zipline.TradingAlgorithm.get_order() - 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.TradingAlgorithm.get_order() A

↳ Parent: zipline.TradingAlgorithm
Complexity

Conditions
Size

Total Lines
Duplication

Lines	0
Ratio	0 %
Metric	Value
cc	2
dl	0
loc	4
rs	10
#
# 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.
from copy import copy

import pytz
import pandas as pd
from pandas.tseries.tools import normalize_date
import numpy as np

from datetime import datetime
from itertools import chain, repeat
from numbers import Integral

from six import (
    exec_,
    iteritems,
    itervalues,
    string_types,
)


from zipline.errors import (
    AttachPipelineAfterInitialize,
    HistoryInInitialize,
    NoSuchPipeline,
    OrderDuringInitialize,
    PipelineOutputDuringInitialize,
    RegisterAccountControlPostInit,
    RegisterTradingControlPostInit,
    SetBenchmarkOutsideInitialize,
    SetCommissionPostInit,
    SetSlippagePostInit,
    UnsupportedCommissionModel,
    UnsupportedDatetimeFormat,
    UnsupportedOrderParameters,
    UnsupportedSlippageModel,
)
from zipline.finance.trading import TradingEnvironment
from zipline.finance.blotter import Blotter
from zipline.finance.commission import PerShare, PerTrade, PerDollar
from zipline.finance.controls import (
    LongOnly,
    MaxOrderCount,
    MaxOrderSize,
    MaxPositionSize,
    MaxLeverage,
    RestrictedListOrder
)
from zipline.finance.execution import (
    LimitOrder,
    MarketOrder,
    StopLimitOrder,
    StopOrder,
)
from zipline.finance.performance import PerformanceTracker
from zipline.finance.slippage import (
    VolumeShareSlippage,
    SlippageModel
)
from zipline.assets import Asset, Future
from zipline.assets.futures import FutureChain
from zipline.gens.tradesimulation import AlgorithmSimulator
from zipline.pipeline.engine import (
    NoOpPipelineEngine,
    SimplePipelineEngine,
)
from zipline.utils.api_support import (
    api_method,
    require_initialized,
    require_not_initialized,
    ZiplineAPI,
)
from zipline.utils.input_validation import ensure_upper_case
from zipline.utils.cache import CachedObject, Expired
import zipline.utils.events
from zipline.utils.events import (
    EventManager,
    make_eventrule,
    DateRuleFactory,
    TimeRuleFactory,
)
from zipline.utils.factory import create_simulation_parameters
from zipline.utils.math_utils import (
    tolerant_equals,
    round_if_near_integer
)
from zipline.utils.preprocess import preprocess

import zipline.protocol
from zipline.sources.requests_csv import PandasRequestsCSV

from zipline.gens.sim_engine import (
    MinuteSimulationClock,
    DailySimulationClock,
)
from zipline.sources.benchmark_source import BenchmarkSource

DEFAULT_CAPITAL_BASE = float("1.0e5")


class TradingAlgorithm(object):
    """
    Base class for trading algorithms. Inherit and overload
    initialize() and handle_data(data).

    A new algorithm could look like this:
    ```
    from zipline.api import order, symbol

    def initialize(context):
        context.sid = symbol('AAPL')
        context.amount = 100

    def handle_data(context, data):
        sid = context.sid
        amount = context.amount
        order(sid, amount)
    ```
    To then to run this algorithm pass these functions to
    TradingAlgorithm:

    my_algo = TradingAlgorithm(initialize, handle_data)
    stats = my_algo.run(data)

    """

    def __init__(self, *args, **kwargs):
        """Initialize sids and other state variables.

        :Arguments:
        :Optional:
            initialize : function
                Function that is called with a single
                argument at the begninning of the simulation.
            handle_data : function
                Function that is called with 2 arguments
                (context and data) on every bar.
            script : str
                Algoscript that contains initialize and
                handle_data function definition.
            data_frequency : {'daily', 'minute'}
               The duration of the bars.
            capital_base : float <default: 1.0e5>
               How much capital to start with.
            asset_finder : An AssetFinder object
                A new AssetFinder object to be used in this TradingEnvironment
            equities_metadata : can be either:
                            - dict
                            - pandas.DataFrame
                            - object with 'read' property
                If dict is provided, it must have the following structure:
                * keys are the identifiers
                * values are dicts containing the metadata, with the metadata
                  field name as the key
                If pandas.DataFrame is provided, it must have the
                following structure:
                * column names must be the metadata fields
                * index must be the different asset identifiers
                * array contents should be the metadata value
                If an object with a 'read' property is provided, 'read' must
                return rows containing at least one of 'sid' or 'symbol' along
                with the other metadata fields.
            identifiers : List
                Any asset identifiers that are not provided in the
                equities_metadata, but will be traded by this TradingAlgorithm
        """
        self.sources = []

