tests.finance.SlippageTestCase.test_orders_limit() - 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 2016-01-08 18:22 UTC

tests.finance.SlippageTestCase.test_orders_limit() F

↳ Parent: tests.finance.SlippageTestCase

Complexity

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160

Duplication

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Ratio	0 %

Metric	Value
cc	9
dl	0
loc	160
rs	3.1304

How to fix Long Method

#
# 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.

"""
Unit tests for finance.slippage
"""
import datetime

import pytz

from unittest import TestCase

from nose_parameterized import parameterized

import numpy as np
import pandas as pd
from testfixtures import TempDirectory

from zipline.finance.slippage import VolumeShareSlippage
from zipline.finance.trading import TradingEnvironment, SimulationParameters

from zipline.protocol import DATASOURCE_TYPE
from zipline.finance.blotter import Order

from zipline.data.us_equity_minutes import MinuteBarWriterFromDataFrames
from zipline.data.us_equity_minutes import BcolzMinuteBarReader
from zipline.data.data_portal import DataPortal
from zipline.protocol import BarData


class SlippageTestCase(TestCase):

    @classmethod
    def setUpClass(cls):
        cls.tempdir = TempDirectory()
        cls.env = TradingEnvironment()

        cls.sim_params = SimulationParameters(
            period_start=pd.Timestamp("2006-01-05 14:31", tz="utc"),
            period_end=pd.Timestamp("2006-01-05 14:36", tz="utc"),
            capital_base=1.0e5,
            data_frequency="minute",
            emission_rate='daily',
            env=cls.env
        )

        cls.sids = [133]

        cls.minutes = pd.DatetimeIndex(
            start=pd.Timestamp("2006-01-05 14:31", tz="utc"),
            end=pd.Timestamp("2006-01-05 14:35", tz="utc"),
            freq="1min"
        )

        assets = {
            133: pd.DataFrame({
                "open": np.array([3.0, 3.0, 3.5, 4.0, 3.5]) * 1000,
                "high": np.array([3.15, 3.15, 3.15, 3.15, 3.15]) * 1000,
                "low": np.array([2.85, 2.85, 2.85, 2.85, 2.85]) * 1000,
                "close": np.array([3.0, 3.5, 4.0, 3.5, 3.0]) * 1000,
                "volume": [2000, 2000, 2000, 2000, 2000],
                "minute": cls.minutes
            })
        }

        MinuteBarWriterFromDataFrames(
            pd.Timestamp('2002-01-02', tz='UTC')
        ).write(cls.tempdir.path, assets)

        cls.env.write_data(equities_data={
            133: {
                "start_date": pd.Timestamp("2006-01-05", tz='utc'),
                "end_date": pd.Timestamp("2006-01-07", tz='utc')
            }
        })

        cls.data_portal = DataPortal(
            cls.env,
            equity_minute_reader=BcolzMinuteBarReader(cls.tempdir.path),
        )

    @classmethod
    def tearDownClass(cls):
        cls.tempdir.cleanup()
        del cls.env

    def test_volume_share_slippage(self):
        tempdir = TempDirectory()

        try:
            assets = {
                133: pd.DataFrame({
                    "open": [3000],
                    "high": [3150],
                    "low": [2850],
                    "close": [3000],
                    "volume": [200],
                    "minute": [self.minutes[0]]
                })
            }

            MinuteBarWriterFromDataFrames(
                pd.Timestamp('2002-01-02', tz='UTC')
            ).write(tempdir.path, assets)

            equity_minute_reader = BcolzMinuteBarReader(tempdir.path)

            data_portal = DataPortal(
                self.env,
                equity_minute_reader=equity_minute_reader,
            )

            slippage_model = VolumeShareSlippage()

            open_orders = [
                Order(
                    dt=datetime.datetime(2006, 1, 5, 14, 30, tzinfo=pytz.utc),
                    amount=100,
                    filled=0,
                    sid=133
                )
            ]

            bar_data = BarData(data_portal,
                               lambda: self.minutes[0],
                               'minute')

            orders_txns = list(slippage_model.simulate(
                bar_data[133],
                open_orders,
            ))

            self.assertEquals(len(orders_txns), 1)
            _, txn = orders_txns[0]

            expected_txn = {
                'price': float(3.0001875),
                'dt': datetime.datetime(
                    2006, 1, 5, 14, 31, tzinfo=pytz.utc),
                'amount': int(5),
                'sid': int(133),
                'commission': None,
                'type': DATASOURCE_TYPE.TRANSACTION,
                'order_id': open_orders[0].id
            }

            self.assertIsNotNone(txn)

            # TODO: Make expected_txn an Transaction object and ensure there
            # is a __eq__ for that class.
            self.assertEquals(expected_txn, txn.__dict__)
        finally:
            tempdir.cleanup()

    def test_orders_limit(self):
        slippage_model = VolumeShareSlippage()
        slippage_model.data_portal = self.data_portal

        # long, does not trade
        open_orders = [
            Order(**{
                'dt': datetime.datetime(2006, 1, 5, 14, 30, tzinfo=pytz.utc),
                'amount': 100,
                'filled': 0,
                'sid': 133,
                'limit': 3.5})
        ]

        bar_data = BarData(self.data_portal,
                           lambda: self.minutes[3],
                           self.sim_params.data_frequency)

        orders_txns = list(slippage_model.simulate(
            bar_data[133],
            open_orders,
        ))

        self.assertEquals(len(orders_txns), 0)

        # long, does not trade - impacted price worse than limit price
        open_orders = [
            Order(**{
                'dt': datetime.datetime(2006, 1, 5, 14, 30, tzinfo=pytz.utc),
                'amount': 100,
                'filled': 0,
                'sid': 133,
                'limit': 3.5})
        ]

        bar_data = BarData(self.data_portal,
                           lambda: self.minutes[3],
                           self.sim_params.data_frequency)

        orders_txns = list(slippage_model.simulate(
            bar_data[133],
            open_orders,
        ))

        self.assertEquals(len(orders_txns), 0)

        # long, does trade
        open_orders = [
            Order(**{
                'dt': datetime.datetime(2006, 1, 5, 14, 30, tzinfo=pytz.utc),
                'amount': 100,
                'filled': 0,
                'sid': 133,
                'limit': 3.6})
        ]

        bar_data = BarData(self.data_portal,
                           lambda: self.minutes[3],
                           self.sim_params.data_frequency)

        orders_txns = list(slippage_model.simulate(
            bar_data[133],
            open_orders,
        ))

        self.assertEquals(len(orders_txns), 1)
        txn = orders_txns[0][1]

        expected_txn = {
            'price': float(3.50021875),
            'dt': datetime.datetime(
                2006, 1, 5, 14, 34, tzinfo=pytz.utc),
            # we ordered 100 shares, but default volume slippage only allows
            # for 2.5% of the volume.  2.5% * 2000 = 50 shares
            'amount': int(50),
            'sid': int(133),
            'order_id': open_orders[0].id
        }

        self.assertIsNotNone(txn)

        for key, value in expected_txn.items():
            self.assertEquals(value, txn[key])

        # short, does not trade
        open_orders = [
            Order(**{
                'dt': datetime.datetime(2006, 1, 5, 14, 30, tzinfo=pytz.utc),
                'amount': -100,
                'filled': 0,
                'sid': 133,
                'limit': 3.5})
        ]

        bar_data = BarData(self.data_portal,
                           lambda: self.minutes[0],
                           self.sim_params.data_frequency)

        orders_txns = list(slippage_model.simulate(
            bar_data[133],
            open_orders,
        ))

        self.assertEquals(len(orders_txns), 0)

        # short, does not trade - impacted price worse than limit price
        open_orders = [
            Order(**{
                'dt': datetime.datetime(2006, 1, 5, 14, 30, tzinfo=pytz.utc),
                'amount': -100,
                'filled': 0,
                'sid': 133,
                'limit': 3.5})
        ]

        bar_data = BarData(self.data_portal,
                           lambda: self.minutes[0],
                           self.sim_params.data_frequency)

        orders_txns = list(slippage_model.simulate(
            bar_data[133],
            open_orders,
        ))

        self.assertEquals(len(orders_txns), 0)

        # short, does trade
        open_orders = [
            Order(**{
                'dt': datetime.datetime(2006, 1, 5, 14, 30, tzinfo=pytz.utc),
                'amount': -100,
                'filled': 0,
                'sid': 133,
                'limit': 3.4})
        ]

        bar_data = BarData(self.data_portal,
                           lambda: self.minutes[1],
                           self.sim_params.data_frequency)

        orders_txns = list(slippage_model.simulate(
            bar_data[133],
            open_orders,
        ))

        self.assertEquals(len(orders_txns), 1)
        _, txn = orders_txns[0]

        expected_txn = {
            'price': float(3.49978125),
            'dt': datetime.datetime(
                2006, 1, 5, 14, 32, tzinfo=pytz.utc),
            'amount': int(-50),
            'sid': int(133)
        }

        self.assertIsNotNone(txn)

        for key, value in expected_txn.items():
            self.assertEquals(value, txn[key])

    STOP_ORDER_CASES = {
        # Stop orders can be long/short and have their price greater or
        # less than the stop.
        #
        # A stop being reached is conditional on the order direction.
        # Long orders reach the stop when the price is greater than the stop.
        # Short orders reach the stop when the price is less than the stop.
        #
        # Which leads to the following 4 cases:
        #
        #                    |   long   |   short  |
        # | price > stop     |          |          |
        # | price < stop     |          |          |
        #
        # Currently the slippage module acts according to the following table,
        # where 'X' represents triggering a transaction
        #                    |   long   |   short  |
        # | price > stop     |          |     X    |
        # | price < stop     |    X     |          |
        #
        # However, the following behavior *should* be followed.
        #
        #                    |   long   |   short  |
        # | price > stop     |    X     |          |
        # | price < stop     |          |     X    |

        'long | price gt stop': {
            'order': {
                'dt': pd.Timestamp('2006-01-05 14:30', tz='UTC'),
                'amount': 100,
                'filled': 0,
                'sid': 133,
                'stop': 3.5
            },
            'event': {
                'dt': pd.Timestamp('2006-01-05 14:31', tz='UTC'),
                'volume': 2000,
                'price': 4.0,
                'high': 3.15,
                'low': 2.85,
                'sid': 133,
                'close': 4.0,
                'open': 3.5
            },
            'expected': {
                'transaction': {
                    'price': 4.00025,
                    'dt': pd.Timestamp('2006-01-05 14:31', tz='UTC'),
                    'amount': 50,
                    'sid': 133,
                }
            }
        },
        'long | price lt stop': {
            'order': {
                'dt': pd.Timestamp('2006-01-05 14:30', tz='UTC'),
                'amount': 100,
                'filled': 0,
                'sid': 133,
                'stop': 3.6
            },
            'event': {
                'dt': pd.Timestamp('2006-01-05 14:31', tz='UTC'),
                'volume': 2000,
                'price': 3.5,
                'high': 3.15,
                'low': 2.85,
                'sid': 133,
                'close': 3.5,
                'open': 4.0
            },
            'expected': {
                'transaction': None
            }
        },
        'short | price gt stop': {
            'order': {
                'dt': pd.Timestamp('2006-01-05 14:30', tz='UTC'),
                'amount': -100,
                'filled': 0,
                'sid': 133,
                'stop': 3.4
            },
            'event': {
                'dt': pd.Timestamp('2006-01-05 14:31', tz='UTC'),
                'volume': 2000,
                'price': 3.5,
                'high': 3.15,
                'low': 2.85,
                'sid': 133,
                'close': 3.5,
                'open': 3.0
            },
            'expected': {
                'transaction': None
            }
        },
        'short | price lt stop': {
            'order': {
                'dt': pd.Timestamp('2006-01-05 14:30', tz='UTC'),
                'amount': -100,
                'filled': 0,
                'sid': 133,
                'stop': 3.5
            },
            'event': {
                'dt': pd.Timestamp('2006-01-05 14:31', tz='UTC'),
                'volume': 2000,
                'price': 3.0,
                'high': 3.15,
                'low': 2.85,
                'sid': 133,
                'close': 3.0,
                'open': 3.0
            },
            'expected': {
                'transaction': {
                    'price': 2.9998125,
                    'dt': pd.Timestamp('2006-01-05 14:31', tz='UTC'),
                    'amount': -50,
                    'sid': 133,
                }
            }
        },
    }

    @parameterized.expand([
        (name, case['order'], case['event'], case['expected'])
        for name, case in STOP_ORDER_CASES.items()
    ])
    def test_orders_stop(self, name, order_data, event_data, expected):
        tempdir = TempDirectory()
        try:
            order = Order(**order_data)

            assets = {
                133: pd.DataFrame({
                    "open": [event_data["open"] * 1000],
                    "high": [event_data["high"] * 1000],
                    "low": [event_data["low"] * 1000],
                    "close": [event_data["close"] * 1000],
                    "volume": [event_data["volume"]],
                    "minute": [pd.Timestamp('2006-01-05 14:31', tz='UTC')]
                })
            }

            MinuteBarWriterFromDataFrames(
                pd.Timestamp('2002-01-02', tz='UTC')
            ).write(tempdir.path, assets)

            equity_minute_reader = BcolzMinuteBarReader(tempdir.path)

            data_portal = DataPortal(
                self.env,
                equity_minute_reader=equity_minute_reader,
            )

            slippage_model = VolumeShareSlippage()

            try:
                dt = pd.Timestamp('2006-01-05 14:31', tz='UTC')
                bar_data = BarData(data_portal,
                                   lambda: dt,
                                   'minute')
                _, txn = next(slippage_model.simulate(
                    bar_data[133],
                    [order],
                ))
            except StopIteration:
                txn = None

            if expected['transaction'] is None:
                self.assertIsNone(txn)
            else:
                self.assertIsNotNone(txn)

                for key, value in expected['transaction'].items():
                    self.assertEquals(value, txn[key])
        finally:
            tempdir.cleanup()

    def test_orders_stop_limit(self):
        slippage_model = VolumeShareSlippage()
        slippage_model.data_portal = self.data_portal

        # long, does not trade
        open_orders = [
            Order(**{
                'dt': datetime.datetime(2006, 1, 5, 14, 30, tzinfo=pytz.utc),
                'amount': 100,
                'filled': 0,
                'sid': 133,
                'stop': 4.0,
                'limit': 3.0})
        ]

        bar_data = BarData(self.data_portal,
                           lambda: self.minutes[2],
                           self.sim_params.data_frequency)

        orders_txns = list(slippage_model.simulate(
            bar_data[133],
            open_orders,
        ))

        self.assertEquals(len(orders_txns), 0)

        bar_data = BarData(self.data_portal,
                           lambda: self.minutes[3],
                           self.sim_params.data_frequency)

        orders_txns = list(slippage_model.simulate(
            bar_data[133],
            open_orders,
        ))

        self.assertEquals(len(orders_txns), 0)

        # long, does not trade - impacted price worse than limit price
        open_orders = [
            Order(**{
                'dt': datetime.datetime(2006, 1, 5, 14, 30, tzinfo=pytz.utc),
                'amount': 100,
                'filled': 0,
                'sid': 133,
                'stop': 4.0,
                'limit': 3.5})
        ]

        bar_data = BarData(self.data_portal,
                           lambda: self.minutes[2],
                           self.sim_params.data_frequency)

        orders_txns = list(slippage_model.simulate(
            bar_data[133],
            open_orders,
        ))

        self.assertEquals(len(orders_txns), 0)

        bar_data = BarData(self.data_portal,
                           lambda: self.minutes[3],
                           self.sim_params.data_frequency)

        orders_txns = list(slippage_model.simulate(
            bar_data[133],
            open_orders,
        ))

        self.assertEquals(len(orders_txns), 0)

