def _create_generator(self, sim_params, source_filter=None):
"""
Create a basic generator setup using the sources and
transforms attached to this algorithm.
::source_filter:: is a method that receives events in date
sorted order, and returns True for those events that should be
processed by the zipline, and False for those that should be
skipped.
"""
sim_params.data_frequency = self.data_frequency
self.data_gen = self._create_data_generator(source_filter,
sim_params)
# if live execution is active instantiate perf_tracker with
# the portfolio downloaded from IB
if self.asset_type == self.asset_types.EQUITY:
self.perf_tracker = PerformanceTracker(sim_params)
elif self.asset_type == self.asset_types.FUTURES:
self.perf_tracker = FuturesPerformanceTracker(sim_params)
else:
self.perf_tracker = PerformanceTracker(sim_params)
if self.live_execution:
self._init_positions()
self.trading_client = AlgorithmSimulator(self, sim_params)
transact_method = transact_partial(self.slippage, self.commission)
self.set_transact(transact_method)
return self.trading_client.transform(self.data_gen)
def _create_generator(self, sim_params, source_filter=None):
"""
Create a basic generator setup using the sources and
transforms attached to this algorithm.
::source_filter:: is a method that receives events in date
sorted order, and returns True for those events that should be
processed by the zipline, and False for those that should be
skipped.
"""
sim_params.data_frequency = self.data_frequency
self.data_gen = self._create_data_generator(source_filter, sim_params)
# if live execution is active instantiate perf_tracker with
# the portfolio downloaded from IB
if self.asset_type == self.asset_types.EQUITY:
self.perf_tracker = PerformanceTracker(sim_params)
elif self.asset_type == self.asset_types.FUTURES:
self.perf_tracker = FuturesPerformanceTracker(sim_params)
else:
self.perf_tracker = PerformanceTracker(sim_params)
if self.live_execution:
self._init_positions()
self.trading_client = AlgorithmSimulator(self, sim_params)
transact_method = transact_partial(self.slippage, self.commission)
self.set_transact(transact_method)
return self.trading_client.transform(self.data_gen)
def __init__(self):
self.transact = transact_partial(VolumeShareSlippage(), PerShare())
# these orders are aggregated by sid
self.open_orders = defaultdict(list)
# keep a dict of orders by their own id
self.orders = {}
# holding orders that have come in since the last
# event.
self.new_orders = []
self.current_dt = None
self.max_shares = int(1e+11)
def __init__(self):
self.transact = transact_partial(VolumeShareSlippage(), PerShare())
# these orders are aggregated by sid
self.open_orders = defaultdict(list)
# keep a dict of orders by their own id
self.orders = {}
# holding orders that have come in since the last
# event.
self.new_orders = []
self.current_dt = None
self.max_shares = int(1e+11)