zipline.utils.TradingDayOfWeekRule.__init__() - 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 2015-12-03 17:53 UTC

zipline.utils.TradingDayOfWeekRule.init() A

↳ Parent: zipline.utils.TradingDayOfWeekRule

Complexity

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Metric	Value
cc	2
dl	0
loc	9
rs	9.6667

#
# Copyright 2014 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 abc import ABCMeta, abstractmethod
from collections import namedtuple
import six

import datetime
import pandas as pd
import pytz

from .context_tricks import nop_context


__all__ = [
    'EventManager',
    'Event',
    'EventRule',
    'StatelessRule',
    'ComposedRule',
    'Always',
    'Never',
    'AfterOpen',
    'BeforeClose',
    'NotHalfDay',
    'NthTradingDayOfWeek',
    'NDaysBeforeLastTradingDayOfWeek',
    'NthTradingDayOfMonth',
    'NDaysBeforeLastTradingDayOfMonth',
    'StatefulRule',
    'OncePerDay',

    # Factory API
    'DateRuleFactory',
    'TimeRuleFactory',
    'date_rules',
    'time_rules',
    'make_eventrule',
]


MAX_MONTH_RANGE = 26
MAX_WEEK_RANGE = 5


def naive_to_utc(ts):
    """
    Converts a UTC tz-naive timestamp to a tz-aware timestamp.
    """
    # Drop the nanoseconds field. warn=False suppresses the warning
    # that we are losing the nanoseconds; however, this is intended.
    return pd.Timestamp(ts.to_pydatetime(warn=False), tz='UTC')


def ensure_utc(time, tz='UTC'):
    """
    Normalize a time. If the time is tz-naive, assume it is UTC.
    """
    if not time.tzinfo:
        time = time.replace(tzinfo=pytz.timezone(tz))
    return time.replace(tzinfo=pytz.utc)


def _coerce_datetime(maybe_dt):
    if isinstance(maybe_dt, datetime.datetime):
        return maybe_dt
    elif isinstance(maybe_dt, datetime.date):
        return datetime.datetime(
            year=maybe_dt.year,
            month=maybe_dt.month,
            day=maybe_dt.day,
            tzinfo=pytz.utc,
        )
    elif isinstance(maybe_dt, (tuple, list)) and len(maybe_dt) == 3:
        year, month, day = maybe_dt
        return datetime.datetime(
            year=year,
            month=month,
            day=day,
            tzinfo=pytz.utc,
        )
    else:
        raise TypeError('Cannot coerce %s into a datetime.datetime'
                        % type(maybe_dt).__name__)


def _out_of_range_error(a, b=None, var='offset'):
    start = 0
    if b is None:
        end = a - 1
    else:
        start = a
        end = b - 1
    return ValueError(
        '{var} must be in between {start} and {end} inclusive'.format(
            var=var,
            start=start,
            end=end,
        )
    )


def _td_check(td):
    seconds = td.total_seconds()

    # 23400 seconds is 6 hours and 30 minutes.
    if 60 <= seconds <= 23400:
        return td
    else:
        raise ValueError('offset must be in between 1 minute and 6 hours and'
                         ' 30 minutes inclusive')


def _build_offset(offset, kwargs, default):
    """
    Builds the offset argument for event rules.
    """
    if offset is None:
        if not kwargs:
            return default  # use the default.
        else:
            return _td_check(datetime.timedelta(**kwargs))
    elif kwargs:
        raise ValueError('Cannot pass kwargs and an offset')
    elif isinstance(offset, datetime.timedelta):
        return _td_check(offset)
    else:
        raise TypeError("Must pass 'hours' and/or 'minutes' as keywords")


def _build_date(date, kwargs):
    """
    Builds the date argument for event rules.
    """
    if date is None:
        if not kwargs:
            raise ValueError('Must pass a date or kwargs')
        else:
            return datetime.date(**kwargs)

    elif kwargs:
        raise ValueError('Cannot pass kwargs and a date')
    else:
        return date


def _build_time(time, kwargs):
    """
    Builds the time argument for event rules.
    """
    tz = kwargs.pop('tz', 'UTC')
    if time:
        if kwargs:
            raise ValueError('Cannot pass kwargs and a time')
        else:
            return ensure_utc(time, tz)
    elif not kwargs:
        raise ValueError('Must pass a time or kwargs')
    else:
        return datetime.time(**kwargs)


class EventManager(object):
    """Manages a list of Event objects.
    This manages the logic for checking the rules and dispatching to the
    handle_data function of the Events.