        # long, does trade
        open_orders = [
            Order(**{
                'dt': datetime.datetime(2006, 1, 5, 14, 30, tzinfo=pytz.utc),
                'amount': 100,
                'filled': 0,
                'sid': 133,
                'stop': 4.0,
                'limit': 3.6})
        ]

        bar_data = BarData(self.data_portal,
                           lambda: self.minutes[2],
                           self.sim_params.data_frequency)

        orders_txns = list(slippage_model.simulate(
            bar_data[133],
            open_orders,
        ))

        self.assertEquals(len(orders_txns), 0)

        bar_data = BarData(self.data_portal,
                           lambda: self.minutes[3],
                           self.sim_params.data_frequency)

        orders_txns = list(slippage_model.simulate(
            bar_data[133],
            open_orders,
        ))

        self.assertEquals(len(orders_txns), 1)
        _, txn = orders_txns[0]

        expected_txn = {
            'price': float(3.50021875),
            'dt': datetime.datetime(
                2006, 1, 5, 14, 34, tzinfo=pytz.utc),
            'amount': int(50),
            'sid': int(133)
        }

        for key, value in expected_txn.items():
            self.assertEquals(value, txn[key])

        # short, does not trade

        open_orders = [
            Order(**{
                'dt': datetime.datetime(2006, 1, 5, 14, 30, tzinfo=pytz.utc),
                'amount': -100,
                'filled': 0,
                'sid': 133,
                'stop': 3.0,
                'limit': 4.0})
        ]

        bar_data = BarData(self.data_portal,
                           lambda: self.minutes[0],
                           self.sim_params.data_frequency)

        orders_txns = list(slippage_model.simulate(
            bar_data[133],
            open_orders,
        ))

        self.assertEquals(len(orders_txns), 0)

        bar_data = BarData(self.data_portal,
                           lambda: self.minutes[1],
                           self.sim_params.data_frequency)

        orders_txns = list(slippage_model.simulate(
            bar_data[133],
            open_orders,
        ))

        self.assertEquals(len(orders_txns), 0)

        # short, does not trade - impacted price worse than limit price
        open_orders = [
            Order(**{
                'dt': datetime.datetime(2006, 1, 5, 14, 30, tzinfo=pytz.utc),
                'amount': -100,
                'filled': 0,
                'sid': 133,
                'stop': 3.0,
                'limit': 3.5})
        ]

        bar_data = BarData(self.data_portal,
                           lambda: self.minutes[0],
                           self.sim_params.data_frequency)

        orders_txns = list(slippage_model.simulate(
            bar_data[133],
            open_orders,
        ))

        self.assertEquals(len(orders_txns), 0)

        bar_data = BarData(self.data_portal,
                           lambda: self.minutes[1],
                           self.sim_params.data_frequency)

        orders_txns = list(slippage_model.simulate(
            bar_data[133],
            open_orders,
        ))

        self.assertEquals(len(orders_txns), 0)

        # short, does trade
        open_orders = [
            Order(**{
                'dt': datetime.datetime(2006, 1, 5, 14, 30, tzinfo=pytz.utc),
                'amount': -100,
                'filled': 0,
                'sid': 133,
                'stop': 3.0,
                'limit': 3.4})
        ]

        bar_data = BarData(self.data_portal,
                           lambda: self.minutes[0],
                           self.sim_params.data_frequency)

        orders_txns = list(slippage_model.simulate(
            bar_data[133],
            open_orders,
        ))

        self.assertEquals(len(orders_txns), 0)

        bar_data = BarData(self.data_portal,
                           lambda: self.minutes[1],
                           self.sim_params.data_frequency)

        orders_txns = list(slippage_model.simulate(
            bar_data[133],
            open_orders,
        ))

        self.assertEquals(len(orders_txns), 1)
        _, txn = orders_txns[0]

        expected_txn = {
            'price': float(3.49978125),
            'dt': datetime.datetime(
                2006, 1, 5, 14, 32, tzinfo=pytz.utc),
            'amount': int(-50),
            'sid': int(133)
        }

        for key, value in expected_txn.items():
            self.assertEquals(value, txn[key])


