zipline.finance.performance.Position.handle_split() - 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 2016-01-06 18:40 UTC

handle_split() B

↳ Parent: zipline.finance.performance.Position

Complexity

Conditions

Size

Total Lines

Duplication

Lines	0
Ratio	0 %

Metric	Value
cc	2
dl	0
loc	43
rs	8.8571

#
# 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.

"""
Position Tracking
=================

    +-----------------+----------------------------------------------------+
    | key             | value                                              |
    +=================+====================================================+
    | sid             | the sid for the asset held in this position        |
    +-----------------+----------------------------------------------------+
    | amount          | whole number of shares in the position             |
    +-----------------+----------------------------------------------------+
    | last_sale_price | price at last sale of the asset on the exchange    |
    +-----------------+----------------------------------------------------+
    | cost_basis      | the volume weighted average price paid per share   |
    +-----------------+----------------------------------------------------+

"""

from __future__ import division
from math import (
    copysign,
    floor,
)

from copy import copy

import logbook

from zipline.utils.serialization_utils import (
    VERSION_LABEL
)

log = logbook.Logger('Performance')


class Position(object):

    def __init__(self, sid, amount=0, cost_basis=0.0,
                 last_sale_price=0.0, last_sale_date=None):

        self.sid = sid
        self.amount = amount
        self.cost_basis = cost_basis  # per share
        self.last_sale_price = last_sale_price
        self.last_sale_date = last_sale_date

    def earn_dividend(self, dividend):
        """
        Register the number of shares we held at this dividend's ex date so
        that we can pay out the correct amount on the dividend's pay date.
        """
        out = {}

        out['amount'] = self.amount * dividend.amount
        return out

    def earn_stock_dividend(self, stock_dividend):
        """
        Register the number of shares we held at this dividend's ex date so
        that we can pay out the correct amount on the dividend's pay date.
        """
        out = {}

        # stock dividend
        out['payment_sid'] = stock_dividend.payment_sid
        out['share_count'] = floor(
            self.amount * float(stock_dividend.ratio))

        return out

    def handle_split(self, sid, ratio):
        """
        Update the position by the split ratio, and return the resulting
        fractional share that will be converted into cash.

        Returns the unused cash.
        """
        if self.sid != sid:
            raise Exception("updating split with the wrong sid!")

        log.info("handling split for sid = " + str(sid) +
                 ", ratio = " + str(ratio))
        log.info("before split: " + str(self))

        # adjust the # of shares by the ratio
        # (if we had 100 shares, and the ratio is 3,
        #  we now have 33 shares)
        # (old_share_count / ratio = new_share_count)
        # (old_price * ratio = new_price)

        # e.g., 33.333
        raw_share_count = self.amount / float(ratio)

        # e.g., 33
        full_share_count = floor(raw_share_count)

        # e.g., 0.333
        fractional_share_count = raw_share_count - full_share_count

        # adjust the cost basis to the nearest cent, e.g., 60.0
        new_cost_basis = round(self.cost_basis * ratio, 2)

        self.cost_basis = new_cost_basis
        self.amount = full_share_count

        return_cash = round(float(fractional_share_count * new_cost_basis), 2)

        log.info("after split: " + str(self))
        log.info("returning cash: " + str(return_cash))

        # return the leftover cash, which will be converted into cash
        # (rounded to the nearest cent)
        return return_cash

    def update(self, txn):
        if self.sid != txn.sid:
            raise Exception('updating position with txn for a '
                            'different sid')

        total_shares = self.amount + txn.amount

        if total_shares == 0:
            self.cost_basis = 0.0
        else:
            prev_direction = copysign(1, self.amount)
            txn_direction = copysign(1, txn.amount)

            if prev_direction != txn_direction:
                # we're covering a short or closing a position
                if abs(txn.amount) > abs(self.amount):
                    # we've closed the position and gone short
                    # or covered the short position and gone long
                    self.cost_basis = txn.price
            else:
                prev_cost = self.cost_basis * self.amount
                txn_cost = txn.amount * txn.price
                total_cost = prev_cost + txn_cost
                self.cost_basis = total_cost / total_shares

            # Update the last sale price if txn is
            # best data we have so far
            if self.last_sale_date is None or txn.dt > self.last_sale_date:
                self.last_sale_price = txn.price
                self.last_sale_date = txn.dt

        self.amount = total_shares

    def adjust_commission_cost_basis(self, sid, cost):
        """
        A note about cost-basis in zipline: all positions are considered
        to share a cost basis, even if they were executed in different
        transactions with different commission costs, different prices, etc.

