zipline.finance.Blotter.get_transactions() - 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

zipline.finance.Blotter.get_transactions() D

↳ Parent: zipline.finance.Blotter

Complexity

Conditions

Size

Total Lines

Duplication

Lines	0
Ratio	0 %

Metric	Value
cc	9
dl	0
loc	72
rs	4.1527

How to fix Long Method

#
# Copyright 2015 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.
import math

from logbook import Logger
from collections import defaultdict

import pandas as pd
from six import iteritems

from zipline.finance.order import Order

from zipline.finance.slippage import VolumeShareSlippage
from zipline.finance.commission import PerShare

from zipline.utils.serialization_utils import (
    VERSION_LABEL
)

log = Logger('Blotter')


class Blotter(object):
    def __init__(self, data_frequency,
                 slippage_func=None, commission=None):
        # these orders are aggregated by sid
        self.open_orders = defaultdict(list)

        # keep a dict of orders by their own id
        self.orders = {}

        # holding orders that have come in since the last event.
        self.new_orders = []
        self.current_dt = None

        self.max_shares = int(1e+11)

        self.slippage_func = slippage_func or VolumeShareSlippage()
        self.commission = commission or PerShare()

        self.data_frequency = data_frequency

    def __repr__(self):
        return """
{class_name}(
    slippage={slippage_func},
    commission={commission},
    open_orders={open_orders},
    orders={orders},
    new_orders={new_orders},
    current_dt={current_dt})
""".strip().format(class_name=self.__class__.__name__,
                   slippage_func=self.slippage_func,
                   commission=self.commission,
                   open_orders=self.open_orders,
                   orders=self.orders,
                   new_orders=self.new_orders,
                   current_dt=self.current_dt)

    def set_date(self, dt):
        self.current_dt = dt

    def order(self, sid, amount, style, order_id=None):

        # something could be done with amount to further divide
        # between buy by share count OR buy shares up to a dollar amount
        # numeric == share count  AND  "$dollar.cents" == cost amount

        """
        amount > 0 :: Buy/Cover
        amount < 0 :: Sell/Short
        Market order:    order(sid, amount)
        Limit order:     order(sid, amount, style=LimitOrder(limit_price))
        Stop order:      order(sid, amount, style=StopOrder(stop_price))
        StopLimit order: order(sid, amount, style=StopLimitOrder(limit_price,
                               stop_price))
        """
        if amount == 0:
            # Don't bother placing orders for 0 shares.
            return
        elif amount > self.max_shares:
            # Arbitrary limit of 100 billion (US) shares will never be
            # exceeded except by a buggy algorithm.
            raise OverflowError("Can't order more than %d shares" %
                                self.max_shares)

        is_buy = (amount > 0)
        order = Order(
            dt=self.current_dt,
            sid=sid,
            amount=amount,
            stop=style.get_stop_price(is_buy),
            limit=style.get_limit_price(is_buy),
            id=order_id
        )

        self.open_orders[order.sid].append(order)
        self.orders[order.id] = order
        self.new_orders.append(order)

        return order.id

    def cancel(self, order_id):
        if order_id not in self.orders:
            return

        cur_order = self.orders[order_id]

        if cur_order.open:
            order_list = self.open_orders[cur_order.sid]
            if cur_order in order_list:
                order_list.remove(cur_order)

            if cur_order in self.new_orders:
                self.new_orders.remove(cur_order)
            cur_order.cancel()
            cur_order.dt = self.current_dt
            # we want this order's new status to be relayed out
            # along with newly placed orders.
            self.new_orders.append(cur_order)

    def reject(self, order_id, reason=''):
        """
        Mark the given order as 'rejected', which is functionally similar to
        cancelled. The distinction is that rejections are involuntary (and
        usually include a message from a broker indicating why the order was
        rejected) while cancels are typically user-driven.
        """
        if order_id not in self.orders:
            return

        cur_order = self.orders[order_id]

        order_list = self.open_orders[cur_order.sid]
        if cur_order in order_list:
            order_list.remove(cur_order)

        if cur_order in self.new_orders:
            self.new_orders.remove(cur_order)
        cur_order.reject(reason=reason)
        cur_order.dt = self.current_dt
        # we want this order's new status to be relayed out
        # along with newly placed orders.
        self.new_orders.append(cur_order)