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			Unit tests for finance.slippage
18			"""
19			import datetime
20
21			import pytz
22
23			from unittest import TestCase
24
25			from nose_parameterized import parameterized
26
27			import numpy as np
28			import pandas as pd
29			from testfixtures import TempDirectory
30
31			from zipline.finance.slippage import VolumeShareSlippage
32			from zipline.finance.trading import TradingEnvironment, SimulationParameters
33
34			from zipline.protocol import DATASOURCE_TYPE
35			from zipline.finance.blotter import Order
36
37			from zipline.data.us_equity_minutes import MinuteBarWriterFromDataFrames
38			from zipline.data.us_equity_minutes import BcolzMinuteBarReader
39			from zipline.data.data_portal import DataPortal
40			from zipline.protocol import BarData
41
42
43			class SlippageTestCase(TestCase):
44
45			@classmethod
46			def setUpClass(cls):
47			cls.tempdir = TempDirectory()
48			cls.env = TradingEnvironment()
49
50			cls.sim_params = SimulationParameters(
51			period_start=pd.Timestamp("2006-01-05 14:31", tz="utc"),
52			period_end=pd.Timestamp("2006-01-05 14:36", tz="utc"),
53			capital_base=1.0e5,
54			data_frequency="minute",
55			emission_rate='daily',
56			env=cls.env
57			)
58
59			cls.sids = [133]
60
61			cls.minutes = pd.DatetimeIndex(
62			start=pd.Timestamp("2006-01-05 14:31", tz="utc"),
63			end=pd.Timestamp("2006-01-05 14:35", tz="utc"),
64			freq="1min"
65			)
66
67			assets = {
68			133: pd.DataFrame({
69			"open": np.array([3.0, 3.0, 3.5, 4.0, 3.5]) * 1000,
70			"high": np.array([3.15, 3.15, 3.15, 3.15, 3.15]) * 1000,
71			"low": np.array([2.85, 2.85, 2.85, 2.85, 2.85]) * 1000,
72			"close": np.array([3.0, 3.5, 4.0, 3.5, 3.0]) * 1000,
73			"volume": [2000, 2000, 2000, 2000, 2000],
74			"minute": cls.minutes
75			})
76			}
77
78			MinuteBarWriterFromDataFrames(
79			pd.Timestamp('2002-01-02', tz='UTC')
80			).write(cls.tempdir.path, assets)
81
82			cls.env.write_data(equities_data={
83			133: {
84			"start_date": pd.Timestamp("2006-01-05", tz='utc'),
85			"end_date": pd.Timestamp("2006-01-07", tz='utc')
86			}
87			})
88
89			cls.data_portal = DataPortal(
90			cls.env,
91			equity_minute_reader=BcolzMinuteBarReader(cls.tempdir.path),
92			)
93
94			@classmethod
95			def tearDownClass(cls):
96			cls.tempdir.cleanup()
97			del cls.env
98
99			def test_volume_share_slippage(self):
100			tempdir = TempDirectory()
101
102			try:
103			assets = {
104			133: pd.DataFrame({
105			"open": [3000],
106			"high": [3150],
107			"low": [2850],
108			"close": [3000],
109			"volume": [200],
110			"minute": [self.minutes[0]]
111			})
112			}
113
114			MinuteBarWriterFromDataFrames(
115			pd.Timestamp('2002-01-02', tz='UTC')
116			).write(tempdir.path, assets)
117
118			equity_minute_reader = BcolzMinuteBarReader(tempdir.path)
119
120			data_portal = DataPortal(
121			self.env,
122			equity_minute_reader=equity_minute_reader,
123			)
124
125			slippage_model = VolumeShareSlippage()
126
127			open_orders = [
128			Order(
129			dt=datetime.datetime(2006, 1, 5, 14, 30, tzinfo=pytz.utc),
130			amount=100,
131			filled=0,
132			sid=133
133			)
134			]
135
136			bar_data = BarData(data_portal,
137			lambda: self.minutes[0],
138			'minute')
139
140			orders_txns = list(slippage_model.simulate(
141			bar_data[133],
142			open_orders,
143			))
144
145			self.assertEquals(len(orders_txns), 1)
146			_, txn = orders_txns[0]
147
148			expected_txn = {
149			'price': float(3.0001875),
150			'dt': datetime.datetime(
151			2006, 1, 5, 14, 31, tzinfo=pytz.utc),
152			'amount': int(5),
153			'sid': int(133),
154			'commission': None,
155			'type': DATASOURCE_TYPE.TRANSACTION,
156			'order_id': open_orders[0].id
157			}
158
159			self.assertIsNotNone(txn)
160
161			# TODO: Make expected_txn an Transaction object and ensure there
162			# is a __eq__ for that class.
163			self.assertEquals(expected_txn, txn.__dict__)
164			finally:
165			tempdir.cleanup()
166
167			def test_orders_limit(self):
168			slippage_model = VolumeShareSlippage()
169			slippage_model.data_portal = self.data_portal
170
171			# long, does not trade
172			open_orders = [
173			Order(**{
174			'dt': datetime.datetime(2006, 1, 5, 14, 30, tzinfo=pytz.utc),
175			'amount': 100,
176			'filled': 0,
177			'sid': 133,
178			'limit': 3.5})
179			]
180
181			bar_data = BarData(self.data_portal,
182			lambda: self.minutes[3],
183			self.sim_params.data_frequency)
184
185			orders_txns = list(slippage_model.simulate(
186			bar_data[133],
187			open_orders,
188			))
189
190			self.assertEquals(len(orders_txns), 0)
