Source code for zipline.finance.execution

#
# 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.

import abc
from sys import float_info
from six import with_metaclass
from numpy import isfinite
import zipline.utils.math_utils as zp_math
from zipline.errors import BadOrderParameters
from zipline.utils.compat import consistent_round


[docs]class ExecutionStyle(with_metaclass(abc.ABCMeta)): """Base class for order execution styles. """ _exchange = None @abc.abstractmethod
[docs] def get_limit_price(self, is_buy): """ Get the limit price for this order. Returns either None or a numerical value >= 0. """ raise NotImplementedError
@abc.abstractmethod
[docs] def get_stop_price(self, is_buy): """ Get the stop price for this order. Returns either None or a numerical value >= 0. """ raise NotImplementedError
@property def exchange(self): """ The exchange to which this order should be routed. """ return self._exchange
[docs]class MarketOrder(ExecutionStyle): """ Execution style for orders to be filled at current market price. This is the default for orders placed with :func:`~zipline.api.order`. """ def __init__(self, exchange=None): self._exchange = exchange def get_limit_price(self, _is_buy): return None def get_stop_price(self, _is_buy): return None
[docs]class LimitOrder(ExecutionStyle): """ Execution style for orders to be filled at a price equal to or better than a specified limit price. Parameters ---------- limit_price : float Maximum price for buys, or minimum price for sells, at which the order should be filled. """ def __init__(self, limit_price, asset=None, exchange=None): check_stoplimit_prices(limit_price, 'limit') self.limit_price = limit_price self._exchange = exchange self.asset = asset def get_limit_price(self, is_buy): return asymmetric_round_price( self.limit_price, is_buy, tick_size=(0.01 if self.asset is None else self.asset.tick_size) ) def get_stop_price(self, _is_buy): return None
[docs]class StopOrder(ExecutionStyle): """ Execution style representing a market order to be placed if market price reaches a threshold. Parameters ---------- stop_price : float Price threshold at which the order should be placed. For sells, the order will be placed if market price falls below this value. For buys, the order will be placed if market price rises above this value. """ def __init__(self, stop_price, asset=None, exchange=None): check_stoplimit_prices(stop_price, 'stop') self.stop_price = stop_price self._exchange = exchange self.asset = asset def get_limit_price(self, _is_buy): return None def get_stop_price(self, is_buy): return asymmetric_round_price( self.stop_price, not is_buy, tick_size=(0.01 if self.asset is None else self.asset.tick_size) )
[docs]class StopLimitOrder(ExecutionStyle): """ Execution style representing a limit order to be placed if market price reaches a threshold. Parameters ---------- limit_price : float Maximum price for buys, or minimum price for sells, at which the order should be filled, if placed. stop_price : float Price threshold at which the order should be placed. For sells, the order will be placed if market price falls below this value. For buys, the order will be placed if market price rises above this value. """ def __init__(self, limit_price, stop_price, asset=None, exchange=None): check_stoplimit_prices(limit_price, 'limit') check_stoplimit_prices(stop_price, 'stop') self.limit_price = limit_price self.stop_price = stop_price self._exchange = exchange self.asset = asset def get_limit_price(self, is_buy): return asymmetric_round_price( self.limit_price, is_buy, tick_size=(0.01 if self.asset is None else self.asset.tick_size) ) def get_stop_price(self, is_buy): return asymmetric_round_price( self.stop_price, not is_buy, tick_size=(0.01 if self.asset is None else self.asset.tick_size) )
def asymmetric_round_price(price, prefer_round_down, tick_size, diff=0.95): """ Asymmetric rounding function for adjusting prices to the specified number of places in a way that "improves" the price. For limit prices, this means preferring to round down on buys and preferring to round up on sells. For stop prices, it means the reverse. If prefer_round_down == True: When .05 below to .95 above a specified decimal place, use it. If prefer_round_down == False: When .95 below to .05 above a specified decimal place, use it. In math-speak: If prefer_round_down: [<X-1>.0095, X.0195) -> round to X.01. If not prefer_round_down: (<X-1>.0005, X.0105] -> round to X.01. """ precision = zp_math.number_of_decimal_places(tick_size) multiplier = int(tick_size * (10 ** precision)) diff -= 0.5 # shift the difference down diff *= (10 ** -precision) # adjust diff to precision of tick size diff *= multiplier # adjust diff to value of tick_size # Subtracting an epsilon from diff to enforce the open-ness of the upper # bound on buys and the lower bound on sells. Using the actual system # epsilon doesn't quite get there, so use a slightly less epsilon-ey value. epsilon = float_info.epsilon * 10 diff = diff - epsilon # relies on rounding half away from zero, unlike numpy's bankers' rounding rounded = tick_size * consistent_round( (price - (diff if prefer_round_down else -diff)) / tick_size ) if zp_math.tolerant_equals(rounded, 0.0): return 0.0 return rounded def check_stoplimit_prices(price, label): """ Check to make sure the stop/limit prices are reasonable and raise a BadOrderParameters exception if not. """ try: if not isfinite(price): raise BadOrderParameters( msg="Attempted to place an order with a {} price " "of {}.".format(label, price) ) # This catches arbitrary objects except TypeError: raise BadOrderParameters( msg="Attempted to place an order with a {} price " "of {}.".format(label, type(price)) ) if price < 0: raise BadOrderParameters( msg="Can't place a {} order with a negative price.".format(label) )