def test_lse_algorithm(self):
lse = trading.TradingEnvironment(
bm_symbol='^FTSE',
exchange_tz='Europe/London'
)
with lse:
sim_params = factory.create_simulation_parameters(
start=datetime(2012, 5, 1, tzinfo=pytz.utc),
end=datetime(2012, 6, 30, tzinfo=pytz.utc)
)
algo = TestAlgo(self, sim_params=sim_params)
trade_source = factory.create_daily_trade_source(
[8229],
200,
sim_params
)
algo.set_sources([trade_source])
gen = algo.get_generator()
results = list(gen)
self.assertEqual(len(results), 42)
# May 7, 2012 was an LSE holiday, confirm the 4th trading
# day was May 8.
self.assertEqual(results[4]['daily_perf']['period_open'],
datetime(2012, 5, 8, 8, 30, tzinfo=pytz.utc))
def test_factory_daily(self):
sim_params = factory.create_simulation_parameters()
trade_source = factory.create_daily_trade_source([133], sim_params)
prev = None
for trade in trade_source:
if prev:
self.assertTrue(trade.dt > prev.dt)
prev = trade
def test_factory_daily(self):
sim_params = factory.create_simulation_parameters()
trade_source = factory.create_daily_trade_source([133], 200, sim_params)
prev = None
for trade in trade_source:
if prev:
self.assertTrue(trade.dt > prev.dt)
prev = trade
def test_factory_daily(self):
trading_environment = factory.create_trading_environment()
trade_source = factory.create_daily_trade_source([133], 200,
trading_environment)
prev = None
for trade in trade_source:
if prev:
self.assertTrue(trade.dt > prev.dt)
prev = trade
def test_factory_daily(self):
trading_environment = factory.create_trading_environment()
trade_source = factory.create_daily_trade_source(
[133],
200,
trading_environment
)
prev = None
for trade in trade_source:
if prev:
self.assertTrue(trade.dt > prev.dt)
prev = trade
def test_progress(self):
"""
Ensure the pipeline of generators are in sync, at least as far as
their current dates.
"""
sim_params = factory.create_simulation_parameters(
start=datetime(2008, 1, 1, tzinfo=pytz.utc),
end=datetime(2008, 1, 5, tzinfo=pytz.utc))
algo = TestAlgo(self, sim_params=sim_params)
trade_source = factory.create_daily_trade_source([8229], 3, sim_params)
algo.set_sources([trade_source])
gen = algo.get_generator()
results = list(gen)
self.assertEqual(results[-2]['progress'], 1.0)
def test_progress(self):
"""
Ensure the pipeline of generators are in sync, at least as far as
their current dates.
"""
sim_params = factory.create_simulation_parameters(
start=datetime(2008, 1, 1, tzinfo=pytz.utc), end=datetime(2008, 1, 5, tzinfo=pytz.utc)
)
algo = TestAlgo(self, sim_params=sim_params)
trade_source = factory.create_daily_trade_source([8229], 3, sim_params)
algo.set_sources([trade_source])
gen = algo.get_generator()
results = list(gen)
self.assertEqual(results[-2]["progress"], 1.0)
def test_generator_dates(self):
"""
Ensure the pipeline of generators are in sync, at least as far as
their current dates.
"""
sim_params = factory.create_simulation_parameters(
start=datetime(2011, 7, 30, tzinfo=pytz.utc),
end=datetime(2012, 7, 30, tzinfo=pytz.utc))
algo = TestAlgo(self, identifiers=[8229], sim_params=sim_params)
trade_source = factory.create_daily_trade_source([8229], sim_params)
algo.set_sources([trade_source])
gen = algo.get_generator()
self.assertTrue(list(gen))
self.assertTrue(algo.slippage.latest_date)
self.assertTrue(algo.latest_date)
def test_generator_dates(self):
"""
Ensure the pipeline of generators are in sync, at least as far as
their current dates.
"""
sim_params = factory.create_simulation_parameters(
start=datetime(2011, 7, 30, tzinfo=pytz.utc), end=datetime(2012, 7, 30, tzinfo=pytz.utc)
)
algo = TestAlgo(self, sim_params=sim_params)
trade_source = factory.create_daily_trade_source([8229], 200, sim_params)
algo.set_sources([trade_source])
gen = algo.get_generator()
self.assertTrue(list(gen))
self.assertTrue(algo.slippage.latest_date)
self.assertTrue(algo.latest_date)
def test_generator_dates(self):
"""
Ensure the pipeline of generators are in sync, at least as far as
their current dates.
