def zipline_magic(line, cell=None):
"""The zipline IPython cell magic.
"""
load_extensions(
default=True,
extensions=[],
strict=True,
environ=os.environ,
)
try:
return run.main(
# put our overrides at the start of the parameter list so that
# users may pass values with higher precedence
[
'--algotext', cell,
'--output', os.devnull, # don't write the results by default
] + ([
# these options are set when running in line magic mode
# set a non None algo text to use the ipython user_ns
'--algotext', '',
'--local-namespace',
] if cell is None else []) + line.split(),
'%s%%zipline' % ((cell or '') and '%'),
# don't use system exit and propogate errors to the caller
standalone_mode=False,
)
except SystemExit as e:
# https://github.com/mitsuhiko/click/pull/533
# even in standalone_mode=False `--help` really wants to kill us ;_;
if e.code:
raise ValueError('main returned non-zero status code: %d' % e.code)
def main(extension, strict_extensions, default_extension):
"""Top level zipline entry point.
"""
# install a logbook handler before performing any other operations
logbook.StderrHandler().push_application()
load_extensions(
default_extension,
extension,
strict_extensions,
os.environ,
)
def main(ctx, extension, strict_extensions, default_extension, x):
"""Top level zipline entry point.
"""
# install a logbook handler before performing any other operations
logbook.StderrHandler().push_application()
create_args(x, zipline.extension_args)
load_extensions(
default_extension,
extension,
strict_extensions,
os.environ,
)
def zipline_magic(line, cell=None):
"""The zipline IPython cell magic."""
load_extensions(
default=True,
extensions=[],
strict=True,
environ=os.environ,
)
try:
return run.main(
# put our overrides at the start of the parameter list so that
# users may pass values with higher precedence
[
"--algotext",
cell,
"--output",
os.devnull, # don't write the results by default
]
+ (
[
# these options are set when running in line magic mode
# set a non None algo text to use the ipython user_ns
"--algotext",
"",
"--local-namespace",
]
if cell is None
else []
)
+ line.split(),
"%s%%zipline" % ((cell or "") and "%"),
# don't use system exit and propogate errors to the caller
standalone_mode=False,
)
except SystemExit as e:
# https://github.com/mitsuhiko/click/pull/533
# even in standalone_mode=False `--help` really wants to kill us ;_;
if e.code:
raise ValueError("main returned non-zero status code: %d" % e.code)
from zipline_extensions_cn.data.data_portal import CNDataPortal
from zipline_extensions_cn.pipeline.data import CNEquityPricing, CNFinancialData
from zipline.pipeline.engine import SimplePipelineEngine
from zipline_extensions_cn.pipeline.loaders import CNEquityPricingLoader, FundamentalsLoader
from zipline.utils.calendars import get_calendar
from zipline.assets._assets import Equity
from zipline.utils.run_algo import load_extensions
import alphalens as al
import zipline.pipeline.domain as domain
_DEFAULT_DOMAINS = {d.calendar_name: d for d in domain.BUILT_IN_DOMAINS}
# 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('AShare')
bundle = 'mydb'
bundle_data = bundles.load(bundle)
loaders = {}
# create and empty BlazeLoader
# blaze_loader = BlazeLoader()
def my_dispatcher(column):
from pyfolio.plotting import plot_rolling_returns, plot_rolling_sharpe
from pyfolio.timeseries import forecast_cone_bootstrap
# In[3]:
sns.set_style('whitegrid')
pd.set_option('display.expand_frame_repr', False)
np.random.seed(42)
# ### Load zipline extensions
# Only need this in notebook to find bundle.
# In[4]:
load_extensions(default=True, extensions=[], strict=True, environ=None)
# In[5]:
log_handler = StderrHandler(
format_string='[{record.time:%Y-%m-%d %H:%M:%S.%f}]: ' +
'{record.level_name}: {record.func_name}: {record.message}',
level=INFO)
log_handler.push_application()
log = Logger('Algorithm')
# ## Algo Params
# We plan to hold up to 20 long and 20 short positions whenever there are at least 10 on either side that meet the criteria (positive/negative prediction for long/short position).
# In[6]:
