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ENH: Add slippage models to execute at limit, open prices #1512

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ENH: Add slippage models to execute at limit, open prices #1512

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9487a9c
ENH: Allow to fill orders at limit price or configurable price field
Aug 30, 2016
30643a9
ENH: Add slippage models to execute at limit, open prices
Sep 23, 2016
b65fa2e
Merge branch 'master' of https://github.com/quantopian/zipline into l…
Sep 23, 2016
ef8323f
BUG: fix/sync parameter count
Sep 23, 2016
2fdbb2d
STY: fix PEP8 messages
Sep 23, 2016
d8a5b31
BUG: fix python3 str.translate args
Sep 23, 2016
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210 changes: 200 additions & 10 deletions tests/finance/test_slippage.py
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Original file line number Diff line number Diff line change
Expand Up @@ -24,13 +24,15 @@

import pandas as pd
from pandas.tslib import normalize_date
from numpy import arange

from zipline.finance.slippage import VolumeShareSlippage
from zipline.finance.slippage import VolumeShareSlippage,\
HLCVolumeSlippage, OHLVolumeSlippage

from zipline.protocol import DATASOURCE_TYPE
from zipline.finance.blotter import Order

from zipline.data.data_portal import DataPortal
from zipline.data.data_portal import DataPortal, BASE_FIELDS
from zipline.protocol import BarData
from zipline.testing import tmp_bcolz_equity_minute_bar_reader
from zipline.testing.fixtures import (
Expand All @@ -40,6 +42,34 @@
)


class SimpleQuotes(tmp_bcolz_equity_minute_bar_reader):
def __init__(self, ohlc):
dc = dict(zip(['open', 'high', 'low', 'close'], zip(ohlc)))
dc['volume'] = 200
assets = (
(133, pd.DataFrame(dc, index=[SlippageTestCase.minutes[0]],)),
)
days = pd.date_range(
start=normalize_date(SlippageTestCase.minutes[0]),
end=normalize_date(SlippageTestCase.minutes[-1])
)
super(SimpleQuotes, self). \
__init__(SlippageTestCase.trading_calendar, days, assets)

def __enter__(self):
reader = tmp_bcolz_equity_minute_bar_reader.__enter__(self)
data_portal = DataPortal(
SlippageTestCase.env.asset_finder,
SlippageTestCase.trading_calendar,
first_trading_day=reader.first_trading_day,
equity_minute_reader=reader
)
return BarData(data_portal,
lambda: SlippageTestCase.minutes[0],
SlippageTestCase.sim_params.data_frequency,
SlippageTestCase.trading_calendar)


class SlippageTestCase(WithSimParams, WithDataPortal, ZiplineTestCase):
START_DATE = pd.Timestamp('2006-01-05 14:31', tz='utc')
END_DATE = pd.Timestamp('2006-01-05 14:36', tz='utc')
Expand All @@ -60,10 +90,10 @@ class SlippageTestCase(WithSimParams, WithDataPortal, ZiplineTestCase):
def make_equity_minute_bar_data(cls):
yield 133, pd.DataFrame(
{
'open': [3.0, 3.0, 3.5, 4.0, 3.5],
'high': [3.15, 3.15, 3.15, 3.15, 3.15],
'low': [2.85, 2.85, 2.85, 2.85, 2.85],
'close': [3.0, 3.5, 4.0, 3.5, 3.0],
'open': [3.0, 3.0, 3.5, 4.0, 3.5],
'high': [3.7, 3.7, 4.2, 4.2, 3.7],
'low': [2.85, 2.85, 2.85, 2.85, 2.85],
'close': [3.0, 3.5, 4.0, 3.5, 3.0],
'volume': [2000, 2000, 2000, 2000, 2000],
},
index=cls.minutes,
Expand Down Expand Up @@ -91,8 +121,8 @@ def test_volume_share_slippage(self):
start=normalize_date(self.minutes[0]),
end=normalize_date(self.minutes[-1])
)
with tmp_bcolz_equity_minute_bar_reader(self.trading_calendar, days, assets) \
as reader:
with tmp_bcolz_equity_minute_bar_reader(self.trading_calendar, days,
assets) as reader:
data_portal = DataPortal(
self.env.asset_finder, self.trading_calendar,
first_trading_day=reader.first_trading_day,
Expand Down Expand Up @@ -184,6 +214,7 @@ def test_orders_limit(self):
self.sim_params.data_frequency,
self.trading_calendar)

