def trades_with_txns(self, events, no_txn_dt):
for event in events:
# create a transaction for all but
# first trade in each sid, to simulate None transaction
if event.dt != no_txn_dt:
order = Order(
sid=event.sid,
amount=-25,
dt=event.dt
)
order.source_id = 'MockOrderSource'
yield order
yield event
txn = Transaction(
sid=event.sid,
amount=-25,
dt=event.dt,
price=10.0,
commission=0.50,
order_id=order.id
)
txn.source_id = 'MockTransactionSource'
yield txn
else:
yield event
def trades_with_txns(self, events, no_txn_dt):
for event in events:
# create a transaction for all but
# first trade in each sid, to simulate None transaction
if event.dt != no_txn_dt:
order = Order(
sid=event.sid,
amount=-25,
dt=event.dt
)
order.source_id = 'MockOrderSource'
yield order
yield event
txn = Transaction(
sid=event.sid,
amount=-25,
dt=event.dt,
price=10.0,
commission=0.50,
order_id=order.id
)
txn.source_id = 'MockTransactionSource'
yield txn
else:
yield event
def trades_with_txns(self, events, no_txn_dt):
for event in events:
# create a transaction for all but
# first trade in each sid, to simulate None transaction
if event.dt != no_txn_dt:
order = Order(**{
'sid': event.sid,
'amount': -25,
'dt': event.dt
})
yield order
yield event
txn = Transaction(
**{
'sid': event.sid,
'amount': -25,
'dt': event.dt,
'price': 10.0,
'commission': 0.50,
'order_id': order.id
})
yield txn
else:
yield event
def test_minute_tracker(self):
""" Tests minute performance tracking."""
start_dt = trading.environment.exchange_dt_in_utc(
datetime.datetime(2013, 3, 1, 9, 30))
end_dt = trading.environment.exchange_dt_in_utc(
datetime.datetime(2013, 3, 1, 16, 0))
sim_params = SimulationParameters(
period_start=start_dt,
period_end=end_dt,
emission_rate='minute'
)
tracker = perf.PerformanceTracker(sim_params)
foo_event_1 = factory.create_trade('foo', 10.0, 20, start_dt)
bar_event_1 = factory.create_trade('bar', 100.0, 200, start_dt)
txn = Transaction(sid=foo_event_1.sid,
amount=-25,
dt=foo_event_1.dt,
price=10.0,
commission=0.50)
foo_event_1.TRANSACTION = txn
foo_event_2 = factory.create_trade(
'foo', 11.0, 20, start_dt + datetime.timedelta(minutes=1))
bar_event_2 = factory.create_trade(
'bar', 11.0, 20, start_dt + datetime.timedelta(minutes=1))
events = [
foo_event_1,
bar_event_1,
foo_event_2,
bar_event_2
]
import operator
messages = {date: snapshot[0].perf_messages[0] for date, snapshot in
tracker.transform(
itertools.groupby(
events,
operator.attrgetter('dt')))}
self.assertEquals(2, len(messages))
msg_1 = messages[foo_event_1.dt]
msg_2 = messages[foo_event_2.dt]
self.assertEquals(1, len(msg_1['intraday_perf']['transactions']),
"The first message should contain one transaction.")
# Check that transactions aren't emitted for previous events.
self.assertEquals(0, len(msg_2['intraday_perf']['transactions']),
"The second message should have no transactions.")