"""
algo = TestAlgo(self)
trading_environment = factory.create_trading_environment(
start=datetime(2012, 1, 3, tzinfo=pytz.utc),
end=datetime(2012, 7, 30, tzinfo=pytz.utc))
trade_source = factory.create_daily_trade_source([8229], 200,
trading_environment)
algo.set_sources([trade_source])
gen = algo.get_generator(trading_environment)
self.assertTrue(list(gen))
self.assertTrue(algo.slippage.latest_date)
self.assertTrue(algo.latest_date)
def test_lse_algorithm(self):
lse = trading.TradingEnvironment(bm_symbol='^FTSE',
exchange_tz='Europe/London')
with lse:
sim_params = factory.create_simulation_parameters(
start=datetime(2012, 5, 1, tzinfo=pytz.utc),
end=datetime(2012, 6, 30, tzinfo=pytz.utc))
algo = TestAlgo(self, sim_params=sim_params)
trade_source = factory.create_daily_trade_source([8229], 200,
sim_params)
algo.set_sources([trade_source])
gen = algo.get_generator()
results = list(gen)
self.assertEqual(len(results), 42)
# May 7, 2012 was an LSE holiday, confirm the 4th trading
# day was May 8.
self.assertEqual(results[4]['daily_perf']['period_open'],
datetime(2012, 5, 8, 8, 31, tzinfo=pytz.utc))
def test_generator_dates(self):
"""
Ensure the pipeline of generators are in sync, at least as far as
their current dates.
"""
algo = TestAlgo(self)
trading_environment = factory.create_trading_environment(
start=datetime(2011, 7, 30, tzinfo=pytz.utc),
end=datetime(2012, 7, 30, tzinfo=pytz.utc)
)
trade_source = factory.create_daily_trade_source(
[8229],
200,
trading_environment
)
algo.set_sources([trade_source])
gen = algo.get_generator(trading_environment)
self.assertTrue(list(gen))
self.assertTrue(algo.slippage.latest_date)
self.assertTrue(algo.latest_date)
def create_test_zipline(**config):
"""
:param config: A configuration object that is a dict with:
- environment - a \
:py:class:`zipline.finance.trading.TradingEnvironment`
- sid - an integer, which will be used as the security ID.
- order_count - the number of orders the test algo will place,
defaults to 100
- order_amount - the number of shares per order, defaults to 100
- trade_count - the number of trades to simulate, defaults to 101
to ensure all orders are processed.
- algorithm - optional parameter providing an algorithm. defaults
to :py:class:`zipline.test.algorithms.TestAlgorithm`
- trade_source - optional parameter to specify trades, if present.
If not present :py:class:`zipline.sources.SpecificEquityTrades`
is the source, with daily frequency in trades.
- slippage: optional parameter that configures the
:py:class:`zipline.gens.tradingsimulation.TransactionSimulator`.
Expects an object with a simulate mehod, such as
:py:class:`zipline.gens.tradingsimulation.FixedSlippage`.
:py:mod:`zipline.finance.trading`
- transforms: optional parameter that provides a list
of StatefulTransform objects.
"""
assert isinstance(config, dict)
sid_list = config.get('sid_list')
if not sid_list:
sid = config.get('sid')
sid_list = [sid]
concurrent_trades = config.get('concurrent_trades', False)
#--------------------
# Trading Environment
#--------------------
if 'environment' in config:
trading_environment = config['environment']
else:
trading_environment = factory.create_trading_environment()
if 'order_count' in config:
order_count = config['order_count']
else:
order_count = 100
if 'order_amount' in config:
order_amount = config['order_amount']
else:
order_amount = 100
if 'trade_count' in config:
trade_count = config['trade_count']
else:
# to ensure all orders are filled, we provide one more
# trade than order
trade_count = 101
#-------------------
# Create the Algo
#-------------------
if 'algorithm' in config:
test_algo = config['algorithm']
else:
test_algo = TestAlgorithm(
sid,
order_amount,
order_count
)
#-------------------
# Trade Source
#-------------------
if 'trade_source' in config:
trade_source = config['trade_source']
else:
trade_source = factory.create_daily_trade_source(
sid_list,
trade_count,
trading_environment,
concurrent=concurrent_trades
)
test_algo.set_sources([trade_source])
#-------------------
# Transforms
#-------------------
transforms = config.get('transforms', None)
if transforms is not None:
test_algo.set_transforms(transforms)
#-------------------
# Slippage
# ------------------
slippage = config.get('slippage', None)
if slippage is not None:
test_algo.set_slippage(slippage)
# ------------------
# generator/simulator
sim = test_algo.get_generator(trading_environment)
return sim
def create_test_zipline(**config):
"""
:param config: A configuration object that is a dict with:
- sid - an integer, which will be used as the asset ID.
- order_count - the number of orders the test algo will place,
defaults to 100
- order_amount - the number of shares per order, defaults to 100
- trade_count - the number of trades to simulate, defaults to 101
to ensure all orders are processed.
