume_limit=self.volume_limit,
80			price_impact=self.price_impact)
81
82			def process_order(self, order, price, volume, dt):
83			max_volume = self.volume_limit * volume
84
85			# price impact accounts for the total volume of transactions
86			# created against the current minute bar
87			remaining_volume = max_volume - self.volume_for_bar
88			if remaining_volume < 1:
89			# we can't fill any more transactions
90			raise LiquidityExceeded()
91
92			# the current order amount will be the min of the
93			# volume available in the bar or the open amount.
94			cur_volume = int(min(remaining_volume, abs(order.open_amount)))
95
96			if cur_volume < 1:
97			return
98
99			# tally the current amount into our total amount ordered.
100			# total amount will be used to calculate price impact
101			total_volume = self.volume_for_bar + cur_volume
102
103			volume_share = min(total_volume / volume,
104			self.volume_limit)
105
106			simulated_impact = volume_share ** 2 \
107			* math.copysign(self.price_impact, order.direction) \
108			* price
109			impacted_price = price + simulated_impact
110
111			if order.limit:
112			# this is tricky! if an order with a limit price has reached
113			# the limit price, we will try to fill the order. do not fill
114			# these shares if the impacted price is worse than the limit
115			# price. return early to avoid creating the transaction.
116
117			# buy order is worse if the impacted price is greater than
118			# the limit price. sell order is worse if the impacted price
119			# is less than the limit price
120			if (order.direction > 0 and impacted_price > order.limit) or \
121			(order.direction < 0 and impacted_price < order.limit):
122			return
123
124			return create_transaction(
125			order.sid,
126			dt,
127			order,
128			impacted_price,
129			math.copysign(cur_volume, order.direction)
130			)
131
132			def __getstate__(self):
133
134			state_dict = copy(self.__dict__)
135
136			STATE_VERSION = 1
137			state_dict[VERSION_LABEL] = STATE_VERSION
138
139			return state_dict
140
141			def __setstate__(self, state):
142
143			OLDEST_SUPPORTED_STATE = 1
144			version = state.pop(VERSION_LABEL)
145
146			if version < OLDEST_SUPPORTED_STATE:
147			raise BaseException("VolumeShareSlippage saved state is too old.")
148
149			self.__dict__.update(state)
150
151
152			class FixedSlippage(SlippageModel):
153
154			def __init__(self, spread=0.0):
155			"""
156			Use the fixed slippage model, which will just add/subtract
157			a specified spread spread/2 will be added on buys and subtracted
158			on sells per share
159			"""
160			self.spread = spread
161
162			def process_order(self, order, price, volume, dt):
163			return create_transaction(
164			order.sid,
165			dt,
166			order,
167			price + (self.spread / 2.0 * order.direction),
168			order.amount,
169			)
170
171			def __getstate__(self):
172			state_dict = copy(self.__dict__)
173
174			STATE_VERSION = 1
175			state_dict[VERSION_LABEL] = STATE_VERSION
176
177			return state_dict
178
179			def __setstate__(self, state):
180			OLDEST_SUPPORTED_STATE = 1
181			version = state.pop(VERSION_LABEL)
182
183			if version < OLDEST_SUPPORTED_STATE:
184			raise BaseException("FixedSlippage saved state is too old.")
185
186			self.__dict__.update(state)
187

quantopian / zipline

Pull Request — master (#858)

zipline.finance.SlippageModel.__call__() A

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zipline.finance.SlippageModel.call() A