zipline.finance.Order.check_order_triggers() - Code Metrics - Inspection of "Move order and transaction classes" - quantopian/zipline - Measure and Improve Code Quality continuously with Scrutinizer

Completed

Pull Request — master (#914)

by Eddie

created 2015-12-15 15:52 UTC

zipline.finance.Order.check_order_triggers() F

↳ Parent: zipline.finance.Order

Complexity

Conditions

Size

Total Lines

Duplication

Lines	0
Ratio	0 %

Metric	Value
cc	19
dl	0
loc	58
rs	3.2647

How to fix Long Method Complexity

#
# 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 math
import uuid

from six import text_type, iteritems

import zipline.protocol as zp
from zipline.utils.serialization_utils import VERSION_LABEL
from zipline.utils.enum import enum

ORDER_STATUS = enum(
    'OPEN',
    'FILLED',
    'CANCELLED',
    'REJECTED',
    'HELD',
)

SELL = 1 << 0
BUY = 1 << 1
STOP = 1 << 2
LIMIT = 1 << 3


class Order(object):
    def __init__(self, dt, sid, amount, stop=None, limit=None, filled=0,
                 commission=None, id=None):
        """
        @dt - datetime.datetime that the order was placed
        @sid - stock sid of the order
        @amount - the number of shares to buy/sell
                  a positive sign indicates a buy
                  a negative sign indicates a sell
        @filled - how many shares of the order have been filled so far
        """
        # get a string representation of the uuid.
        self.id = id or self.make_id()
        self.dt = dt
        self.reason = None
        self.created = dt
        self.sid = sid
        self.amount = amount
        self.filled = filled
        self.commission = commission
        self._status = ORDER_STATUS.OPEN
        self.stop = stop
        self.limit = limit
        self.stop_reached = False
        self.limit_reached = False
        self.direction = math.copysign(1, self.amount)
        self.type = zp.DATASOURCE_TYPE.ORDER

    def make_id(self):
        return uuid.uuid4().hex

    def to_dict(self):
        py = copy(self.__dict__)
        for field in ['type', 'direction', '_status']:
            del py[field]
        py['status'] = self.status
        return py

    def to_api_obj(self):
        pydict = self.to_dict()
        obj = zp.Order(initial_values=pydict)
        return obj

    def check_triggers(self, event):
        """
        Update internal state based on price triggers and the
        trade event's price.
        """
        stop_reached, limit_reached, sl_stop_reached = \
            self.check_order_triggers(event)
        if (stop_reached, limit_reached) \
                != (self.stop_reached, self.limit_reached):
            self.dt = event.dt
        self.stop_reached = stop_reached
        self.limit_reached = limit_reached
        if sl_stop_reached:
            # Change the STOP LIMIT order into a LIMIT order
            self.stop = None

    def check_order_triggers(self, event):
        """
        Given an order and a trade event, return a tuple of
        (stop_reached, limit_reached).
        For market orders, will return (False, False).
        For stop orders, limit_reached will always be False.
        For limit orders, stop_reached will always be False.
        For stop limit orders a Boolean is returned to flag
        that the stop has been reached.

        Orders that have been triggered already (price targets reached),
        the order's current values are returned.
        """
        if self.triggered:
            return (self.stop_reached, self.limit_reached, False)

        stop_reached = False
        limit_reached = False
        sl_stop_reached = False

        order_type = 0

        if self.amount > 0:
            order_type |= BUY
        else:
            order_type |= SELL

        if self.stop is not None:
            order_type |= STOP

        if self.limit is not None:
            order_type |= LIMIT

        if order_type == BUY | STOP | LIMIT:
            if event.price >= self.stop:
                sl_stop_reached = True
                if event.price <= self.limit:
                    limit_reached = True
        elif order_type == SELL | STOP | LIMIT:
            if event.price <= self.stop:
                sl_stop_reached = True
                if event.price >= self.limit:
                    limit_reached = True
        elif order_type == BUY | STOP:
            if event.price >= self.stop:
                stop_reached = True
        elif order_type == SELL | STOP:
            if event.price <= self.stop:
                stop_reached = True
        elif order_type == BUY | LIMIT:
            if event.price <= self.limit:
                limit_reached = True
        elif order_type == SELL | LIMIT:
            # This is a SELL LIMIT order
            if event.price >= self.limit:
                limit_reached = True

        return (stop_reached, limit_reached, sl_stop_reached)

    def handle_split(self, split_event):
        ratio = split_event.ratio

        # update the amount, limit_price, and stop_price
        # by the split's ratio

        # info here: http://finra.complinet.com/en/display/display_plain.html?
        # rbid=2403&element_id=8950&record_id=12208&print=1