    def hold(self, order_id, reason=''):
        """
        Mark the order with order_id as 'held'. Held is functionally similar
        to 'open'. When a fill (full or partial) arrives, the status
        will automatically change back to open/filled as necessary.
        """
        if order_id not in self.orders:
            return

        cur_order = self.orders[order_id]
        if cur_order.open:
            if cur_order in self.new_orders:
                self.new_orders.remove(cur_order)
            cur_order.hold(reason=reason)
            cur_order.dt = self.current_dt
            # we want this order's new status to be relayed out
            # along with newly placed orders.
            self.new_orders.append(cur_order)

    def process_splits(self, splits):
        """
        Processes a list of splits by modifying any open orders as needed.

        Parameters
        ----------
        splits: list
            A list of splits.  Each split is a tuple of (sid, ratio).

        Returns
        -------
        None
        """
        for split in splits:
            sid = split[0]
            if sid not in self.open_orders:
                return

            orders_to_modify = self.open_orders[sid]
            for order in orders_to_modify:
                order.handle_split(split[1])

    def get_transactions(self, bar_data):
        """
        Creates a list of transactions based on the current open orders,
        slippage model, and commission model.

        Parameters
        ----------
        data_portal: zipline.data.DataPortal
            The data portal to use for getting price and volume information
            when calculating slippage.

        Notes
        -----
        This method book-keeps the blotter's open_orders dictionary, so that
         it is accurate by the time we're done processing open orders.

        Returns
        -------
        transactions_list: List
            transactions_list: list of transactions resulting from the current
            open orders.  If there were no open orders, an empty list is
            returned.

        commissions_list: List
            commissions_list: list of commissions resulting from filling the
            open orders.  A commission is an object with "sid" and "cost"
            parameters.  If there are no commission events (because, for
            example, Zipline models the commission cost into the fill price
            of the transaction), then this is None.
        """
        closed_orders = []
        transactions = []

        for asset, asset_orders in iteritems(self.open_orders):
            trade_bar = bar_data[asset]

            for order, txn in self.slippage_func(trade_bar, asset_orders):
                direction = math.copysign(1, txn.amount)
                per_share, total_commission = self.commission.calculate(txn)
                txn.price += per_share * direction
                txn.commission = total_commission
                order.filled += txn.amount

                if txn.commission is not None:
                    order.commission = (order.commission or 0.0) + \
                        txn.commission

                txn.dt = pd.Timestamp(txn.dt, tz='UTC')
                order.dt = txn.dt

                transactions.append(txn)

                if not order.open:
                    closed_orders.append(order)

        # remove all closed orders from our open_orders dict
        for order in closed_orders:
            sid = order.sid
            try:
                sid_orders = self.open_orders[sid]
                sid_orders.remove(order)
            except KeyError:
                continue

        # now clear out the sids from our open_orders dict that have
        # zero open orders
        for sid in list(self.open_orders.keys()):
            if len(self.open_orders[sid]) == 0:
                del self.open_orders[sid]

        # FIXME this API doesn't feel right (returning two things here)
        return transactions, None

    def __getstate__(self):

        state_to_save = ['new_orders', 'orders', '_status', 'data_frequency']

        state_dict = {k: self.__dict__[k] for k in state_to_save
                      if k in self.__dict__}

        # Have to handle defaultdicts specially
        state_dict['open_orders'] = dict(self.open_orders)

        STATE_VERSION = 1
        state_dict[VERSION_LABEL] = STATE_VERSION

        return state_dict

    def __setstate__(self, state):

        self.__init__(state.pop('data_frequency'))

        OLDEST_SUPPORTED_STATE = 1
        version = state.pop(VERSION_LABEL)

        if version < OLDEST_SUPPORTED_STATE:
            raise BaseException("Blotter saved is state too old.")

        open_orders = defaultdict(list)
        open_orders.update(state.pop('open_orders'))
        self.open_orders = open_orders

        self.__dict__.update(state)


