#
# Copyright 2018 Quantopian, Inc.
#
# Licensed under the Apache License, Version 2.0 (the "License");
# you may not use this file except in compliance with the License.
# You may obtain a copy of the License at
#
# http://www.apache.org/licenses/LICENSE-2.0
#
# Unless required by applicable law or agreed to in writing, software
# distributed under the License is distributed on an "AS IS" BASIS,
# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
# See the License for the specific language governing permissions and
# limitations under the License.
from abc import ABCMeta, abstractmethod
from six import with_metaclass
from zipline.extensions import extensible
from zipline.finance.cancel_policy import NeverCancel
[docs]@extensible
class Blotter(with_metaclass(ABCMeta)):
def __init__(self, cancel_policy=None):
self.cancel_policy = cancel_policy if cancel_policy else NeverCancel()
self.current_dt = None
def set_date(self, dt):
self.current_dt = dt
[docs] @abstractmethod
def order(self, asset, amount, style, order_id=None):
"""Place an order.
Parameters
----------
asset : zipline.assets.Asset
The asset that this order is for.
amount : int
The amount of shares to order. If ``amount`` is positive, this is
the number of shares to buy or cover. If ``amount`` is negative,
this is the number of shares to sell or short.
style : zipline.finance.execution.ExecutionStyle
The execution style for the order.
order_id : str, optional
The unique identifier for this order.
Returns
-------
order_id : str or None
The unique identifier for this order, or None if no order was
placed.
Notes
-----
amount > 0 :: Buy/Cover
amount < 0 :: Sell/Short
Market order: order(asset, amount)
Limit order: order(asset, amount, style=LimitOrder(limit_price))
Stop order: order(asset, amount, style=StopOrder(stop_price))
StopLimit order: order(asset, amount, style=StopLimitOrder(limit_price,
stop_price))
"""
raise NotImplementedError('order')
[docs] def batch_order(self, order_arg_lists):
"""Place a batch of orders.
Parameters
----------
order_arg_lists : iterable[tuple]
Tuples of args that `order` expects.
Returns
-------
order_ids : list[str or None]
The unique identifier (or None) for each of the orders placed
(or not placed).
Notes
-----
This is required for `Blotter` subclasses to be able to place a batch
of orders, instead of being passed the order requests one at a time.
"""
return [self.order(*order_args) for order_args in order_arg_lists]
[docs] @abstractmethod
def cancel(self, order_id, relay_status=True):
"""Cancel a single order
Parameters
----------
order_id : int
The id of the order
relay_status : bool
Whether or not to record the status of the order
"""
raise NotImplementedError('cancel')
[docs] @abstractmethod
def cancel_all_orders_for_asset(self, asset, warn=False,
relay_status=True):
"""
Cancel all open orders for a given asset.
"""
raise NotImplementedError('cancel_all_orders_for_asset')
@abstractmethod
def execute_cancel_policy(self, event):
raise NotImplementedError('execute_cancel_policy')
[docs] @abstractmethod
def reject(self, order_id, reason=''):
"""
Mark the given order as 'rejected', which is functionally similar to
cancelled. The distinction is that rejections are involuntary (and
usually include a message from a broker indicating why the order was
rejected) while cancels are typically user-driven.
"""
raise NotImplementedError('reject')
[docs] @abstractmethod
def hold(self, order_id, reason=''):
"""
Mark the order with order_id as 'held'. Held is functionally similar
to 'open'. When a fill (full or partial) arrives, the status
will automatically change back to open/filled as necessary.
"""
raise NotImplementedError('hold')
[docs] @abstractmethod
def process_splits(self, splits):
"""
Processes a list of splits by modifying any open orders as needed.
Parameters
----------
splits: list
A list of splits. Each split is a tuple of (asset, ratio).
Returns
-------
None
"""
raise NotImplementedError('process_splits')
[docs] @abstractmethod
def get_transactions(self, bar_data):
"""
Creates a list of transactions based on the current open orders,
slippage model, and commission model.
Parameters
----------
bar_data: zipline._protocol.BarData
Notes
-----
This method book-keeps the blotter's open_orders dictionary, so that
it is accurate by the time we're done processing open orders.
Returns
-------
transactions_list: List
transactions_list: list of transactions resulting from the current
open orders. If there were no open orders, an empty list is
returned.
commissions_list: List
commissions_list: list of commissions resulting from filling the
open orders. A commission is an object with "asset" and "cost"
parameters.
closed_orders: List
closed_orders: list of all the orders that have filled.
"""
raise NotImplementedError('get_transactions')
[docs] @abstractmethod
def prune_orders(self, closed_orders):
"""
Removes all given orders from the blotter's open_orders list.
Parameters
----------
closed_orders: iterable of orders that are closed.
Returns
-------
None
"""
raise NotImplementedError('prune_orders')