def shell(ctx, **kwargs):
ctx = process_algo_params(ctx, **kwargs)
algorithm = ctx.algorithm
algomodule = ctx.algomodule
with LiveTraderAPI(algorithm):
start_shell(algorithm, algomodule)
def run_smoke(algo, before_run_hook=None, pipeline_hook=None):
fake_clock = clock.FaketimeClock()
# fake_clock.rollback(1)
be = backend.Backend(clock=fake_clock)
a = Algorithm(
initialize=getattr(algo, 'initialize', noop),
handle_data=getattr(algo, 'handle_data', noop),
before_trading_start=getattr(algo, 'before_trading_start', noop),
backend=be,
)
if pipeline_hook is not None:
def _pipeline_output(name):
return pipeline_hook.output(a, name)
a.pipeline_output = _pipeline_output
with LiveTraderAPI(a), \
patch('pylivetrader.executor.executor.RealtimeClock') as rc:
def make_clock(*args, **kwargs):
# may want to reconfigure clock
return fake_clock
rc.side_effect = make_clock
if before_run_hook is not None:
before_run_hook(a, be)
a.run()
def run(ctx, algofile, backend, backend_config, data_frequency, statefile,
zipline):
if algofile is None or algofile == '':
ctx.fail("must specify algo file with '-f' ")
if not (Path(algofile).exists() and Path(algofile).is_file()):
ctx.fail("couldn't find algofile '{}'".format(algofile))
functions = get_functions_by_path(algofile, use_translate=zipline)
backend_options = None
if backend_config is not None:
backend_options = configloader.load_config(backend_config)
algorithm = Algorithm(
backend=backend,
backend_options=backend_options,
data_frequency=data_frequency,
algoname=extract_filename(algofile),
statefile=statefile,
**functions,
)
with LiveTraderAPI(algorithm):
algorithm.run()
def initialize(self, *args, **kwargs):
self._context_persistence_excludes = (list(self.__dict__.keys()) +
['executor'])
self._state_store.load(self, self._algoname)
with LiveTraderAPI(self):
self._initialize(self, *args, **kwargs)
self._state_store.save(self, self._algoname,
self._context_persistence_excludes)
def run(self):
algo = self.algo
def every_bar(dt_to_use,
current_data=self.current_data,
handle_data=algo.event_manager.handle_data):
# clear data portal cache.
self.data_portal.cache_clear()
# called every tick (minute or day).
algo.on_dt_changed(dt_to_use)
self.current_data.datetime = dt_to_use
handle_data(algo, current_data, dt_to_use)
algo.portfolio_needs_update = True
algo.account_needs_update = True
def once_a_day(midnight_dt,
current_data=self.current_data,
data_portal=self.data_portal):
# set all the timestamps
algo.on_dt_changed(midnight_dt)
self.current_data.datetime = midnight_dt
def on_exit():
# Remove references to algo, data portal, et al to break cycles
# and ensure deterministic cleanup of these objects when the
# simulation finishes.
self.algo = None
self.current_data = self.data_portal = None
with ExitStack() as stack:
stack.callback(on_exit)
stack.enter_context(LiveTraderAPI(self.algo))
# runs forever
for dt, action in self.clock:
if action == BAR:
every_bar(dt)
elif action == SESSION_START:
once_a_day(dt)
elif action == BEFORE_TRADING_START_BAR:
algo.on_dt_changed(dt)
self.current_data.datetime = dt
algo.before_trading_start(self.current_data)
def simulate_init_and_handle(algo):
algo._assets_from_source = \
algo.asset_finder.retrieve_all(algo.asset_finder.sids)
if not algo.initialized:
algo.initialize()
algo.initialized = True
algo.executor = AlgorithmExecutor(algo, algo.data_portal)
dt_to_use = pd.Timestamp('2018/08/13 9:30',
tz='America/New_York').tz_convert('UTC')
with LiveTraderAPI(algo):
algo.on_dt_changed(dt_to_use)
algo.executor.current_data.datetime = dt_to_use