1			#
2			# Copyright 2015 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			import math
16
17			from logbook import Logger
18			from collections import defaultdict
19
20			import pandas as pd
21			from six import iteritems
22
23			from zipline.finance.order import Order
24
25			from zipline.finance.slippage import VolumeShareSlippage
26			from zipline.finance.commission import PerShare
27
28			from zipline.utils.serialization_utils import (
29			VERSION_LABEL
30			)
31
32			log = Logger('Blotter')
33
34
35			class Blotter(object):
36			def __init__(self, data_frequency,
37			slippage_func=None, commission=None):
38			# these orders are aggregated by sid
39			self.open_orders = defaultdict(list)
40
41			# keep a dict of orders by their own id
42			self.orders = {}
43
44			# holding orders that have come in since the last event.
45			self.new_orders = []
46			self.current_dt = None
47
48			self.max_shares = int(1e+11)
49
50			self.slippage_func = slippage_func or VolumeShareSlippage()
51			self.commission = commission or PerShare()
52
53			self.data_frequency = data_frequency
54
55			def __repr__(self):
56			return """
57			{class_name}(
58			slippage={slippage_func},
59			commission={commission},
60			open_orders={open_orders},
61			orders={orders},
62			new_orders={new_orders},
63			current_dt={current_dt})
64			""".strip().format(class_name=self.__class__.__name__,
65			slippage_func=self.slippage_func,
66			commission=self.commission,
67			open_orders=self.open_orders,
68			orders=self.orders,
69			new_orders=self.new_orders,
70			current_dt=self.current_dt)
71
72			def set_date(self, dt):
73			self.current_dt = dt
74
75			def order(self, sid, amount, style, order_id=None):
76
77			# something could be done with amount to further divide
78			# between buy by share count OR buy shares up to a dollar amount
79			# numeric == share count AND "$dollar.cents" == cost amount
80
81			"""
82			amount > 0 :: Buy/Cover
83			amount < 0 :: Sell/Short
84			Market order: order(sid, amount)
85			Limit order: order(sid, amount, style=LimitOrder(limit_price))
86			Stop order: order(sid, amount, style=StopOrder(stop_price))
87			StopLimit order: order(sid, amount, style=StopLimitOrder(limit_price,
88			stop_price))
89			"""
90			if amount == 0:
91			# Don't bother placing orders for 0 shares.
92			return
93			elif amount > self.max_shares:
94			# Arbitrary limit of 100 billion (US) shares will never be
95			# exceeded except by a buggy algorithm.
96			raise OverflowError("Can't order more than %d shares" %
97			self.max_shares)
98
99			is_buy = (amount > 0)
100			order = Order(
101			dt=self.current_dt,
102			sid=sid,
103			amount=amount,
104			stop=style.get_stop_price(is_buy),
105			limit=style.get_limit_price(is_buy),
106			id=order_id
107			)
108
109			self.open_orders[order.sid].append(order)
110			self.orders[order.id] = order
111			self.new_orders.append(order)
112
113			return order.id
114
115			def cancel(self, order_id):
116			if order_id not in self.orders:
117			return
118
119			cur_order = self.orders[order_id]
120
121			if cur_order.open:
122			order_list = self.open_orders[cur_order.sid]
123			if cur_order in order_list:
124			order_list.remove(cur_order)
125
126			if cur_order in self.new_orders:
127			self.new_orders.remove(cur_order)
128			cur_order.cancel()
129			cur_order.dt = self.current_dt
130			# we want this order's new status to be relayed out
131			# along with newly placed orders.
132			self.new_orders.append(cur_order)
133
134			def reject(self, order_id, reason=''):
135			"""
136			Mark the given order as 'rejected', which is functionally similar to
137			cancelled. The distinction is that rejections are involuntary (and
138			usually include a message from a broker indicating why the order was
139			rejected) while cancels are typically user-driven.
140			"""
141			if order_id not in self.orders:
142			return
143
144			cur_order = self.orders[order_id]
145
146			order_list = self.open_orders[cur_order.sid]
147			if cur_order in order_list:
148			order_list.remove(cur_order)
149
150			if cur_order in self.new_orders:
151			self.new_orders.remove(cur_order)
152			cur_order.reject(reason=reason)
153			cur_order.dt = self.current_dt
154			# we want this order's new status to be relayed out
155			# along with newly placed orders.
156			self.new_orders.append(cur_order)
157
158			def hold(self, order_id, reason=''):
159			"""
160			Mark the order with order_id as 'held'. Held is functionally similar
161			to 'open'. When a fill (full or partial) arrives, the status
