zipline.SIDData - 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 16:52 UTC

zipline.SIDData A

↳ Parent: Project

Complexity

Total Complexity

Size/Duplication

Total Lines	222
Duplicated Lines	0 %

Metric	Value
dl	0
loc	222
rs	9.4
wmc	33

#
# 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.
from copy import copy

import pandas as pd

from . utils.protocol_utils import Enum

from zipline.utils.serialization_utils import (
    VERSION_LABEL
)

# Datasource type should completely determine the other fields of a
# message with its type.
DATASOURCE_TYPE = Enum(
    'AS_TRADED_EQUITY',
    'MERGER',
    'SPLIT',
    'DIVIDEND',
    'TRADE',
    'TRANSACTION',
    'ORDER',
    'EMPTY',
    'DONE',
    'CUSTOM',
    'BENCHMARK',
    'COMMISSION',
    'CLOSE_POSITION'
)

# Expected fields/index values for a dividend Series.
DIVIDEND_FIELDS = [
    'declared_date',
    'ex_date',
    'gross_amount',
    'net_amount',
    'pay_date',
    'payment_sid',
    'ratio',
    'sid',
]
# Expected fields/index values for a dividend payment Series.
DIVIDEND_PAYMENT_FIELDS = [
    'id',
    'payment_sid',
    'cash_amount',
    'share_count',
]


class Event(object):

    def __init__(self, initial_values=None):
        if initial_values:
            self.__dict__ = initial_values

    def __getitem__(self, name):
        return getattr(self, name)

    def __setitem__(self, name, value):
        setattr(self, name, value)

    def __delitem__(self, name):
        delattr(self, name)

    def keys(self):
        return self.__dict__.keys()

    def __eq__(self, other):
        return hasattr(other, '__dict__') and self.__dict__ == other.__dict__

    def __contains__(self, name):
        return name in self.__dict__

    def __repr__(self):
        return "Event({0})".format(self.__dict__)

    def to_series(self, index=None):
        return pd.Series(self.__dict__, index=index)


class Order(Event):
    pass


class Portfolio(object):

    def __init__(self):
        self.capital_used = 0.0
        self.starting_cash = 0.0
        self.portfolio_value = 0.0
        self.pnl = 0.0
        self.returns = 0.0
        self.cash = 0.0
        self.positions = Positions()
        self.start_date = None
        self.positions_value = 0.0

    def __getitem__(self, key):
        return self.__dict__[key]

    def __repr__(self):
        return "Portfolio({0})".format(self.__dict__)

    def __getstate__(self):

        state_dict = copy(self.__dict__)

        # Have to convert to primitive dict
        state_dict['positions'] = dict(self.positions)

        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("Portfolio saved state is too old.")

        self.positions = Positions()
        self.positions.update(state.pop('positions'))

        self.__dict__.update(state)


class Account(object):
    '''
    The account object tracks information about the trading account. The
    values are updated as the algorithm runs and its keys remain unchanged.
    If connected to a broker, one can update these values with the trading
    account values as reported by the broker.
    '''

    def __init__(self):
        self.settled_cash = 0.0
        self.accrued_interest = 0.0
        self.buying_power = float('inf')
        self.equity_with_loan = 0.0
        self.total_positions_value = 0.0
        self.regt_equity = 0.0
        self.regt_margin = float('inf')
        self.initial_margin_requirement = 0.0
        self.maintenance_margin_requirement = 0.0
        self.available_funds = 0.0
        self.excess_liquidity = 0.0
        self.cushion = 0.0
        self.day_trades_remaining = float('inf')
        self.leverage = 0.0
        self.net_leverage = 0.0
        self.net_liquidation = 0.0

    def __getitem__(self, key):
        return self.__dict__[key]

    def __repr__(self):
        return "Account({0})".format(self.__dict__)

    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("Account saved state is too old.")

        self.__dict__.update(state)


class Position(object):

    def __init__(self, sid):
        self.sid = sid
        self.amount = 0
        self.cost_basis = 0.0  # per share
        self.last_sale_price = 0.0

    def __getitem__(self, key):
        return self.__dict__[key]

    def __repr__(self):
        return "Position({0})".format(self.__dict__)

    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("Protocol Position saved state is too old.")

        self.__dict__.update(state)


class Positions(dict):

    def __missing__(self, key):
        pos = Position(key)
        self[key] = pos
        return pos


class BarData(object):
    """
    Holds the event data for all sids for a given dt.

    This is what is passed as `data` to the `handle_data` function.
    """

    def __init__(self, data_portal=None):
        self.data_portal = data_portal or {}

    def __getitem__(self, name):
        return self.data_portal.get_equity_price_view(name)

    def __iter__(self):
        raise TypeError('%r object is not iterable'
                        % self.__class__.__name__)

    @property
    def fetcher_assets(self):
        return self.data_portal.get_fetcher_assets()