    Parameters
    ----------
    create_context : (BarData) -> context manager, optional
        An optional callback to produce a context manager to wrap the calls
        to handle_data. This will be passed the current BarData.
    """
    def __init__(self, create_context=None):
        self._events = []
        self._create_context = (
            create_context
            if create_context is not None else
            lambda *_: nop_context
        )

    def add_event(self, event, prepend=False):
        """
        Adds an event to the manager.
        """
        if prepend:
            self._events.insert(0, event)
        else:
            self._events.append(event)

    def handle_data(self, context, data, dt):
        with self._create_context(data):
            for event in self._events:
                event.handle_data(
                    context,
                    data,
                    dt,
                    context.trading_environment,
                )


class Event(namedtuple('Event', ['rule', 'callback'])):
    """
    An event is a pairing of an EventRule and a callable that will be invoked
    with the current algorithm context, data, and datetime only when the rule
    is triggered.
    """
    def __new__(cls, rule=None, callback=None):
        callback = callback or (lambda *args, **kwargs: None)
        return super(cls, cls).__new__(cls, rule=rule, callback=callback)

    def handle_data(self, context, data, dt, env):
        """
        Calls the callable only when the rule is triggered.
        """
        if self.rule.should_trigger(dt, env):
            self.callback(context, data)


class EventRule(six.with_metaclass(ABCMeta)):
    @abstractmethod
    def should_trigger(self, dt, env):
        """
        Checks if the rule should trigger with its current state.
        This method should be pure and NOT mutate any state on the object.
        """
        raise NotImplementedError('should_trigger')


class StatelessRule(EventRule):
    """
    A stateless rule has no state.
    This is reentrant and will always give the same result for the
    same datetime.
    Because these are pure, they can be composed to create new rules.
    """
    def and_(self, rule):
        """
        Logical and of two rules, triggers only when both rules trigger.
        This follows the short circuiting rules for normal and.
        """
        return ComposedRule(self, rule, ComposedRule.lazy_and)
    __and__ = and_


class ComposedRule(StatelessRule):
    """
    A rule that composes the results of two rules with some composing function.
    The composing function should be a binary function that accepts the results
    first(dt) and second(dt) as positional arguments.
    For example, operator.and_.
    If lazy=True, then the lazy composer is used instead. The lazy composer
    expects a function that takes the two should_trigger functions and the
    datetime. This is useful of you don't always want to call should_trigger
    for one of the rules. For example, this is used to implement the & and |
    operators so that they will have the same short circuit logic that is
    expected.
    """
    def __init__(self, first, second, composer):
        if not (isinstance(first, StatelessRule) and
                isinstance(second, StatelessRule)):
            raise ValueError('Only two StatelessRules can be composed')

        self.first = first
        self.second = second
        self.composer = composer

    def should_trigger(self, dt, env):
        """
        Composes the two rules with a lazy composer.
        """
        return self.composer(
            self.first.should_trigger,
            self.second.should_trigger,
            dt,
            env
        )

    @staticmethod
    def lazy_and(first_should_trigger, second_should_trigger, dt, env):
        """
        Lazily ands the two rules. This will NOT call the should_trigger of the
        second rule if the first one returns False.
        """
        return first_should_trigger(dt, env) and second_should_trigger(dt, env)


class Always(StatelessRule):
    """
    A rule that always triggers.
    """
    @staticmethod
    def always_trigger(dt, env):
        """
        A should_trigger implementation that will always trigger.
        """
        return True
    should_trigger = always_trigger


class Never(StatelessRule):
    """
    A rule that never triggers.
    """
    @staticmethod
    def never_trigger(dt, env):
        """
        A should_trigger implementation that will never trigger.
        """
        return False
    should_trigger = never_trigger


class AfterOpen(StatelessRule):

    """
    A rule that triggers for some offset after the market opens.
    Example that triggers after 30 minutes of the market opening:

    >>> AfterOpen(minutes=30)
    """
    def __init__(self, offset=None, **kwargs):
        self.offset = _build_offset(
            offset,
            kwargs,
            datetime.timedelta(minutes=1),  # Defaults to the first minute.
        )

        self._next_period_start = None
        self._next_period_end = None

        self._one_minute = datetime.timedelta(minutes=1)

    def calculate_dates(self, dt, env):
        # given a dt, find that day's open and period end (open + offset)
        self._next_period_start = env.get_open_and_close(dt)[0]
        self._next_period_end = \
            self._next_period_start + self.offset - self._one_minute

    def should_trigger(self, dt, env):
        if self._next_period_start is None:
            self.calculate_dates(dt, env)

        if self._next_period_start <= dt < self._next_period_end:
            # haven't made it past the offset yet
            return False
        else:
            if dt >= self._next_period_end:
                self.calculate_dates(env.next_trading_day(dt), env)

            return True


class BeforeClose(StatelessRule):

    """
    A rule that triggers for some offset time before the market closes.
    Example that triggers for the last 30 minutes every day:

