使用Python进行事件驱动型量化回测(续5)

# execution.pyimport datetimeimport Queuefrom abc import ABCMeta, abstractmethodfrom event import FillEvent, OrderEvent

# execution.pyclass ExecutionHandler(object):    """    The ExecutionHandler abstract class handles the interaction    between a set of order objects generated by a Portfolio and    the ultimate set of Fill objects that actually occur in the    market.     The handlers can be used to subclass simulated brokerages    or live brokerages, with identical interfaces. This allows    strategies to be backtested in a very similar manner to the    live trading engine.    """    __metaclass__ = ABCMeta    @abstractmethod    def execute_order(self, event):        """        Takes an Order event and executes it, producing        a Fill event that gets placed onto the Events queue.        Parameters:        event - Contains an Event object with order information.        """        raise NotImplementedError("Should implement execute_order()")

# execution.pyclass SimulatedExecutionHandler(ExecutionHandler):    """    The simulated execution handler simply converts all order    objects into their equivalent fill objects automatically    without latency, slippage or fill-ratio issues.    This allows a straightforward "first go" test of any strategy,    before implementation with a more sophisticated execution    handler.    """    def __init__(self, events):        """        Initialises the handler, setting the event queues        up internally.        Parameters:        events - The Queue of Event objects.        """        self.events = events    def execute_order(self, event):        """        Simply converts Order objects into Fill objects naively,        i.e. without any latency, slippage or fill ratio problems.        Parameters:        event - Contains an Event object with order information.        """        if event.type == 'ORDER':            fill_event = FillEvent(datetime.datetime.utcnow(), event.symbol,                                   'ARCA', event.quantity, event.direction, None)            self.events.put(fill_event)