zipline.sources.RandomWalkSource.raw_data() - 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 2015-12-17 20:37 UTC

zipline.sources.RandomWalkSource.raw_data() A

↳ Parent: zipline.sources.RandomWalkSource

Complexity

Conditions

Size

Total Lines

Duplication

Lines	0
Ratio	0 %

Metric	Value
cc	2
dl	0
loc	5
rs	9.4286

#
# Copyright 2013 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.

"""
A source to be used in testing.
"""

import pytz

from six.moves import filter
from datetime import datetime, timedelta
import itertools

from six.moves import range

from zipline.protocol import (
    Event,
    DATASOURCE_TYPE
)
from zipline.gens.utils import hash_args


def create_trade(sid, price, amount, datetime, source_id="test_factory"):

    trade = Event()

    trade.source_id = source_id
    trade.type = DATASOURCE_TYPE.TRADE
    trade.sid = sid
    trade.dt = datetime
    trade.price = price
    trade.close_price = price
    trade.open_price = price
    trade.low = price * .95
    trade.high = price * 1.05
    trade.volume = amount

    return trade


def date_gen(start,
             end,
             env,
             delta=timedelta(minutes=1),
             repeats=None):
    """
    Utility to generate a stream of dates.
    """
    daily_delta = not (delta.total_seconds()
                       % timedelta(days=1).total_seconds())
    cur = start
    if daily_delta:
        # if we are producing daily timestamps, we
        # use midnight
        cur = cur.replace(hour=0, minute=0, second=0,
                          microsecond=0)

    def advance_current(cur):
        """
        Advances the current dt skipping non market days and minutes.
        """
        cur = cur + delta

        if not (env.is_trading_day
                if daily_delta
                else env.is_market_hours)(cur):
            if daily_delta:
                return env.next_trading_day(cur)
            else:
                return env.next_open_and_close(cur)[0]
        else:
            return cur

    # yield count trade events, all on trading days, and
    # during trading hours.
    while cur < end:
        if repeats:
            for j in range(repeats):
                yield cur
        else:
            yield cur

        cur = advance_current(cur)


class SpecificEquityTrades(object):
    """
    Yields all events in event_list that match the given sid_filter.
    If no event_list is specified, generates an internal stream of events
    to filter.  Returns all events if filter is None.

    Configuration options:

    count  : integer representing number of trades
    sids   : list of values representing simulated internal sids
    start  : start date
    delta  : timedelta between internal events
    filter : filter to remove the sids
    """
    def __init__(self, env, *args, **kwargs):
        # We shouldn't get any positional arguments.
        assert len(args) == 0

        self.env = env

        # Default to None for event_list and filter.
        self.event_list = kwargs.get('event_list')
        self.filter = kwargs.get('filter')
        if self.event_list is not None:
            # If event_list is provided, extract parameters from there
            # This isn't really clean and ultimately I think this
            # class should serve a single purpose (either take an
            # event_list or autocreate events).
            self.count = kwargs.get('count', len(self.event_list))
            self.start = kwargs.get('start', self.event_list[0].dt)
            self.end = kwargs.get('end', self.event_list[-1].dt)
            self.delta = delta = kwargs.get('delta')
            if delta is None:
                self.delta = self.event_list[1].dt - self.event_list[0].dt
            self.concurrent = kwargs.get('concurrent', False)

            self.identifiers = kwargs.get(
                'sids',
                set(event.sid for event in self.event_list)
            )
            assets_by_identifier = {}
            for identifier in self.identifiers:
                assets_by_identifier[identifier] = env.asset_finder.\
                    lookup_generic(identifier, datetime.now())[0]
            self.sids = [asset.sid for asset in assets_by_identifier.values()]
            for event in self.event_list:
                event.sid = assets_by_identifier[event.sid].sid

        else:
            # Unpack config dictionary with default values.
            self.count = kwargs.get('count', 500)
            self.start = kwargs.get(
                'start',
                datetime(2008, 6, 6, 15, tzinfo=pytz.utc))
            self.end = kwargs.get(
                'end',
                datetime(2008, 6, 6, 15, tzinfo=pytz.utc))
            self.delta = kwargs.get(
                'delta',
                timedelta(minutes=1))
            self.concurrent = kwargs.get('concurrent', False)

            self.identifiers = kwargs.get('sids', [1, 2])
            assets_by_identifier = {}
            for identifier in self.identifiers:
                assets_by_identifier[identifier] = env.asset_finder.\
                    lookup_generic(identifier, datetime.now())[0]
            self.sids = [asset.sid for asset in assets_by_identifier.values()]