- algorithm - optional parameter providing an algorithm. defaults
to :py:class:`zipline.test.algorithms.TestAlgorithm`
- trade_source - optional parameter to specify trades, if present.
If not present :py:class:`zipline.sources.SpecificEquityTrades`
is the source, with daily frequency in trades.
- slippage: optional parameter that configures the
:py:class:`zipline.gens.tradingsimulation.TransactionSimulator`.
Expects an object with a simulate mehod, such as
:py:class:`zipline.gens.tradingsimulation.FixedSlippage`.
:py:mod:`zipline.finance.trading`
"""
assert isinstance(config, dict)
try:
sid_list = config['sid_list']
except KeyError:
try:
sid_list = [config['sid']]
except KeyError:
raise Exception("simfactory create_test_zipline() requires "
"argument 'sid_list' or 'sid'")
concurrent_trades = config.get('concurrent_trades', False)
if 'order_count' in config:
order_count = config['order_count']
else:
order_count = 100
if 'order_amount' in config:
order_amount = config['order_amount']
else:
order_amount = 100
# -------------------
# Create the Algo
# -------------------
if 'algorithm' in config:
test_algo = config['algorithm']
else:
test_algo = TestAlgorithm(sid_list[0],
order_amount,
order_count,
sim_params=config.get(
'sim_params',
factory.create_simulation_parameters()),
slippage=config.get('slippage'),
identifiers=sid_list)
# -------------------
# Trade Source
# -------------------
if 'trade_source' in config:
trade_source = config['trade_source']
else:
trade_source = factory.create_daily_trade_source(
sid_list, test_algo.sim_params, concurrent=concurrent_trades)
if trade_source:
test_algo.set_sources([trade_source])
# -------------------
# Benchmark source
# -------------------
test_algo.benchmark_return_source = config.get('benchmark_source', None)
# ------------------
# generator/simulator
sim = test_algo.get_generator()
return sim
def create_test_zipline(**config):
"""
:param config: A configuration object that is a dict with:
- sid - an integer, which will be used as the asset ID.
- order_count - the number of orders the test algo will place,
defaults to 100
- order_amount - the number of shares per order, defaults to 100
- trade_count - the number of trades to simulate, defaults to 101
to ensure all orders are processed.
- algorithm - optional parameter providing an algorithm. defaults
to :py:class:`zipline.test.algorithms.TestAlgorithm`
- trade_source - optional parameter to specify trades, if present.
If not present :py:class:`zipline.sources.SpecificEquityTrades`
is the source, with daily frequency in trades.
- slippage: optional parameter that configures the
:py:class:`zipline.gens.tradingsimulation.TransactionSimulator`.
Expects an object with a simulate mehod, such as
:py:class:`zipline.gens.tradingsimulation.FixedSlippage`.
:py:mod:`zipline.finance.trading`
"""
assert isinstance(config, dict)
try:
sid_list = config['sid_list']
except KeyError:
try:
sid_list = [config['sid']]
except KeyError:
raise Exception("simfactory create_test_zipline() requires "
"argument 'sid_list' or 'sid'")
concurrent_trades = config.get('concurrent_trades', False)
if 'order_count' in config:
order_count = config['order_count']
else:
order_count = 100
if 'order_amount' in config:
order_amount = config['order_amount']
else:
order_amount = 100
# -------------------
# Create the Algo
# -------------------
if 'algorithm' in config:
test_algo = config['algorithm']
else:
test_algo = TestAlgorithm(
sid_list[0],
order_amount,
order_count,
sim_params=config.get('sim_params',
factory.create_simulation_parameters()),
slippage=config.get('slippage'),
identifiers=sid_list
)
# -------------------
# Trade Source
# -------------------
if 'trade_source' in config:
trade_source = config['trade_source']
else:
trade_source = factory.create_daily_trade_source(
sid_list,
test_algo.sim_params,
test_algo.trading_environment,
concurrent=concurrent_trades,
)
if trade_source:
test_algo.set_sources([trade_source])
# -------------------
# Benchmark source
# -------------------
test_algo.benchmark_return_source = config.get('benchmark_source', None)
# ------------------
# generator/simulator
sim = test_algo.get_generator()
return sim
def create_test_zipline(**config):
"""
:param config: A configuration object that is a dict with:
- sid - an integer, which will be used as the security ID.
- order_count - the number of orders the test algo will place,
defaults to 100
- order_amount - the number of shares per order, defaults to 100
- trade_count - the number of trades to simulate, defaults to 101
to ensure all orders are processed.
- algorithm - optional parameter providing an algorithm. defaults
to :py:class:`zipline.test.algorithms.TestAlgorithm`
- trade_source - optional parameter to specify trades, if present.