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			from copy import copy
16
17			import pandas as pd
18
19			from . utils.protocol_utils import Enum
20
21			from zipline.utils.serialization_utils import (
22			VERSION_LABEL
23			)
24
25			# Datasource type should completely determine the other fields of a
26			# message with its type.
27			DATASOURCE_TYPE = Enum(
28			'AS_TRADED_EQUITY',
29			'MERGER',
30			'SPLIT',
31			'DIVIDEND',
32			'TRADE',
33			'TRANSACTION',
34			'ORDER',
35			'EMPTY',
36			'DONE',
37			'CUSTOM',
38			'BENCHMARK',
39			'COMMISSION',
40			'CLOSE_POSITION'
41			)
42
43			# Expected fields/index values for a dividend Series.
44			DIVIDEND_FIELDS = [
45			'declared_date',
46			'ex_date',
47			'gross_amount',
48			'net_amount',
49			'pay_date',
50			'payment_sid',
51			'ratio',
52			'sid',
53			]
54			# Expected fields/index values for a dividend payment Series.
55			DIVIDEND_PAYMENT_FIELDS = [
56			'id',
57			'payment_sid',
58			'cash_amount',
59			'share_count',
60			]
61
62
63			class Event(object):
64
65			def __init__(self, initial_values=None):
66			if initial_values:
67			self.__dict__ = initial_values
68
69			def __getitem__(self, name):
70			return getattr(self, name)
71
72			def __setitem__(self, name, value):
73			setattr(self, name, value)
74
75			def __delitem__(self, name):
76			delattr(self, name)
77
78			def keys(self):
79			return self.__dict__.keys()
80
81			def __eq__(self, other):
82			return hasattr(other, '__dict__') and self.__dict__ == other.__dict__
83
84			def __contains__(self, name):
85			return name in self.__dict__
86
87			def __repr__(self):
88			return "Event({0})".format(self.__dict__)
89
90			def to_series(self, index=None):
91			return pd.Series(self.__dict__, index=index)
92
93
94			class Order(Event):
95			pass
96
97
98			class Portfolio(object):
99
100			def __init__(self):
101			self.capital_used = 0.0
102			self.starting_cash = 0.0
103			self.portfolio_value = 0.0
104			self.pnl = 0.0
105			self.returns = 0.0
106			self.cash = 0.0
107			self.positions = Positions()
108			self.start_date = None
109			self.positions_value = 0.0
110
111			def __getitem__(self, key):
112			return self.__dict__[key]
113
114			def __repr__(self):
115			return "Portfolio({0})".format(self.__dict__)
116
117			def __getstate__(self):
118
119			state_dict = copy(self.__dict__)
120
121			# Have to convert to primitive dict
122			state_dict['positions'] = dict(self.positions)
123
124			STATE_VERSION = 1
125			state_dict[VERSION_LABEL] = STATE_VERSION
126
127			return state_dict
128
129			def __setstate__(self, state):
130
131			OLDEST_SUPPORTED_STATE = 1
132			version = state.pop(VERSION_LABEL)
133
134			if version < OLDEST_SUPPORTED_STATE:
135			raise BaseException("Portfolio saved state is too old.")
136
137			self.positions = Positions()
138			self.positions.update(state.pop('positions'))
139
140			self.__dict__.update(state)
141
142
143			class Account(object):
144			'''
145			The account object tracks information about the trading account. The
146			values are updated as the algorithm runs and its keys remain unchanged.
147			If connected to a broker, one can update these values with the trading
148			account values as reported by the broker.
149			'''
150
151			def __init__(self):
152			self.settled_cash = 0.0
153			self.accrued_interest = 0.0
154			self.buying_power = float('inf')
155			self.equity_with_loan = 0.0
156			self.total_positions_value = 0.0
157			self.regt_equity = 0.0
158			self.regt_margin = float('inf')
159			self.initial_margin_requirement = 0.0
160			self.maintenance_margin_requirement = 0.0
161			self.available_funds = 0.0
162			self.excess_liquidity = 0.0
163			self.cushion = 0.0
164			self.day_trades_remaining = float('inf')
165			self.leverage = 0.0
166			self.net_leverage = 0.0
167			self.net_liquidation = 0.0
168
169			def __getitem__(self, key):
170			return self.__dict__[key]
171
172			def __repr__(self):
173			return "Account({0})".format(self.__dict__)
174
175			def __getstate__(self):
176
177			state_dict = copy(self.__dict__)
178
179			STATE_VERSION = 1
180			state_dict[VERSION_LABEL] = STATE_VERSION
181
182			return state_dict
183
184			def __setstate__(self, state):
185
186			OLDEST_SUPPORTED_STATE = 1
187			version = state.pop(VERSION_LABEL)
188
189			if version < OLDEST_SUPPORTED_STATE:
190			raise BaseException("Account saved state is too old.")
191
192			self.__dict__.update(state)
193
194
195			class Position(object):
196
197			def __init__(self, sid):
198			self.sid = sid
199			self.amount = 0
200			self.cost_basis = 0.0 # per share
201			self.last_sale_price = 0.0
202
203			def __getitem__(self, key):
204			return self.__dict__[key]
205
206			def __repr__(self):
207			return "Position({0})".format(self.__dict__)
208
209			def __getstate__(self):
210			state_dict = copy(self.__dict__)
211
212			STATE_VERSION = 1
213			state_dict[VERSION_LABEL] = STATE_VERSION
214
215			return state_dict
216
217			def __setstate__(self, state):
218
219			OLDEST_SUPPORTED_STATE = 1
220			version = state.pop(VERSION_LABEL)
221
222			if version < OLDEST_SUPPORTED_STATE:
223			raise BaseException("Protocol Position saved state is too old.")
224
225			self.__dict__.update(state)
226
227
228			class Positions(dict):
229
230			def __missing__(self, key):
231			pos = Position(key)
232			self[key] = pos
233			return pos
234
235
236			class BarData(object):
237			"""
238			Holds the event data for all sids for a given dt.
239
240			This is what is passed as `data` to the `handle_data` function.
241			"""
242
243			def __init__(self, data_portal=None):
244			self.data_portal = data_portal or {}
245
246			def __getitem__(self, name):
247			return self.data_portal.get_equity_price_view(name)
248
249			def __iter__(self):
250			raise TypeError('%r object is not iterable'
251			% self.__class__.__name__)
252
253			@property
254			def fetcher_assets(self):
255			return self.data_portal.get_fetcher_assets()
256

quantopian / zipline

Pull Request — master (#858)

zipline.SIDData A

Complexity

Size/Duplication

Duplication Side-by-Side

Filter issues like