zipline.finance.SlippageModel.process_order() - 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.SlippageModel.process_order() A

↳ Parent: zipline.finance.SlippageModel

Complexity

Conditions

Size

Total Lines

Duplication

Lines	0
Ratio	0 %

Metric	Value
cc	1
dl	0
loc	3
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 __future__ import division

import abc

import math

from copy import copy
from functools import partial

from six import with_metaclass

from zipline.finance.transaction import create_transaction
from zipline.utils.serialization_utils import (
    VERSION_LABEL
)

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


def transact_stub(slippage, commission, event, open_orders):
    """
    This is intended to be wrapped in a partial, so that the
    slippage and commission models can be enclosed.
    """
    for order, transaction in slippage(event, open_orders):
        if transaction and transaction.amount != 0:
            direction = math.copysign(1, transaction.amount)
            per_share, total_commission = commission.calculate(transaction)
            transaction.price += per_share * direction
            transaction.commission = total_commission
        yield order, transaction


def transact_partial(slippage, commission):
    return partial(transact_stub, slippage, commission)


class LiquidityExceeded(Exception):
    pass


class SlippageModel(with_metaclass(abc.ABCMeta)):

    @property
    def volume_for_bar(self):
        return self._volume_for_bar

    @abc.abstractproperty
    def process_order(self, event, order):
        pass

    def simulate(self, event, current_orders):

        self._volume_for_bar = 0

        for order in current_orders:

            if order.open_amount == 0:
                continue

            order.check_triggers(event)
            if not order.triggered:
                continue

            try:
                txn = self.process_order(event, order)
            except LiquidityExceeded:
                break

            if txn:
                self._volume_for_bar += abs(txn.amount)
                yield order, txn

    def __call__(self, event, current_orders, **kwargs):
        return self.simulate(event, current_orders, **kwargs)


class VolumeShareSlippage(SlippageModel):

    def __init__(self,
                 volume_limit=.25,
                 price_impact=0.1):

        self.volume_limit = volume_limit
        self.price_impact = price_impact

    def __repr__(self):
        return """
{class_name}(
    volume_limit={volume_limit},
    price_impact={price_impact})
""".strip().format(class_name=self.__class__.__name__,
                   volume_limit=self.volume_limit,
                   price_impact=self.price_impact)

    def process_order(self, event, order):

        max_volume = self.volume_limit * event.volume

        # price impact accounts for the total volume of transactions
        # created against the current minute bar
        remaining_volume = max_volume - self.volume_for_bar
        if remaining_volume < 1:
            # we can't fill any more transactions
            raise LiquidityExceeded()

        # the current order amount will be the min of the
        # volume available in the bar or the open amount.
        cur_volume = int(min(remaining_volume, abs(order.open_amount)))

        if cur_volume < 1:
            return

        # tally the current amount into our total amount ordered.
        # total amount will be used to calculate price impact
        total_volume = self.volume_for_bar + cur_volume

        volume_share = min(total_volume / event.volume,
                           self.volume_limit)

        simulated_impact = volume_share ** 2 \
            * math.copysign(self.price_impact, order.direction) \
            * event.price
        impacted_price = event.price + simulated_impact

        if order.limit:
            # this is tricky! if an order with a limit price has reached
            # the limit price, we will try to fill the order. do not fill
            # these shares if the impacted price is worse than the limit
            # price. return early to avoid creating the transaction.

            # buy order is worse if the impacted price is greater than
            # the limit price. sell order is worse if the impacted price
            # is less than the limit price
            if (order.direction > 0 and impacted_price > order.limit) or \
                    (order.direction < 0 and impacted_price < order.limit):
                return

        return create_transaction(
            event,
            order,
            impacted_price,
            math.copysign(cur_volume, order.direction)
        )

    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("VolumeShareSlippage saved state is too old.")

        self.__dict__.update(state)


class FixedSlippage(SlippageModel):

    def __init__(self, spread=0.0):
        """
        Use the fixed slippage model, which will just add/subtract
        a specified spread spread/2 will be added on buys and subtracted
        on sells per share
        """
        self.spread = spread

    def process_order(self, event, order):
        return create_transaction(
            event,
            order,
            event.price + (self.spread / 2.0 * order.direction),
            order.amount,
        )