191
192			# long, does not trade - impacted price worse than limit price
193			open_orders = [
194			Order(**{
195			'dt': datetime.datetime(2006, 1, 5, 14, 30, tzinfo=pytz.utc),
196			'amount': 100,
197			'filled': 0,
198			'sid': 133,
199			'limit': 3.5})
200			]
201
202			bar_data = BarData(self.data_portal,
203			lambda: self.minutes[3],
204			self.sim_params.data_frequency)
205
206			orders_txns = list(slippage_model.simulate(
207			bar_data[133],
208			open_orders,
209			))
210
211			self.assertEquals(len(orders_txns), 0)
212
213			# long, does trade
214			open_orders = [
215			Order(**{
216			'dt': datetime.datetime(2006, 1, 5, 14, 30, tzinfo=pytz.utc),
217			'amount': 100,
218			'filled': 0,
219			'sid': 133,
220			'limit': 3.6})
221			]
222
223			bar_data = BarData(self.data_portal,
224			lambda: self.minutes[3],
225			self.sim_params.data_frequency)
226
227			orders_txns = list(slippage_model.simulate(
228			bar_data[133],
229			open_orders,
230			))
231
232			self.assertEquals(len(orders_txns), 1)
233			txn = orders_txns[0][1]
234
235			expected_txn = {
236			'price': float(3.50021875),
237			'dt': datetime.datetime(
238			2006, 1, 5, 14, 34, tzinfo=pytz.utc),
239			# we ordered 100 shares, but default volume slippage only allows
240			# for 2.5% of the volume. 2.5% * 2000 = 50 shares
241			'amount': int(50),
242			'sid': int(133),
243			'order_id': open_orders[0].id
244			}
245
246			self.assertIsNotNone(txn)
247
248			for key, value in expected_txn.items():
249			self.assertEquals(value, txn[key])
250
251			# short, does not trade
252			open_orders = [
253			Order(**{
254			'dt': datetime.datetime(2006, 1, 5, 14, 30, tzinfo=pytz.utc),
255			'amount': -100,
256			'filled': 0,
257			'sid': 133,
258			'limit': 3.5})
259			]
260
261			bar_data = BarData(self.data_portal,
262			lambda: self.minutes[0],
263			self.sim_params.data_frequency)
264
265			orders_txns = list(slippage_model.simulate(
266			bar_data[133],
267			open_orders,
268			))
269
270			self.assertEquals(len(orders_txns), 0)
271
272			# short, does not trade - impacted price worse than limit price
273			open_orders = [
274			Order(**{
275			'dt': datetime.datetime(2006, 1, 5, 14, 30, tzinfo=pytz.utc),
276			'amount': -100,
277			'filled': 0,
278			'sid': 133,
279			'limit': 3.5})
280			]
281
282			bar_data = BarData(self.data_portal,
283			lambda: self.minutes[0],
284			self.sim_params.data_frequency)
285
286			orders_txns = list(slippage_model.simulate(
287			bar_data[133],
288			open_orders,
289			))
290
291			self.assertEquals(len(orders_txns), 0)
292
293			# short, does trade
294			open_orders = [
295			Order(**{
296			'dt': datetime.datetime(2006, 1, 5, 14, 30, tzinfo=pytz.utc),
297			'amount': -100,
298			'filled': 0,
299			'sid': 133,
300			'limit': 3.4})
301			]
302
303			bar_data = BarData(self.data_portal,
304			lambda: self.minutes[1],
305			self.sim_params.data_frequency)
306
307			orders_txns = list(slippage_model.simulate(
308			bar_data[133],
309			open_orders,
310			))
311
312			self.assertEquals(len(orders_txns), 1)
313			_, txn = orders_txns[0]
314
315			expected_txn = {
316			'price': float(3.49978125),
317			'dt': datetime.datetime(
318			2006, 1, 5, 14, 32, tzinfo=pytz.utc),
319			'amount': int(-50),
320			'sid': int(133)
321			}
322
323			self.assertIsNotNone(txn)
324
325			for key, value in expected_txn.items():
326			self.assertEquals(value, txn[key])
327
328			STOP_ORDER_CASES = {
329			# Stop orders can be long/short and have their price greater or
330			# less than the stop.
331			#
332			# A stop being reached is conditional on the order direction.
333			# Long orders reach the stop when the price is greater than the stop.
334			# Short orders reach the stop when the price is less than the stop.
335			#
336			# Which leads to the following 4 cases:
337			#
338			# \| long \| short \|
339			# \| price > stop \| \| \|
340			# \| price < stop \| \| \|
341			#
342			# Currently the slippage module acts according to the following table,
343			# where 'X' represents triggering a transaction
344			# \| long \| short \|
345			# \| price > stop \| \| X \|
346			# \| price < stop \| X \| \|
347			#
348			# However, the following behavior should be followed.
349			#
350			# \| long \| short \|
351			# \| price > stop \| X \| \|
352			# \| price < stop \| \| X \|
353
354			'long \| price gt stop': {
355			'order': {
356			'dt': pd.Timestamp('2006-01-05 14:30', tz='UTC'),
357			'amount': 100,
358			'filled': 0,
359			'sid': 133,
360			'stop': 3.5
361			},
362			'event': {