    >>> BeforeClose(minutes=30)
    """
    def __init__(self, offset=None, **kwargs):
        self.offset = _build_offset(
            offset,
            kwargs,
            datetime.timedelta(minutes=1),  # Defaults to the last minute.
        )

        self._next_period_start = None
        self._next_period_end = None

        self._one_minute = datetime.timedelta(minutes=1)

    def calculate_dates(self, dt, env):
        # given a dt, find that day's close and period start (close - offset)
        self._next_period_end = env.get_open_and_close(dt)[1]
        self._next_period_start = \
            self._next_period_end - self.offset - self._one_minute

    def should_trigger(self, dt, env):
        if self._next_period_start is None:
            self.calculate_dates(dt, env)

        if dt <= self._next_period_start:
            return False
        else:
            if dt > self._next_period_end:
                self.calculate_dates(env.next_trading_day(dt), env)

            return True


class NotHalfDay(StatelessRule):
    """
    A rule that only triggers when it is not a half day.
    """
    def should_trigger(self, dt, env):
        return dt.date() not in env.early_closes


class TradingDayOfWeekRule(six.with_metaclass(ABCMeta, StatelessRule)):
    def __init__(self, n=0):
        if not 0 <= abs(n) < MAX_WEEK_RANGE:
            raise _out_of_range_error(MAX_WEEK_RANGE)

        self.td_delta = n

        self.next_date_start = None
        self.next_date_end = None
        self.next_midnight_timestamp = None

    @abstractmethod
    def date_func(self, dt, env):
        raise NotImplementedError

    def calculate_start_and_end(self, dt, env):
        next_trading_day = _coerce_datetime(
            env.add_trading_days(
                self.td_delta,
                self.date_func(dt, env),
            )
        )

        next_open, next_close = env.get_open_and_close(next_trading_day)
        self.next_date_start = next_open
        self.next_date_end = next_close
        self.next_midnight_timestamp = \
            pd.Timestamp(next_trading_day.date(), tz='UTC')

    def should_trigger(self, dt, env):
        if self.next_date_start is None:
            # first time this method has been called.  calculate the midnight,
            # open, and close of the next matching day.
            self.calculate_start_and_end(dt, env)

        # if the next matching day is in the past, calculate the next one.
        if dt > self.next_date_end:
            self.calculate_start_and_end(dt + datetime.timedelta(days=7),
                                         env)

        # if the given dt is within the next matching day, return true.
        if self.next_date_start <= dt <= self.next_date_end or \
                dt == self.next_midnight_timestamp:
            return True

        return False


class NthTradingDayOfWeek(TradingDayOfWeekRule):
    """
    A rule that triggers on the nth trading day of the week.
    This is zero-indexed, n=0 is the first trading day of the week.
    """
    @staticmethod
    def get_first_trading_day_of_week(dt, env):
        prev = dt
        dt = env.previous_trading_day(dt)
        while dt.date().weekday() < prev.date().weekday():
            prev = dt
            dt = env.previous_trading_day(dt)
        return prev.date()

    date_func = get_first_trading_day_of_week


class NDaysBeforeLastTradingDayOfWeek(TradingDayOfWeekRule):
    """
    A rule that triggers n days before the last trading day of the week.
    """
    def __init__(self, n):
        super(NDaysBeforeLastTradingDayOfWeek, self).__init__(-n)

    @staticmethod
    def get_last_trading_day_of_week(dt, env):
        prev = dt
        dt = env.next_trading_day(dt)
        # Traverse forward until we hit a week border, then jump back to the
        # previous trading day.
        while dt.date().weekday() > prev.date().weekday():
            prev = dt
            dt = env.next_trading_day(dt)
        return prev.date()

    date_func = get_last_trading_day_of_week


class NthTradingDayOfMonth(StatelessRule):
    """
    A rule that triggers on the nth trading day of the month.
    This is zero-indexed, n=0 is the first trading day of the month.
    """
    def __init__(self, n=0):
        if not 0 <= n < MAX_MONTH_RANGE:
            raise _out_of_range_error(MAX_MONTH_RANGE)
        self.td_delta = n
        self.month = None
        self.day = None

    def should_trigger(self, dt, env):
        return self.get_nth_trading_day_of_month(dt, env) == dt.date()

    def get_nth_trading_day_of_month(self, dt, env):
        if self.month == dt.month:
            # We already computed the day for this month.
            return self.day

        if not self.td_delta:
            self.day = self.get_first_trading_day_of_month(dt, env)
        else:
            self.day = env.add_trading_days(
                self.td_delta,
                self.get_first_trading_day_of_month(dt, env),
            ).date()

        return self.day

    def get_first_trading_day_of_month(self, dt, env):
        self.month = dt.month

        dt = dt.replace(day=1)
        self.first_day = (dt if env.is_trading_day(dt)
                          else env.next_trading_day(dt)).date()
        return self.first_day