self.print_quotes(bar_data, open_orders[0])
orders_txns = list(slippage_model.simulate(
bar_data,
self.ASSET133,
Expand All @@ -193,6 +224,7 @@ def test_orders_limit(self):
self.assertEquals(len(orders_txns), 0)

# long, does not trade - impacted price worse than limit price
# TODO: this seems duplicate to above?
open_orders = [
Order(**{
'dt': datetime.datetime(2006, 1, 5, 14, 30, tzinfo=pytz.utc),
Expand All @@ -207,6 +239,7 @@ def test_orders_limit(self):
self.sim_params.data_frequency,
self.trading_calendar)

self.print_quotes(bar_data, open_orders[0])
orders_txns = list(slippage_model.simulate(
bar_data,
self.ASSET133,
Expand All @@ -230,6 +263,7 @@ def test_orders_limit(self):
self.sim_params.data_frequency,
self.trading_calendar)

self.print_quotes(bar_data, open_orders[0])
orders_txns = list(slippage_model.simulate(
bar_data,
self.ASSET133,
Expand Down Expand Up @@ -270,6 +304,7 @@ def test_orders_limit(self):
self.sim_params.data_frequency,
self.trading_calendar)

self.print_quotes(bar_data, open_orders[0])
orders_txns = list(slippage_model.simulate(
bar_data,
self.ASSET133,
Expand All @@ -279,6 +314,8 @@ def test_orders_limit(self):
self.assertEquals(len(orders_txns), 0)

# short, does not trade - impacted price worse than limit price
# TODO: this seems duplicate to above?

open_orders = [
Order(**{
'dt': datetime.datetime(2006, 1, 5, 14, 30, tzinfo=pytz.utc),
Expand All @@ -293,6 +330,7 @@ def test_orders_limit(self):
self.sim_params.data_frequency,
self.trading_calendar)

self.print_quotes(bar_data, open_orders[0])
orders_txns = list(slippage_model.simulate(
bar_data,
self.ASSET133,
Expand All @@ -316,6 +354,7 @@ def test_orders_limit(self):
self.sim_params.data_frequency,
self.trading_calendar)

self.print_quotes(bar_data, open_orders[0])
orders_txns = list(slippage_model.simulate(
bar_data,
self.ASSET133,
Expand Down Expand Up @@ -489,8 +528,8 @@ def test_orders_stop(self, name, order_data, event_data, expected):
start=normalize_date(self.minutes[0]),
end=normalize_date(self.minutes[-1])
)
with tmp_bcolz_equity_minute_bar_reader(self.trading_calendar, days, assets) \
as reader:
with tmp_bcolz_equity_minute_bar_reader(self.trading_calendar, days,
assets) as reader:
data_portal = DataPortal(
self.env.asset_finder, self.trading_calendar,
first_trading_day=reader.first_trading_day,
Expand Down Expand Up @@ -521,6 +560,12 @@ def test_orders_stop(self, name, order_data, event_data, expected):
for key, value in expected['transaction'].items():
self.assertEquals(value, txn[key])

def print_quotes(self, data, order):
qt = data.current(self.ASSET133, list(BASE_FIELDS))
print('order: qty %d stop %.2g limit %.2g' %
(order.amount, order.stop or 0, order.limit or 0) +
', bar data OHLC: %(open)g %(high)g %(low)g %(close)g' % qt)

def test_orders_stop_limit(self):
slippage_model = VolumeShareSlippage()
slippage_model.data_portal = self.data_portal
Expand All @@ -541,6 +586,7 @@ def test_orders_stop_limit(self):
self.sim_params.data_frequency,
self.trading_calendar)