        # List of trading controls to be used to validate orders.
        self.trading_controls = []

        # List of account controls to be checked on each bar.
        self.account_controls = []

        self._recorded_vars = {}
        self.namespace = kwargs.pop('namespace', {})

        self._platform = kwargs.pop('platform', 'zipline')

        self.logger = None

        self.data_portal = None

        # If an env has been provided, pop it
        self.trading_environment = kwargs.pop('env', None)

        if self.trading_environment is None:
            self.trading_environment = TradingEnvironment()

        # Update the TradingEnvironment with the provided asset metadata
        self.trading_environment.write_data(
            equities_data=kwargs.pop('equities_metadata', {}),
            equities_identifiers=kwargs.pop('identifiers', []),
            futures_data=kwargs.pop('futures_metadata', {}),
        )

        # set the capital base
        self.capital_base = kwargs.pop('capital_base', DEFAULT_CAPITAL_BASE)
        self.sim_params = kwargs.pop('sim_params', None)
        if self.sim_params is None:
            self.sim_params = create_simulation_parameters(
                capital_base=self.capital_base,
                start=kwargs.pop('start', None),
                end=kwargs.pop('end', None),
                env=self.trading_environment,
            )
        else:
            self.sim_params.update_internal_from_env(self.trading_environment)

        self.perf_tracker = None
        # Pull in the environment's new AssetFinder for quick reference
        self.asset_finder = self.trading_environment.asset_finder

        # Initialize Pipeline API data.
        self.init_engine(kwargs.pop('get_pipeline_loader', None))
        self._pipelines = {}
        # Create an always-expired cache so that we compute the first time data
        # is requested.
        self._pipeline_cache = CachedObject(None, pd.Timestamp(0, tz='UTC'))

        self.blotter = kwargs.pop('blotter', None)
        if not self.blotter:
            self.blotter = Blotter(
                slippage_func=VolumeShareSlippage(),
                commission=PerShare(),
                data_frequency=self.data_frequency,
            )

        # The symbol lookup date specifies the date to use when resolving
        # symbols to sids, and can be set using set_symbol_lookup_date()
        self._symbol_lookup_date = None

        self.portfolio_needs_update = True
        self.account_needs_update = True
        self.performance_needs_update = True
        self._portfolio = None
        self._account = None

        # If string is passed in, execute and get reference to
        # functions.
        self.algoscript = kwargs.pop('script', None)

        self._initialize = None
        self._before_trading_start = None
        self._analyze = None

        self.event_manager = EventManager(
            create_context=kwargs.pop('create_event_context', None),
        )

        if self.algoscript is not None:
            filename = kwargs.pop('algo_filename', None)
            if filename is None:
                filename = '<string>'
            code = compile(self.algoscript, filename, 'exec')
            exec_(code, self.namespace)
            self._initialize = self.namespace.get('initialize')
            if 'handle_data' not in self.namespace:
                raise ValueError('You must define a handle_data function.')
            else:
                self._handle_data = self.namespace['handle_data']

            self._before_trading_start = \
                self.namespace.get('before_trading_start')
            # Optional analyze function, gets called after run
            self._analyze = self.namespace.get('analyze')

        elif kwargs.get('initialize') and kwargs.get('handle_data'):
            if self.algoscript is not None:
                raise ValueError('You can not set script and \
                initialize/handle_data.')
            self._initialize = kwargs.pop('initialize')
            self._handle_data = kwargs.pop('handle_data')
            self._before_trading_start = kwargs.pop('before_trading_start',
                                                    None)
            self._analyze = kwargs.pop('analyze', None)

        self.event_manager.add_event(
            zipline.utils.events.Event(
                zipline.utils.events.Always(),
                # We pass handle_data.__func__ to get the unbound method.
                # We will explicitly pass the algorithm to bind it again.
                self.handle_data.__func__,
            ),
            prepend=True,
        )

        # If method not defined, NOOP
        if self._initialize is None:
            self._initialize = lambda x: None

        # Alternative way of setting data_frequency for backwards
        # compatibility.
        if 'data_frequency' in kwargs:
            self.data_frequency = kwargs.pop('data_frequency')

        # Prepare the algo for initialization
        self.initialized = False
        self.initialize_args = args
        self.initialize_kwargs = kwargs

        self.benchmark_sid = kwargs.pop('benchmark_sid', None)

    def init_engine(self, get_loader):
        """
        Construct and store a PipelineEngine from loader.