algo.before_trading_start(algo.executor.current_data)
algo.handle_data(algo.executor.current_data)
def test_orders():
backend = alpaca.Backend('key-id', 'secret-key')
with patch.object(backend, '_api') as _api:
_api.list_assets.return_value = [
Asset({
'id': 'bcfdb21a-760c-44a6-a3af-6264851b5c1b',
'asset_class': 'us_equity',
'exchange': 'NYSE',
'symbol': 'X',
'status': 'inactive',
'tradable': True
}),
Asset({
'id': '93f58d0b-6c53-432d-b8ce-2bad264dbd94',
'asset_class': 'us_equity',
'exchange': 'NASDAQ',
'symbol': 'AAPL',
'status': 'active',
'tradable': True
}),
Asset({
'id': '8688f60a-04c9-4740-8468-c0b994499f41',
'asset_class': 'us_equity',
'exchange': 'NYSE',
'symbol': 'BAC',
'status': 'active',
'tradable': True
}),
]
res = backend._symbols2assets(['AAPL'])
assert len(res) == 1
_api.get_account.return_value = Account({
'account_blocked': False,
'buying_power': '43.38',
'cash': '35036.18',
'cash_withdrawable': '43.38',
'created_at': '2018-08-27T18:33:56.812574Z',
'currency': 'USD',
'id': 'da66e4e6-db7e-4c2e-83ae-2e0cce995cf2',
'pattern_day_trader': False,
'portfolio_value': '49723.85',
'status': 'ACTIVE',
'trading_blocked': False,
'transfers_blocked': False
})
res = backend.account
assert res.buying_power < 100
_api.list_positions.return_value = [
Position({
'asset_class': 'us_equity',
'asset_id': '93f58d0b-6c53-432d-b8ce-2bad264dbd94',
'avg_entry_price': '198',
'change_today': '0',
'cost_basis': '200',
'current_price': '200',
'exchange': 'NASDAQ',
'lastday_price': '200',
'market_value': '200',
'qty': '1',
'side': 'long',
'symbol': 'AAPL',
'unrealized_intraday_pl': '0',
'unrealized_intraday_plpc': '0',
'unrealized_pl': '2',
'unrealized_plpc': '0.01111'
}),
]
algo = Mock()
algo._backend = backend
algo.symbol = lambda x: backend._symbols2assets([x])[0]
with LiveTraderAPI(algo):
res = backend.portfolio
assert res.cash > 30e3
assert len(res.positions) == 1
_api.list_orders.return_value = [
Order({
'asset_class': 'us_equity',
'asset_id': '93f58d0b-6c53-432d-b8ce-2bad264dbd94',
'canceled_at': None,
'client_order_id': 'my_id_open',
'created_at': '2018-08-29T13:31:02.779465Z',
'expired_at': None,
'failed_at': None,
'filled_at': None,
'filled_avg_price': None,
'filled_qty': '0',
'id': '6abca255-bc5a-4688-a547-4bfd2c33a979',
'limit_price': '1.3',
'order_type': 'limit',
'qty': '3846',
'side': 'buy',
'status': 'new',
'stop_price': None,
'submitted_at': '2018-08-29T13:31:02.779394Z',
'symbol': 'AAPL',
'time_in_force': 'day',
'type': 'limit',
'updated_at': '2018-08-30T19:59:00.737786Z'
}),
Order({
'asset_class': 'us_equity',
'asset_id': '93f58d0b-6c53-432d-b8ce-2bad264dbd94',
'canceled_at': None,
'client_order_id': 'my_id_failed',
'created_at': '2018-08-29T13:31:02.779465Z',
'expired_at': None,
'failed_at': '2018-08-29T13:31:02.779465Z',
'filled_at': None,
'filled_avg_price': None,
'filled_qty': '0',
'id': '6abca255-bc5a-4688-a547-4bfd2c33a979',
'limit_price': '1.3',
'order_type': 'limit',
'qty': '3846',
'side': 'buy',
'status': 'new',
'stop_price': None,
'submitted_at': '2018-08-29T13:31:02.779394Z',
'symbol': 'AAPL',
'time_in_force': 'day',
'type': 'limit',
'updated_at': '2018-08-30T19:59:00.737786Z'
}),
Order({
'asset_class': 'us_equity',
'asset_id': '93f58d0b-6c53-432d-b8ce-2bad264dbd94',
'canceled_at': None,
'client_order_id': 'my_id_filled',
'created_at': '2018-08-29T13:31:02.779465Z',
'expired_at': None,
'failed_at': None,
'filled_at': '2018-08-29T13:31:02.779465Z',
'filled_avg_price': '200',
'filled_qty': '0',
'id': '6abca255-bc5a-4688-a547-4bfd2c33a979',
'limit_price': '1.3',
'order_type': 'limit',
