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utils.py
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utils.py
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# This is a set of utils that allows to access data outside of algorithms
import os
from zipline.data import bundles
from zipline.data.data_portal import DataPortal
from zipline.utils.calendars import get_calendar
from zipline.assets._assets import Future
from zipline.utils.run_algo import load_extensions
# Load extensions.py; this allows you access to custom bundles
load_extensions(
default=True,
extensions=[],
strict=True,
environ=os.environ,
)
# Set-Up Pricing Data Access
trading_calendar = get_calendar('NYSE')
bundle = 'futures'
bundle_data = bundles.load(bundle)
data = DataPortal(
bundle_data.asset_finder,
trading_calendar=trading_calendar,
first_trading_day=bundle_data.equity_daily_bar_reader.first_trading_day,
equity_minute_reader=None,
equity_daily_reader=bundle_data.equity_daily_bar_reader,
future_daily_reader=bundle_data.equity_daily_bar_reader,
adjustment_reader=bundle_data.adjustment_reader,
)
future = bundle_data.asset_finder.lookup_future_symbol
continuous_future = bundle_data.asset_finder.create_continuous_future
history = data.get_history_window