        If get_loader is None, constructs a NoOpPipelineEngine.
        """
        if get_loader is not None:
            self.engine = SimplePipelineEngine(
                get_loader,
                self.trading_environment.trading_days,
                self.asset_finder,
            )
        else:
            self.engine = NoOpPipelineEngine()

    def initialize(self, *args, **kwargs):
        """
        Call self._initialize with `self` made available to Zipline API
        functions.
        """
        with ZiplineAPI(self):
            self._initialize(self, *args, **kwargs)

    def before_trading_start(self, data):
        if self._before_trading_start is None:
            return

        self._before_trading_start(self, data)

    def handle_data(self, data):
        self._handle_data(self, data)

        # Unlike trading controls which remain constant unless placing an
        # order, account controls can change each bar. Thus, must check
        # every bar no matter if the algorithm places an order or not.
        self.validate_account_controls()

    def analyze(self, perf):
        if self._analyze is None:
            return

        with ZiplineAPI(self):
            self._analyze(self, perf)

    def __repr__(self):
        """
        N.B. this does not yet represent a string that can be used
        to instantiate an exact copy of an algorithm.

        However, it is getting close, and provides some value as something
        that can be inspected interactively.
        """
        return """
{class_name}(
    capital_base={capital_base}
    sim_params={sim_params},
    initialized={initialized},
    slippage={slippage},
    commission={commission},
    blotter={blotter},
    recorded_vars={recorded_vars})
""".strip().format(class_name=self.__class__.__name__,
                   capital_base=self.capital_base,
                   sim_params=repr(self.sim_params),
                   initialized=self.initialized,
                   slippage=repr(self.blotter.slippage_func),
                   commission=repr(self.blotter.commission),
                   blotter=repr(self.blotter),
                   recorded_vars=repr(self.recorded_vars))

    def _create_clock(self):
        """
        If the clock property is not set, then create one based on frequency.
        """
        if self.sim_params.data_frequency == 'minute':
            env = self.trading_environment
            trading_o_and_c = env.open_and_closes.ix[
                self.sim_params.trading_days]
            market_opens = trading_o_and_c['market_open'].values.astype(
                'datetime64[ns]').astype(np.int64)
            market_closes = trading_o_and_c['market_close'].values.astype(
                'datetime64[ns]').astype(np.int64)

            minutely_emission = self.sim_params.emission_rate == "minute"

            clock = MinuteSimulationClock(
                self.sim_params.trading_days,
                market_opens,
                market_closes,
                env.trading_days,
                minutely_emission
            )
            return clock
        else:
            return DailySimulationClock(self.sim_params.trading_days)

    def _create_benchmark_source(self):
        return BenchmarkSource(
            self.benchmark_sid,
            self.trading_environment,
            self.sim_params.trading_days,
            self.data_portal,
            emission_rate=self.sim_params.emission_rate,
        )

    def _create_generator(self, sim_params):
        if sim_params is not None:
            self.sim_params = sim_params

        if self.perf_tracker is None:
            # HACK: When running with the `run` method, we set perf_tracker to
            # None so that it will be overwritten here.
            self.perf_tracker = PerformanceTracker(
                sim_params=self.sim_params,
                env=self.trading_environment,
                data_portal=self.data_portal
            )

            # Set the dt initially to the period start by forcing it to change.
            self.on_dt_changed(self.sim_params.period_start)

        if not self.initialized:
            self.initialize(*self.initialize_args, **self.initialize_kwargs)
            self.initialized = True

        self.trading_client = self._create_trading_client(sim_params)

        return self.trading_client.transform()

    def _create_trading_client(self, sim_params):
        return AlgorithmSimulator(
            self,
            sim_params,
            self.data_portal,
            self._create_clock(),
            self._create_benchmark_source()
        )

    def get_generator(self):
        """
        Override this method to add new logic to the construction
        of the generator. Overrides can use the _create_generator
        method to get a standard construction generator.
        """
        return self._create_generator(self.sim_params)

    def run(self, data_portal=None):
        """Run the algorithm.

        :Arguments:
            source : DataPortal

        :Returns:
            daily_stats : pandas.DataFrame
              Daily performance metrics such as returns, alpha etc.

        """
        self.data_portal = data_portal

        # Force a reset of the performance tracker, in case
        # this is a repeat run of the algorithm.
        self.perf_tracker = None

        # Create zipline and loop through simulated_trading.
        # Each iteration returns a perf dictionary
        perfs = []
        for perf in self.get_generator():
            perfs.append(perf)

        # convert perf dict to pandas dataframe
        daily_stats = self._create_daily_stats(perfs)

        self.analyze(daily_stats)

        return daily_stats

    def _write_and_map_id_index_to_sids(self, identifiers, as_of_date):
        # Build new Assets for identifiers that can't be resolved as
        # sids/Assets
        identifiers_to_build = []
        for identifier in identifiers:
            asset = None

            if isinstance(identifier, Asset):
                asset = self.asset_finder.retrieve_asset(sid=identifier.sid,
                                                         default_none=True)
            elif isinstance(identifier, Integral):
                asset = self.asset_finder.retrieve_asset(sid=identifier,
                                                         default_none=True)
            if asset is None:
                identifiers_to_build.append(identifier)

        self.trading_environment.write_data(
            equities_identifiers=identifiers_to_build)