class NDaysBeforeLastTradingDayOfMonth(StatelessRule):
    """
    A rule that triggers n days before the last trading day of the month.
    """
    def __init__(self, n=0):
        if not 0 <= n < MAX_MONTH_RANGE:
            raise _out_of_range_error(MAX_MONTH_RANGE)
        self.td_delta = -n
        self.month = None
        self.day = None

    def should_trigger(self, dt, env):
        return self.get_nth_to_last_trading_day_of_month(dt, env) == dt.date()

    def get_nth_to_last_trading_day_of_month(self, dt, env):
        if self.month == dt.month:
            # We already computed the last day for this month.
            return self.day

        if not self.td_delta:
            self.day = self.get_last_trading_day_of_month(dt, env)
        else:
            self.day = env.add_trading_days(
                self.td_delta,
                self.get_last_trading_day_of_month(dt, env),
            ).date()

        return self.day

    def get_last_trading_day_of_month(self, dt, env):
        self.month = dt.month

        if dt.month == 12:
            # Roll the year forward and start in January.
            year = dt.year + 1
            month = 1
        else:
            # Increment the month in the same year.
            year = dt.year
            month = dt.month + 1

        self.last_day = env.previous_trading_day(
            dt.replace(year=year, month=month, day=1)
        ).date()
        return self.last_day


# Stateful rules


class StatefulRule(EventRule):
    """
    A stateful rule has state.
    This rule will give different results for the same datetimes depending
    on the internal state that this holds.
    StatefulRules wrap other rules as state transformers.
    """
    def __init__(self, rule=None):
        self.rule = rule or Always()

    def new_should_trigger(self, callable_):
        """
        Replace the should trigger implementation for the current rule.
        """
        self.should_trigger = callable_


class OncePerDay(StatefulRule):
    def __init__(self, rule=None):
        self.triggered = False

        self.date = None
        self.next_date = None

        super(OncePerDay, self).__init__(rule)

    def should_trigger(self, dt, env):
        if self.date is None or dt >= self.next_date:
            # initialize or reset for new date
            self.triggered = False
            self.date = dt

            # record the timestamp for the next day, so that we can use it
            # to know if we've moved to the next day
            self.next_date = dt + pd.Timedelta(1, unit="d")

        if not self.triggered and self.rule.should_trigger(dt, env):
            self.triggered = True
            return True


# Factory API

class DateRuleFactory(object):
    every_day = Always

    @staticmethod
    def month_start(days_offset=0):
        return NthTradingDayOfMonth(n=days_offset)

    @staticmethod
    def month_end(days_offset=0):
        return NDaysBeforeLastTradingDayOfMonth(n=days_offset)

    @staticmethod
    def week_start(days_offset=0):
        return NthTradingDayOfWeek(n=days_offset)

    @staticmethod
    def week_end(days_offset=0):
        return NDaysBeforeLastTradingDayOfWeek(n=days_offset)


class TimeRuleFactory(object):
    market_open = AfterOpen
    market_close = BeforeClose


# Convenience aliases.
date_rules = DateRuleFactory
time_rules = TimeRuleFactory


def make_eventrule(date_rule, time_rule, half_days=True):
    """
    Constructs an event rule from the factory api.
    """
    if half_days:
        inner_rule = date_rule & time_rule
    else:
        inner_rule = date_rule & time_rule & NotHalfDay()

    return OncePerDay(rule=inner_rule)


