本文整理汇总了Python中zipline.finance.slippage.VolumeShareSlippage.data_portal方法的典型用法代码示例。如果您正苦于以下问题：Python VolumeShareSlippage.data_portal方法的具体用法？Python VolumeShareSlippage.data_portal怎么用？Python VolumeShareSlippage.data_portal使用的例子？那么恭喜您, 这里精选的方法代码示例或许可以为您提供帮助。您也可以进一步了解该方法所在类zipline.finance.slippage.VolumeShareSlippage的用法示例。
在下文中一共展示了VolumeShareSlippage.data_portal方法的2个代码示例，这些例子默认根据受欢迎程度排序。您可以为喜欢或者感觉有用的代码点赞，您的评价将有助于系统推荐出更棒的Python代码示例。
示例1: test_orders_stop_limit
# 需要导入模块: from zipline.finance.slippage import VolumeShareSlippage [as 别名]
# 或者: from zipline.finance.slippage.VolumeShareSlippage import data_portal [as 别名]
def test_orders_stop_limit(self):
slippage_model = VolumeShareSlippage()
slippage_model.data_portal = self.data_portal
# long, does not trade
open_orders = [
Order(**{
'dt': datetime.datetime(2006, 1, 5, 14, 30, tzinfo=pytz.utc),
'amount': 100,
'filled': 0,
'sid': self.ASSET133,
'stop': 4.0,
'limit': 3.0})
]
bar_data = BarData(self.data_portal,
lambda: self.minutes[2],
self.sim_params.data_frequency)
orders_txns = list(slippage_model.simulate(
bar_data,
self.ASSET133,
open_orders,
))
self.assertEquals(len(orders_txns), 0)
bar_data = BarData(self.data_portal,
lambda: self.minutes[3],
self.sim_params.data_frequency)
orders_txns = list(slippage_model.simulate(
bar_data,
self.ASSET133,
open_orders,
))
self.assertEquals(len(orders_txns), 0)
# long, does not trade - impacted price worse than limit price
open_orders = [
Order(**{
'dt': datetime.datetime(2006, 1, 5, 14, 30, tzinfo=pytz.utc),
'amount': 100,
'filled': 0,
'sid': self.ASSET133,
'stop': 4.0,
'limit': 3.5})
]
bar_data = BarData(self.data_portal,
lambda: self.minutes[2],
self.sim_params.data_frequency)
orders_txns = list(slippage_model.simulate(
bar_data,
self.ASSET133,
open_orders,
))
self.assertEquals(len(orders_txns), 0)
bar_data = BarData(self.data_portal,
lambda: self.minutes[3],
self.sim_params.data_frequency)
orders_txns = list(slippage_model.simulate(
bar_data,
self.ASSET133,
open_orders,
))
self.assertEquals(len(orders_txns), 0)
# long, does trade
open_orders = [
Order(**{
'dt': datetime.datetime(2006, 1, 5, 14, 30, tzinfo=pytz.utc),
'amount': 100,
'filled': 0,
'sid': self.ASSET133,
'stop': 4.0,
'limit': 3.6})
]
bar_data = BarData(self.data_portal,
lambda: self.minutes[2],
self.sim_params.data_frequency)
orders_txns = list(slippage_model.simulate(
bar_data,
self.ASSET133,
open_orders,
))
self.assertEquals(len(orders_txns), 0)
bar_data = BarData(self.data_portal,
lambda: self.minutes[3],
self.sim_params.data_frequency)
#.........这里部分代码省略.........
示例2: test_orders_limit
# 需要导入模块: from zipline.finance.slippage import VolumeShareSlippage [as 别名]
# 或者: from zipline.finance.slippage.VolumeShareSlippage import data_portal [as 别名]
def test_orders_limit(self):
slippage_model = VolumeShareSlippage()
slippage_model.data_portal = self.data_portal
# long, does not trade
open_orders = [
Order(**{
'dt': datetime.datetime(2006, 1, 5, 14, 30, tzinfo=pytz.utc),
'amount': 100,
'filled': 0,
'sid': self.ASSET133,
'limit': 3.5})
]
bar_data = BarData(self.data_portal,
lambda: self.minutes[3],
self.sim_params.data_frequency)
orders_txns = list(slippage_model.simulate(
bar_data,
self.ASSET133,
open_orders,
))
self.assertEquals(len(orders_txns), 0)
# long, does not trade - impacted price worse than limit price
open_orders = [
Order(**{
'dt': datetime.datetime(2006, 1, 5, 14, 30, tzinfo=pytz.utc),
'amount': 100,
'filled': 0,
'sid': self.ASSET133,
'limit': 3.5})
]
bar_data = BarData(self.data_portal,
lambda: self.minutes[3],
self.sim_params.data_frequency)
orders_txns = list(slippage_model.simulate(
bar_data,
self.ASSET133,
open_orders,
))
self.assertEquals(len(orders_txns), 0)
# long, does trade
open_orders = [
Order(**{
'dt': datetime.datetime(2006, 1, 5, 14, 30, tzinfo=pytz.utc),
'amount': 100,
'filled': 0,
'sid': self.ASSET133,
'limit': 3.6})
]
bar_data = BarData(self.data_portal,
lambda: self.minutes[3],
self.sim_params.data_frequency)
orders_txns = list(slippage_model.simulate(
bar_data,
self.ASSET133,
open_orders,
))
self.assertEquals(len(orders_txns), 1)
txn = orders_txns[0][1]
expected_txn = {
'price': float(3.50021875),
'dt': datetime.datetime(
2006, 1, 5, 14, 34, tzinfo=pytz.utc),
# we ordered 100 shares, but default volume slippage only allows
# for 2.5% of the volume. 2.5% * 2000 = 50 shares
'amount': int(50),
'sid': int(133),
'order_id': open_orders[0].id
}
self.assertIsNotNone(txn)
for key, value in expected_txn.items():
self.assertEquals(value, txn[key])
# short, does not trade
open_orders = [
Order(**{
'dt': datetime.datetime(2006, 1, 5, 14, 30, tzinfo=pytz.utc),
'amount': -100,
'filled': 0,
'sid': self.ASSET133,
'limit': 3.5})
]
bar_data = BarData(self.data_portal,
lambda: self.minutes[0],
self.sim_params.data_frequency)
#.........这里部分代码省略.........