        Due to limitations about how zipline handles positions, zipline will
        currently spread an externally-delivered commission charge across
        all shares in a position.
        """

        if sid != self.sid:
            raise Exception('Updating a commission for a different sid?')
        if cost == 0.0:
            return

        # If we no longer hold this position, there is no cost basis to
        # adjust.
        if self.amount == 0:
            return

        prev_cost = self.cost_basis * self.amount
        new_cost = prev_cost + cost
        self.cost_basis = new_cost / self.amount

    def __repr__(self):
        template = "sid: {sid}, amount: {amount}, cost_basis: {cost_basis}, \
last_sale_price: {last_sale_price}"
        return template.format(
            sid=self.sid,
            amount=self.amount,
            cost_basis=self.cost_basis,
            last_sale_price=self.last_sale_price
        )

    def to_dict(self):
        """
        Creates a dictionary representing the state of this position.
        Returns a dict object of the form:
        """
        return {
            'sid': self.sid,
            'amount': self.amount,
            'cost_basis': self.cost_basis,
            'last_sale_price': self.last_sale_price
        }

    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("Position saved state is too old.")

        self.__dict__.update(state)


class positiondict(dict):
    def __missing__(self, key):
        return None


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
16			"""
17			Position Tracking
18			=================
19
20			+-----------------+----------------------------------------------------+
21			\| key \| value \|
22			+=================+====================================================+
23			\| sid \| the sid for the asset held in this position \|
24			+-----------------+----------------------------------------------------+
25			\| amount \| whole number of shares in the position \|
26			+-----------------+----------------------------------------------------+
27			\| last_sale_price \| price at last sale of the asset on the exchange \|
28			+-----------------+----------------------------------------------------+
29			\| cost_basis \| the volume weighted average price paid per share \|
30			+-----------------+----------------------------------------------------+
31
32			"""
33
34			from __future__ import division
35			from math import (
36			copysign,
37			floor,
38			)
39
40			from copy import copy
41
42			import logbook
43
44			from zipline.utils.serialization_utils import (
45			VERSION_LABEL
46			)
47
48			log = logbook.Logger('Performance')
49
50
51			class Position(object):
52
53			def __init__(self, sid, amount=0, cost_basis=0.0,
54			last_sale_price=0.0, last_sale_date=None):
55
56			self.sid = sid
57			self.amount = amount
58			self.cost_basis = cost_basis # per share
59			self.last_sale_price = last_sale_price
60			self.last_sale_date = last_sale_date
61
62			def earn_dividend(self, dividend):
63			"""
64			Register the number of shares we held at this dividend's ex date so
65			that we can pay out the correct amount on the dividend's pay date.
66			"""
67			out = {}
68
69			out['amount'] = self.amount * dividend.amount
70			return out
71
72			def earn_stock_dividend(self, stock_dividend):
73			"""
74			Register the number of shares we held at this dividend's ex date so
75			that we can pay out the correct amount on the dividend's pay date.
76			"""
77			out = {}
78
79			# stock dividend
80			out['payment_sid'] = stock_dividend.payment_sid
81			out['share_count'] = floor(
82			self.amount * float(stock_dividend.ratio))
83
84			return out
85
86			def handle_split(self, sid, ratio):
87			"""
88			Update the position by the split ratio, and return the resulting
89			fractional share that will be converted into cash.
90
91			Returns the unused cash.
92			"""
93			if self.sid != sid:
94			raise Exception("updating split with the wrong sid!")
95
96			log.info("handling split for sid = " + str(sid) +
97			", ratio = " + str(ratio))
98			log.info("before split: " + str(self))
99
100			# adjust the # of shares by the ratio