    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("FixedSlippage 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 __future__ import division
16
17			import abc
18
19			import math
20
21			from copy import copy
22			from functools import partial
23
24			from six import with_metaclass
25
26			from zipline.finance.transaction import create_transaction
27			from zipline.utils.serialization_utils import (
28			VERSION_LABEL
29			)
30
31			SELL = 1 << 0
32			BUY = 1 << 1
33			STOP = 1 << 2
34			LIMIT = 1 << 3
35
36
37			def transact_stub(slippage, commission, event, open_orders):
38			"""
39			This is intended to be wrapped in a partial, so that the
40			slippage and commission models can be enclosed.
41			"""
42			for order, transaction in slippage(event, open_orders):
43			if transaction and transaction.amount != 0:
44			direction = math.copysign(1, transaction.amount)
45			per_share, total_commission = commission.calculate(transaction)
46			transaction.price += per_share * direction
47			transaction.commission = total_commission
48			yield order, transaction
49
50
51			def transact_partial(slippage, commission):
52			return partial(transact_stub, slippage, commission)
53
54
55			class LiquidityExceeded(Exception):
56			pass
57
58
59			class SlippageModel(with_metaclass(abc.ABCMeta)):
60
61			@property
62			def volume_for_bar(self):
63			return self._volume_for_bar
64
65			@abc.abstractproperty
66			def process_order(self, event, order):
67			pass
68
69			def simulate(self, event, current_orders):
70
71			self._volume_for_bar = 0
72
73			for order in current_orders:
74
75			if order.open_amount == 0:
76			continue
77
78			order.check_triggers(event)
79			if not order.triggered:
80			continue
81
82			try:
83			txn = self.process_order(event, order)
84			except LiquidityExceeded:
85			break
86
87			if txn:
88			self._volume_for_bar += abs(txn.amount)
89			yield order, txn
90
91			def __call__(self, event, current_orders, **kwargs):
92			return self.simulate(event, current_orders, **kwargs)
93
94
95			class VolumeShareSlippage(SlippageModel):
96
97			def __init__(self,
98			volume_limit=.25,
99			price_impact=0.1):
100
101			self.volume_limit = volume_limit
102			self.price_impact = price_impact
103
104			def __repr__(self):
105			return """
106			{class_name}(
107			volume_limit={volume_limit},
108			price_impact={price_impact})
109			""".strip().format(class_name=self.__class__.__name__,
110			volume_limit=self.volume_limit,
111			price_impact=self.price_impact)
112
113			def process_order(self, event, order):
114
115			max_volume = self.volume_limit * event.volume
116
117			# price impact accounts for the total volume of transactions
118			# created against the current minute bar
119			remaining_volume = max_volume - self.volume_for_bar
120			if remaining_volume < 1:
121			# we can't fill any more transactions
122			raise LiquidityExceeded()
123
124			# the current order amount will be the min of the
125			# volume available in the bar or the open amount.
126			cur_volume = int(min(remaining_volume, abs(order.open_amount)))
127
128			if cur_volume < 1:
129			return
130
131			# tally the current amount into our total amount ordered.
132			# total amount will be used to calculate price impact
133			total_volume = self.volume_for_bar + cur_volume
134
135			volume_share = min(total_volume / event.volume,
136			self.volume_limit)
137
138			simulated_impact = volume_share ** 2 \
139			* math.copysign(self.price_impact, order.direction) \
140			* event.price
141			impacted_price = event.price + simulated_impact
142
143			if order.limit:
144			# this is tricky! if an order with a limit price has reached
145			# the limit price, we will try to fill the order. do not fill
146			# these shares if the impacted price is worse than the limit
147			# price. return early to avoid creating the transaction.
148
149			# buy order is worse if the impacted price is greater than
150			# the limit price. sell order is worse if the impacted price
151			# is less than the limit price
152			if (order.direction > 0 and impacted_price > order.limit) or \
153			(order.direction < 0 and impacted_price < order.limit):
154			return
155
156			return create_transaction(
157			event,
158			order,
159			impacted_price,
160			math.copysign(cur_volume, order.direction)
161			)
162
163			def __getstate__(self):
164
165			state_dict = copy(self.__dict__)
166
167			STATE_VERSION = 1
168			state_dict[VERSION_LABEL] = STATE_VERSION
169
170			return state_dict
171
172			def __setstate__(self, state):
173
174			OLDEST_SUPPORTED_STATE = 1
175			version = state.pop(VERSION_LABEL)
176
177			if version < OLDEST_SUPPORTED_STATE:
178			raise BaseException("VolumeShareSlippage saved state is too old.")
179
180			self.__dict__.update(state)
181
182
183			class FixedSlippage(SlippageModel):
184
185			def __init__(self, spread=0.0):
186			"""
187			Use the fixed slippage model, which will just add/subtract
188			a specified spread spread/2 will be added on buys and subtracted
189			on sells per share
190			"""
191			self.spread = spread
192
193			def process_order(self, event, order):
194			return create_transaction(
195			event,
196			order,
197			event.price + (self.spread / 2.0 * order.direction),
198			order.amount,
199			)
200
201			def __getstate__(self):
202
203			state_dict = copy(self.__dict__)
204
205			STATE_VERSION = 1
206			state_dict[VERSION_LABEL] = STATE_VERSION
207
208			return state_dict
209
210			def __setstate__(self, state):
211
212			OLDEST_SUPPORTED_STATE = 1
213			version = state.pop(VERSION_LABEL)
214
215			if version < OLDEST_SUPPORTED_STATE:
216			raise BaseException("FixedSlippage saved state is too old.")
217
218			self.__dict__.update(state)
219

quantopian / zipline

Pull Request — master (#914)

zipline.finance.SlippageModel.process_order() A

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