def run(ctx, algofile, algotext, define, data_frequency, capital_base, bundle,
bundle_timestamp, benchmark_file, benchmark_symbol, benchmark_sid,
no_benchmark, start, end, output, trading_calendar, print_algo,
metrics_set, local_namespace, blotter):
"""Run a backtest for the given algorithm.
"""
# check that the start and end dates are passed correctly
if start is None and end is None:
# check both at the same time to avoid the case where a user
# does not pass either of these and then passes the first only
# to be told they need to pass the second argument also
ctx.fail(
"must specify dates with '-s' / '--start' and '-e' / '--end'", )
if start is None:
ctx.fail("must specify a start date with '-s' / '--start'")
if end is None:
ctx.fail("must specify an end date with '-e' / '--end'")
if (algotext is not None) == (algofile is not None):
ctx.fail(
"must specify exactly one of '-f' / '--algofile' or"
" '-t' / '--algotext'", )
trading_calendar = get_calendar(trading_calendar)
benchmark_spec = BenchmarkSpec.from_cli_params(
no_benchmark=no_benchmark,
benchmark_sid=benchmark_sid,
benchmark_symbol=benchmark_symbol,
benchmark_file=benchmark_file,
)
return _run(
initialize=None,
handle_data=None,
before_trading_start=None,
analyze=None,
algofile=algofile,
algotext=algotext,
defines=define,
data_frequency=data_frequency,
capital_base=capital_base,
bundle=bundle,
bundle_timestamp=bundle_timestamp,
start=start,
end=end,
output=output,
trading_calendar=trading_calendar,
print_algo=print_algo,
metrics_set=metrics_set,
local_namespace=local_namespace,
environ=os.environ,
blotter=blotter,
benchmark_spec=benchmark_spec,
)
def run(ctx, algofile, algotext, define, data_frequency, capital_base, bundle,
bundle_timestamp, start, end, output, trading_calendar, print_algo,
metrics_set, local_namespace, blotter):
"""Run a backtest for the given algorithm.
"""
# check that the start and end dates are passed correctly
if start is None and end is None:
# check both at the same time to avoid the case where a user
# does not pass either of these and then passes the first only
# to be told they need to pass the second argument also
ctx.fail(
"must specify dates with '-s' / '--start' and '-e' / '--end'", )
if start is None:
ctx.fail("must specify a start date with '-s' / '--start'")
if end is None:
ctx.fail("must specify an end date with '-e' / '--end'")
if (algotext is not None) == (algofile is not None):
ctx.fail(
"must specify exactly one of '-f' / '--algofile' or"
" '-t' / '--algotext'", )
trading_calendar = get_calendar(trading_calendar)
perf = _run(
initialize=None,
handle_data=None,
before_trading_start=None,
analyze=None,
algofile=algofile,
algotext=algotext,
defines=define,
data_frequency=data_frequency,
capital_base=capital_base,
data=None,
bundle=bundle,
bundle_timestamp=bundle_timestamp,
start=start,
end=end,
output=output,
trading_calendar=trading_calendar,
print_algo=print_algo,
metrics_set=metrics_set,
local_namespace=local_namespace,
environ=os.environ,
blotter=blotter,
)
if output == '-':
click.echo(str(perf))
elif output != os.devnull: # make the zipline magic not write any data
perf.to_pickle(output)
return perf
def main(job_id, D):
print "job_id", job_id, " params:", D
equities1 = {}
register(
'my-db-bundle', # name this whatever you like
viadb(equities1),
calendar='SHSZ')
parsed = {}
parsed['initialize'] = None
parsed['handle_data'] = None
parsed['before_trading_start'] = None
parsed['analyze'] = None
parsed['algotext'] = None
parsed['defines'] = ()
parsed['capital_base'] = 1000000
parsed['data'] = None
parsed['bundle'] = 'my-db-bundle'
#parsed['bundle']='YAHOO'
#parsed['bundle_timestamp']=None
parsed['bundle_timestamp'] = pd.Timestamp.utcnow()
parsed['start'] = Timestamp('2017-03-01 13:30:00+0000', tz='UTC')
parsed['end'] = Timestamp('2017-06-01 13:30:00+0000', tz='UTC')
parsed['algofile'] = open(
'/data/kanghua/workshop/strategy/campaign/hyperparam/example-new/zipline_strategy.py'
)
parsed['data_frequency'] = 'daily'
parsed['print_algo'] = False
parsed['output'] = 'os.devnull'
parsed['local_namespace'] = None
parsed['environ'] = os.environ
parsed['bm_symbol'] = None
# Below what we expect spearmint to pass us
# parsed['algo_params']=[47,88.7,7.7]
# D={}
# D['timeperiod']=10
# D['nbdevup']=1.00
# D['nbdevdn']=1.00
parsed['algo_params'] = D
perf = _run(**parsed)
StartV = perf['portfolio_value'][0]
EndV = perf['portfolio_value'][-1]
# spearmint wants to minimize so return negative profit
OPTIM = (StartV - EndV)
return OPTIM
def run(ctx,
algofile,
algotext,
define,
data_frequency,
capital_base,
bundle,
bundle_timestamp,
start,
end,
output,
trading_calendar,
print_algo,
metrics_set,
local_namespace,
blotter):
"""Run a backtest for the given algorithm.