101			# (if we had 100 shares, and the ratio is 3,
102			# we now have 33 shares)
103			# (old_share_count / ratio = new_share_count)
104			# (old_price * ratio = new_price)
105
106			# e.g., 33.333
107			raw_share_count = self.amount / float(ratio)
108
109			# e.g., 33
110			full_share_count = floor(raw_share_count)
111
112			# e.g., 0.333
113			fractional_share_count = raw_share_count - full_share_count
114
115			# adjust the cost basis to the nearest cent, e.g., 60.0
116			new_cost_basis = round(self.cost_basis * ratio, 2)
117
118			self.cost_basis = new_cost_basis
119			self.amount = full_share_count
120
121			return_cash = round(float(fractional_share_count * new_cost_basis), 2)
122
123			log.info("after split: " + str(self))
124			log.info("returning cash: " + str(return_cash))
125
126			# return the leftover cash, which will be converted into cash
127			# (rounded to the nearest cent)
128			return return_cash
129
130			def update(self, txn):
131			if self.sid != txn.sid:
132			raise Exception('updating position with txn for a '
133			'different sid')
134
135			total_shares = self.amount + txn.amount
136
137			if total_shares == 0:
138			self.cost_basis = 0.0
139			else:
140			prev_direction = copysign(1, self.amount)
141			txn_direction = copysign(1, txn.amount)
142
143			if prev_direction != txn_direction:
144			# we're covering a short or closing a position
145			if abs(txn.amount) > abs(self.amount):
146			# we've closed the position and gone short
147			# or covered the short position and gone long
148			self.cost_basis = txn.price
149			else:
150			prev_cost = self.cost_basis * self.amount
151			txn_cost = txn.amount * txn.price
152			total_cost = prev_cost + txn_cost
153			self.cost_basis = total_cost / total_shares
154
155			# Update the last sale price if txn is
156			# best data we have so far
157			if self.last_sale_date is None or txn.dt > self.last_sale_date:
158			self.last_sale_price = txn.price
159			self.last_sale_date = txn.dt
160
161			self.amount = total_shares
162
163			def adjust_commission_cost_basis(self, sid, cost):
164			"""
165			A note about cost-basis in zipline: all positions are considered
166			to share a cost basis, even if they were executed in different
167			transactions with different commission costs, different prices, etc.
168
169			Due to limitations about how zipline handles positions, zipline will
170			currently spread an externally-delivered commission charge across
171			all shares in a position.
172			"""
173
174			if sid != self.sid:
175			raise Exception('Updating a commission for a different sid?')
176			if cost == 0.0:
177			return
178
179			# If we no longer hold this position, there is no cost basis to
180			# adjust.
181			if self.amount == 0:
182			return
183
184			prev_cost = self.cost_basis * self.amount
185			new_cost = prev_cost + cost
186			self.cost_basis = new_cost / self.amount
187
188			def __repr__(self):
189			template = "sid: {sid}, amount: {amount}, cost_basis: {cost_basis}, \
190			last_sale_price: {last_sale_price}"
191			return template.format(
192			sid=self.sid,
193			amount=self.amount,
194			cost_basis=self.cost_basis,
195			last_sale_price=self.last_sale_price
196			)
197
198			def to_dict(self):
199			"""
200			Creates a dictionary representing the state of this position.
201			Returns a dict object of the form:
202			"""
203			return {
204			'sid': self.sid,
205			'amount': self.amount,
206			'cost_basis': self.cost_basis,
207			'last_sale_price': self.last_sale_price
208			}
209
210			def __getstate__(self):
211			state_dict = copy(self.__dict__)
212
213			STATE_VERSION = 1
214			state_dict[VERSION_LABEL] = STATE_VERSION
215
216			return state_dict
217
218			def __setstate__(self, state):
219
220			OLDEST_SUPPORTED_STATE = 1
221			version = state.pop(VERSION_LABEL)
222
223			if version < OLDEST_SUPPORTED_STATE:
224			raise BaseException("Position saved state is too old.")
225
226			self.__dict__.update(state)
227
228
229			class positiondict(dict):
230			def __missing__(self, key):
231			return None
232

quantopian / zipline

Pull Request — master (#858)

handle_split() B

Complexity

Size

Duplication

Duplication Side-by-Side

Filter issues like