'qty': '3846',
'side': 'buy',
'status': 'new',
'stop_price': None,
'submitted_at': '2018-08-29T13:31:02.779394Z',
'symbol': 'AAPL',
'time_in_force': 'day',
'type': 'limit',
'updated_at': '2018-08-30T19:59:00.737786Z'
}),
]
res = backend.orders
# make sure order status is set correctly
assert res['my_id_open']._status == ZP_ORDER_STATUS.OPEN
assert res['my_id_failed']._status == ZP_ORDER_STATUS.REJECTED
assert res['my_id_filled']._status == ZP_ORDER_STATUS.FILLED
_api.submit_order.return_value = Order({
'asset_class':
'us_equity',
'asset_id':
'93f58d0b-6c53-432d-b8ce-2bad264dbd94',
'canceled_at':
None,
'client_order_id':
'439dca01703b4674a61a72713a612d24',
'created_at':
'2018-08-29T13:31:01.710698Z',
'expired_at':
None,
'failed_at':
None,
'filled_at':
None,
'filled_avg_price':
None,
'filled_qty':
'0',
'id':
'2c366657-fdbd-4554-a14d-b19df2bf430c',
'limit_price':
'2.05',
'order_type':
'limit',
'qty':
'1',
'side':
'buy',
'status':
'new',
'stop_price':
None,
'submitted_at':
'2018-08-29T13:31:01.710651Z',
'symbol':
'AAPL',
'time_in_force':
'day',
'type':
'limit',
'updated_at':
'2018-08-30T19:59:00.553942Z'
})
aapl = algo.symbol('AAPL')
# this response is not correct logically, but fine for testing
res = backend.order(aapl, 1, MarketOrder())
assert res.limit > 1
# different order types should go through
backend.order(aapl, 1, LimitOrder(limit_price=100))
backend.order(aapl, 1, StopOrder(stop_price=200))
backend.order(aapl, 1,
StopLimitOrder(limit_price=100, stop_price=200))
backend.cancel_order('some-id')
# order submission fail
_api.submit_order.side_effect = APIError({'message': 'test'})
res = backend.order(aapl, -1, MarketOrder())
assert res is None
def run(ctx, **kwargs):
ctx = process_algo_params(ctx, **kwargs)
define_log_book_app(kwargs['timezone'])
algorithm = ctx.algorithm
with LiveTraderAPI(algorithm):
algorithm.run(retry=ctx.retry)
def run(ctx, **kwargs):
ctx = process_algo_params(ctx, **kwargs)
algorithm = ctx.algorithm
with LiveTraderAPI(algorithm):
algorithm.run(retry=ctx.retry)
def run(self, retry=True):
algo = self.algo
def handle_retry(func):
# decorator to log but swallow exception
# if it is turned on. This is applied
# only for periodic event. before_trading_start
# is too critical to skip exception.
def wrapper(*args, **kwargs):
try:
func(*args, **kwargs)
except Exception as exc:
if not retry:
raise
log.exception(exc)
log.warning('Continuing execution')
return wrapper
@handle_retry
def every_bar(dt_to_use, current_data=self.current_data,
handle_data=algo.event_manager.handle_data):
# clear data portal cache.
self.data_portal.cache_clear()
# called every tick (minute or day).
algo.on_dt_changed(dt_to_use)
self.current_data.datetime = dt_to_use
handle_data(algo, current_data, dt_to_use)
algo.portfolio_needs_update = True
def once_a_day(midnight_dt, current_data=self.current_data,
data_portal=self.data_portal):
# set all the timestamps
algo.on_dt_changed(midnight_dt)
self.current_data.datetime = midnight_dt
def on_exit():
# Remove references to algo, data portal, et al to break cycles
# and ensure deterministic cleanup of these objects when the
# simulation finishes.
self.algo = None
self.current_data = self.data_portal = None
with ExitStack() as stack:
stack.callback(on_exit)
stack.enter_context(LiveTraderAPI(self.algo))
# runs forever
for dt, action in self.clock:
if action == BAR:
every_bar(dt)
elif action == SESSION_START:
once_a_day(dt)
elif action == BEFORE_TRADING_START_BAR:
algo.on_dt_changed(dt)
self.current_data.datetime = dt
algo.before_trading_start(self.current_data)