        # We need to clear out any cache misses that were stored while trying
        # to do lookups.  The real fix for this problem is to not construct an
        # AssetFinder until we `run()` when we actually have all the data we
        # need to so.
        self.asset_finder._reset_caches()

        return self.asset_finder.map_identifier_index_to_sids(
            identifiers, as_of_date,
        )

    def _create_daily_stats(self, perfs):
        # create daily and cumulative stats dataframe
        daily_perfs = []
        # TODO: the loop here could overwrite expected properties
        # of daily_perf. Could potentially raise or log a
        # warning.
        for perf in perfs:
            if 'daily_perf' in perf:

                perf['daily_perf'].update(
                    perf['daily_perf'].pop('recorded_vars')
                )
                perf['daily_perf'].update(perf['cumulative_risk_metrics'])
                daily_perfs.append(perf['daily_perf'])
            else:
                self.risk_report = perf

        daily_dts = [np.datetime64(perf['period_close'], utc=True)
                     for perf in daily_perfs]
        daily_stats = pd.DataFrame(daily_perfs, index=daily_dts)

        return daily_stats

    @api_method
    def get_environment(self, field='platform'):
        env = {
            'arena': self.sim_params.arena,
            'data_frequency': self.sim_params.data_frequency,
            'start': self.sim_params.first_open,
            'end': self.sim_params.last_close,
            'capital_base': self.sim_params.capital_base,
            'platform': self._platform
        }
        if field == '*':
            return env
        else:
            return env[field]

    @api_method
    def fetch_csv(self, url,
                  pre_func=None,
                  post_func=None,
                  date_column='date',
                  date_format=None,
                  timezone=pytz.utc.zone,
                  symbol=None,
                  mask=True,
                  symbol_column=None,
                  special_params_checker=None,
                  **kwargs):

        # Show all the logs every time fetcher is used.
        csv_data_source = PandasRequestsCSV(
            url,
            pre_func,
            post_func,
            self.trading_environment,
            self.sim_params.period_start,
            self.sim_params.period_end,
            date_column,
            date_format,
            timezone,
            symbol,
            mask,
            symbol_column,
            data_frequency=self.data_frequency,
            special_params_checker=special_params_checker,
            **kwargs
        )

        # ingest this into dataportal
        self.data_portal.handle_extra_source(csv_data_source.df,
                                             self.sim_params)

        return csv_data_source

    def add_event(self, rule=None, callback=None):
        """
        Adds an event to the algorithm's EventManager.
        """
        self.event_manager.add_event(
            zipline.utils.events.Event(rule, callback),
        )

    @api_method
    def schedule_function(self,
                          func,
                          date_rule=None,
                          time_rule=None,
                          half_days=True):
        """
        Schedules a function to be called with some timed rules.
        """
        date_rule = date_rule or DateRuleFactory.every_day()
        time_rule = ((time_rule or TimeRuleFactory.market_open())
                     if self.sim_params.data_frequency == 'minute' else
                     # If we are in daily mode the time_rule is ignored.
                     zipline.utils.events.Always())

        self.add_event(
            make_eventrule(date_rule, time_rule, half_days),
            func,
        )

    @api_method
    def record(self, *args, **kwargs):
        """
        Track and record local variable (i.e. attributes) each day.
        """
        # Make 2 objects both referencing the same iterator
        args = [iter(args)] * 2

        # Zip generates list entries by calling `next` on each iterator it
        # receives.  In this case the two iterators are the same object, so the
        # call to next on args[0] will also advance args[1], resulting in zip
        # returning (a,b) (c,d) (e,f) rather than (a,a) (b,b) (c,c) etc.
        positionals = zip(*args)
        for name, value in chain(positionals, iteritems(kwargs)):
            self._recorded_vars[name] = value

    @api_method
    def set_benchmark(self, benchmark_sid):
        if self.initialized:
            raise SetBenchmarkOutsideInitialize()

        self.benchmark_sid = benchmark_sid

    @api_method
    @preprocess(symbol_str=ensure_upper_case)
    def symbol(self, symbol_str):
        """
        Default symbol lookup for any source that directly maps the
        symbol to the Asset (e.g. yahoo finance).
        """
        # If the user has not set the symbol lookup date,
        # use the period_end as the date for sybmol->sid resolution.
        _lookup_date = self._symbol_lookup_date if self._symbol_lookup_date is not None \
            else self.sim_params.period_end

        return self.asset_finder.lookup_symbol(
            symbol_str,
            as_of_date=_lookup_date,
        )

    @api_method
    def symbols(self, *args):
        """
        Default symbols lookup for any source that directly maps the
        symbol to the Asset (e.g. yahoo finance).
        """
        return [self.symbol(identifier) for identifier in args]

    @api_method
    def sid(self, a_sid):
        """
        Default sid lookup for any source that directly maps the integer sid
        to the Asset.
        """
        return self.asset_finder.retrieve_asset(a_sid)

    @api_method
    @preprocess(symbol=ensure_upper_case)
    def future_symbol(self, symbol):
        """ Lookup a futures contract with a given symbol.

        Parameters
        ----------
        symbol : str
            The symbol of the desired contract.

        Returns
        -------
        Future
            A Future object.

        Raises
        ------
        SymbolNotFound
            Raised when no contract named 'symbol' is found.

        """
        return self.asset_finder.lookup_future_symbol(symbol)

    @api_method
    @preprocess(root_symbol=ensure_upper_case)
    def future_chain(self, root_symbol, as_of_date=None):
        """ Look up a future chain with the specified parameters.

        Parameters
        ----------
        root_symbol : str
            The root symbol of a future chain.
        as_of_date : datetime.datetime or pandas.Timestamp or str, optional
            Date at which the chain determination is rooted. I.e. the
            existing contract whose notice date is first after this date is
            the primary contract, etc.

        Returns
        -------
        FutureChain
            The future chain matching the specified parameters.

        Raises
        ------
        RootSymbolNotFound
            If a future chain could not be found for the given root symbol.
        """
        if as_of_date:
            try:
                as_of_date = pd.Timestamp(as_of_date, tz='UTC')
            except ValueError:
                raise UnsupportedDatetimeFormat(input=as_of_date,
                                                method='future_chain')
        return FutureChain(
            asset_finder=self.asset_finder,
            get_datetime=self.get_datetime,
            root_symbol=root_symbol,
            as_of_date=as_of_date
        )

    def _calculate_order_value_amount(self, asset, value):
        """
        Calculates how many shares/contracts to order based on the type of
        asset being ordered.
        """
        last_price = self.trading_client.current_data[asset].price

        if tolerant_equals(last_price, 0):
            zero_message = "Price of 0 for {psid}; can't infer value".format(
                psid=asset
            )
            if self.logger:
                self.logger.debug(zero_message)
            # Don't place any order
            return 0

        if isinstance(asset, Future):
            value_multiplier = asset.contract_multiplier
        else:
            value_multiplier = 1

        return value / (last_price * value_multiplier)

    @api_method
    def order(self, sid, amount,
              limit_price=None,
              stop_price=None,
              style=None):
        """
        Place an order using the specified parameters.
        """
        # Truncate to the integer share count that's either within .0001 of
        # amount or closer to zero.
        # E.g. 3.9999 -> 4.0; 5.5 -> 5.0; -5.5 -> -5.0
        amount = int(round_if_near_integer(amount))

        # Raises a ZiplineError if invalid parameters are detected.
        self.validate_order_params(sid,
                                   amount,
                                   limit_price,
                                   stop_price,
                                   style)

        # Convert deprecated limit_price and stop_price parameters to use
        # ExecutionStyle objects.
        style = self.__convert_order_params_for_blotter(limit_price,
                                                        stop_price,
                                                        style)
        return self.blotter.order(sid, amount, style)

    def validate_order_params(self,
                              asset,
                              amount,
                              limit_price,
                              stop_price,
                              style):
        """
        Helper method for validating parameters to the order API function.

        Raises an UnsupportedOrderParameters if invalid arguments are found.
        """

        if not self.initialized:
            raise OrderDuringInitialize(
                msg="order() can only be called from within handle_data()"
            )

        if style:
            if limit_price:
                raise UnsupportedOrderParameters(
                    msg="Passing both limit_price and style is not supported."
                )

            if stop_price:
                raise UnsupportedOrderParameters(
                    msg="Passing both stop_price and style is not supported."
                )

        if not isinstance(asset, Asset):
            raise UnsupportedOrderParameters(
                msg="Passing non-Asset argument to 'order()' is not supported."
                    " Use 'sid()' or 'symbol()' methods to look up an Asset."
            )

        for control in self.trading_controls:
            control.validate(asset,
                             amount,
                             self.updated_portfolio(),
                             self.get_datetime(),
                             self.trading_client.current_data)

    @staticmethod
    def __convert_order_params_for_blotter(limit_price, stop_price, style):
        """
        Helper method for converting deprecated limit_price and stop_price
        arguments into ExecutionStyle instances.

