def run_pipeline(pipeline, start_date, end_date=None, bundle=None):
"""
Compute values for pipeline from start_date to end_date, using the specified
bundle or the default bundle.
Parameters
----------
pipeline : Pipeline, required
The pipeline to run.
start_date : str (YYYY-MM-DD), required
First date on which the pipeline should run. If start_date is not a trading
day, the pipeline will start on the first trading day after start_date.
end_date : str (YYYY-MM-DD), optional
Last date on which the pipeline should run. If end_date is not a trading
day, the pipeline will end on the first trading day after end_date.
Defaults to today.
bundle : str, optional
the bundle code. If omitted, the default bundle will be used (and must be set).
Returns
-------
result : pd.DataFrame
A frame of computed results. The result columns correspond to the entries
of pipeline.columns, which should be a dictionary mapping strings to instances
of zipline.pipeline.term.Term. For each date between start_date and end_date,
result will contain a row for each asset that passed pipeline.screen. A screen
of None indicates that a row should be returned for each asset that existed each
day.
Examples
--------
Get a pipeline of 1-year returns:
>>> from zipline.pipeline.factors import Returns
>>> pipeline = Pipeline( # doctest: +SKIP
columns={
'1Y': Returns(window_length=252),
})
>>> factor = run_pipeline(pipeline, '2018-01-01', '2019-02-01', bundle="usstock-1min") # doctest: +SKIP
"""
if not bundle:
bundle = get_default_bundle()
if not bundle:
raise ValidationError("you must specify a bundle or set a default bundle")
bundle = bundle["default_bundle"]
load_extensions(code=bundle)
bundle_data = bundles.load(
bundle,
os.environ,
pd.Timestamp.utcnow(),
)
calendar_name = bundles.bundles[bundle].calendar_name
trading_calendar = get_calendar(calendar_name)
start_date = pd.Timestamp(start_date)
if start_date.tz:
start_date = start_date.tz_convert("UTC")
else:
start_date = start_date.tz_localize("UTC")
if end_date:
end_date = pd.Timestamp(end_date)
else:
end_date = pd.Timestamp.now().normalize()
if end_date.tz:
end_date = end_date.tz_convert("UTC")
else:
end_date = end_date.tz_localize("UTC")
first_session = max(bundles.bundles[bundle].start_session, trading_calendar.first_session)
if start_date < first_session:
raise ValidationError(
f"start_date cannot be earlier than {first_session.date().isoformat()} for this bundle")
# Roll-forward start_date to valid session
for i in range(100):
if trading_calendar.is_session(start_date):
break
start_date += pd.Timedelta(days=1)
else:
raise ValidationError(f"start_date is not in {calendar_name} calendar")
# Roll-forward end_date to valid session
for i in range(100):
if trading_calendar.is_session(end_date):
break
end_date += pd.Timedelta(days=1)
else:
raise ValidationError("end_date is not in calendar")
if (
end_date < start_date):
raise ValidationError("end_date cannot be earlier than start_date")
default_pipeline_loader = EquityPricingLoader.without_fx(
bundle_data.equity_daily_bar_reader,
bundle_data.adjustment_reader,
)
asset_finder = asset_finder_cache.get(bundle, bundle_data.asset_finder)
asset_finder_cache[bundle] = asset_finder
pipeline_loader = QuantRocketPipelineLoaderRouter(
asset_db_conn=asset_finder.engine,
calendar=trading_calendar,
default_loader=default_pipeline_loader,
default_loader_columns=EquityPricing.columns
)
calendar_domain = domain.get_domain_from_calendar(trading_calendar)
engine = SimplePipelineEngine(
pipeline_loader,
asset_finder,
calendar_domain)
return engine.run_pipeline(pipeline, start_date, end_date)
def continuous_future(root_symbol_str,
offset=0,
roll="volume",
adjustment="mul",
bundle=None):
"""
Return a ContinuousFuture object for the specified root symbol in the specified bundle
(or default bundle).
Parameters
----------
root_symbol_str : str
The root symbol for the future chain.
offset : int, optional
The distance from the primary contract. Default is 0.
roll : str, optional
How rolls are determined. Possible choices: 'volume',
(roll when back contract volume exceeds front contract
volume), or 'calendar' (roll on rollover date). Default
is 'volume'.
adjustment : str, optional
Method for adjusting lookback prices between rolls. Possible choices:
'mul', 'add', None. Default is 'mul'.
bundle : str, optional
the bundle code. If omitted, the default bundle will be used (and must be set).
Returns
-------
asset : zipline.assets.ContinuousFuture
Examples
--------
Get the continuous future object for ES and get the current chain as of
2020-09-18:
>>> es = continuous_future("ES", roll="volume", bundle="es-1min")
>>> data = get_data("2020-09-18 10:00:00", bundle="es-1min")
>>> print(data.current_chain(es))
"""
if not bundle:
bundle = get_default_bundle()
if not bundle:
raise ValidationError(
"you must specify a bundle or set a default bundle")
bundle = bundle["default_bundle"]
load_extensions(code=bundle)
bundle_data = bundles.load(
bundle,
os.environ,
pd.Timestamp.utcnow(),
)
asset_finder = asset_finder_cache.get(bundle, bundle_data.asset_finder)
asset_finder_cache[bundle] = asset_finder
continuous_future = asset_finder.create_continuous_future(
root_symbol_str,
offset,
roll,
adjustment,
)
return continuous_future
def sid(sid, bundle=None):
"""
Return an Asset object for the specified sid in the specified bundle
(or default bundle).