self.print_quotes(bar_data, open_orders[0])
orders_txns = list(slippage_model.simulate(
bar_data,
self.ASSET133,
Expand All @@ -554,6 +600,7 @@ def test_orders_stop_limit(self):
self.sim_params.data_frequency,
self.trading_calendar)

self.print_quotes(bar_data, open_orders[0])
orders_txns = list(slippage_model.simulate(
bar_data,
self.ASSET133,
Expand All @@ -578,6 +625,7 @@ def test_orders_stop_limit(self):
self.sim_params.data_frequency,
self.trading_calendar)

self.print_quotes(bar_data, open_orders[0])
orders_txns = list(slippage_model.simulate(
bar_data,
self.ASSET133,
Expand All @@ -591,6 +639,7 @@ def test_orders_stop_limit(self):
self.sim_params.data_frequency,
self.trading_calendar)

self.print_quotes(bar_data, open_orders[0])
orders_txns = list(slippage_model.simulate(
bar_data,
self.ASSET133,
Expand All @@ -615,6 +664,7 @@ def test_orders_stop_limit(self):
self.sim_params.data_frequency,
self.trading_calendar)

self.print_quotes(bar_data, open_orders[0])
orders_txns = list(slippage_model.simulate(
bar_data,
self.ASSET133,
Expand All @@ -628,6 +678,7 @@ def test_orders_stop_limit(self):
self.sim_params.data_frequency,
self.trading_calendar)

self.print_quotes(bar_data, open_orders[0])
orders_txns = list(slippage_model.simulate(
bar_data,
self.ASSET133,
Expand Down Expand Up @@ -665,6 +716,7 @@ def test_orders_stop_limit(self):
self.sim_params.data_frequency,
self.trading_calendar)

self.print_quotes(bar_data, open_orders[0])
orders_txns = list(slippage_model.simulate(
bar_data,
self.ASSET133,
Expand Down Expand Up @@ -702,6 +754,7 @@ def test_orders_stop_limit(self):
self.sim_params.data_frequency,
self.trading_calendar)

self.print_quotes(bar_data, open_orders[0])
orders_txns = list(slippage_model.simulate(
bar_data,
self.ASSET133,
Expand Down Expand Up @@ -739,6 +792,7 @@ def test_orders_stop_limit(self):
self.sim_params.data_frequency,
self.trading_calendar)

self.print_quotes(bar_data, open_orders[0])
orders_txns = list(slippage_model.simulate(
bar_data,
self.ASSET133,
Expand All @@ -752,6 +806,7 @@ def test_orders_stop_limit(self):
self.sim_params.data_frequency,
self.trading_calendar)

self.print_quotes(bar_data, open_orders[0])
orders_txns = list(slippage_model.simulate(
bar_data,
self.ASSET133,
Expand All @@ -771,3 +826,138 @@ def test_orders_stop_limit(self):

for key, value in expected_txn.items():
self.assertEquals(value, txn[key])

# test when limit can be executed in the same bar as stop
self.print_quotes(bar_data, open_orders[0])
open_orders = [
Order(**{
'dt': datetime.datetime(2006, 1, 5, 14, 30, tzinfo=pytz.utc),
'amount': 100,
'sid': self.ASSET133,
'stop': 3.1,
'limit': 3.6})
]

bar_data = BarData(self.data_portal,
lambda: self.minutes[1],
self.sim_params.data_frequency,
self.trading_calendar)

self.print_quotes(bar_data, open_orders[0])
# enhance coverage with slippage_model() vs slippage_model.simulate()
orders_txns = list(slippage_model(
bar_data,
self.ASSET133,
open_orders
))
txn = orders_txns[0][1]
self.assert_(txn['amount'] > 0 and
abs(txn['price'] - 3.5) < 0.01)