"""
# check that the start and end dates are passed correctly
if start is None and end is None:
# check both at the same time to avoid the case where a user
# does not pass either of these and then passes the first only
# to be told they need to pass the second argument also
ctx.fail(
"must specify dates with '-s' / '--start' and '-e' / '--end'",
)
if start is None:
ctx.fail("must specify a start date with '-s' / '--start'")
if end is None:
ctx.fail("must specify an end date with '-e' / '--end'")
if (algotext is not None) == (algofile is not None):
ctx.fail(
"must specify exactly one of '-f' / '--algofile' or"
" '-t' / '--algotext'",
)
trading_calendar = get_calendar(trading_calendar)
perf = _run(
initialize=None,
handle_data=None,
before_trading_start=None,
analyze=None,
algofile=algofile,
algotext=algotext,
defines=define,
data_frequency=data_frequency,
capital_base=capital_base,
bundle=bundle,
bundle_timestamp=bundle_timestamp,
start=start,
end=end,
output=output,
trading_calendar=trading_calendar,
print_algo=print_algo,
metrics_set=metrics_set,
local_namespace=local_namespace,
environ=os.environ,
blotter=blotter,
benchmark_returns=None,
)
if output == '-':
click.echo(str(perf))
elif output != os.devnull: # make the zipline magic not write any data
perf.to_pickle(output)
return perf
def run(ctx,
algofile,
algotext,
define,
data_frequency,
capital_base,
bundle,
bundle_timestamp,
start,
end,
output,
trading_calendar,
print_algo,
metrics_set,
local_namespace,
blotter,
broker,
broker_uri,
state_file,
realtime_bar_target,
list_brokers):
"""Run a backtest for the given algorithm.
"""
if list_brokers:
click.echo("Supported brokers:")
for _, name, _ in pkgutil.iter_modules(brokers.__path__):
if name != 'broker':
click.echo(name)
return
# check that the start and end dates are passed correctly
if not broker and start is None and end is None:
# check both at the same time to avoid the case where a user
# does not pass either of these and then passes the first only
# to be told they need to pass the second argument also
ctx.fail(
"must specify dates with '-s' / '--start' and '-e' / '--end'",
)
if not broker and start is None:
ctx.fail("must specify a start date with '-s' / '--start'")
if not broker and end is None:
ctx.fail("must specify an end date with '-e' / '--end'")
if broker and broker_uri is None:
ctx.fail("must specify broker-uri if broker is specified")
if broker and state_file is None:
ctx.fail("must specify state-file with live trading")
if broker and realtime_bar_target is None:
ctx.fail("must specify realtime-bar-target with live trading")
brokerobj = None
if broker:
mod_name = 'zipline.gens.brokers.%s_broker' % broker.lower()
try:
bmod = import_module(mod_name)
except ImportError:
ctx.fail("unsupported broker: can't import module %s" % mod_name)
cl_name = '%sBroker' % broker.upper()
try:
bclass = getattr(bmod, cl_name)
except AttributeError:
ctx.fail("unsupported broker: can't import class %s from %s" %
(cl_name, mod_name))
brokerobj = bclass(broker_uri)
if end is None:
end = pd.Timestamp.utcnow() + pd.Timedelta(days=1)
if (algotext is not None) == (algofile is not None):
ctx.fail(
"must specify exactly one of '-f' / '--algofile' or"
" '-t' / '--algotext'",
)
trading_calendar = get_calendar(trading_calendar)
perf = _run(
initialize=None,
handle_data=None,
before_trading_start=None,
analyze=None,
teardown=None,
algofile=algofile,
algotext=algotext,
defines=define,
data_frequency=data_frequency,
capital_base=capital_base,
bundle=bundle,
bundle_timestamp=bundle_timestamp,
start=start,
end=end,
output=output,
trading_calendar=trading_calendar,
print_algo=print_algo,
metrics_set=metrics_set,
local_namespace=local_namespace,
environ=os.environ,
blotter=blotter,
benchmark_returns=None,
broker=brokerobj,
state_filename=state_file,
realtime_bar_target=realtime_bar_target,
performance_callback=None,
stop_execution_callback=None,
execution_id=None
)
if output == '-':
click.echo(str(perf))
elif output != os.devnull: # make the zipline magic not write any data
perf.to_pickle(output)
return perf
def run(self):
spy_init_code = """
import inspect
stacks = inspect.stack()[1:]
__channel = None
print(stacks)
while stacks:
stacks, stack = stacks[1:], stacks[0]
frame, filename, lineno, func, code_ctx, index = stack
if '__channel__' in frame.f_locals:
__channel = frame.f_locals['__channel__']
break
if __channel is None:
raise Exception('Cannot find any stack that has __channel')
context.__channel = __channel
"""
spy_action_code = """
context.__channel.give(context.portfolio)
"""
code = self.code.split('\n')
try:
i = list(
filter(lambda x: 'def initialize' in x[1],
enumerate(code)))[0][0]
code.insert(i + 1, spy_init_code)
j = list(
filter(lambda x: 'def handle_data' in x[1],
enumerate(code)))[0][0]
code.insert(j + 1, spy_action_code)
algotext = '\n'.join(code)
except Exception as e:
print('Failed to find <initialize> or <handle_data> in code')
print(e)
return
__channel__ = Channel(
consumer=self.consume_portfolio or self.dummy_consume)
print(algotext)
algotext = algotext
algofile = None
define = ()
data_frequency = 'daily'
capital_base = 1000000
bundle = 'quandl'
bundle_timestamp = pd.Timestamp.utcnow()
start = self.start_date
end = self.end_date
output = '-'
trading_calendar = get_calendar('XNYS')
print_algo = False
metrics_set = 'default'
local_namespace = {}
blotter = 'default'
_ = _run(
initialize=None,
handle_data=None,
before_trading_start=None,
analyze=None,
algofile=algofile,
algotext=algotext,
defines=define,
data_frequency=data_frequency,
capital_base=capital_base,
data=None,
bundle=bundle,
bundle_timestamp=bundle_timestamp,
start=start,
end=end,
output=output,
trading_calendar=trading_calendar,
print_algo=print_algo,
metrics_set=metrics_set,
local_namespace=local_namespace,
environ=os.environ,
blotter=blotter,
)
def run(ctx, algofile, algotext, define, data_frequency, capital_base, bundle,
bundle_timestamp, start, end, output, print_algo, local_namespace,
broker, broker_uri, state_file):
"""Run a backtest for the given algorithm.
