Source code for zipline.finance.blotter.simulation_blotter

#
# 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 logbook import Logger
from collections import defaultdict
from copy import copy

from six import iteritems

from zipline.assets import Equity, Future, Asset
from .blotter import Blotter
from zipline.extensions import register
from zipline.finance.order import Order
from zipline.finance.slippage import (
    DEFAULT_FUTURE_VOLUME_SLIPPAGE_BAR_LIMIT,
    VolatilityVolumeShare,
    FixedBasisPointsSlippage,
)
from zipline.finance.commission import (
    DEFAULT_PER_CONTRACT_COST,
    FUTURE_EXCHANGE_FEES_BY_SYMBOL,
    PerContract,
    PerShare,
)
from zipline.utils.input_validation import expect_types

log = Logger('Blotter')
warning_logger = Logger('AlgoWarning')


@register(Blotter, 'default')
[docs]class SimulationBlotter(Blotter): def __init__(self, equity_slippage=None, future_slippage=None, equity_commission=None, future_commission=None, cancel_policy=None): super(SimulationBlotter, self).__init__(cancel_policy=cancel_policy) # these orders are aggregated by asset self.open_orders = defaultdict(list) # keep a dict of orders by their own id self.orders = {} # holding orders that have come in since the last event. self.new_orders = [] self.max_shares = int(1e+11) self.slippage_models = { Equity: equity_slippage or FixedBasisPointsSlippage(), Future: future_slippage or VolatilityVolumeShare( volume_limit=DEFAULT_FUTURE_VOLUME_SLIPPAGE_BAR_LIMIT, ), } self.commission_models = { Equity: equity_commission or PerShare(), Future: future_commission or PerContract( cost=DEFAULT_PER_CONTRACT_COST, exchange_fee=FUTURE_EXCHANGE_FEES_BY_SYMBOL, ), } def __repr__(self): return """ {class_name}( slippage_models={slippage_models}, commission_models={commission_models}, open_orders={open_orders}, orders={orders}, new_orders={new_orders}, current_dt={current_dt}) """.strip().format(class_name=self.__class__.__name__, slippage_models=self.slippage_models, commission_models=self.commission_models, open_orders=self.open_orders, orders=self.orders, new_orders=self.new_orders, current_dt=self.current_dt) @expect_types(asset=Asset)
[docs] def order(self, asset, amount, style, order_id=None): """Place an order. Parameters ---------- asset : zipline.assets.Asset The asset that this order is for. amount : int The amount of shares to order. If ``amount`` is positive, this is the number of shares to buy or cover. If ``amount`` is negative, this is the number of shares to sell or short. style : zipline.finance.execution.ExecutionStyle The execution style for the order. order_id : str, optional The unique identifier for this order. Returns ------- order_id : str or None The unique identifier for this order, or None if no order was placed. Notes ----- amount > 0 :: Buy/Cover amount < 0 :: Sell/Short Market order: order(asset, amount) Limit order: order(asset, amount, style=LimitOrder(limit_price)) Stop order: order(asset, amount, style=StopOrder(stop_price)) StopLimit order: order(asset, amount, style=StopLimitOrder(limit_price, stop_price)) """ # something could be done with amount to further divide # between buy by share count OR buy shares up to a dollar amount # numeric == share count AND "$dollar.cents" == cost amount if amount == 0: # Don't bother placing orders for 0 shares. return None elif amount > self.max_shares: # Arbitrary limit of 100 billion (US) shares will never be # exceeded except by a buggy algorithm. raise OverflowError("Can't order more than %d shares" % self.max_shares) is_buy = (amount > 0) order = Order( dt=self.current_dt, asset=asset, amount=amount, stop=style.get_stop_price(is_buy), limit=style.get_limit_price(is_buy), id=order_id ) self.open_orders[order.asset].append(order) self.orders[order.id] = order self.new_orders.append(order) return order.id
def cancel(self, order_id, relay_status=True): if order_id not in self.orders: return cur_order = self.orders[order_id] if cur_order.open: order_list = self.open_orders[cur_order.asset] if cur_order in order_list: order_list.remove(cur_order) if cur_order in self.new_orders: self.new_orders.remove(cur_order) cur_order.cancel() cur_order.dt = self.current_dt if relay_status: # we want this order's new status to be relayed out # along with newly placed orders. self.new_orders.append(cur_order)