1			#
2			# Copyright 2014 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 abc import ABCMeta, abstractmethod
16			from collections import namedtuple
17			import six
18
19			import datetime
20			import pandas as pd
21			import pytz
22
23			from .context_tricks import nop_context
24
25
26			__all__ = [
27			'EventManager',
28			'Event',
29			'EventRule',
30			'StatelessRule',
31			'ComposedRule',
32			'Always',
33			'Never',
34			'AfterOpen',
35			'BeforeClose',
36			'NotHalfDay',
37			'NthTradingDayOfWeek',
38			'NDaysBeforeLastTradingDayOfWeek',
39			'NthTradingDayOfMonth',
40			'NDaysBeforeLastTradingDayOfMonth',
41			'StatefulRule',
42			'OncePerDay',
43
44			# Factory API
45			'DateRuleFactory',
46			'TimeRuleFactory',
47			'date_rules',
48			'time_rules',
49			'make_eventrule',
50			]
51
52
53			MAX_MONTH_RANGE = 26
54			MAX_WEEK_RANGE = 5
55
56
57			def naive_to_utc(ts):
58			"""
59			Converts a UTC tz-naive timestamp to a tz-aware timestamp.
60			"""
61			# Drop the nanoseconds field. warn=False suppresses the warning
62			# that we are losing the nanoseconds; however, this is intended.
63			return pd.Timestamp(ts.to_pydatetime(warn=False), tz='UTC')
64
65
66			def ensure_utc(time, tz='UTC'):
67			"""
68			Normalize a time. If the time is tz-naive, assume it is UTC.
69			"""
70			if not time.tzinfo:
71			time = time.replace(tzinfo=pytz.timezone(tz))
72			return time.replace(tzinfo=pytz.utc)
73
74
75			def _coerce_datetime(maybe_dt):
76			if isinstance(maybe_dt, datetime.datetime):
77			return maybe_dt
78			elif isinstance(maybe_dt, datetime.date):
79			return datetime.datetime(
80			year=maybe_dt.year,
81			month=maybe_dt.month,
82			day=maybe_dt.day,
83			tzinfo=pytz.utc,
84			)
85			elif isinstance(maybe_dt, (tuple, list)) and len(maybe_dt) == 3:
86			year, month, day = maybe_dt
87			return datetime.datetime(
88			year=year,
89			month=month,
90			day=day,
91			tzinfo=pytz.utc,
92			)
93			else:
94			raise TypeError('Cannot coerce %s into a datetime.datetime'
95			% type(maybe_dt).__name__)
96
97
98			def _out_of_range_error(a, b=None, var='offset'):
99			start = 0
100			if b is None:
101			end = a - 1
102			else:
103			start = a
104			end = b - 1
105			return ValueError(
106			'{var} must be in between {start} and {end} inclusive'.format(
107			var=var,
108			start=start,
109			end=end,
110			)
111			)
112
113
114			def _td_check(td):
115			seconds = td.total_seconds()
116
117			# 23400 seconds is 6 hours and 30 minutes.
118			if 60 <= seconds <= 23400:
119			return td
120			else:
121			raise ValueError('offset must be in between 1 minute and 6 hours and'
122			' 30 minutes inclusive')
123
124
125			def _build_offset(offset, kwargs, default):
126			"""
127			Builds the offset argument for event rules.
128			"""
129			if offset is None:
130			if not kwargs:
131			return default # use the default.
132			else:
133			return _td_check(datetime.timedelta(**kwargs))
134			elif kwargs:
135			raise ValueError('Cannot pass kwargs and an offset')
136			elif isinstance(offset, datetime.timedelta):
137			return _td_check(offset)
138			else:
139			raise TypeError("Must pass 'hours' and/or 'minutes' as keywords")
140
141
142			def _build_date(date, kwargs):
143			"""
144			Builds the date argument for event rules.
145			"""
146			if date is None:
147			if not kwargs:
148			raise ValueError('Must pass a date or kwargs')
149			else:
150			return datetime.date(**kwargs)
151
152			elif kwargs:
153			raise ValueError('Cannot pass kwargs and a date')
154			else:
155			return date
156
157
158			def _build_time(time, kwargs):
159			"""
160			Builds the time argument for event rules.
161			"""
162			tz = kwargs.pop('tz', 'UTC')
163			if time:
164			if kwargs:
165			raise ValueError('Cannot pass kwargs and a time')
166			else:
167			return ensure_utc(time, tz)
168			elif not kwargs:
169			raise ValueError('Must pass a time or kwargs')
170			else:
171			return datetime.time(**kwargs)
172
173
174			class EventManager(object):
175			"""Manages a list of Event objects.
176			This manages the logic for checking the rules and dispatching to the
177			handle_data function of the Events.
178
179			Parameters
180			----------
181			create_context : (BarData) -> context manager, optional
182			An optional callback to produce a context manager to wrap the calls
183			to handle_data. This will be passed the current BarData.
184			"""
185			def __init__(self, create_context=None):
186			self._events = []
187			self._create_context = (
188			create_context
189			if create_context is not None else
190			lambda *_: nop_context
191			)
192
193			def add_event(self, event, prepend=False):
194			"""
195			Adds an event to the manager.
196			"""
197			if prepend:
198			self._events.insert(0, event)
199			else:
200			self._events.append(event)
201
202			def handle_data(self, context, data, dt):
203			with self._create_context(data):
204			for event in self._events:
205			event.handle_data(
206			context,
207			data,
208			dt,
209			context.trading_environment,