        # new_share_amount = old_share_amount / ratio
        # new_price = old_price * ratio

        self.amount = int(self.amount / ratio)

        if self.limit is not None:
            self.limit = round(self.limit * ratio, 2)

        if self.stop is not None:
            self.stop = round(self.stop * ratio, 2)

    @property
    def status(self):
        if not self.open_amount:
            return ORDER_STATUS.FILLED
        elif self._status == ORDER_STATUS.HELD and self.filled:
            return ORDER_STATUS.OPEN
        else:
            return self._status

    @status.setter
    def status(self, status):
        self._status = status

    def cancel(self):
        self.status = ORDER_STATUS.CANCELLED

    def reject(self, reason=''):
        self.status = ORDER_STATUS.REJECTED
        self.reason = reason

    def hold(self, reason=''):
        self.status = ORDER_STATUS.HELD
        self.reason = reason

    @property
    def open(self):
        return self.status in [ORDER_STATUS.OPEN, ORDER_STATUS.HELD]

    @property
    def triggered(self):
        """
        For a market order, True.
        For a stop order, True IFF stop_reached.
        For a limit order, True IFF limit_reached.
        """
        if self.stop is not None and not self.stop_reached:
            return False

        if self.limit is not None and not self.limit_reached:
            return False

        return True

    @property
    def open_amount(self):
        return self.amount - self.filled

    def __repr__(self):
        """
        String representation for this object.
        """
        return "Order(%s)" % self.to_dict().__repr__()

    def __unicode__(self):
        """
        Unicode representation for this object.
        """
        return text_type(repr(self))

    def __getstate__(self):

        state_dict = \
            {k: v for k, v in iteritems(self.__dict__)
                if not k.startswith('_')}

        state_dict['_status'] = self._status

        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("Order saved state is too old.")