        # Hash_value for downstream sorting.
        self.arg_string = hash_args(*args, **kwargs)

        self.generator = self.create_fresh_generator()

    def __iter__(self):
        return self

    def next(self):
        return self.generator.next()

    def __next__(self):
        return next(self.generator)

    def rewind(self):
        self.generator = self.create_fresh_generator()

    def get_hash(self):
        return self.__class__.__name__ + "-" + self.arg_string

    def update_source_id(self, gen):
        for event in gen:
            event.source_id = self.get_hash()
            yield event

    def create_fresh_generator(self):

        if self.event_list:
            event_gen = (event for event in self.event_list)
            unfiltered = self.update_source_id(event_gen)

        # Set up iterators for each expected field.
        else:
            if self.concurrent:
                # in this context the count is the number of
                # trades per sid, not the total.
                date_generator = date_gen(
                    start=self.start,
                    end=self.end,
                    delta=self.delta,
                    repeats=len(self.sids),
                    env=self.env,
                )
            else:
                date_generator = date_gen(
                    start=self.start,
                    end=self.end,
                    delta=self.delta,
                    env=self.env,
                )

            source_id = self.get_hash()

            unfiltered = (
                create_trade(
                    sid=sid,
                    price=float(i % 10) + 1.0,
                    amount=(i * 50) % 900 + 100,
                    datetime=date,
                    source_id=source_id,
                ) for (i, date), sid in itertools.product(
                    enumerate(date_generator), self.sids
                )
            )

        # If we specified a sid filter, filter out elements that don't
        # match the filter.
        if self.filter:
            filtered = filter(
                lambda event: event.sid in self.filter, unfiltered)