210			)
211
212
213			class Event(namedtuple('Event', ['rule', 'callback'])):
214			"""
215			An event is a pairing of an EventRule and a callable that will be invoked
216			with the current algorithm context, data, and datetime only when the rule
217			is triggered.
218			"""
219			def __new__(cls, rule=None, callback=None):
220			callback = callback or (lambda args, *kwargs: None)
221			return super(cls, cls).__new__(cls, rule=rule, callback=callback)
222
223			def handle_data(self, context, data, dt, env):
224			"""
225			Calls the callable only when the rule is triggered.
226			"""
227			if self.rule.should_trigger(dt, env):
228			self.callback(context, data)
229
230
231			class EventRule(six.with_metaclass(ABCMeta)):
232			@abstractmethod
233			def should_trigger(self, dt, env):
234			"""
235			Checks if the rule should trigger with its current state.
236			This method should be pure and NOT mutate any state on the object.
237			"""
238			raise NotImplementedError('should_trigger')
239
240
241			class StatelessRule(EventRule):
242			"""
243			A stateless rule has no state.
244			This is reentrant and will always give the same result for the
245			same datetime.
246			Because these are pure, they can be composed to create new rules.
247			"""
248			def and_(self, rule):
249			"""
250			Logical and of two rules, triggers only when both rules trigger.
251			This follows the short circuiting rules for normal and.
252			"""
253			return ComposedRule(self, rule, ComposedRule.lazy_and)
254			__and__ = and_
255
256
257			class ComposedRule(StatelessRule):
258			"""
259			A rule that composes the results of two rules with some composing function.
260			The composing function should be a binary function that accepts the results
261			first(dt) and second(dt) as positional arguments.
262			For example, operator.and_.
263			If lazy=True, then the lazy composer is used instead. The lazy composer
264			expects a function that takes the two should_trigger functions and the
265			datetime. This is useful of you don't always want to call should_trigger
266			for one of the rules. For example, this is used to implement the & and \|
267			operators so that they will have the same short circuit logic that is
268			expected.
269			"""
270			def __init__(self, first, second, composer):
271			if not (isinstance(first, StatelessRule) and
272			isinstance(second, StatelessRule)):
273			raise ValueError('Only two StatelessRules can be composed')
274
275			self.first = first
276			self.second = second
277			self.composer = composer
278
279			def should_trigger(self, dt, env):
280			"""
281			Composes the two rules with a lazy composer.
282			"""
283			return self.composer(
284			self.first.should_trigger,
285			self.second.should_trigger,
286			dt,
287			env
288			)
289
290			@staticmethod
291			def lazy_and(first_should_trigger, second_should_trigger, dt, env):
292			"""
293			Lazily ands the two rules. This will NOT call the should_trigger of the
294			second rule if the first one returns False.
295			"""
296			return first_should_trigger(dt, env) and second_should_trigger(dt, env)
297
298
299			class Always(StatelessRule):
300			"""
301			A rule that always triggers.
302			"""
303			@staticmethod
304			def always_trigger(dt, env):
305			"""
306			A should_trigger implementation that will always trigger.
307			"""
308			return True
309			should_trigger = always_trigger
310
311
312			class Never(StatelessRule):
313			"""
314			A rule that never triggers.
315			"""
316			@staticmethod
317			def never_trigger(dt, env):
318			"""
319			A should_trigger implementation that will never trigger.
320			"""
321			return False
322			should_trigger = never_trigger
323
324
325			class AfterOpen(StatelessRule):
			0 ignored issues – show Duplication introduced 2015-11-23 19:49 UTC by Report Bug Copy Issue Report This code seems to be duplicated in your project. Duplicated code is one of the most pungent code smells. If you need to duplicate the same code in three or more different places, we strongly encourage you to look into extracting the code into a single class or operation. You can also find more detailed suggestions in the “Code” section of your repository. Loading history...
326			"""
327			A rule that triggers for some offset after the market opens.
328			Example that triggers after 30 minutes of the market opening:
329
330			>>> AfterOpen(minutes=30)
331			"""
332			def __init__(self, offset=None, **kwargs):
333			self.offset = _build_offset(
334			offset,
335			kwargs,
336			datetime.timedelta(minutes=1), # Defaults to the first minute.
337			)
338
339			self._next_period_start = None
340			self._next_period_end = None
341
342			self._one_minute = datetime.timedelta(minutes=1)
343
344			def calculate_dates(self, dt, env):
345			# given a dt, find that day's open and period end (open + offset)
346			self._next_period_start = env.get_open_and_close(dt)[0]
347			self._next_period_end = \
348			self._next_period_start + self.offset - self._one_minute
349
