test_algorithms.py 文件源码

python
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项目:zipline-chinese 作者: zhanghan1990 项目源码 文件源码
def handle_data(self, data):
        if self.target_shares == 0:
            assert 0 not in self.portfolio.positions
            self.order(self.sid(0), 10)
            self.target_shares = 10
            return
        else:
            print(self.portfolio)
            assert self.portfolio.positions[0]['amount'] == \
                self.target_shares, "Orders not filled immediately."
            assert self.portfolio.positions[0]['last_sale_price'] == \
                data[0].price, "Orders not filled at current price."

        self.order_target_value(self.sid(0), 20)
        self.target_shares = np.round(20 / data[0].price)

        if isinstance(self.sid(0), Equity):
            self.target_shares = np.round(20 / data[0].price)
        if isinstance(self.sid(0), Future):
            self.target_shares = np.round(
                20 / (data[0].price * self.sid(0).multiplier))
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