"""
# check that the start and end dates are passed correctly
if not broker and start is None and end is None:
# check both at the same time to avoid the case where a user
# does not pass either of these and then passes the first only
# to be told they need to pass the second argument also
ctx.fail(
"must specify dates with '-s' / '--start' and '-e' / '--end'", )
if not broker and start is None:
ctx.fail("must specify a start date with '-s' / '--start'")
if not broker and end is None:
ctx.fail("must specify an end date with '-e' / '--end'")
if broker and broker_uri is None:
ctx.fail("must specify broker-uri if broker is specified")
if broker and state_file is None:
ctx.fail("must specify state-file with live trading")
brokerobj = None
if broker:
mod_name = 'zipline.gens.brokers.%s_broker' % broker.lower()
try:
bmod = import_module(mod_name)
except ImportError:
ctx.fail("unsupported broker: can't import module %s" % mod_name)
cl_name = '%sBroker' % broker.upper()
try:
bclass = getattr(bmod, cl_name)
except AttributeError:
ctx.fail("unsupported broker: can't import class %s from %s" %
(cl_name, mod_name))
brokerobj = bclass(broker_uri)
if (algotext is not None) == (algofile is not None):
ctx.fail(
"must specify exactly one of '-f' / '--algofile' or"
" '-t' / '--algotext'", )
perf = _run(
initialize=None,
handle_data=None,
before_trading_start=None,
analyze=None,
algofile=algofile,
algotext=algotext,
defines=define,
data_frequency=data_frequency,
capital_base=capital_base,
data=None,
bundle=bundle,
bundle_timestamp=bundle_timestamp,
start=start,
end=end,
output=output,
print_algo=print_algo,
local_namespace=local_namespace,
environ=os.environ,
broker=brokerobj,
state_filename=state_file,
)
if output == '-':
click.echo(str(perf))
elif output != os.devnull: # make the zipline magic not write any data
perf.to_pickle(output)
return perf
def run(ctx,
algofile,
algotext,
define,
data_frequency,
capital_base,
bundle,
bundle_timestamp,
start,
end,
output,
print_algo,
local_namespace,
broker,
broker_uri,
state_file,
realtime_bar_target,
list_brokers,
reader):
"""Run a backtest for the given algorithm.
"""
if list_brokers:
click.echo("Supported brokers:")
for _, name, _ in pkgutil.iter_modules(brokers.__path__):
if name != 'broker':
click.echo(name)
return
# check that the start and end dates are passed correctly
if not broker and start is None and end is None:
# check both at the same time to avoid the case where a user
# does not pass either of these and then passes the first only
# to be told they need to pass the second argument also
ctx.fail(
"must specify dates with '-s' / '--start' and '-e' / '--end'",
)
if not broker and start is None:
ctx.fail("must specify a start date with '-s' / '--start'")
if not broker and end is None:
ctx.fail("must specify an end date with '-e' / '--end'")
if broker and broker_uri is None:
ctx.fail("must specify broker-uri if broker is specified")
if broker and state_file is None:
ctx.fail("must specify state-file with live trading")
if broker and realtime_bar_target is None:
ctx.fail("must specify realtime-bar-target with live trading")
brokerobj = None
if broker:
mod_name = 'zipline.gens.brokers.%s_broker' % broker.lower()
try:
bmod = import_module(mod_name)
except ImportError:
ctx.fail("unsupported broker: can't import module %s" % mod_name)
cl_name = '%sBroker' % broker.upper()
try:
bclass = getattr(bmod, cl_name)
except AttributeError:
ctx.fail("unsupported broker: can't import class %s from %s" %
(cl_name, mod_name))
brokerobj = bclass(broker_uri)
if (algotext is not None) == (algofile is not None):
ctx.fail(
"must specify exactly one of '-f' / '--algofile' or"
" '-t' / '--algotext'",
)
perf = _run(
initialize=None,
handle_data=None,
before_trading_start=None,
analyze=None,
algofile=algofile,
algotext=algotext,
defines=define,
data_frequency=data_frequency,
capital_base=capital_base,
data=None,
bundle=bundle,
bundle_timestamp=bundle_timestamp,
start=start,
end=end,
output=output,
trading_calendar=None,
print_algo=print_algo,
local_namespace=local_namespace,
environ=os.environ,
broker=brokerobj,
state_filename=state_file,
realtime_bar_target=realtime_bar_target,
reader = reader
)
if output == '-':
click.echo(str(perf))
elif output != os.devnull: # make the zipline magic not write any data
perf.to_pickle(output)
return perf