If not present :py:class:`zipline.sources.SpecificEquityTrades`
is the source, with daily frequency in trades.
- slippage: optional parameter that configures the
:py:class:`zipline.gens.tradingsimulation.TransactionSimulator`.
Expects an object with a simulate mehod, such as
:py:class:`zipline.gens.tradingsimulation.FixedSlippage`.
:py:mod:`zipline.finance.trading`
- transforms: optional parameter that provides a list
of StatefulTransform objects.
"""
assert isinstance(config, dict)
sid_list = config.get('sid_list')
if not sid_list:
sid = config.get('sid')
sid_list = [sid]
concurrent_trades = config.get('concurrent_trades', False)
if 'order_count' in config:
order_count = config['order_count']
else:
order_count = 100
if 'order_amount' in config:
order_amount = config['order_amount']
else:
order_amount = 100
if 'trade_count' in config:
trade_count = config['trade_count']
else:
# to ensure all orders are filled, we provide one more
# trade than order
trade_count = 101
#-------------------
# Create the Algo
#-------------------
if 'algorithm' in config:
test_algo = config['algorithm']
else:
test_algo = TestAlgorithm(sid,
order_amount,
order_count,
sim_params=config.get(
'sim_params',
factory.create_simulation_parameters()))
#-------------------
# Trade Source
#-------------------
if 'trade_source' in config:
trade_source = config['trade_source']
else:
trade_source = factory.create_daily_trade_source(
sid_list,
trade_count,
test_algo.sim_params,
concurrent=concurrent_trades)
if trade_source:
test_algo.set_sources([trade_source])
#-------------------
# Benchmark source
#-------------------
test_algo.benchmark_return_source = config.get('benchmark_source', None)
#-------------------
# Transforms
#-------------------
transforms = config.get('transforms', None)
if transforms is not None:
test_algo.set_transforms(transforms)
#-------------------
# Slippage
# ------------------
slippage = config.get('slippage', None)
if slippage is not None:
test_algo.set_slippage(slippage)
# ------------------
# generator/simulator
sim = test_algo.get_generator()
return sim
def create_test_zipline(**config):
"""
:param config: A configuration object that is a dict with:
- sid - an integer, which will be used as the asset ID.
- order_count - the number of orders the test algo will place,
defaults to 100
- order_amount - the number of shares per order, defaults to 100
- trade_count - the number of trades to simulate, defaults to 101
to ensure all orders are processed.
- algorithm - optional parameter providing an algorithm. defaults
to :py:class:`zipline.test.algorithms.TestAlgorithm`
- trade_source - optional parameter to specify trades, if present.
If not present :py:class:`zipline.sources.SpecificEquityTrades`
is the source, with daily frequency in trades.
- slippage: optional parameter that configures the
:py:class:`zipline.gens.tradingsimulation.TransactionSimulator`.
Expects an object with a simulate mehod, such as
:py:class:`zipline.gens.tradingsimulation.FixedSlippage`.
:py:mod:`zipline.finance.trading`
"""
assert isinstance(config, dict)
try:
sid_list = config['sid_list']
except KeyError:
try:
sid_list = [config['sid']]
except KeyError:
raise Exception("simfactory create_test_zipline() requires "
"argument 'sid_list' or 'sid'")
concurrent_trades = config.get('concurrent_trades', False)
order_count = config.get('order_count', 100)
order_amount = config.get('order_amount', 100)
# # 更改为A股交易日历
trading_calendar = config.get('trading_calendar', get_calendar())
# -------------------
# Create the Algo
# -------------------
if 'algorithm' in config:
test_algo = config['algorithm']
else:
test_algo = TestAlgorithm(sid_list[0],
order_amount,
order_count,
sim_params=config.get(
'sim_params',
factory.create_simulation_parameters()),
trading_calendar=trading_calendar,
slippage=config.get('slippage'),
identifiers=sid_list)
# -------------------
# Trade Source
# -------------------
if 'skip_data' not in config:
if 'trade_source' in config:
trade_source = config['trade_source']
else:
trade_source = factory.create_daily_trade_source(
sid_list,
test_algo.sim_params,
test_algo.trading_environment,
trading_calendar,
concurrent=concurrent_trades,
)
trades_by_sid = {}
for trade in trade_source:
if trade.sid not in trades_by_sid:
trades_by_sid[trade.sid] = []
trades_by_sid[trade.sid].append(trade)
data_portal = create_data_portal_from_trade_history(
config['env'].asset_finder, trading_calendar, config['tempdir'],
config['sim_params'], trades_by_sid)
test_algo.data_portal = data_portal
# -------------------
# Benchmark source
# -------------------
test_algo.benchmark_return_source = config.get('benchmark_source', None)
# ------------------
# generator/simulator
sim = test_algo.get_generator()
return sim
