def _create_generator(self, sim_params):
# Call the simulation trading algorithm for side-effects:
# it creates the perf tracker
TradingAlgorithm._create_generator(self, sim_params)
self.trading_client = LiveAlgorithmExecutor(
self,
sim_params,
self.data_portal,
self._create_clock(),
self._create_benchmark_source(),
self.restrictions,
universe_func=self._calculate_universe)
return self.trading_client.transform()
def _create_generator(self, sim_params):
# Call the simulation trading algorithm for side-effects:
# it creates the perf tracker
TradingAlgorithm._create_generator(self, sim_params)
self.trading_client = LiveAlgorithmExecutor(
self,
sim_params,
self.data_portal,
self._create_clock(),
self._create_benchmark_source(),
self.restrictions,
universe_func=self._calculate_universe
)
return self.trading_client.transform()
def _create_generator(self, sim_params):
TradingAlgorithm._create_generator(self, self.sim_params)
self.metrics_tracker = metrics_tracker = self._create_live_metrics_tracker()
benchmark_source = self._create_benchmark_source()
metrics_tracker.handle_start_of_simulation(benchmark_source)
# attach metrics_tracker to broker
self.broker.set_metrics_tracker(self.metrics_tracker)
self.trading_client = LiveAlgorithmExecutor(
self,
sim_params,
self.data_portal,
self.trading_client.clock,
self._create_benchmark_source(),
self.restrictions,
universe_func=self._calculate_universe
)
return self.trading_client.transform()
def _create_generator(self, sim_params):
# Call the simulation trading algorithm for side-effects:
# it creates the perf tracker
TradingAlgorithm._create_generator(self, self.sim_params)
# capital base is the ammount of money the algo can use
# it must be set with run_algorithm, and it's optional in cli mode with default value of 10 million
# please note that in python: 10**7 or 10e6 is 10 million or 10000000
# note2: the default value is defined in zipline/__main__.py under `--capital-base` option
# we need to support these scenarios:
# 1. cli mode with default param - we need to replace 10e6 with value from broker
# 2. run_algorithm or cli with specified value - if I have more than one algo running and I want to allocate
# a specific value for each algo, I cannot override it with value from broker because it will set to max val
# so, we will check if it's default value - assuming at this stage capital used for one algo will be less
# than 10e6, we will override it with value from broker. if it's specified to something else we will not change
# anything.
if self.metrics_tracker._capital_base == 10e6: # should be changed in the future with a centralized value
# the capital base is held in the metrics_tracker then the ledger then the Portfolio, so the best
# way to handle this, since it's used in many spots, is creating a new metrics_tracker with the new
# value. and ofc intialized relevant parts. this is copied from TradingAlgorithm._create_generator
self.metrics_tracker = metrics_tracker = self._create_live_metrics_tracker(
)
benchmark_source = self._create_benchmark_source()
metrics_tracker.handle_start_of_simulation(benchmark_source)
# attach metrics_tracker to broker
self.broker.set_metrics_tracker(self.metrics_tracker)
self.trading_client = LiveAlgorithmExecutor(
self,
sim_params,
self.data_portal,
self.trading_client.clock,
self._create_benchmark_source(),
self.restrictions,
universe_func=self._calculate_universe)
return self.trading_client.transform()