363			'dt': pd.Timestamp('2006-01-05 14:31', tz='UTC'),
364			'volume': 2000,
365			'price': 4.0,
366			'high': 3.15,
367			'low': 2.85,
368			'sid': 133,
369			'close': 4.0,
370			'open': 3.5
371			},
372			'expected': {
373			'transaction': {
374			'price': 4.00025,
375			'dt': pd.Timestamp('2006-01-05 14:31', tz='UTC'),
376			'amount': 50,
377			'sid': 133,
378			}
379			}
380			},
381			'long \| price lt stop': {
382			'order': {
383			'dt': pd.Timestamp('2006-01-05 14:30', tz='UTC'),
384			'amount': 100,
385			'filled': 0,
386			'sid': 133,
387			'stop': 3.6
388			},
389			'event': {
390			'dt': pd.Timestamp('2006-01-05 14:31', tz='UTC'),
391			'volume': 2000,
392			'price': 3.5,
393			'high': 3.15,
394			'low': 2.85,
395			'sid': 133,
396			'close': 3.5,
397			'open': 4.0
398			},
399			'expected': {
400			'transaction': None
401			}
402			},
403			'short \| price gt stop': {
404			'order': {
405			'dt': pd.Timestamp('2006-01-05 14:30', tz='UTC'),
406			'amount': -100,
407			'filled': 0,
408			'sid': 133,
409			'stop': 3.4
410			},
411			'event': {
412			'dt': pd.Timestamp('2006-01-05 14:31', tz='UTC'),
413			'volume': 2000,
414			'price': 3.5,
415			'high': 3.15,
416			'low': 2.85,
417			'sid': 133,
418			'close': 3.5,
419			'open': 3.0
420			},
421			'expected': {
422			'transaction': None
423			}
424			},
425			'short \| price lt stop': {
426			'order': {
427			'dt': pd.Timestamp('2006-01-05 14:30', tz='UTC'),
428			'amount': -100,
429			'filled': 0,
430			'sid': 133,
431			'stop': 3.5
432			},
433			'event': {
434			'dt': pd.Timestamp('2006-01-05 14:31', tz='UTC'),
435			'volume': 2000,
436			'price': 3.0,
437			'high': 3.15,
438			'low': 2.85,
439			'sid': 133,
440			'close': 3.0,
441			'open': 3.0
442			},
443			'expected': {
444			'transaction': {
445			'price': 2.9998125,
446			'dt': pd.Timestamp('2006-01-05 14:31', tz='UTC'),
447			'amount': -50,
448			'sid': 133,
449			}
450			}
451			},
452			}
453
454			@parameterized.expand([
455			(name, case['order'], case['event'], case['expected'])
456			for name, case in STOP_ORDER_CASES.items()
457			])
458			def test_orders_stop(self, name, order_data, event_data, expected):
459			tempdir = TempDirectory()
460			try:
461			order = Order(**order_data)
462
463			assets = {
464			133: pd.DataFrame({
465			"open": [event_data["open"] * 1000],
466			"high": [event_data["high"] * 1000],
467			"low": [event_data["low"] * 1000],
468			"close": [event_data["close"] * 1000],
469			"volume": [event_data["volume"]],
470			"minute": [pd.Timestamp('2006-01-05 14:31', tz='UTC')]
471			})
472			}
473
474			MinuteBarWriterFromDataFrames(
475			pd.Timestamp('2002-01-02', tz='UTC')
476			).write(tempdir.path, assets)
477
478			equity_minute_reader = BcolzMinuteBarReader(tempdir.path)
479
480			data_portal = DataPortal(
481			self.env,
482			equity_minute_reader=equity_minute_reader,
483			)
484
485			slippage_model = VolumeShareSlippage()
486
487			try:
488			dt = pd.Timestamp('2006-01-05 14:31', tz='UTC')
489			bar_data = BarData(data_portal,
490			lambda: dt,
491			'minute')
492			_, txn = next(slippage_model.simulate(
493			bar_data[133],
494			[order],
495			))
496			except StopIteration:
497			txn = None
498
499			if expected['transaction'] is None:
500			self.assertIsNone(txn)
501			else:
502			self.assertIsNotNone(txn)
503
504			for key, value in expected['transaction'].items():
505			self.assertEquals(value, txn[key])
506			finally:
507			tempdir.cleanup()
508
509			def test_orders_stop_limit(self):
510			slippage_model = VolumeShareSlippage()
511			slippage_model.data_portal = self.data_portal
512
513			# long, does not trade
514			open_orders = [
515			Order(**{
516			'dt': datetime.datetime(2006, 1, 5, 14, 30, tzinfo=pytz.utc),
517			'amount': 100,
518			'filled': 0,
519			'sid': 133,
520			'stop': 4.0,
521			'limit': 3.0})
522			]
523
524			bar_data = BarData(self.data_portal,
525			lambda: self.minutes[2],
526			self.sim_params.data_frequency)
527
528			orders_txns = list(slippage_model.simulate(
529			bar_data[133],
530			open_orders,
531			))
532
533			self.assertEquals(len(orders_txns), 0)
534
535			bar_data = BarData(self.data_portal,
536			lambda: self.minutes[3],
537			self.sim_params.data_frequency)
538
539			orders_txns = list(slippage_model.simulate(
540			bar_data[133],
541			open_orders,
542			))
543
544			self.assertEquals(len(orders_txns), 0)
545
546			# long, does not trade - impacted price worse than limit price
547			open_orders = [
548			Order(**{
549			'dt': datetime.datetime(2006, 1, 5, 14, 30, tzinfo=pytz.utc),
550			'amount': 100,