        This function assumes that either style == None or (limit_price,
        stop_price) == (None, None).
        """
        # TODO_SS: DeprecationWarning for usage of limit_price and stop_price.
        if style:
            assert (limit_price, stop_price) == (None, None)
            return style
        if limit_price and stop_price:
            return StopLimitOrder(limit_price, stop_price)
        if limit_price:
            return LimitOrder(limit_price)
        if stop_price:
            return StopOrder(stop_price)
        else:
            return MarketOrder()

    @api_method
    def order_value(self, sid, value,
                    limit_price=None, stop_price=None, style=None):
        """
        Place an order by desired value rather than desired number of shares.
        If the requested sid exists, the requested value is
        divided by its price to imply the number of shares to transact.
        If the Asset being ordered is a Future, the 'value' calculated
        is actually the exposure, as Futures have no 'value'.

        value > 0 :: Buy/Cover
        value < 0 :: Sell/Short
        Market order:    order(sid, value)
        Limit order:     order(sid, value, limit_price)
        Stop order:      order(sid, value, None, stop_price)
        StopLimit order: order(sid, value, limit_price, stop_price)
        """
        amount = self._calculate_order_value_amount(sid, value)
        return self.order(sid, amount,
                          limit_price=limit_price,
                          stop_price=stop_price,
                          style=style)

    @property
    def recorded_vars(self):
        return copy(self._recorded_vars)

    @property
    def portfolio(self):
        return self.updated_portfolio()

    def updated_portfolio(self):
        if self.portfolio_needs_update:
            self._portfolio = \
                self.perf_tracker.get_portfolio(self.performance_needs_update,
                                                self.datetime)
            self.portfolio_needs_update = False
            self.performance_needs_update = False
        return self._portfolio

    @property
    def account(self):
        return self.updated_account()

    def updated_account(self):
        if self.account_needs_update:
            self._account = \
                self.perf_tracker.get_account(self.performance_needs_update,
                                              self.datetime)
            self.account_needs_update = False
            self.performance_needs_update = False
        return self._account

    def set_logger(self, logger):
        self.logger = logger

    def on_dt_changed(self, dt):
        """
        Callback triggered by the simulation loop whenever the current dt
        changes.

        Any logic that should happen exactly once at the start of each datetime
        group should happen here.
        """
        assert isinstance(dt, datetime), \
            "Attempt to set algorithm's current time with non-datetime"
        assert dt.tzinfo == pytz.utc, \
            "Algorithm expects a utc datetime"

        self.datetime = dt
        self.perf_tracker.set_date(dt)
        self.blotter.set_date(dt)

        self.portfolio_needs_update = True
        self.account_needs_update = True
        self.performance_needs_update = True

    @api_method
    def get_datetime(self, tz=None):
        """
        Returns the simulation datetime.
        """
        dt = self.datetime
        assert dt.tzinfo == pytz.utc, "Algorithm should have a utc datetime"

        if tz is not None:
            # Convert to the given timezone passed as a string or tzinfo.
            if isinstance(tz, string_types):
                tz = pytz.timezone(tz)
            dt = dt.astimezone(tz)

        return dt  # datetime.datetime objects are immutable.

    def update_dividends(self, dividend_frame):
        """
        Set DataFrame used to process dividends.  DataFrame columns should
        contain at least the entries in zp.DIVIDEND_FIELDS.
        """
        self.perf_tracker.update_dividends(dividend_frame)

    @api_method
    def set_slippage(self, slippage):
        if not isinstance(slippage, SlippageModel):
            raise UnsupportedSlippageModel()
        if self.initialized:
            raise SetSlippagePostInit()
        self.blotter.slippage_func = slippage

    @api_method
    def set_commission(self, commission):
        if not isinstance(commission, (PerShare, PerTrade, PerDollar)):
            raise UnsupportedCommissionModel()

        if self.initialized:
            raise SetCommissionPostInit()
        self.blotter.commission = commission

    @api_method
    def set_symbol_lookup_date(self, dt):
        """
        Set the date for which symbols will be resolved to their sids
        (symbols may map to different firms or underlying assets at
        different times)
        """
        try:
            self._symbol_lookup_date = pd.Timestamp(dt, tz='UTC')
        except ValueError:
            raise UnsupportedDatetimeFormat(input=dt,
                                            method='set_symbol_lookup_date')

    # Remain backwards compatibility
    @property
    def data_frequency(self):
        return self.sim_params.data_frequency

    @data_frequency.setter
    def data_frequency(self, value):
        assert value in ('daily', 'minute')
        self.sim_params.data_frequency = value

    @api_method
    def order_percent(self, sid, percent,
                      limit_price=None, stop_price=None, style=None):
        """
        Place an order in the specified asset corresponding to the given
        percent of the current portfolio value.