# Ensure that period_close moves through time.
# Also, ensure that the period_closes are the expected dts.
self.assertEquals(foo_event_1.dt,
msg_1['intraday_perf']['period_close'])
self.assertEquals(foo_event_2.dt,
msg_2['intraday_perf']['period_close'])
def create_close_position_transaction(self, event):
if not self._position_amounts.get(event.sid):
return None
txn = Transaction(
sid=event.sid,
amount=(-1 * self._position_amounts[event.sid]),
dt=event.dt,
price=event.price,
commission=0,
order_id=0
)
return txn
def maybe_create_close_position_transaction(self, event):
if not self._position_amounts.get(event.sid):
return None
if 'price' in event:
price = event.price
else:
price = self._position_last_sale_prices[event.sid]
txn = Transaction(sid=event.sid,
amount=(-1 * self._position_amounts[event.sid]),
dt=event.dt,
price=price,
commission=0,
order_id=0)
return txn
def event_with_txn(self, event, no_txn_dt):
#create a transaction for all but
#first trade in each sid, to simulate None transaction
if event.dt != no_txn_dt:
txn = Transaction(**{
'sid': event.sid,
'amount': -25,
'dt': event.dt,
'price': 10.0,
'commission': 0.50
})
else:
txn = None
event['TRANSACTION'] = txn
return event
def maybe_create_close_position_transaction(self, event):
try:
pos = self.positions[event.sid]
amount = pos.amount
if amount == 0:
return None
except KeyError:
return None
if 'price' in event:
price = event.price
else:
price = pos.last_sale_price
txn = Transaction(sid=event.sid,
amount=(-1 * pos.amount),
dt=event.dt,
price=price,
commission=0,
order_id=0)
return txn
def test_minute_tracker(self):
""" Tests minute performance tracking."""
with trading.TradingEnvironment():
start_dt = trading.environment.exchange_dt_in_utc(
datetime.datetime(2013, 3, 1, 9, 31))
end_dt = trading.environment.exchange_dt_in_utc(
datetime.datetime(2013, 3, 1, 16, 0))
sim_params = SimulationParameters(
period_start=start_dt,
period_end=end_dt,
emission_rate='minute'
)
tracker = perf.PerformanceTracker(sim_params)
foo_event_1 = factory.create_trade('foo', 10.0, 20, start_dt)
order_event_1 = Order(sid=foo_event_1.sid,
amount=-25,
dt=foo_event_1.dt)
bar_event_1 = factory.create_trade('bar', 100.0, 200, start_dt)
txn_event_1 = Transaction(sid=foo_event_1.sid,
amount=-25,
dt=foo_event_1.dt,
price=10.0,
commission=0.50,
order_id=order_event_1.id)
benchmark_event_1 = Event({
'dt': start_dt,
'returns': 0.01,
'type': DATASOURCE_TYPE.BENCHMARK
})
foo_event_2 = factory.create_trade(
'foo', 11.0, 20, start_dt + datetime.timedelta(minutes=1))
bar_event_2 = factory.create_trade(
'bar', 11.0, 20, start_dt + datetime.timedelta(minutes=1))
benchmark_event_2 = Event({
'dt': start_dt + datetime.timedelta(minutes=1),
'returns': 0.02,
'type': DATASOURCE_TYPE.BENCHMARK
})
events = [
foo_event_1,
order_event_1,
benchmark_event_1,
txn_event_1,
bar_event_1,
foo_event_2,
benchmark_event_2,
bar_event_2,
]
grouped_events = itertools.groupby(
events, operator.attrgetter('dt'))
messages = {}
for date, group in grouped_events:
tracker.set_date(date)
for event in group:
tracker.process_event(event)
tracker.handle_minute_close(date)
msg = tracker.to_dict()
messages[date] = msg
self.assertEquals(2, len(messages))
msg_1 = messages[foo_event_1.dt]
msg_2 = messages[foo_event_2.dt]
self.assertEquals(1, len(msg_1['minute_perf']['transactions']),
"The first message should contain one "
"transaction.")
# Check that transactions aren't emitted for previous events.
self.assertEquals(0, len(msg_2['minute_perf']['transactions']),
"The second message should have no "
"transactions.")
self.assertEquals(1, len(msg_1['minute_perf']['orders']),
"The first message should contain one orders.")
# Check that orders aren't emitted for previous events.
self.assertEquals(0, len(msg_2['minute_perf']['orders']),
"The second message should have no orders.")
# Ensure that period_close moves through time.
# Also, ensure that the period_closes are the expected dts.
self.assertEquals(foo_event_1.dt,
msg_1['minute_perf']['period_close'])
self.assertEquals(foo_event_2.dt,
msg_2['minute_perf']['period_close'])
# Ensure that a Sharpe value for cumulative metrics is being
# created.
self.assertIsNotNone(msg_1['cumulative_risk_metrics']['sharpe'])
self.assertIsNotNone(msg_2['cumulative_risk_metrics']['sharpe'])