350			def should_trigger(self, dt, env):
351			if self._next_period_start is None:
352			self.calculate_dates(dt, env)
353
354			if self._next_period_start <= dt < self._next_period_end:
355			# haven't made it past the offset yet
356			return False
357			else:
358			if dt >= self._next_period_end:
359			self.calculate_dates(env.next_trading_day(dt), env)
360
361			return True
362
363
364			class BeforeClose(StatelessRule):
			0 ignored issues – show Duplication introduced 2015-11-23 19:49 UTC by Report Bug Copy Issue Report This code seems to be duplicated in your project. Duplicated code is one of the most pungent code smells. If you need to duplicate the same code in three or more different places, we strongly encourage you to look into extracting the code into a single class or operation. You can also find more detailed suggestions in the “Code” section of your repository. Loading history...
365			"""
366			A rule that triggers for some offset time before the market closes.
367			Example that triggers for the last 30 minutes every day:
368
369			>>> BeforeClose(minutes=30)
370			"""
371			def __init__(self, offset=None, **kwargs):
372			self.offset = _build_offset(
373			offset,
374			kwargs,
375			datetime.timedelta(minutes=1), # Defaults to the last minute.
376			)
377
378			self._next_period_start = None
379			self._next_period_end = None
380
381			self._one_minute = datetime.timedelta(minutes=1)
382
383			def calculate_dates(self, dt, env):
384			# given a dt, find that day's close and period start (close - offset)
385			self._next_period_end = env.get_open_and_close(dt)[1]
386			self._next_period_start = \
387			self._next_period_end - self.offset - self._one_minute
388
389			def should_trigger(self, dt, env):
390			if self._next_period_start is None:
391			self.calculate_dates(dt, env)
392
393			if dt <= self._next_period_start:
394			return False
395			else:
396			if dt > self._next_period_end:
397			self.calculate_dates(env.next_trading_day(dt), env)
398
399			return True
400
401
402			class NotHalfDay(StatelessRule):
403			"""
404			A rule that only triggers when it is not a half day.
405			"""
406			def should_trigger(self, dt, env):
407			return dt.date() not in env.early_closes
408
409
410			class TradingDayOfWeekRule(six.with_metaclass(ABCMeta, StatelessRule)):
411			def __init__(self, n=0):
412			if not 0 <= abs(n) < MAX_WEEK_RANGE:
413			raise _out_of_range_error(MAX_WEEK_RANGE)
414
415			self.td_delta = n
416
417			self.next_date_start = None
418			self.next_date_end = None
419			self.next_midnight_timestamp = None
420
421			@abstractmethod
422			def date_func(self, dt, env):
423			raise NotImplementedError
424
425			def calculate_start_and_end(self, dt, env):
426			next_trading_day = _coerce_datetime(
427			env.add_trading_days(
428			self.td_delta,
429			self.date_func(dt, env),
430			)
431			)
432
433			next_open, next_close = env.get_open_and_close(next_trading_day)
434			self.next_date_start = next_open
435			self.next_date_end = next_close
436			self.next_midnight_timestamp = \
437			pd.Timestamp(next_trading_day.date(), tz='UTC')
438
439			def should_trigger(self, dt, env):
440			if self.next_date_start is None:
441			# first time this method has been called. calculate the midnight,
442			# open, and close of the next matching day.
443			self.calculate_start_and_end(dt, env)
444
445			# if the next matching day is in the past, calculate the next one.
446			if dt > self.next_date_end:
447			self.calculate_start_and_end(dt + datetime.timedelta(days=7),
448			env)
449
450			# if the given dt is within the next matching day, return true.
451			if self.next_date_start <= dt <= self.next_date_end or \
452			dt == self.next_midnight_timestamp:
453			return True
454
455			return False
456
457
458			class NthTradingDayOfWeek(TradingDayOfWeekRule):
459			"""
460			A rule that triggers on the nth trading day of the week.
461			This is zero-indexed, n=0 is the first trading day of the week.
462			"""
463			@staticmethod
464			def get_first_trading_day_of_week(dt, env):
465			prev = dt
466			dt = env.previous_trading_day(dt)
467			while dt.date().weekday() < prev.date().weekday():
468			prev = dt
469			dt = env.previous_trading_day(dt)
470			return prev.date()
471
472			date_func = get_first_trading_day_of_week
473
474
475			class NDaysBeforeLastTradingDayOfWeek(TradingDayOfWeekRule):
476			"""
477			A rule that triggers n days before the last trading day of the week.
478			"""
479			def __init__(self, n):
480			super(NDaysBeforeLastTradingDayOfWeek, self).__init__(-n)
481
482			@staticmethod
483			def get_last_trading_day_of_week(dt, env):
484			prev = dt
485			dt = env.next_trading_day(dt)
486			# Traverse forward until we hit a week border, then jump back to the
487			# previous trading day.
488			while dt.date().weekday() > prev.date().weekday():
489			prev = dt
490			dt = env.next_trading_day(dt)
491			return prev.date()
492
493			date_func = get_last_trading_day_of_week
494
495
496			class NthTradingDayOfMonth(StatelessRule):