        Note that percent must expressed as a decimal (0.50 means 50\%).
        """
        value = self.portfolio.portfolio_value * percent
        return self.order_value(sid, value,
                                limit_price=limit_price,
                                stop_price=stop_price,
                                style=style)

    @api_method
    def order_target(self, sid, target,
                     limit_price=None, stop_price=None, style=None):
        """
        Place an order to adjust a position to a target number of shares. If
        the position doesn't already exist, this is equivalent to placing a new
        order. If the position does exist, this is equivalent to placing an
        order for the difference between the target number of shares and the
        current number of shares.
        """
        if sid in self.portfolio.positions:
            current_position = self.portfolio.positions[sid].amount
            req_shares = target - current_position
            return self.order(sid, req_shares,
                              limit_price=limit_price,
                              stop_price=stop_price,
                              style=style)
        else:
            return self.order(sid, target,
                              limit_price=limit_price,
                              stop_price=stop_price,
                              style=style)

    @api_method
    def order_target_value(self, sid, target,
                           limit_price=None, stop_price=None, style=None):
        """
        Place an order to adjust a position to a target value. If
        the position doesn't already exist, this is equivalent to placing a new
        order. If the position does exist, this is equivalent to placing an
        order for the difference between the target value and the
        current value.
        If the Asset being ordered is a Future, the 'target value' calculated
        is actually the target exposure, as Futures have no 'value'.
        """
        target_amount = self._calculate_order_value_amount(sid, target)
        return self.order_target(sid, target_amount,
                                 limit_price=limit_price,
                                 stop_price=stop_price,
                                 style=style)

    @api_method
    def order_target_percent(self, sid, target,
                             limit_price=None, stop_price=None, style=None):
        """
        Place an order to adjust a position to a target percent of the
        current portfolio value. If the position doesn't already exist, this is
        equivalent to placing a new order. If the position does exist, this is
        equivalent to placing an order for the difference between the target
        percent and the current percent.

        Note that target must expressed as a decimal (0.50 means 50\%).
        """
        target_value = self.portfolio.portfolio_value * target
        return self.order_target_value(sid, target_value,
                                       limit_price=limit_price,
                                       stop_price=stop_price,
                                       style=style)

    @api_method
    def get_open_orders(self, sid=None):
        if sid is None:
            return {
                key: [order.to_api_obj() for order in orders]
                for key, orders in iteritems(self.blotter.open_orders)
                if orders
            }
        if sid in self.blotter.open_orders:
            orders = self.blotter.open_orders[sid]
            return [order.to_api_obj() for order in orders]
        return []

    @api_method
    def get_order(self, order_id):
        if order_id in self.blotter.orders:
            return self.blotter.orders[order_id].to_api_obj()

    @api_method
    def cancel_order(self, order_param):
        order_id = order_param
        if isinstance(order_param, zipline.protocol.Order):
            order_id = order_param.id

        self.blotter.cancel(order_id)

    @api_method
    @require_initialized(HistoryInInitialize())
    def history(self, sids, bar_count, frequency, field, ffill=True):
        if self.data_portal is None:
            raise Exception("no data portal!")

        return self.data_portal.get_history_window(
            sids,
            self.datetime,
            bar_count,
            frequency,
            field,
            ffill,
        )

    ####################
    # Account Controls #
    ####################

    def register_account_control(self, control):
        """
        Register a new AccountControl to be checked on each bar.
        """
        if self.initialized:
            raise RegisterAccountControlPostInit()
        self.account_controls.append(control)

    def validate_account_controls(self):
        for control in self.account_controls:
            control.validate(self.updated_portfolio(),
                             self.updated_account(),
                             self.get_datetime(),
                             self.trading_client.current_data)

    @api_method
    def set_max_leverage(self, max_leverage=None):
        """
        Set a limit on the maximum leverage of the algorithm.
        """
        control = MaxLeverage(max_leverage)
        self.register_account_control(control)

    ####################
    # Trading Controls #
    ####################

    def register_trading_control(self, control):
        """
        Register a new TradingControl to be checked prior to order calls.
        """
        if self.initialized:
            raise RegisterTradingControlPostInit()
        self.trading_controls.append(control)

    @api_method
    def set_max_position_size(self,
                              sid=None,
                              max_shares=None,
                              max_notional=None):
        """
        Set a limit on the number of shares and/or dollar value held for the
        given sid. Limits are treated as absolute values and are enforced at
        the time that the algo attempts to place an order for sid. This means
        that it's possible to end up with more than the max number of shares
        due to splits/dividends, and more than the max notional due to price
        improvement.

        If an algorithm attempts to place an order that would result in
        increasing the absolute value of shares/dollar value exceeding one of
        these limits, raise a TradingControlException.
        """
        control = MaxPositionSize(asset=sid,
                                  max_shares=max_shares,
                                  max_notional=max_notional)
        self.register_trading_control(control)

    @api_method
    def set_max_order_size(self, sid=None, max_shares=None, max_notional=None):
        """
        Set a limit on the number of shares and/or dollar value of any single
        order placed for sid.  Limits are treated as absolute values and are
        enforced at the time that the algo attempts to place an order for sid.