        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			from copy import copy
16			import math
17			import uuid
18
19			from six import text_type, iteritems
20
21			import zipline.protocol as zp
22			from zipline.utils.serialization_utils import VERSION_LABEL
23			from zipline.utils.enum import enum
24
25			ORDER_STATUS = enum(
26			'OPEN',
27			'FILLED',
28			'CANCELLED',
29			'REJECTED',
30			'HELD',
31			)
32
33			SELL = 1 << 0
34			BUY = 1 << 1
35			STOP = 1 << 2
36			LIMIT = 1 << 3
37
38
39			class Order(object):
40			def __init__(self, dt, sid, amount, stop=None, limit=None, filled=0,
41			commission=None, id=None):
42			"""
43			@dt - datetime.datetime that the order was placed
44			@sid - stock sid of the order
45			@amount - the number of shares to buy/sell
46			a positive sign indicates a buy
47			a negative sign indicates a sell
48			@filled - how many shares of the order have been filled so far
49			"""
50			# get a string representation of the uuid.
51			self.id = id or self.make_id()
52			self.dt = dt
53			self.reason = None
54			self.created = dt
55			self.sid = sid
56			self.amount = amount
57			self.filled = filled
58			self.commission = commission
59			self._status = ORDER_STATUS.OPEN
60			self.stop = stop
61			self.limit = limit
62			self.stop_reached = False
63			self.limit_reached = False
64			self.direction = math.copysign(1, self.amount)
65			self.type = zp.DATASOURCE_TYPE.ORDER
66
67			def make_id(self):
68			return uuid.uuid4().hex
69
70			def to_dict(self):
71			py = copy(self.__dict__)
72			for field in ['type', 'direction', '_status']:
73			del py[field]
74			py['status'] = self.status
75			return py
76
77			def to_api_obj(self):
78			pydict = self.to_dict()
79			obj = zp.Order(initial_values=pydict)
80			return obj
81
82			def check_triggers(self, event):
83			"""
84			Update internal state based on price triggers and the
85			trade event's price.
86			"""
87			stop_reached, limit_reached, sl_stop_reached = \
88			self.check_order_triggers(event)
89			if (stop_reached, limit_reached) \
90			!= (self.stop_reached, self.limit_reached):
91			self.dt = event.dt
92			self.stop_reached = stop_reached
93			self.limit_reached = limit_reached
94			if sl_stop_reached:
95			# Change the STOP LIMIT order into a LIMIT order
96			self.stop = None
97
98			def check_order_triggers(self, event):
99			"""
100			Given an order and a trade event, return a tuple of
101			(stop_reached, limit_reached).
102			For market orders, will return (False, False).
103			For stop orders, limit_reached will always be False.
104			For limit orders, stop_reached will always be False.
105			For stop limit orders a Boolean is returned to flag
106			that the stop has been reached.
107
108			Orders that have been triggered already (price targets reached),
109			the order's current values are returned.
110			"""
111			if self.triggered:
112			return (self.stop_reached, self.limit_reached, False)
113
114			stop_reached = False
115			limit_reached = False
116			sl_stop_reached = False
117
118			order_type = 0
119
120			if self.amount > 0:
121			order_type \|= BUY
122			else:
123			order_type \|= SELL
124
125			if self.stop is not None:
126			order_type \|= STOP
127
128			if self.limit is not None:
129			order_type \|= LIMIT
130
131			if order_type == BUY \| STOP \| LIMIT:
132			if event.price >= self.stop:
133			sl_stop_reached = True
134			if event.price <= self.limit:
135			limit_reached = True
136			elif order_type == SELL \| STOP \| LIMIT:
137			if event.price <= self.stop:
138			sl_stop_reached = True
139			if event.price >= self.limit:
140			limit_reached = True
141			elif order_type == BUY \| STOP:
142			if event.price >= self.stop:
143			stop_reached = True
144			elif order_type == SELL \| STOP:
145			if event.price <= self.stop:
146			stop_reached = True
147			elif order_type == BUY \| LIMIT:
148			if event.price <= self.limit:
149			limit_reached = True
150			elif order_type == SELL \| LIMIT:
151			# This is a SELL LIMIT order
152			if event.price >= self.limit:
153			limit_reached = True
154
155			return (stop_reached, limit_reached, sl_stop_reached)
156
157			def handle_split(self, split_event):
158			ratio = split_event.ratio
159
160			# update the amount, limit_price, and stop_price
161			# by the split's ratio
162
163			# info here: http://finra.complinet.com/en/display/display_plain.html?
164			# rbid=2403&element_id=8950&record_id=12208&print=1
165
166			# new_share_amount = old_share_amount / ratio
167			# new_price = old_price * ratio
168
169			self.amount = int(self.amount / ratio)
170
171			if self.limit is not None:
172			self.limit = round(self.limit * ratio, 2)
173
174			if self.stop is not None:
175			self.stop = round(self.stop * ratio, 2)
176
177			@property
178			def status(self):
179			if not self.open_amount:
180			return ORDER_STATUS.FILLED
181			elif self._status == ORDER_STATUS.HELD and self.filled:
182			return ORDER_STATUS.OPEN
183			else:
184			return self._status
185
186			@status.setter
187			def status(self, status):
188			self._status = status
189
190			def cancel(self):
191			self.status = ORDER_STATUS.CANCELLED
192
193			def reject(self, reason=''):
194			self.status = ORDER_STATUS.REJECTED
195			self.reason = reason
196
197			def hold(self, reason=''):
198			self.status = ORDER_STATUS.HELD
199			self.reason = reason
200
201			@property
202			def open(self):
203			return self.status in [ORDER_STATUS.OPEN, ORDER_STATUS.HELD]
204
205			@property
206			def triggered(self):
207			"""
208			For a market order, True.
209			For a stop order, True IFF stop_reached.
210			For a limit order, True IFF limit_reached.
211			"""
212			if self.stop is not None and not self.stop_reached:
213			return False
214
215			if self.limit is not None and not self.limit_reached:
216			return False
217
218			return True
219
220			@property
221			def open_amount(self):
222			return self.amount - self.filled
223
224			def __repr__(self):
225			"""
226			String representation for this object.
227			"""
228			return "Order(%s)" % self.to_dict().__repr__()
229
230			def __unicode__(self):
231			"""
232			Unicode representation for this object.
233			"""
234			return text_type(repr(self))
235
236			def __getstate__(self):
237
238			state_dict = \
239			{k: v for k, v in iteritems(self.__dict__)
240			if not k.startswith('_')}
241
242			state_dict['_status'] = self._status
243
244			STATE_VERSION = 1
245			state_dict[VERSION_LABEL] = STATE_VERSION
246
247			return state_dict
248
249			def __setstate__(self, state):
250
251			OLDEST_SUPPORTED_STATE = 1
252			version = state.pop(VERSION_LABEL)
253
254			if version < OLDEST_SUPPORTED_STATE:
255			raise BaseException("Order saved state is too old.")
256
257			self.__dict__.update(state)
258

quantopian / zipline

Pull Request — master (#914)

zipline.finance.Order.check_order_triggers() F

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