Merge b095f09 into 0375b35

scripts/generate_new_sample_saved_state.py

@@ -0,0 +1,139 @@
+#
+# Copyright 2015 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 datetime
+import os
+import pickle
+import pytz
+
+import sys
+sys.path.insert(0, '.')
+
+from zipline.finance.blotter import Blotter, Order
+from zipline.finance.commission import PerShare, PerTrade, PerDollar
+from zipline.finance.performance.period import PerformancePeriod
+from zipline.finance.performance.position import Position
+from zipline.finance.performance.tracker import PerformanceTracker
+from zipline.finance.risk.cumulative import RiskMetricsCumulative
+from zipline.finance.risk.period import RiskMetricsPeriod
+from zipline.finance.risk.report import RiskReport
+from zipline.finance.slippage import (
+    FixedSlippage,
+    Transaction,
+    VolumeShareSlippage
+)
+from zipline.protocol import Account
+from zipline.protocol import Portfolio
+from zipline.protocol import Position as ProtocolPosition
+
+
+from zipline.finance.trading import SimulationParameters
+
+from zipline.utils import factory
+from zipline.utils.serialization_utils import VERSION_LABEL
+
+base_state_dir = 'tests/resources/saved_state_archive'
+if not os.path.exists(base_state_dir):
+    os.makedirs(base_state_dir)
+
+
+sim_params_daily = SimulationParameters(
+    datetime.datetime(2013, 6, 19, tzinfo=pytz.UTC),
+    datetime.datetime(2013, 6, 19, tzinfo=pytz.UTC),
+    10000,
+    emission_rate='daily')
+
+
+sim_params_minute = SimulationParameters(
+    datetime.datetime(2013, 6, 19, tzinfo=pytz.UTC),
+    datetime.datetime(2013, 6, 19, tzinfo=pytz.UTC),
+    10000,
+    emission_rate='minute')
+
+
+returns = factory.create_returns_from_list(
+    [1.0], sim_params_daily)
+
+
+argument_list = [
+    (Blotter, ()),
+    (Order, (datetime.datetime(2013, 6, 19), 8554, 100)),
+    (PerShare, ()),
+    (PerTrade, ()),
+    (PerDollar, ()),
+    (PerformancePeriod, (10000,)),
+    (Position, (8554,)),
+    (PerformanceTracker, (sim_params_minute,)),
+    (RiskMetricsCumulative, (sim_params_minute,)),
+    (RiskMetricsPeriod, (returns.index[0], returns.index[0], returns)),
+    (RiskReport, (returns, sim_params_minute)),
+    (FixedSlippage, ()),
+    (Transaction, (8554, 10, datetime.datetime(2013, 6, 19), 100, "0000")),
+    (VolumeShareSlippage, ()),
+    (Account, ()),
+    (Portfolio, ()),
+    (ProtocolPosition, (8554,))
+]
+
+
+def write_state_to_disk(cls, state, emission_rate=None):
+    state_dir = cls.__module__ + '.' + cls.__name__
+
+    full_dir = base_state_dir + '/' + state_dir
+
+    if not os.path.exists(full_dir):
+        os.makedirs(full_dir)
+
+    if emission_rate is not None:
+        name = 'State_Version_' + emission_rate + \
+            str(state['obj_state'][VERSION_LABEL])
+    else:
+        name = 'State_Version_' + str(state['obj_state'][VERSION_LABEL])
+
+    full_path = full_dir + '/' + name
+
+    f = open(full_path, 'w')
+
+    pickle.dump(state, f)
+
+    f.close()
+
+
+def generate_object_state(cls, initargs):
+
+    obj = cls(*initargs)
+    state = obj.__getstate__()
+    if hasattr(obj, '__getinitargs__'):
+        initargs = obj.__getinitargs__()
+    else:
+        initargs = None
+    if hasattr(obj, '__getnewargs__'):
+        newargs = obj.__getnewargs__()
+    else:
+        newargs = None
+
+    on_disk_state = {
+        'obj_state': state,
+        'initargs': initargs,
+        'newargs': newargs
+    }
+
+    write_state_to_disk(cls, on_disk_state)
+
+
+if __name__ == "__main__":
+
+    for args in argument_list:
+        generate_object_state(*args)

tests/resources/saved_state_archive/zipline.finance.blotter.Blotter/State_Version_1

@@ -0,0 +1,21 @@
+(dp0
+S'obj_state'
+p1
+(dp2
+S'_stateversion_'
+p3
+I1
+sS'new_orders'
+p4
+(lp5
+sS'orders'
+p6
+(dp7
+sS'open_orders'
+p8
+(dp9
+ssS'initargs'
+p10
+NsS'newargs'
+p11
+Ns.

tests/resources/saved_state_archive/zipline.finance.blotter.Order/State_Version_1

@@ -0,0 +1,60 @@
+(dp0
+S'obj_state'
+p1
+(dp2
+S'direction'
+p3
+F1.0
+sS'_stateversion_'
+p4
+I1
+sS'_status'
+p5
+I0
+sS'created'
+p6
+cdatetime
+datetime
+p7
+(S'\x07\xdd\x06\x13\x00\x00\x00\x00\x00\x00'
+p8
+tp9
+Rp10
+sS'limit_reached'
+p11
+I00
+sS'stop'
+p12
+NsS'reason'
+p13
+NsS'stop_reached'
+p14
+I00
+sS'commission'
+p15
+NsS'amount'
+p16
+I100
+sS'limit'
+p17
+NsS'sid'
+p18
+I8554
+sS'dt'
+p19
+g10
+sS'type'
+p20
+I6
+sS'id'
+p21
+S'ca467b999ff148f4b4fa89aa2cd899a9'
+p22
+sS'filled'
+p23
+I0
+ssS'initargs'
+p24
+NsS'newargs'
+p25
+Ns.

tests/resources/saved_state_archive/zipline.finance.commission.PerDollar/State_Version_1

@@ -0,0 +1,15 @@
+(dp0
+S'obj_state'
+p1
+(dp2
+S'cost'
+p3
+F0.0015
+sS'_stateversion_'
+p4
+I1
+ssS'initargs'
+p5
+NsS'newargs'
+p6
+Ns.

tests/resources/saved_state_archive/zipline.finance.commission.PerShare/State_Version_1

@@ -0,0 +1,17 @@
+(dp0
+S'obj_state'
+p1
+(dp2
+S'min_trade_cost'
+p3
+NsS'cost'
+p4
+F0.03
+sS'_stateversion_'
+p5
+I1
+ssS'initargs'
+p6
+NsS'newargs'
+p7
+Ns.

tests/resources/saved_state_archive/zipline.finance.commission.PerTrade/State_Version_1

@@ -0,0 +1,15 @@
+(dp0
+S'obj_state'
+p1
+(dp2
+S'cost'
+p3
+F5.0
+sS'_stateversion_'
+p4
+I1
+ssS'initargs'
+p5
+NsS'newargs'
+p6
+Ns.