def lookup_sid(sid):
"""Lookup a security by id.
>>> lookup_sid(45149)
{u'symbol': u'HTBX', u'name': u'HEAT BIOLOGICS INC', u'sid': 45149}
>>> lookup_sid(1111111) # Returns None of no security is found
:param sid: Security id.
:type sid: int
:return: A dictionary containing the security's name, sid, and symbol or ``None`` if no security is found.
:rtype: dict
:raises quantopian_tools.exceptions.RequestError: If the request to the quantopian_tools server failed.
:raises quantopian_tools.exceptions.ResponseValidationError: If the response from the quantopian_tools server is not
of the format expected.
"""
url = build_url('securities/', q=sid)
headers = {
'x-csrf-token':
session.browser.get_csrf_token(build_url('algorithms')),
'x-requested-with': 'XMLHttpRequest'
}
response = session.browser.get(url, headers=headers)
if not response.ok:
raise RequestError('failed to lookup sid %d' % sid, response)
valid, data_or_errors = schema.validate(response.json(), {
"data":
schema.dictionary(
required=True,
nullable=False,
schema={
"matches":
schema.list_(
required=True,
nullable=True,
coerce='falsey_to_none',
schema=schema.dictionary(
schema={
'name':
schema.string(
required=True, nullable=False, empty=False),
'sid':
schema.integer(
required=True, nullable=False, min=1),
'symbol':
schema.string(
required=True, nullable=False, empty=False)
}))
})
},
allow_unknown=True)
if not valid:
raise ResponseValidationError('GET', url, None, data_or_errors)
for security in data_or_errors['data']['matches'] or []:
if security['sid'] == sid:
return security
return None
def validate_algorithm(algorithm,
start_date=None,
end_date=None,
data_frequency='minute'):
assert session.browser.is_authenticated, "You must be authenticated to validate algorithms"
url = build_url('algorithms', algorithm['id'], 'validate')
data = {
'code': algorithm['code'],
'algo_id': algorithm['id'],
'data_frequency': data_frequency,
'start_date_str': start_date.strftime('%m/%d/%Y'),
'end_date_str': end_date.strftime('%m/%d/%Y')
}
headers = {
'x-csrf-token':
session.browser.get_csrf_token(build_url('algorithms',
algorithm['id'])),
'x-requested-with':
'XMLHttpRequest'
}
response = session.browser.post(url, data=data, headers=headers)
if not response.ok:
raise RequestError('validate algorithm request failed', response)
valid, data_or_errors = schema.validate(response.json(), {
"data":
schema.dictionary(
required=True,
schema={
"test_results":
schema.list_(
required=True,
schema=schema.dictionary(schema={
"passed":
schema.boolean(required=True, nullable=False)
}))
})
},
allow_unknown=True)
if not valid:
raise ResponseValidationError('POST', url, data, data_or_errors)
test_results = data_or_errors['data']['test_results']
return all(result['passed'] for result in test_results), test_results
def save_algorithm(algorithm):
url = build_url('algorithms', algorithm['id'], 'autosave')
headers = {
'x-csrf-token':
session.browser.get_csrf_token(build_url('algorithms',
algorithm['id'])),
'x-requested-with':
'XMLHttpRequest'
}
response = session.browser.post(url, data=algorithm, headers=headers)
if not response.ok:
raise RequestError('failed to save algorithm %s' % algorithm['id'],
response)
valid, data_or_errors = schema.validate(
response.json(),
{"status": schema.string(required=True, nullable=False)},
allow_unknown=True)
if not valid:
raise ResponseValidationError('POST', url, algorithm, data_or_errors)
return data_or_errors['status'].lower() == 'ok'
def new_algorithm(title):
url = build_url('algorithms')
headers = {
'x-csrf-token':
session.browser.get_csrf_token(build_url('algorithms')),
'x-requested-with': 'XMLHttpRequest'
}
data = {'title': title}
response = session.browser.post(url, data=data, headers=headers)
if not response.ok:
raise RequestError('failed to create a new algorithm', response)
valid, data_or_errors = schema.validate(response.json(), {
"to":
schema.string(required=True,
nullable=False,
regex=r'^/algorithms/[a-fA-F\d]{24}$')
},
allow_unknown=True)
if not valid:
raise ResponseValidationError('POST', url, data, data_or_errors)
return data_or_errors['to'].lower().replace('/algorithms/', '')
def run_backtest(algorithm,
start_date,
end_date,
capital_base,
data_frequency='minute'):
url = build_url('backtests', 'start_ide_backtest')
headers = {
'x-csrf-token':
session.browser.get_csrf_token(build_url('algorithms',
algorithm['id'])),
'x-requested-with':
'XMLHttpRequest'
}
data = {
'algo_id': algorithm['id'],
'code': algorithm['code'],
'backtest_start_date_year': start_date.year,
'backtest_start_date_month': start_date.month,
'backtest_start_date_day': start_date.day,
'backtest_end_date_year': end_date.year,
'backtest_end_date_month': end_date.month,
'backtest_end_date_day': end_date.day,
'backtest_capital_base': capital_base,
'backtest_data_frequency_value': data_frequency
}
response = session.browser.post(url, data=data, headers=headers)
if not response.ok:
raise RequestError('failed to start backtest', response)
valid, data_or_errors = schema.validate(response.json(), {
"data":
schema.dictionary(
required=True,
schema={
"ws_open_msg":
schema.string(required=True, nullable=False, empty=False),
"ws_url":
schema.string(required=True, nullable=False, empty=False)
})
},
allow_unknown=True)
if not valid:
raise ResponseValidationError('POST', url, algorithm, data_or_errors)
with closing(websocket.create_connection(
data_or_errors['data']['ws_url'])) as ws:
ws.send(
json.dumps({
'e': 'open',
'p': {
'a': data_or_errors['data']['ws_open_msg'],
'cursor': 0,
'include_txn': True
}
}))
while True:
msg = json.loads(ws.recv())
if msg['e'] == 'log':
yield schema.validate(msg['p'],
log_payload_schema(),
raise_exc=True)
elif msg['e'] == 'performance':
yield schema.validate(msg['p'],
performance_payload_schema(),
raise_exc=True)
elif msg['e'] == 'risk_report':
yield schema.validate(msg['p'],
risk_report_payload_schema(),
raise_exc=True)
elif msg['e'] == 'done':
yield schema.validate(msg['p'],
done_payload_schema(),
raise_exc=True)
break
elif msg['e'] == 'exception':
exc = schema.validate(msg['p'],
exception_payload_schema(),
raise_exc=True)
trace = '\n'.join(" File \"{}\", line {}, in {}\n {}"
"".format(s['filename'], s['lineno'],
s['method'], s['line'])
for s in exc['stack'])
raise RuntimeError(
"Traceback (most recent call last):\n{}\n{}: {}"
"".format(trace, exc['name'], exc['message']))
else:
raise QuantopianException("unknown backtest event '{}'".format(
msg['e']))