zipline.finance.Order.check_order_triggers() - 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 2015-12-14 21:26 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

from copy import copy
import uuid
import math
from six import text_type, iteritems

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

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, price, dt):
        """
        Update internal state based on price triggers and the
        trade event's price.
        """
        stop_reached, limit_reached, sl_stop_reached = \
            self.check_order_triggers(price)
        if (stop_reached, limit_reached) \
                != (self.stop_reached, self.limit_reached):
            self.dt = 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, current_price):
        """
        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 current_price >= self.stop:
                sl_stop_reached = True
                if current_price <= self.limit:
                    limit_reached = True
        elif order_type == SELL | STOP | LIMIT:
            if current_price <= self.stop:
                sl_stop_reached = True
                if current_price >= self.limit:
                    limit_reached = True
        elif order_type == BUY | STOP:
            if current_price >= self.stop:
                stop_reached = True
        elif order_type == SELL | STOP:
            if current_price <= self.stop:
                stop_reached = True
        elif order_type == BUY | LIMIT:
            if current_price <= self.limit:
                limit_reached = True
        elif order_type == SELL | LIMIT:
            # This is a SELL LIMIT order
            if current_price >= self.limit:
                limit_reached = True

        return (stop_reached, limit_reached, sl_stop_reached)

    def handle_split(self, 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			from copy import copy
2			import uuid
3			import math
4			from six import text_type, iteritems
5
6			import zipline.protocol as zp
7			from zipline.utils.enum import enum
8			from zipline.utils.serialization_utils import VERSION_LABEL
9
10			ORDER_STATUS = enum(
11			'OPEN',
12			'FILLED',
13			'CANCELLED',
14			'REJECTED',
15			'HELD',
16			)
17
18
19			SELL = 1 << 0
20			BUY = 1 << 1
21			STOP = 1 << 2
22			LIMIT = 1 << 3
23
24
25			class Order(object):
26			def __init__(self, dt, sid, amount, stop=None, limit=None, filled=0,
27			commission=None, id=None):
28			"""
29			@dt - datetime.datetime that the order was placed
30			@sid - stock sid of the order
31			@amount - the number of shares to buy/sell
32			a positive sign indicates a buy
33			a negative sign indicates a sell
34			@filled - how many shares of the order have been filled so far
35			"""
36			# get a string representation of the uuid.
37			self.id = id or self.make_id()
38			self.dt = dt
39			self.reason = None
40			self.created = dt
41			self.sid = sid
42			self.amount = amount
43			self.filled = filled
44			self.commission = commission
45			self._status = ORDER_STATUS.OPEN
46			self.stop = stop
47			self.limit = limit
48			self.stop_reached = False
49			self.limit_reached = False
50			self.direction = math.copysign(1, self.amount)
51			self.type = zp.DATASOURCE_TYPE.ORDER
52
53			def make_id(self):
54			return uuid.uuid4().hex
55
56			def to_dict(self):
57			py = copy(self.__dict__)
58			for field in ['type', 'direction', '_status']:
59			del py[field]
60			py['status'] = self.status
61			return py
62
63			def to_api_obj(self):
64			pydict = self.to_dict()
65			obj = zp.Order(initial_values=pydict)
66			return obj
67
68			def check_triggers(self, price, dt):
69			"""
70			Update internal state based on price triggers and the
71			trade event's price.
72			"""
73			stop_reached, limit_reached, sl_stop_reached = \
74			self.check_order_triggers(price)
75			if (stop_reached, limit_reached) \
76			!= (self.stop_reached, self.limit_reached):
77			self.dt = dt
78			self.stop_reached = stop_reached
79			self.limit_reached = limit_reached
80			if sl_stop_reached:
81			# Change the STOP LIMIT order into a LIMIT order
82			self.stop = None
83
84			def check_order_triggers(self, current_price):
85			"""
86			Given an order and a trade event, return a tuple of
87			(stop_reached, limit_reached).
88			For market orders, will return (False, False).