Parameters
----------
sid : str, required
The sid to retrieve.
bundle : str, optional
the bundle code. If omitted, the default bundle will be used (and must be set).
Returns
-------
asset : zipline.assets.Asset
Notes
-----
Each asset is specific to the bundle from which it came. An
Asset object for AAPL from bundle A cannot be used to retrieve
AAPL data from bundle B, even if AAPL data is present in bundle
B.
Examples
--------
Get the asset object for AAPL:
>>> aapl = sid("FIBBG000B9XRY4", bundle="usstock-1min")
"""
if not bundle:
bundle = get_default_bundle()
if not bundle:
raise ValidationError(
"you must specify a bundle or set a default bundle")
bundle = bundle["default_bundle"]
load_extensions(code=bundle)
bundle_data = bundles.load(
bundle,
os.environ,
pd.Timestamp.utcnow(),
)
asset_finder = asset_finder_cache.get(bundle, bundle_data.asset_finder)
asset_finder_cache[bundle] = asset_finder
zipline_sid = asset_finder.engine.execute(
"""
SELECT
sid
FROM
equities
WHERE
real_sid = ?
UNION
SELECT
sid
FROM
futures_contracts
WHERE
real_sid = ?
""", (sid, sid)).scalar()
if not zipline_sid:
raise ValidationError(f"No such sid {sid} in {bundle} bundle")
asset = asset_finder.retrieve_asset(zipline_sid)
return asset
def get_data(dt, bundle=None, data_frequency=None):
"""
Return a zipline.protocol.BarData object for the specified bundle (or default bundle)
as of the specified datetime. This is the same object that is passed
as the `data` parameter to `handle_data` and other backtest functions.
Parameters
----------
dt : str (YYYY-MM-DD[ HH:MM:SS]), required
The datetime (for minute data) or date (for daily data) which the
data object should be anchored to.
bundle : str, optional
the bundle code. If omitted, the default bundle will be used (and
must be set).
data_frequency : str, optional
the data frequency. Possible choices: daily, minute. The default is
"daily" for daily bundles and "minute" for minute bundles. Minute
bundles also support "daily".
Returns
-------
data : zipline.protocol.BarData
Examples
--------
Get the data object for July 7, 2020 at 11 AM for the usstock minute
bundle:
>>> data = get_data('2020-07-07 11:00:00', bundle="usstock-1min") # doctest: +SKIP
Get the data object for July 7, 2020 for a daily bundle:
>>> data = get_data('2020-07-07', bundle="xjpx-1d-bundle") # doctest: +SKIP
"""
if not bundle:
bundle = get_default_bundle()
if not bundle:
raise ValidationError(
"you must specify a bundle or set a default bundle")
bundle = bundle["default_bundle"]
load_extensions(code=bundle)
bundle_data = bundles.load(
bundle,
os.environ,
pd.Timestamp.utcnow(),
)
if not data_frequency:
config = get_bundle_config(bundle)
data_frequency = config["data_frequency"]
calendar_name = bundles.bundles[bundle].calendar_name
trading_calendar = get_calendar(calendar_name)
session_minute = pd.Timestamp(dt, tz=trading_calendar.tz)
session = session_minute.normalize().tz_localize(None).tz_localize("UTC")
first_session = max(bundles.bundles[bundle].start_session,
trading_calendar.first_session)
if session < first_session:
raise ValidationError(
f"date cannot be earlier than {first_session.date().isoformat()} for this bundle"
)
if not trading_calendar.is_session(session):
raise ValidationError(
f"requested date {session.date().isoformat()} is not in {calendar_name} calendar"
)
if data_frequency == "minute" and not trading_calendar.is_open_on_minute(
session_minute):
raise ValidationError(
f"requested time {session_minute.isoformat()} is not in {calendar_name} calendar"
)
if data_frequency == "minute":
equity_minute_reader = future_minute_reader = bundle_data.equity_minute_bar_reader
else:
equity_minute_reader = future_minute_reader = None
asset_finder = asset_finder_cache.get(bundle, bundle_data.asset_finder)
asset_finder_cache[bundle] = asset_finder
data_portal = DataPortal(
asset_finder,
trading_calendar=trading_calendar,
first_trading_day=bundle_data.equity_minute_bar_reader.
first_trading_day,
equity_minute_reader=equity_minute_reader,
equity_daily_reader=bundle_data.equity_daily_bar_reader,
future_minute_reader=future_minute_reader,
future_daily_reader=bundle_data.equity_daily_bar_reader,
adjustment_reader=bundle_data.adjustment_reader)
data = BarData(data_portal=data_portal,
simulation_dt_func=lambda: session_minute,
data_frequency=data_frequency,
trading_calendar=trading_calendar,
restrictions=NoRestrictions())
return data