[docs] def cancel_all_orders_for_asset(self, asset, warn=False, relay_status=True): """ Cancel all open orders for a given asset. """ # (sadly) open_orders is a defaultdict, so this will always succeed. orders = self.open_orders[asset] # We're making a copy here because `cancel` mutates the list of open # orders in place. The right thing to do here would be to make # self.open_orders no longer a defaultdict. If we do that, then we # should just remove the orders once here and be done with the matter. for order in orders[:]: self.cancel(order.id, relay_status) if warn: # Message appropriately depending on whether there's # been a partial fill or not. if order.filled > 0: warning_logger.warn( 'Your order for {order_amt} shares of ' '{order_sym} has been partially filled. ' '{order_filled} shares were successfully ' 'purchased. {order_failed} shares were not ' 'filled by the end of day and ' 'were canceled.'.format( order_amt=order.amount, order_sym=order.asset.symbol, order_filled=order.filled, order_failed=order.amount - order.filled, ) ) elif order.filled < 0: warning_logger.warn( 'Your order for {order_amt} shares of ' '{order_sym} has been partially filled. ' '{order_filled} shares were successfully ' 'sold. {order_failed} shares were not ' 'filled by the end of day and ' 'were canceled.'.format( order_amt=order.amount, order_sym=order.asset.symbol, order_filled=-1 * order.filled, order_failed=-1 * (order.amount - order.filled), ) ) else: warning_logger.warn( 'Your order for {order_amt} shares of ' '{order_sym} failed to fill by the end of day ' 'and was canceled.'.format( order_amt=order.amount, order_sym=order.asset.symbol, ) ) assert not orders del self.open_orders[asset]
def execute_cancel_policy(self, event): if self.cancel_policy.should_cancel(event): warn = self.cancel_policy.warn_on_cancel for asset in copy(self.open_orders): self.cancel_all_orders_for_asset(asset, warn, relay_status=False)
[docs] def reject(self, order_id, reason=''): """ Mark the given order as 'rejected', which is functionally similar to cancelled. The distinction is that rejections are involuntary (and usually include a message from a broker indicating why the order was rejected) while cancels are typically user-driven. """ if order_id not in self.orders: return cur_order = self.orders[order_id] order_list = self.open_orders[cur_order.asset] if cur_order in order_list: order_list.remove(cur_order) if cur_order in self.new_orders: self.new_orders.remove(cur_order) cur_order.reject(reason=reason) cur_order.dt = self.current_dt # we want this order's new status to be relayed out # along with newly placed orders. self.new_orders.append(cur_order)
[docs] def hold(self, order_id, reason=''): """ Mark the order with order_id as 'held'. Held is functionally similar to 'open'. When a fill (full or partial) arrives, the status will automatically change back to open/filled as necessary. """ if order_id not in self.orders: return cur_order = self.orders[order_id] if cur_order.open: if cur_order in self.new_orders: self.new_orders.remove(cur_order) cur_order.hold(reason=reason) cur_order.dt = self.current_dt # we want this order's new status to be relayed out # along with newly placed orders. self.new_orders.append(cur_order)
[docs] def process_splits(self, splits): """ Processes a list of splits by modifying any open orders as needed. Parameters ---------- splits: list A list of splits. Each split is a tuple of (asset, ratio). Returns ------- None """ for asset, ratio in splits: if asset not in self.open_orders: continue orders_to_modify = self.open_orders[asset] for order in orders_to_modify: order.handle_split(ratio)
[docs] def get_transactions(self, bar_data): """ Creates a list of transactions based on the current open orders, slippage model, and commission model. Parameters ---------- bar_data: zipline._protocol.BarData Notes ----- This method book-keeps the blotter's open_orders dictionary, so that it is accurate by the time we're done processing open orders. Returns ------- transactions_list: List transactions_list: list of transactions resulting from the current open orders. If there were no open orders, an empty list is returned. commissions_list: List commissions_list: list of commissions resulting from filling the open orders. A commission is an object with "asset" and "cost" parameters. closed_orders: List closed_orders: list of all the orders that have filled. """ closed_orders = [] transactions = [] commissions = [] if self.open_orders: for asset, asset_orders in iteritems(self.open_orders): slippage = self.slippage_models[type(asset)] for order, txn in \ slippage.simulate(bar_data, asset, asset_orders): commission = self.commission_models[type(asset)] additional_commission = commission.calculate(order, txn) if additional_commission > 0: commissions.append({ "asset": order.asset, "order": order, "cost": additional_commission }) order.filled += txn.amount order.commission += additional_commission order.dt = txn.dt transactions.append(txn) if not order.open: closed_orders.append(order) return transactions, commissions, closed_orders
[docs] def prune_orders(self, closed_orders): """ Removes all given orders from the blotter's open_orders list. Parameters ---------- closed_orders: iterable of orders that are closed. Returns ------- None """ # remove all closed orders from our open_orders dict for order in closed_orders: asset = order.asset asset_orders = self.open_orders[asset] try: asset_orders.remove(order) except ValueError: continue # now clear out the assets from our open_orders dict that have # zero open orders for asset in list(self.open_orders.keys()): if len(self.open_orders[asset]) == 0: del self.open_orders[asset]