Source code for zipline.finance.cancel_policy

#
# Copyright 2016 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
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# 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
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import abc

from abc import abstractmethod
from six import with_metaclass

from zipline.gens.sim_engine import SESSION_END


[docs]class CancelPolicy(with_metaclass(abc.ABCMeta)): """Abstract cancellation policy interface. """ @abstractmethod
[docs] def should_cancel(self, event): """Should all open orders be cancelled? Parameters ---------- event : enum-value An event type, one of: - :data:`zipline.gens.sim_engine.BAR` - :data:`zipline.gens.sim_engine.DAY_START` - :data:`zipline.gens.sim_engine.DAY_END` - :data:`zipline.gens.sim_engine.MINUTE_END` Returns ------- should_cancel : bool Should all open orders be cancelled? """ pass
[docs]class EODCancel(CancelPolicy): """This policy cancels open orders at the end of the day. For now, Zipline will only apply this policy to minutely simulations. Parameters ---------- warn_on_cancel : bool, optional Should a warning be raised if this causes an order to be cancelled? """ def __init__(self, warn_on_cancel=True): self.warn_on_cancel = warn_on_cancel def should_cancel(self, event): return event == SESSION_END
[docs]class NeverCancel(CancelPolicy): """Orders are never automatically canceled. """ def __init__(self): self.warn_on_cancel = False def should_cancel(self, event): return False