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 2016-01-06 18:38 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.enum import enum

from zipline._protocol import BarData as _BarData
BarData = _BarData
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


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.enum import enum
20
21			from zipline._protocol import BarData as _BarData
22			BarData = _BarData
23			from zipline.utils.serialization_utils import (
24			VERSION_LABEL
25			)
26
27			# Datasource type should completely determine the other fields of a
28			# message with its type.
29			DATASOURCE_TYPE = enum(
30			'AS_TRADED_EQUITY',
31			'MERGER',
32			'SPLIT',
33			'DIVIDEND',
34			'TRADE',
35			'TRANSACTION',
36			'ORDER',
37			'EMPTY',
38			'DONE',
39			'CUSTOM',
40			'BENCHMARK',
41			'COMMISSION',
42			'CLOSE_POSITION'
43			)
44
45			# Expected fields/index values for a dividend Series.
46			DIVIDEND_FIELDS = [
47			'declared_date',
48			'ex_date',
49			'gross_amount',
50			'net_amount',
51			'pay_date',
52			'payment_sid',
53			'ratio',
54			'sid',
55			]
56			# Expected fields/index values for a dividend payment Series.
57			DIVIDEND_PAYMENT_FIELDS = [
58			'id',
59			'payment_sid',
60			'cash_amount',
61			'share_count',
62			]
63
64
65			class Event(object):
66
67			def __init__(self, initial_values=None):
68			if initial_values:
69			self.__dict__ = initial_values
70
71			def __getitem__(self, name):
72			return getattr(self, name)
73
74			def __setitem__(self, name, value):
75			setattr(self, name, value)
76
77			def __delitem__(self, name):
78			delattr(self, name)
79
80			def keys(self):
81			return self.__dict__.keys()
82
83			def __eq__(self, other):
84			return hasattr(other, '__dict__') and self.__dict__ == other.__dict__
85
86			def __contains__(self, name):
87			return name in self.__dict__
88
89			def __repr__(self):
90			return "Event({0})".format(self.__dict__)
91
92			def to_series(self, index=None):
93			return pd.Series(self.__dict__, index=index)
94
95
96			class Order(Event):
97			pass
98
99
100			class Portfolio(object):
101
102			def __init__(self):
103			self.capital_used = 0.0
104			self.starting_cash = 0.0
105			self.portfolio_value = 0.0
106			self.pnl = 0.0
107			self.returns = 0.0
108			self.cash = 0.0
109			self.positions = Positions()
110			self.start_date = None
111			self.positions_value = 0.0
112
113			def __getitem__(self, key):
114			return self.__dict__[key]
115
116			def __repr__(self):
117			return "Portfolio({0})".format(self.__dict__)
118
119			def __getstate__(self):
120
121			state_dict = copy(self.__dict__)
122
123			# Have to convert to primitive dict
124			state_dict['positions'] = dict(self.positions)
125
126			STATE_VERSION = 1
127			state_dict[VERSION_LABEL] = STATE_VERSION
128
129			return state_dict
130
131			def __setstate__(self, state):
132
133			OLDEST_SUPPORTED_STATE = 1
134			version = state.pop(VERSION_LABEL)
135
136			if version < OLDEST_SUPPORTED_STATE:
137			raise BaseException("Portfolio saved state is too old.")
138
139			self.positions = Positions()
140			self.positions.update(state.pop('positions'))
141
142			self.__dict__.update(state)
143
144
145			class Account(object):
146			'''
147			The account object tracks information about the trading account. The
148			values are updated as the algorithm runs and its keys remain unchanged.
149			If connected to a broker, one can update these values with the trading
150			account values as reported by the broker.
151			'''
152
153			def __init__(self):
154			self.settled_cash = 0.0
155			self.accrued_interest = 0.0
156			self.buying_power = float('inf')
157			self.equity_with_loan = 0.0
158			self.total_positions_value = 0.0
159			self.regt_equity = 0.0
160			self.regt_margin = float('inf')
161			self.initial_margin_requirement = 0.0
162			self.maintenance_margin_requirement = 0.0
163			self.available_funds = 0.0
164			self.excess_liquidity = 0.0
165			self.cushion = 0.0
166			self.day_trades_remaining = float('inf')
167			self.leverage = 0.0
168			self.net_leverage = 0.0
169			self.net_liquidation = 0.0
170
171			def __getitem__(self, key):
172			return self.__dict__[key]
173
174			def __repr__(self):
175			return "Account({0})".format(self.__dict__)
176
177			def __getstate__(self):
178
179			state_dict = copy(self.__dict__)
180
181			STATE_VERSION = 1
182			state_dict[VERSION_LABEL] = STATE_VERSION
183
184			return state_dict
185
186			def __setstate__(self, state):
187
188			OLDEST_SUPPORTED_STATE = 1
189			version = state.pop(VERSION_LABEL)
190
191			if version < OLDEST_SUPPORTED_STATE:
192			raise BaseException("Account saved state is too old.")
193
194			self.__dict__.update(state)
195
196
197			class Position(object):
198
199			def __init__(self, sid):
200			self.sid = sid
201			self.amount = 0
202			self.cost_basis = 0.0 # per share
203			self.last_sale_price = 0.0
204
205			def __getitem__(self, key):
206			return self.__dict__[key]
207
208			def __repr__(self):
209			return "Position({0})".format(self.__dict__)
210
211			def __getstate__(self):
212			state_dict = copy(self.__dict__)
213
214			STATE_VERSION = 1
215			state_dict[VERSION_LABEL] = STATE_VERSION
216
217			return state_dict
218
219			def __setstate__(self, state):
220
221			OLDEST_SUPPORTED_STATE = 1
222			version = state.pop(VERSION_LABEL)
223
224			if version < OLDEST_SUPPORTED_STATE:
225			raise BaseException("Protocol Position saved state is too old.")
226
227			self.__dict__.update(state)
228
229
230			class Positions(dict):
231
232			def __missing__(self, key):
233			pos = Position(key)
234			self[key] = pos
235			return pos
236

quantopian / zipline

Pull Request — master (#858)

zipline.SIDData A

Complexity

Size/Duplication

Duplication Side-by-Side

Filter issues like