Python Blotter.prune_orders方法代码示例

# 需要导入模块: from zipline.finance.blotter import Blotter [as 别名]
# 或者: from zipline.finance.blotter.Blotter import prune_orders [as 别名]
    def test_prune_orders(self):
        blotter = Blotter(self.sim_params.data_frequency,
                          self.env.asset_finder)

        asset_24 = blotter.asset_finder.retrieve_asset(24)
        asset_25 = blotter.asset_finder.retrieve_asset(25)

        blotter.order(asset_24, 100, MarketOrder())
        open_order = blotter.open_orders[asset_24][0]

        blotter.prune_orders([])
        self.assertEqual(1, len(blotter.open_orders[asset_24]))

        blotter.prune_orders([open_order])
        self.assertEqual(0, len(blotter.open_orders[asset_24]))

        # prune an order that isn't in our our open orders list, make sure
        # nothing blows up

        other_order = Order(
            dt=blotter.current_dt,
            sid=asset_25,
            amount=1
        )

        blotter.prune_orders([other_order])

# 需要导入模块: from zipline.finance.blotter import Blotter [as 别名]
# 或者: from zipline.finance.blotter.Blotter import prune_orders [as 别名]
    def test_prune_orders(self):
        blotter = Blotter(self.sim_params.data_frequency)

        blotter.order(self.asset_24, 100, MarketOrder())
        open_order = blotter.open_orders[self.asset_24][0]

        blotter.prune_orders([])
        self.assertEqual(1, len(blotter.open_orders[self.asset_24]))

        blotter.prune_orders([open_order])
        self.assertEqual(0, len(blotter.open_orders[self.asset_24]))

        # prune an order that isn't in our our open orders list, make sure
        # nothing blows up

        other_order = Order(
            dt=blotter.current_dt,
            asset=self.asset_25,
            amount=1
        )

        blotter.prune_orders([other_order])

# 需要导入模块: from zipline.finance.blotter import Blotter [as 别名]
# 或者: from zipline.finance.blotter.Blotter import prune_orders [as 别名]

#.........这里部分代码省略.........
                            "close": [10.1] * len(days),
                            "volume": [100] * len(days),
                            "day": [day.value for day in days],
                        },
                        index=days,
                    )
                }

                path = os.path.join(tempdir.path, "testdata.bcolz")
                BcolzDailyBarWriter(path, days).write(assets.items())

                equity_daily_reader = BcolzDailyBarReader(path)

                data_portal = DataPortal(
                    env,
                    first_trading_day=equity_daily_reader.first_trading_day,
                    equity_daily_reader=equity_daily_reader,
                )

            if "default_slippage" not in params or not params["default_slippage"]:
                slippage_func = FixedSlippage()
            else:
                slippage_func = None

            blotter = Blotter(sim_params.data_frequency, self.env.asset_finder, slippage_func)

            start_date = sim_params.first_open

            if alternate:
                alternator = -1
            else:
                alternator = 1

            tracker = PerformanceTracker(sim_params, self.env)

            # replicate what tradesim does by going through every minute or day
            # of the simulation and processing open orders each time
            if sim_params.data_frequency == "minute":
                ticks = minutes
            else:
                ticks = days

            transactions = []

            order_list = []
            order_date = start_date
            for tick in ticks:
                blotter.current_dt = tick
                if tick >= order_date and len(order_list) < order_count:
                    # place an order
                    direction = alternator ** len(order_list)
                    order_id = blotter.order(
                        blotter.asset_finder.retrieve_asset(sid), order_amount * direction, MarketOrder()
                    )
                    order_list.append(blotter.orders[order_id])
                    order_date = order_date + order_interval
                    # move after market orders to just after market next
                    # market open.
                    if order_date.hour >= 21:
                        if order_date.minute >= 00:
                            order_date = order_date + timedelta(days=1)
                            order_date = order_date.replace(hour=14, minute=30)
                else:
                    bar_data = BarData(data_portal, lambda: tick, sim_params.data_frequency)
                    txns, _, closed_orders = blotter.get_transactions(bar_data)
                    for txn in txns:
                        tracker.process_transaction(txn)
                        transactions.append(txn)

                    blotter.prune_orders(closed_orders)

            for i in range(order_count):
                order = order_list[i]
                self.assertEqual(order.sid, sid)
                self.assertEqual(order.amount, order_amount * alternator ** i)