89			For stop orders, limit_reached will always be False.
90			For limit orders, stop_reached will always be False.
91			For stop limit orders a Boolean is returned to flag
92			that the stop has been reached.
93
94			Orders that have been triggered already (price targets reached),
95			the order's current values are returned.
96			"""
97			if self.triggered:
98			return (self.stop_reached, self.limit_reached, False)
99
100			stop_reached = False
101			limit_reached = False
102			sl_stop_reached = False
103
104			order_type = 0
105
106			if self.amount > 0:
107			order_type \|= BUY
108			else:
109			order_type \|= SELL
110
111			if self.stop is not None:
112			order_type \|= STOP
113
114			if self.limit is not None:
115			order_type \|= LIMIT
116
117			if order_type == BUY \| STOP \| LIMIT:
118			if current_price >= self.stop:
119			sl_stop_reached = True
120			if current_price <= self.limit:
121			limit_reached = True
122			elif order_type == SELL \| STOP \| LIMIT:
123			if current_price <= self.stop:
124			sl_stop_reached = True
125			if current_price >= self.limit:
126			limit_reached = True
127			elif order_type == BUY \| STOP:
128			if current_price >= self.stop:
129			stop_reached = True
130			elif order_type == SELL \| STOP:
131			if current_price <= self.stop:
132			stop_reached = True
133			elif order_type == BUY \| LIMIT:
134			if current_price <= self.limit:
135			limit_reached = True
136			elif order_type == SELL \| LIMIT:
137			# This is a SELL LIMIT order
138			if current_price >= self.limit:
139			limit_reached = True
140
141			return (stop_reached, limit_reached, sl_stop_reached)
142
143			def handle_split(self, ratio):
144			# update the amount, limit_price, and stop_price
145			# by the split's ratio
146
147			# info here: http://finra.complinet.com/en/display/display_plain.html?
148			# rbid=2403&element_id=8950&record_id=12208&print=1
149
150			# new_share_amount = old_share_amount / ratio
151			# new_price = old_price * ratio
152			self.amount = int(self.amount / ratio)
153
154			if self.limit is not None:
155			self.limit = round(self.limit * ratio, 2)
156
157			if self.stop is not None:
158			self.stop = round(self.stop * ratio, 2)
159
160			@property
161			def status(self):
162			if not self.open_amount:
163			return ORDER_STATUS.FILLED
164			elif self._status == ORDER_STATUS.HELD and self.filled:
165			return ORDER_STATUS.OPEN
166			else:
167			return self._status
168
169			@status.setter
170			def status(self, status):
171			self._status = status
172
173			def cancel(self):
174			self.status = ORDER_STATUS.CANCELLED
175
176			def reject(self, reason=''):
177			self.status = ORDER_STATUS.REJECTED
178			self.reason = reason
179
180			def hold(self, reason=''):
181			self.status = ORDER_STATUS.HELD
182			self.reason = reason
183
184			@property
185			def open(self):
186			return self.status in [ORDER_STATUS.OPEN, ORDER_STATUS.HELD]
187
188			@property
189			def triggered(self):
190			"""
191			For a market order, True.
192			For a stop order, True IFF stop_reached.
193			For a limit order, True IFF limit_reached.
194			"""
195			if self.stop is not None and not self.stop_reached:
196			return False
197
198			if self.limit is not None and not self.limit_reached:
199			return False
200
201			return True
202
203			@property
204			def open_amount(self):
205			return self.amount - self.filled
206
207			def __repr__(self):
208			"""
209			String representation for this object.
210			"""
211			return "Order(%s)" % self.to_dict().__repr__()
212
213			def __unicode__(self):
214			"""
215			Unicode representation for this object.
216			"""
217			return text_type(repr(self))
218
219			def __getstate__(self):
220
221			state_dict = \
222			{k: v for k, v in iteritems(self.__dict__)
223			if not k.startswith('_')}
224
225			state_dict['_status'] = self._status
226
227			STATE_VERSION = 1
228			state_dict[VERSION_LABEL] = STATE_VERSION
229
230			return state_dict
231
232			def __setstate__(self, state):
233			OLDEST_SUPPORTED_STATE = 1
234			version = state.pop(VERSION_LABEL)
235
236			if version < OLDEST_SUPPORTED_STATE:
237			raise BaseException("Order saved state is too old.")
238
239			self.__dict__.update(state)
240

quantopian / zipline

Pull Request — master (#858)

zipline.finance.Order.check_order_triggers() F

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