        # Otherwise just use all events.
        else:
            filtered = unfiltered

        # Return the filtered event stream.
        return filtered


1			#
2			# Copyright 2013 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
16			"""
17			A source to be used in testing.
18			"""
19
20			import pytz
21
22			from six.moves import filter
23			from datetime import datetime, timedelta
24			import itertools
25
26			from six.moves import range
27
28			from zipline.protocol import (
29			Event,
30			DATASOURCE_TYPE
31			)
32			from zipline.gens.utils import hash_args
33
34
35			def create_trade(sid, price, amount, datetime, source_id="test_factory"):
36
37			trade = Event()
38
39			trade.source_id = source_id
40			trade.type = DATASOURCE_TYPE.TRADE
41			trade.sid = sid
42			trade.dt = datetime
43			trade.price = price
44			trade.close_price = price
45			trade.open_price = price
46			trade.low = price * .95
47			trade.high = price * 1.05
48			trade.volume = amount
49
50			return trade
51
52
53			def date_gen(start,
54			end,
55			env,
56			delta=timedelta(minutes=1),
57			repeats=None):
58			"""
59			Utility to generate a stream of dates.
60			"""
61			daily_delta = not (delta.total_seconds()
62			% timedelta(days=1).total_seconds())
63			cur = start
64			if daily_delta:
65			# if we are producing daily timestamps, we
66			# use midnight
67			cur = cur.replace(hour=0, minute=0, second=0,
68			microsecond=0)
69
70			def advance_current(cur):
71			"""
72			Advances the current dt skipping non market days and minutes.
73			"""
74			cur = cur + delta
75
76			if not (env.is_trading_day
77			if daily_delta
78			else env.is_market_hours)(cur):
79			if daily_delta:
80			return env.next_trading_day(cur)
81			else:
82			return env.next_open_and_close(cur)[0]
83			else:
84			return cur
85
86			# yield count trade events, all on trading days, and
87			# during trading hours.
88			while cur < end:
89			if repeats:
90			for j in range(repeats):
91			yield cur
92			else:
93			yield cur
94
95			cur = advance_current(cur)
96
97
98			class SpecificEquityTrades(object):
99			"""
100			Yields all events in event_list that match the given sid_filter.
101			If no event_list is specified, generates an internal stream of events
102			to filter. Returns all events if filter is None.
103
104			Configuration options:
105
106			count : integer representing number of trades
107			sids : list of values representing simulated internal sids
108			start : start date
109			delta : timedelta between internal events
110			filter : filter to remove the sids
111			"""
112			def __init__(self, env, args, *kwargs):
113			# We shouldn't get any positional arguments.
114			assert len(args) == 0
115
116			self.env = env
117
118			# Default to None for event_list and filter.
119			self.event_list = kwargs.get('event_list')
120			self.filter = kwargs.get('filter')
121			if self.event_list is not None:
122			# If event_list is provided, extract parameters from there
123			# This isn't really clean and ultimately I think this
124			# class should serve a single purpose (either take an
125			# event_list or autocreate events).
126			self.count = kwargs.get('count', len(self.event_list))
127			self.start = kwargs.get('start', self.event_list[0].dt)
128			self.end = kwargs.get('end', self.event_list[-1].dt)
129			self.delta = delta = kwargs.get('delta')
130			if delta is None:
131			self.delta = self.event_list[1].dt - self.event_list[0].dt
132			self.concurrent = kwargs.get('concurrent', False)
133
134			self.identifiers = kwargs.get(
135			'sids',
136			set(event.sid for event in self.event_list)
137			)
138			assets_by_identifier = {}
139			for identifier in self.identifiers:
140			assets_by_identifier[identifier] = env.asset_finder.\
141			lookup_generic(identifier, datetime.now())[0]
142			self.sids = [asset.sid for asset in assets_by_identifier.values()]
143			for event in self.event_list:
144			event.sid = assets_by_identifier[event.sid].sid
145
146			else:
147			# Unpack config dictionary with default values.
148			self.count = kwargs.get('count', 500)
149			self.start = kwargs.get(
150			'start',
151			datetime(2008, 6, 6, 15, tzinfo=pytz.utc))
152			self.end = kwargs.get(
153			'end',
154			datetime(2008, 6, 6, 15, tzinfo=pytz.utc))
155			self.delta = kwargs.get(
156			'delta',
157			timedelta(minutes=1))
158			self.concurrent = kwargs.get('concurrent', False)
159
160			self.identifiers = kwargs.get('sids', [1, 2])
161			assets_by_identifier = {}
162			for identifier in self.identifiers:
163			assets_by_identifier[identifier] = env.asset_finder.\
164			lookup_generic(identifier, datetime.now())[0]
165			self.sids = [asset.sid for asset in assets_by_identifier.values()]
166
167			# Hash_value for downstream sorting.
168			self.arg_string = hash_args(args, *kwargs)
169
170			self.generator = self.create_fresh_generator()
171
172			def __iter__(self):
173			return self
174
175			def next(self):
176			return self.generator.next()
177
178			def __next__(self):
179			return next(self.generator)
180
181			def rewind(self):
182			self.generator = self.create_fresh_generator()
183
184			def get_hash(self):
185			return self.__class__.__name__ + "-" + self.arg_string
186
187			def update_source_id(self, gen):
188			for event in gen:
189			event.source_id = self.get_hash()
190			yield event
191
192			def create_fresh_generator(self):
193
194			if self.event_list:
195			event_gen = (event for event in self.event_list)
196			unfiltered = self.update_source_id(event_gen)
197
198			# Set up iterators for each expected field.
199			else:
200			if self.concurrent:
201			# in this context the count is the number of
202			# trades per sid, not the total.
203			date_generator = date_gen(
204			start=self.start,
205			end=self.end,
206			delta=self.delta,
207			repeats=len(self.sids),
208			env=self.env,
209			)
210			else:
211			date_generator = date_gen(
212			start=self.start,
213			end=self.end,
214			delta=self.delta,
215			env=self.env,
216			)
217
218			source_id = self.get_hash()
219
220			unfiltered = (
221			create_trade(
222			sid=sid,
223			price=float(i % 10) + 1.0,
224			amount=(i * 50) % 900 + 100,
225			datetime=date,
226			source_id=source_id,
227			) for (i, date), sid in itertools.product(
228			enumerate(date_generator), self.sids
229			)
230			)
231
232			# If we specified a sid filter, filter out elements that don't
233			# match the filter.
234			if self.filter:
235			filtered = filter(
236			lambda event: event.sid in self.filter, unfiltered)
237
238			# Otherwise just use all events.
239			else:
240			filtered = unfiltered
241
242			# Return the filtered event stream.
243			return filtered
244

quantopian / zipline

Pull Request — master (#858)

zipline.sources.RandomWalkSource.raw_data() A

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