        If an algorithm attempts to place an order that would result in
        exceeding one of these limits, raise a TradingControlException.
        """
        control = MaxOrderSize(asset=sid,
                               max_shares=max_shares,
                               max_notional=max_notional)
        self.register_trading_control(control)

    @api_method
    def set_max_order_count(self, max_count):
        """
        Set a limit on the number of orders that can be placed within the given
        time interval.
        """
        control = MaxOrderCount(max_count)
        self.register_trading_control(control)

    @api_method
    def set_do_not_order_list(self, restricted_list):
        """
        Set a restriction on which sids can be ordered.
        """
        control = RestrictedListOrder(restricted_list)
        self.register_trading_control(control)

    @api_method
    def set_long_only(self):
        """
        Set a rule specifying that this algorithm cannot take short positions.
        """
        self.register_trading_control(LongOnly())

    ##############
    # Pipeline API
    ##############
    @api_method
    @require_not_initialized(AttachPipelineAfterInitialize())
    def attach_pipeline(self, pipeline, name, chunksize=None):
        """
        Register a pipeline to be computed at the start of each day.
        """
        if self._pipelines:
            raise NotImplementedError("Multiple pipelines are not supported.")
        if chunksize is None:
            # Make the first chunk smaller to get more immediate results:
            # (one week, then every half year)
            chunks = iter(chain([5], repeat(126)))
        else:
            chunks = iter(repeat(int(chunksize)))
        self._pipelines[name] = pipeline, chunks

        # Return the pipeline to allow expressions like
        # p = attach_pipeline(Pipeline(), 'name')
        return pipeline

    @api_method
    @require_initialized(PipelineOutputDuringInitialize())
    def pipeline_output(self, name):
        """
        Get the results of pipeline with name `name`.

        Parameters
        ----------
        name : str
            Name of the pipeline for which results are requested.

        Returns
        -------
        results : pd.DataFrame
            DataFrame containing the results of the requested pipeline for
            the current simulation date.

        Raises
        ------
        NoSuchPipeline
            Raised when no pipeline with the name `name` has been registered.

        See Also
        --------
        :meth:`zipline.pipeline.engine.PipelineEngine.run_pipeline`
        """
        # NOTE: We don't currently support multiple pipelines, but we plan to
        # in the future.
        try:
            p, chunks = self._pipelines[name]
        except KeyError:
            raise NoSuchPipeline(
                name=name,
                valid=list(self._pipelines.keys()),
            )
        return self._pipeline_output(p, chunks)

    def _pipeline_output(self, pipeline, chunks):
        """
        Internal implementation of `pipeline_output`.
        """
        today = normalize_date(self.get_datetime())
        try:
            data = self._pipeline_cache.unwrap(today)
        except Expired:
            data, valid_until = self._run_pipeline(
                pipeline, today, next(chunks),
            )
            self._pipeline_cache = CachedObject(data, valid_until)

        # Now that we have a cached result, try to return the data for today.
        try:
            return data.loc[today]
        except KeyError:
            # This happens if no assets passed the pipeline screen on a given
            # day.
            return pd.DataFrame(index=[], columns=data.columns)

    def _run_pipeline(self, pipeline, start_date, chunksize):
        """
        Compute `pipeline`, providing values for at least `start_date`.

        Produces a DataFrame containing data for days between `start_date` and
        `end_date`, where `end_date` is defined by:

            `end_date = min(start_date + chunksize trading days,
                            simulation_end)`

        Returns
        -------
        (data, valid_until) : tuple (pd.DataFrame, pd.Timestamp)

        See Also
        --------
        PipelineEngine.run_pipeline
        """
        days = self.trading_environment.trading_days

        # Load data starting from the previous trading day...
        start_date_loc = days.get_loc(start_date)

        # ...continuing until either the day before the simulation end, or
        # until chunksize days of data have been loaded.
        sim_end = self.sim_params.last_close.normalize()
        end_loc = min(start_date_loc + chunksize, days.get_loc(sim_end))
        end_date = days[end_loc]

        return \
            self.engine.run_pipeline(pipeline, start_date, end_date), end_date

    ##################
    # End Pipeline API
    ##################

    @classmethod
    def all_api_methods(cls):
        """
        Return a list of all the TradingAlgorithm API methods.
        """
        return [
            fn for fn in itervalues(vars(cls))
            if getattr(fn, 'is_api_method', False)
        ]

quantopian / zipline

Pull Request — master (#858)

zipline.TradingAlgorithm.get_order() A

Complexity

Size

Duplication

Duplication Side-by-Side

Filter issues like