551			'filled': 0,
552			'sid': 133,
553			'stop': 4.0,
554			'limit': 3.5})
555			]
556
557			bar_data = BarData(self.data_portal,
558			lambda: self.minutes[2],
559			self.sim_params.data_frequency)
560
561			orders_txns = list(slippage_model.simulate(
562			bar_data[133],
563			open_orders,
564			))
565
566			self.assertEquals(len(orders_txns), 0)
567
568			bar_data = BarData(self.data_portal,
569			lambda: self.minutes[3],
570			self.sim_params.data_frequency)
571
572			orders_txns = list(slippage_model.simulate(
573			bar_data[133],
574			open_orders,
575			))
576
577			self.assertEquals(len(orders_txns), 0)
578
579			# long, does trade
580			open_orders = [
581			Order(**{
582			'dt': datetime.datetime(2006, 1, 5, 14, 30, tzinfo=pytz.utc),
583			'amount': 100,
584			'filled': 0,
585			'sid': 133,
586			'stop': 4.0,
587			'limit': 3.6})
588			]
589
590			bar_data = BarData(self.data_portal,
591			lambda: self.minutes[2],
592			self.sim_params.data_frequency)
593
594			orders_txns = list(slippage_model.simulate(
595			bar_data[133],
596			open_orders,
597			))
598
599			self.assertEquals(len(orders_txns), 0)
600
601			bar_data = BarData(self.data_portal,
602			lambda: self.minutes[3],
603			self.sim_params.data_frequency)
604
605			orders_txns = list(slippage_model.simulate(
606			bar_data[133],
607			open_orders,
608			))
609
610			self.assertEquals(len(orders_txns), 1)
611			_, txn = orders_txns[0]
612
613			expected_txn = {
614			'price': float(3.50021875),
615			'dt': datetime.datetime(
616			2006, 1, 5, 14, 34, tzinfo=pytz.utc),
617			'amount': int(50),
618			'sid': int(133)
619			}
620
621			for key, value in expected_txn.items():
622			self.assertEquals(value, txn[key])
623
624			# short, does not trade
625
626			open_orders = [
627			Order(**{
628			'dt': datetime.datetime(2006, 1, 5, 14, 30, tzinfo=pytz.utc),
629			'amount': -100,
630			'filled': 0,
631			'sid': 133,
632			'stop': 3.0,
633			'limit': 4.0})
634			]
635
636			bar_data = BarData(self.data_portal,
637			lambda: self.minutes[0],
638			self.sim_params.data_frequency)
639
640			orders_txns = list(slippage_model.simulate(
641			bar_data[133],
642			open_orders,
643			))
644
645			self.assertEquals(len(orders_txns), 0)
646
647			bar_data = BarData(self.data_portal,
648			lambda: self.minutes[1],
649			self.sim_params.data_frequency)
650
651			orders_txns = list(slippage_model.simulate(
652			bar_data[133],
653			open_orders,
654			))
655
656			self.assertEquals(len(orders_txns), 0)
657
658			# short, does not trade - impacted price worse than limit price
659			open_orders = [
660			Order(**{
661			'dt': datetime.datetime(2006, 1, 5, 14, 30, tzinfo=pytz.utc),
662			'amount': -100,
663			'filled': 0,
664			'sid': 133,
665			'stop': 3.0,
666			'limit': 3.5})
667			]
668
669			bar_data = BarData(self.data_portal,
670			lambda: self.minutes[0],
671			self.sim_params.data_frequency)
672
673			orders_txns = list(slippage_model.simulate(
674			bar_data[133],
675			open_orders,
676			))
677
678			self.assertEquals(len(orders_txns), 0)
679
680			bar_data = BarData(self.data_portal,
681			lambda: self.minutes[1],
682			self.sim_params.data_frequency)
683
684			orders_txns = list(slippage_model.simulate(
685			bar_data[133],
686			open_orders,
687			))
688
689			self.assertEquals(len(orders_txns), 0)
690
691			# short, does trade
692			open_orders = [
693			Order(**{
694			'dt': datetime.datetime(2006, 1, 5, 14, 30, tzinfo=pytz.utc),
695			'amount': -100,
696			'filled': 0,
697			'sid': 133,
698			'stop': 3.0,
699			'limit': 3.4})
700			]
701
702			bar_data = BarData(self.data_portal,
703			lambda: self.minutes[0],
704			self.sim_params.data_frequency)
705
706			orders_txns = list(slippage_model.simulate(
707			bar_data[133],
708			open_orders,
709			))
710
711			self.assertEquals(len(orders_txns), 0)
712
713			bar_data = BarData(self.data_portal,
714			lambda: self.minutes[1],
715			self.sim_params.data_frequency)
716
717			orders_txns = list(slippage_model.simulate(
718			bar_data[133],
719			open_orders,
720			))
721
722			self.assertEquals(len(orders_txns), 1)
723			_, txn = orders_txns[0]
724
725			expected_txn = {
726			'price': float(3.49978125),
727			'dt': datetime.datetime(
728			2006, 1, 5, 14, 32, tzinfo=pytz.utc),
729			'amount': int(-50),
730			'sid': int(133)
731			}
732
733			for key, value in expected_txn.items():
734			self.assertEquals(value, txn[key])
735

quantopian / zipline

Pull Request — master (#858)

tests.finance.SlippageTestCase.test_orders_limit() F

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