            if complete_fill:
                self.assertEqual(len(transactions), len(order_list))

            total_volume = 0
            for i in range(len(transactions)):
                txn = transactions[i]
                total_volume += txn.amount
                if complete_fill:
                    order = order_list[i]
                    self.assertEqual(order.amount, txn.amount)

            self.assertEqual(total_volume, expected_txn_volume)

            self.assertEqual(len(transactions), expected_txn_count)

            cumulative_pos = tracker.position_tracker.positions[sid]
            if total_volume == 0:
                self.assertIsNone(cumulative_pos)
            else:
                self.assertEqual(total_volume, cumulative_pos.amount)

            # the open orders should not contain sid.
            oo = blotter.open_orders
            self.assertNotIn(sid, oo, "Entry is removed when no open orders")

# 需要导入模块: from zipline.finance.blotter import Blotter [as 别名]
# 或者: from zipline.finance.blotter.Blotter import prune_orders [as 别名]
    def test_order_rejection(self):
        blotter = Blotter(self.sim_params.data_frequency,
                          self.asset_finder)

        # Reject a nonexistent order -> no order appears in new_order,
        # no exceptions raised out
        blotter.reject(56)
        self.assertEqual(blotter.new_orders, [])

        # Basic tests of open order behavior
        open_order_id = blotter.order(self.asset_24, 100, MarketOrder())
        second_order_id = blotter.order(self.asset_24, 50, MarketOrder())
        self.assertEqual(len(blotter.open_orders[self.asset_24]), 2)
        open_order = blotter.open_orders[self.asset_24][0]
        self.assertEqual(open_order.status, ORDER_STATUS.OPEN)
        self.assertEqual(open_order.id, open_order_id)
        self.assertIn(open_order, blotter.new_orders)

        # Reject that order immediately (same bar, i.e. still in new_orders)
        blotter.reject(open_order_id)
        self.assertEqual(len(blotter.new_orders), 2)
        self.assertEqual(len(blotter.open_orders[self.asset_24]), 1)
        still_open_order = blotter.new_orders[0]
        self.assertEqual(still_open_order.id, second_order_id)
        self.assertEqual(still_open_order.status, ORDER_STATUS.OPEN)
        rejected_order = blotter.new_orders[1]
        self.assertEqual(rejected_order.status, ORDER_STATUS.REJECTED)
        self.assertEqual(rejected_order.reason, '')

        # Do it again, but reject it at a later time (after tradesimulation
        # pulls it from new_orders)
        blotter = Blotter(self.sim_params.data_frequency,
                          self.asset_finder)
        new_open_id = blotter.order(self.asset_24, 10, MarketOrder())
        new_open_order = blotter.open_orders[self.asset_24][0]
        self.assertEqual(new_open_id, new_open_order.id)
        # Pretend that the trade simulation did this.
        blotter.new_orders = []

        rejection_reason = "Not enough cash on hand."
        blotter.reject(new_open_id, reason=rejection_reason)
        rejected_order = blotter.new_orders[0]
        self.assertEqual(rejected_order.id, new_open_id)
        self.assertEqual(rejected_order.status, ORDER_STATUS.REJECTED)
        self.assertEqual(rejected_order.reason, rejection_reason)

        # You can't reject a filled order.
        # Reset for paranoia
        blotter = Blotter(self.sim_params.data_frequency,
                          self.asset_finder)
        blotter.slippage_func = FixedSlippage()
        filled_id = blotter.order(self.asset_24, 100, MarketOrder())
        filled_order = None
        blotter.current_dt = self.sim_params.sessions[-1]
        bar_data = self.create_bardata(
            simulation_dt_func=lambda: self.sim_params.sessions[-1],
        )
        txns, _, closed_orders = blotter.get_transactions(bar_data)
        for txn in txns:
            filled_order = blotter.orders[txn.order_id]
        blotter.prune_orders(closed_orders)

        self.assertEqual(filled_order.id, filled_id)
        self.assertIn(filled_order, blotter.new_orders)
        self.assertEqual(filled_order.status, ORDER_STATUS.FILLED)
        self.assertNotIn(filled_order, blotter.open_orders[self.asset_24])

        blotter.reject(filled_id)
        updated_order = blotter.orders[filled_id]
        self.assertEqual(updated_order.status, ORDER_STATUS.FILLED)