def testHLCVolumeSlippage(self):
slippage = HLCVolumeSlippage()
templates = (
'+LOCHxC', '+lLOCH.', '+LlOCHxl', '-LOCHl.', '-LOClHxl',
'+LOCslHxs',
# stop triggered by High, limit triggered at Close, executed at lmt
'+LOClsHxl',
'-LOCslH.', # stop triggered, but limit not
'-LOClsHxs',
'+LOCsHxs', '-LsOCHxs', '-LOCHsxC', '+sLOCHxC'
)
for t in templates:
self.verifyTemplate(t, slippage)

def testOHLVolumeSlippage(self):
slippage = OHLVolumeSlippage()
templates = (
'+LOCHxO', '+lLOCH.', '+LlOCHxl', '+LOlCHxO', '+LOClHxO',
'+LOCHlxO',
'-LOCHl.', '-LOClHxl', '-LOlCHxl', '-LlOCHxO', '-lLOCHxO',
'+LOCslHxs',
# stop triggered on High, limit triggered at C, executed at limit
'+LOClsHxl',
'-LOCslHxl', '-LOClsHxl',
'+LOCsHxs', '-LsOCHxs', '-LOCHsxO', '-LOsCHxO',
'+sLOCHxO',
# stop triggered on open, limit triggered by low, execute at limit
'+LlsOCHxl',
'+LOlsCH.'
)
for t in templates:
self.verifyTemplate(t, slippage)

def verifyTemplate(self, template, slippage):
params = template_to_num(template)
ohlc = [params[f] for f in 'OHLC']
stop = params.get('s', None)
limit = params.get('l', None)

def _format(f):
return 'None' if f is None else '%g' % f
print(template + ' stop ' + _format(stop) + ' limit ' +
_format(limit) + ' quotes %s' % ohlc)
amount = (1 if template[0] == '+' else -1) * 100
with SimpleQuotes(ohlc) as data:
assert params['L'] <= params['H'], 'invalid bar: H < L'
order = Order(datetime.datetime.now(), self.ASSET133, amount,
limit=limit,
stop=stop)
if template == '+LOlsCH.':
pass # debug break
txns = list(slippage.simulate(data, self.ASSET133, [order]))
if len(txns):
txn = txns[0][1]
print('executed txn', txn.amount)
else:
txn = None
check_template(template, txn)
return txn


def template_to_num(tmpl):
"""Produce real OHLC quotes from a testing template:
Order of characters does matter, latter chars produce higher numbers
'l' - order.limit
's' - order.stop
'O', 'H', 'L', 'C' - bar components
'+' is discarded for numbers generation but later means a positive
amount (buy order)
'-' is sell order
'xC' - expected result is 'having a transaction' at Close price
'.' - expected result is 'no action, pass...'
"""
step = 0.5
import six
del_chars = '+.'
tmpl = tmpl.translate(None, del_chars) if six.PY2 \
else tmpl.translate(str.maketrans('', '', del_chars))
xi = tmpl.find('x')
if xi != -1:
tmpl = tmpl[:xi]

return dict(zip(tmpl, arange(3, 3 + len(tmpl)*step, step)))


def check_template(template, txn):
assert '+-'.index(template[0]) >= 0, 'templace must match with + or -'
if template[-2] == 'x':
assert txn is not None, 'expected to have transation ' + template
assert (txn.amount > 0) == (template[0] == '+'), \
'unexpected transaction direction'
prices = template_to_num(template)
expected_price = prices[template[-1]]
assert abs(txn.price - expected_price) < 0.01, \
'expected price %g, got %g %s' % \
(expected_price, txn.price, template)
else:
assert template[-1] == '.', \
'only x[OHLC] or . accepted at end of template ' + template
assert txn is None, \
'no transaction expected %s %s' % (template, txn.price)

if __name__ == '__main__':
import nose
test = 'tests.finance.test_slippage:SlippageTestCase'
# test += '.testHLCVolumeSlippage' # .testOHLVolumeSlippage
nose.run(argv=['nosetests', '-s', test])
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