Simulator.py

import datetime
from datetime import datetime as dt

from utils import date_str
from utils import date_obj

from Calculator import Calculator


class Simulator(object):

    """A simulator for how a portfolio would act in a market.

    Generally speaking, this is a coordinator between the Trader and
    the Market. A Market has stocks and dates, while a Trader has a
    Portfolio and strategies; both are indepedent, so this Simulator
    moves the Market and makes the Trader react to it.
    Additionally, this Simulator takes stats of the Portfolio at each
    day.

    Supported Statistics:
        - Per-day portfolio value history
        - Per-day asset allocation
        - Per-day contributions vs growth percent of total value
        - Per-year annual returns

    Attributes:
        dates_testing: A tuple indicating a range of dates to test

    Todo:
        - [new feature] multiple portfolios/traders
    """

    def __init__(self):
        """Initializes an empty simulator."""
        self._calc = Calculator()
        self._trader = None
        self._market = None
        self._monitor = None
        self._stocks = set({})
        self._indicators = set({})
        self.dates_testing = (None, None)

    def add_trader(self, trader):
        """Sets the Trader for this Simulator.

        Args:
            trader: A Trader instance
        """
        self._trader = trader

    def use_market(self, market):
        """Sets the Market for this Simulator to use.

        Args:
            market: A Market instance to use
        """
        self._market = market

    def use_monitor(self, monitor):
        """Sets the Monitor for this Simulator to use.

        Args:
            monitor: A Monitor instance to use
        """
        self._monitor = monitor

    def use_stocks(self, tickers):
        """Adds a set of stocks to the stocks with which to populate
        the Market.

        Args:
            tickers: A set of tickers
        """
        self._stocks |= set(tickers)

    def use_indicators(self, indicators):
        """Adds a set of indicators to the indicators with which to
        populate the Market.

        Args:
            indicators: A set of indicators
        """
        self._indicators |= set(indicators)

    def set_start_date(self, date):
        """Sets the start date for this Simulator.

        Args:
            date: A start date
        """
        self.dates_testing = (date_str(date), self.dates_testing[1])

    def set_end_date(self, date):
        """Sets the end date for this Simulator.

        Args:
            date: An end date
        """
        self.dates_testing = (self.dates_testing[0], date_str(date))

    def remove_date_limits(self):
        """Removes any date range for this Simulator."""
        self.dates_testing = (None, None)

    def simulate(self):
        """Runs this Simulator with the current configuration."""
        self._init_market()
        self._init_dates()
        self._init_trader()
        self._monitor.init_stats()
        while self._market.current_date() < self.dates_testing[1]:
            self._market.advance_day()
            self._trader.adjust_portfolio()
            self._monitor.take_snapshot()

    def _init_market(self):
        """Initializes/resets the Market to work with the current
        Simulator setup.

        Specifically, adds all stocks to the Market and resets the
        Market's dates. Then, adds all relevant indicators."""
        for asset in self._stocks:
            if asset not in self._market.stocks.keys():
                self._market.add_stocks([asset])
            for indicator in self._indicators:
                self._market.add_indicator(
                    asset,
                    indicator,
                    self._calc.get_indicator(indicator,
                                             self._market.stocks[asset]))
        self._market.set_default_dates()    

    def _init_dates(self):
        """Initializes/resets the testing dates for this Simulator.

        Specifically, aligns the Simulator's dates with the Market's
        dates."""
        if (not self.dates_testing[0]
                or self.dates_testing[0] < self._market.dates[0]):
            self.dates_testing = (self._market.dates[0],
                                  self.dates_testing[1])
        else:
            self._market.set_date(self.dates_testing[0])
        if (not self.dates_testing[1]
                or self.dates_testing[1] > self._market.dates[-1]):
            self.dates_testing = (self.dates_testing[0],
                                  self._market.dates[-1])

    def _init_trader(self):
        """Initializes/resets the Trader(s) for this Simulator.

        Specifically, asigns a Market for the Trader to uses and
        initializes the Trader's Portfolio.
        """
        self._trader.use_market(self._market)
        self._trader.initialize_portfolio()