import zipline.errors
import zipline.protocol as zp
from zipline.finance.slippage import (VolumeShareSlippage, transact_partial,
check_order_triggers)
from zipline.finance.commission import PerShare
from zipline.utils.protocol_utils import Enum
from zipline.utils.serialization_utils import (VERSION_LABEL)
log = Logger('Blotter')
ORDER_STATUS = Enum(
'OPEN',
'FILLED',
'CANCELLED',
'REJECTED',
'HELD',
)
class Blotter(object):
def __init__(self, take_market=False):
self.transact = transact_partial(VolumeShareSlippage(), PerShare())
# these orders are aggregated by sid
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 = []
from zipline import ndict
from zipline.protocol import SIDData, DATASOURCE_TYPE
from zipline.finance.performance import PerformanceTracker
from zipline.gens.utils import hash_args
from zipline.finance.slippage import (VolumeShareSlippage, transact_partial,
check_order_triggers)
from zipline.finance.commission import PerShare
import zipline.utils.math_utils as zp_math
log = Logger('Trade Simulation')
from zipline.utils.protocol_utils import Enum
ORDER_STATUS = Enum('OPEN', 'FILLED')
class Blotter(object):
def __init__(self):
self.transact = transact_partial(VolumeShareSlippage(), PerShare())
# these orders are aggregated by sid
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 = []
def place_order(self, order):
# initialized filled field.