497			"""
498			A rule that triggers on the nth trading day of the month.
499			This is zero-indexed, n=0 is the first trading day of the month.
500			"""
501			def __init__(self, n=0):
502			if not 0 <= n < MAX_MONTH_RANGE:
503			raise _out_of_range_error(MAX_MONTH_RANGE)
504			self.td_delta = n
505			self.month = None
506			self.day = None
507
508			def should_trigger(self, dt, env):
509			return self.get_nth_trading_day_of_month(dt, env) == dt.date()
510
511			def get_nth_trading_day_of_month(self, dt, env):
512			if self.month == dt.month:
513			# We already computed the day for this month.
514			return self.day
515
516			if not self.td_delta:
517			self.day = self.get_first_trading_day_of_month(dt, env)
518			else:
519			self.day = env.add_trading_days(
520			self.td_delta,
521			self.get_first_trading_day_of_month(dt, env),
522			).date()
523
524			return self.day
525
526			def get_first_trading_day_of_month(self, dt, env):
527			self.month = dt.month
528
529			dt = dt.replace(day=1)
530			self.first_day = (dt if env.is_trading_day(dt)
531			else env.next_trading_day(dt)).date()
532			return self.first_day
533
534
535			class NDaysBeforeLastTradingDayOfMonth(StatelessRule):
536			"""
537			A rule that triggers n days before the last trading day of the month.
538			"""
539			def __init__(self, n=0):
540			if not 0 <= n < MAX_MONTH_RANGE:
541			raise _out_of_range_error(MAX_MONTH_RANGE)
542			self.td_delta = -n
543			self.month = None
544			self.day = None
545
546			def should_trigger(self, dt, env):
547			return self.get_nth_to_last_trading_day_of_month(dt, env) == dt.date()
548
549			def get_nth_to_last_trading_day_of_month(self, dt, env):
550			if self.month == dt.month:
551			# We already computed the last day for this month.
552			return self.day
553
554			if not self.td_delta:
555			self.day = self.get_last_trading_day_of_month(dt, env)
556			else:
557			self.day = env.add_trading_days(
558			self.td_delta,
559			self.get_last_trading_day_of_month(dt, env),
560			).date()
561
562			return self.day
563
564			def get_last_trading_day_of_month(self, dt, env):
565			self.month = dt.month
566
567			if dt.month == 12:
568			# Roll the year forward and start in January.
569			year = dt.year + 1
570			month = 1
571			else:
572			# Increment the month in the same year.
573			year = dt.year
574			month = dt.month + 1
575
576			self.last_day = env.previous_trading_day(
577			dt.replace(year=year, month=month, day=1)
578			).date()
579			return self.last_day
580
581
582			# Stateful rules
583
584
585			class StatefulRule(EventRule):
586			"""
587			A stateful rule has state.
588			This rule will give different results for the same datetimes depending
589			on the internal state that this holds.
590			StatefulRules wrap other rules as state transformers.
591			"""
592			def __init__(self, rule=None):
593			self.rule = rule or Always()
594
595			def new_should_trigger(self, callable_):
596			"""
597			Replace the should trigger implementation for the current rule.
598			"""
599			self.should_trigger = callable_
600
601
602			class OncePerDay(StatefulRule):
603			def __init__(self, rule=None):
604			self.triggered = False
605
606			self.date = None
607			self.next_date = None
608
609			super(OncePerDay, self).__init__(rule)
610
611			def should_trigger(self, dt, env):
612			if self.date is None or dt >= self.next_date:
613			# initialize or reset for new date
614			self.triggered = False
615			self.date = dt
616
617			# record the timestamp for the next day, so that we can use it
618			# to know if we've moved to the next day
619			self.next_date = dt + pd.Timedelta(1, unit="d")
620
621			if not self.triggered and self.rule.should_trigger(dt, env):
622			self.triggered = True
623			return True
624
625
626			# Factory API
627
628			class DateRuleFactory(object):
629			every_day = Always
630
631			@staticmethod
632			def month_start(days_offset=0):
633			return NthTradingDayOfMonth(n=days_offset)
634
635			@staticmethod
636			def month_end(days_offset=0):
637			return NDaysBeforeLastTradingDayOfMonth(n=days_offset)
638
639			@staticmethod
640			def week_start(days_offset=0):
641			return NthTradingDayOfWeek(n=days_offset)
642
643			@staticmethod
644			def week_end(days_offset=0):
645			return NDaysBeforeLastTradingDayOfWeek(n=days_offset)
646
647
648			class TimeRuleFactory(object):
649			market_open = AfterOpen
650			market_close = BeforeClose
651
652
653			# Convenience aliases.
654			date_rules = DateRuleFactory
655			time_rules = TimeRuleFactory
656
657
658			def make_eventrule(date_rule, time_rule, half_days=True):
659			"""
660			Constructs an event rule from the factory api.
661			"""
662			if half_days:
663			inner_rule = date_rule & time_rule
664			else:
665			inner_rule = date_rule & time_rule & NotHalfDay()
666
667			return OncePerDay(rule=inner_rule)
668

quantopian / zipline

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zipline.utils.TradingDayOfWeekRule.__init__() A

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