added execution module

alphamind/execution/baseexecutor.py

+# -*- coding: utf-8 -*-
+"""
+Created on 2017-9-22
+
+@author: cheng.li
+"""
+
+
+import abc
+import pandas as pd
+
+
+class ExecutorBase(metaclass=abc.ABCMeta):
+
+    def __init__(self):
+        pass
+
+    @abc.abstractmethod
+    def execute(self, target_pos: pd.DataFrame) -> pd.DataFrame:
+        pass
\ No newline at end of file

alphamind/execution/nativeexecutor.py

+# -*- coding: utf-8 -*-
+"""
+Created on 2017-9-22
+
+@author: cheng.li
+"""
+
+import pandas as pd
+from alphamind.execution.baseexecutor import ExecutorBase
+
+
+class NativeExecutor(ExecutorBase):
+
+    def __init__(self):
+        super().__init__()
+
+    def execute(self, target_pos: pd.DataFrame) -> pd.DataFrame:
+        return target_pos.copy()

alphamind/execution/thresholdexecutor.py

+# -*- coding: utf-8 -*-
+"""
+Created on 2017-9-22
+
+@author: cheng.li
+"""
+
+import numpy as np
+import pandas as pd
+from alphamind.execution.baseexecutor import ExecutorBase
+
+
+class ThresholdExecutor(ExecutorBase):
+
+    def __init__(self, turn_over_threshold: float):
+        super().__init__()
+        self.threshold = turn_over_threshold
+        self.current_pos = pd.DataFrame()
+
+    def execute(self, target_pos: pd.DataFrame) -> pd.DataFrame:
+
+        if self.current_pos.empty:
+            self.current_pos = target_pos.copy()
+            return target_pos.copy()
+        else:
+            pos_merged = pd.merge(target_pos, self.current_pos, on=['code'], how='outer')
+            pos_merged.fillna(0, inplace=True)
+            pos_merged['industry'] = pos_merged['industry_x'].where(pos_merged['industry_x'] != 0, pos_merged['industry_y'])
+            turn_over = np.abs(pos_merged.weight_x - pos_merged.weight_y).sum()
+
+            if turn_over >= self.threshold:
+                self.current_pos = target_pos.copy()
+                return self.current_pos.copy()
+            else:
+                return self.current_pos.copy()

alphamind/tests/execution/test_thresholdexecutor.py

+# -*- coding: utf-8 -*-
+"""
+Created on 2017-9-22
+
+@author: cheng.li
+"""
+
+import unittest
+import pandas as pd
+from alphamind.execution.thresholdexecutor import ThresholdExecutor
+
+
+class TestThresholdExecutor(unittest.TestCase):
+
+    def test_threshold_executor(self):
+
+        target_pos = pd.DataFrame({'code': [1, 2, 3],
+                                   'weight': [0.2, 0.3, 0.5],
+                                   'industry': ['a', 'b', 'c']})
+
+        executor = ThresholdExecutor(turn_over_threshold=0.5)
+
+        # 1st round
+        executed_pos = executor.execute(target_pos)
+        self.assertTrue(target_pos.equals(executed_pos))
+
+        # 2nd round
+        target_pos = pd.DataFrame({'code': [1, 2, 4],
+                                   'weight': [0.3, 0.2, 0.5],
+                                   'industry': ['a', 'b', 'd']})
+
+        executed_pos = executor.execute(target_pos)
+        self.assertTrue(target_pos.equals(executed_pos))
+        self.assertTrue(executed_pos.equals(executor.current_pos))
+
+        # 3nd round
+        target_pos = pd.DataFrame({'code': [1, 3, 4],
+                                   'weight': [0.3, 0.2, 0.5],
+                                   'industry': ['a', 'c', 'd']})
+        executed_pos2 = executor.execute(target_pos)
+        self.assertTrue(executed_pos.equals(executed_pos2))
+
+
+if __name__ == '__main__':
+    unittest.main()

alphamind/tests/test_suite.py

@@ -28,6 +28,7 @@ from alphamind.tests.analysis.test_factoranalysis import TestFactorAnalysis
 from alphamind.tests.analysis.test_quantilieanalysis import TestQuantileAnalysis
 from alphamind.tests.model.test_linearmodel import TestLinearModel
 from alphamind.tests.model.test_loader import TestLoader
+from alphamind.tests.execution.test_thresholdexecutor import TestThresholdExecutor
 
 
 if __name__ == '__main__':
@@ -47,6 +48,7 @@ if __name__ == '__main__':
                          TestFactorAnalysis,
                          TestQuantileAnalysis,
                          TestLinearModel,
-                         TestLoader],
+                         TestLoader,
+                         TestThresholdExecutor],
                         alpha_logger)
     runner.run()