#
# Copyright 2016 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.
import abc
from abc import abstractmethod
from six import with_metaclass
from zipline.gens.sim_engine import SESSION_END
[docs]class CancelPolicy(with_metaclass(abc.ABCMeta)):
"""Abstract cancellation policy interface.
"""
[docs] @abstractmethod
def should_cancel(self, event):
"""Should all open orders be cancelled?
Parameters
----------
event : enum-value
An event type, one of:
- :data:`zipline.gens.sim_engine.BAR`
- :data:`zipline.gens.sim_engine.DAY_START`
- :data:`zipline.gens.sim_engine.DAY_END`
- :data:`zipline.gens.sim_engine.MINUTE_END`
Returns
-------
should_cancel : bool
Should all open orders be cancelled?
"""
pass
[docs]class EODCancel(CancelPolicy):
"""This policy cancels open orders at the end of the day. For now,
Zipline will only apply this policy to minutely simulations.
Parameters
----------
warn_on_cancel : bool, optional
Should a warning be raised if this causes an order to be cancelled?
"""
def __init__(self, warn_on_cancel=True):
self.warn_on_cancel = warn_on_cancel
def should_cancel(self, event):
return event == SESSION_END
[docs]class NeverCancel(CancelPolicy):
"""Orders are never automatically canceled.
"""
def __init__(self):
self.warn_on_cancel = False
def should_cancel(self, event):
return False