Source code for zipline.finance.cancel_policy

#
# 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 zipline.gens.sim_engine import SESSION_END


class CancelPolicy(metaclass=abc.ABCMeta):
    """Abstract cancellation policy interface."""

    @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


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


class NeverCancel(CancelPolicy):
    """Orders are never automatically canceled."""

    def __init__(self):
        self.warn_on_cancel = False

    def should_cancel(self, event):
        return False