162			will automatically change back to open/filled as necessary.
163			"""
164			if order_id not in self.orders:
165			return
166
167			cur_order = self.orders[order_id]
168			if cur_order.open:
169			if cur_order in self.new_orders:
170			self.new_orders.remove(cur_order)
171			cur_order.hold(reason=reason)
172			cur_order.dt = self.current_dt
173			# we want this order's new status to be relayed out
174			# along with newly placed orders.
175			self.new_orders.append(cur_order)
176
177			def process_splits(self, splits):
178			"""
179			Processes a list of splits by modifying any open orders as needed.
180
181			Parameters
182			----------
183			splits: list
184			A list of splits. Each split is a tuple of (sid, ratio).
185
186			Returns
187			-------
188			None
189			"""
190			for split in splits:
191			sid = split[0]
192			if sid not in self.open_orders:
193			return
194
195			orders_to_modify = self.open_orders[sid]
196			for order in orders_to_modify:
197			order.handle_split(split[1])
198
199			def get_transactions(self, bar_data):
200			"""
201			Creates a list of transactions based on the current open orders,
202			slippage model, and commission model.
203
204			Parameters
205			----------
206			data_portal: zipline.data.DataPortal
207			The data portal to use for getting price and volume information
208			when calculating slippage.
209
210			Notes
211			-----
212			This method book-keeps the blotter's open_orders dictionary, so that
213			it is accurate by the time we're done processing open orders.
214
215			Returns
216			-------
217			transactions_list: List
218			transactions_list: list of transactions resulting from the current
219			open orders. If there were no open orders, an empty list is
220			returned.
221
222			commissions_list: List
223			commissions_list: list of commissions resulting from filling the
224			open orders. A commission is an object with "sid" and "cost"
225			parameters. If there are no commission events (because, for
226			example, Zipline models the commission cost into the fill price
227			of the transaction), then this is None.
228			"""
229			closed_orders = []
230			transactions = []
231
232			for asset, asset_orders in iteritems(self.open_orders):
233			trade_bar = bar_data[asset]
234
235			for order, txn in self.slippage_func(trade_bar, asset_orders):
236			direction = math.copysign(1, txn.amount)
237			per_share, total_commission = self.commission.calculate(txn)
238			txn.price += per_share * direction
239			txn.commission = total_commission
240			order.filled += txn.amount
241
242			if txn.commission is not None:
243			order.commission = (order.commission or 0.0) + \
244			txn.commission
245
246			txn.dt = pd.Timestamp(txn.dt, tz='UTC')
247			order.dt = txn.dt
248
249			transactions.append(txn)
250
251			if not order.open:
252			closed_orders.append(order)
253
254			# remove all closed orders from our open_orders dict
255			for order in closed_orders:
256			sid = order.sid
257			try:
258			sid_orders = self.open_orders[sid]
259			sid_orders.remove(order)
260			except KeyError:
261			continue
262
263			# now clear out the sids from our open_orders dict that have
264			# zero open orders
265			for sid in list(self.open_orders.keys()):
266			if len(self.open_orders[sid]) == 0:
267			del self.open_orders[sid]
268
269			# FIXME this API doesn't feel right (returning two things here)
270			return transactions, None
271
272			def __getstate__(self):
273
274			state_to_save = ['new_orders', 'orders', '_status', 'data_frequency']
275
276			state_dict = {k: self.__dict__[k] for k in state_to_save
277			if k in self.__dict__}
278
279			# Have to handle defaultdicts specially
280			state_dict['open_orders'] = dict(self.open_orders)
281
282			STATE_VERSION = 1
283			state_dict[VERSION_LABEL] = STATE_VERSION
284
285			return state_dict
286
287			def __setstate__(self, state):
288
289			self.__init__(state.pop('data_frequency'))
290
291			OLDEST_SUPPORTED_STATE = 1
292			version = state.pop(VERSION_LABEL)
293
294			if version < OLDEST_SUPPORTED_STATE:
295			raise BaseException("Blotter saved is state too old.")
296
297			open_orders = defaultdict(list)
298			open_orders.update(state.pop('open_orders'))
299			self.open_orders = open_orders
300
301			self.__dict__.update(state)
302

quantopian / zipline

Pull Request — master (#858)

zipline.finance.Blotter.get_transactions() D

Complexity

Size

Duplication

How to fix Long Method

Long Method

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