def get_fixture_data_portal(**kwargs):
b = Backend(**kwargs)
finder = AssetFinder(b)
return DataPortal(b, finder, b._calendar, False)
def __init__(self, *args, **kwargs):
'''
data_frequency: 'minute' or 'daily'
algoname: str, defaults to 'algo'
backend: str or Backend instance, defaults to 'alpaca'
(str is either backend module name under
'pylivetrader.backend', or global import path)
trading_calendar: pd.DateIndex for trading calendar
initialize: initialize function
handle_data: handle_data function
before_trading_start: before_trading_start function
'''
self._recorded_vars = {}
self.data_frequency = kwargs.pop('data_frequency', 'minute')
assert self.data_frequency in ('minute', 'daily')
self._algoname = kwargs.pop('algoname', 'algo')
self._state_store = StateStore(
kwargs.pop('statefile', None)
or '{}-state.pkl'.format(self._algoname))
self._pipelines = {}
backend_param = kwargs.pop('backend', 'alpaca')
if not isinstance(backend_param, str):
self._backend = backend_param
self._backend_name = backend_param.__class__.__name__
else:
self._backend_name = backend_param
try:
# First, tries to import official backend packages
backendmod = importlib.import_module(
'pylivetrader.backend.{}'.format(self._backend_name))
except ImportError:
# Then if failes, tries to find pkg in global package
# namespace.
try:
backendmod = importlib.import_module(self._backend_name)
except ImportError:
raise RuntimeError(
"Could not find backend package `{}`.".format(
self._backend_name))
backend_options = kwargs.pop('backend_options', None) or {}
self._backend = backendmod.Backend(**backend_options)
self.asset_finder = AssetFinder(self._backend)
self.trading_calendar = kwargs.pop('trading_calendar',
get_calendar('NYSE'))
self.data_portal = DataPortal(self._backend, self.asset_finder,
self.trading_calendar)
self.event_manager = EventManager()
self.trading_controls = []
self.account_controls = []
self.restrictions = NoRestrictions()
self._initialize = kwargs.pop('initialize', noop)
self._handle_data = kwargs.pop('handle_data', noop)
self._before_trading_start = kwargs.pop('before_trading_start', noop)
self.event_manager.add_event(
events.Event(
events.Always(),
# We pass handle_data.__func__ to get the unbound method.
self.handle_data.__func__,
),
prepend=True,
)
self._account_needs_update = True
self._portfolio_needs_update = True
self._in_before_trading_start = False
self._assets_from_source = []
self._context_persistence_excludes = []
self._max_shares = int(1e+11)
self.initialized = False
class Algorithm:
"""Provides algorithm compatible with zipline.
"""
def __init__(self, *args, **kwargs):
'''
data_frequency: 'minute' or 'daily'
algoname: str, defaults to 'algo'
backend: str or Backend instance, defaults to 'alpaca'
(str is either backend module name under
'pylivetrader.backend', or global import path)
trading_calendar: pd.DateIndex for trading calendar
initialize: initialize function
handle_data: handle_data function
before_trading_start: before_trading_start function
'''
self._recorded_vars = {}
self.data_frequency = kwargs.pop('data_frequency', 'minute')
assert self.data_frequency in ('minute', 'daily')
self._algoname = kwargs.pop('algoname', 'algo')
self._state_store = StateStore(
kwargs.pop('statefile', None)
or '{}-state.pkl'.format(self._algoname))
self._pipelines = {}
backend_param = kwargs.pop('backend', 'alpaca')
if not isinstance(backend_param, str):
self._backend = backend_param
self._backend_name = backend_param.__class__.__name__
else:
self._backend_name = backend_param
try:
# First, tries to import official backend packages
backendmod = importlib.import_module(
'pylivetrader.backend.{}'.format(self._backend_name))
except ImportError:
# Then if failes, tries to find pkg in global package
# namespace.
try:
backendmod = importlib.import_module(self._backend_name)
except ImportError:
raise RuntimeError(
"Could not find backend package `{}`.".format(
self._backend_name))
backend_options = kwargs.pop('backend_options', None) or {}
self._backend = backendmod.Backend(**backend_options)
self.asset_finder = AssetFinder(self._backend)
self.trading_calendar = kwargs.pop('trading_calendar',
get_calendar('NYSE'))
self.data_portal = DataPortal(self._backend, self.asset_finder,
self.trading_calendar)
self.event_manager = EventManager()
self.trading_controls = []
self.account_controls = []
self.restrictions = NoRestrictions()
self._initialize = kwargs.pop('initialize', noop)
self._handle_data = kwargs.pop('handle_data', noop)
self._before_trading_start = kwargs.pop('before_trading_start', noop)
self.event_manager.add_event(
events.Event(
events.Always(),
# We pass handle_data.__func__ to get the unbound method.
self.handle_data.__func__,
),
prepend=True,
)
self._account_needs_update = True
self._portfolio_needs_update = True
self._in_before_trading_start = False
self._assets_from_source = []
self._context_persistence_excludes = []
self._max_shares = int(1e+11)
self.initialized = False
def initialize(self, *args, **kwargs):
self._context_persistence_excludes = (list(self.__dict__.keys()) +
['executor'])
self._state_store.load(self, self._algoname)
with LiveTraderAPI(self):
self._initialize(self, *args, **kwargs)
self._state_store.save(self, self._algoname,
self._context_persistence_excludes)
self.initialized = True
def handle_data(self, data):
if self._handle_data:
self._handle_data(self, data)
self._state_store.save(self, self._algoname,
self._context_persistence_excludes)
def before_trading_start(self, data):
if self._before_trading_start is None:
return
self._in_before_trading_start = True
with handle_non_market_minutes(data) if \
self.data_frequency == "minute" else ExitStack():
self._before_trading_start(self, data)
self._state_store.save(self, self._algoname,
self._context_persistence_excludes)
self._in_before_trading_start = False
def run(self, retry=True):
log.info("livetrader start running with "
"backend = {} "
"data-frequency = {}".format(self._backend_name,
self.data_frequency))
# for compatibility with zipline to provide history api
self._assets_from_source = \
self.asset_finder.retrieve_all(self.asset_finder.sids)
if not self.initialized:
self.initialize()
self.executor = AlgorithmExecutor(
self,
self.data_portal,
)
return self.executor.run(retry=retry)
@api_method
def get_environment(self, field='platform'):
raise APINotSupported
@api_method
def fetch_csv(self,
url,
pre_func=None,
post_func=None,
date_column='date',
date_format=None,
timezone=pytz.utc.zone,
symbol=None,
mask=True,
symbol_column=None,
special_params_checker=None,
**kwargs):
raise APINotSupported
@api_method
@disallowed_in_before_trading_start(OrderInBeforeTradingStart())
def order(self,
asset,
amount,
limit_price=None,
stop_price=None,
style=None):
if not self._can_order_asset(asset):
return None
amount, style = self._calculate_order(asset, amount, limit_price,
stop_price, style)
if amount == 0:
return None
if amount > self._max_shares:
# Arbitrary limit of 100 billion (US) shares will never be
# exceeded except by a buggy algorithm.
raise OverflowError("Can't order more than %d shares" %
self._max_shares)
o = self._backend.order(asset, amount, style)
if o:
return o.id
@api_method
def add_event(self, rule=None, callback=None):
self.event_manager.add_event(events.Event(rule, callback), )
@api_method
def schedule_function(self,
func,
date_rule=None,
time_rule=None,
half_days=True,
calendar=None):
"""Schedules a function to be called according to some timed rules.
Parameters
----------
func : callable[(context, data) -> None]
The function to execute when the rule is triggered.
date_rule : EventRule, optional
The rule for the dates to execute this function.
time_rule : EventRule, optional
The rule for the times to execute this function.
half_days : bool, optional
Should this rule fire on half days?
calendar : Sentinel, optional
Calendar used to reconcile date and time rules.
See Also
--------
:class:`zipline.api.date_rules`
:class:`zipline.api.time_rules` sta
"""
# When the user calls schedule_function(func, <time_rule>), assume that
# the user meant to specify a time rule but no date rule, instead of
# a date rule and no time rule as the signature suggests
if isinstance(date_rule, (AfterOpen, BeforeClose)) and not time_rule:
warnings.warn(
'Got a time rule for the second positional argument '
'date_rule. You should use keyword argument '
'time_rule= when calling schedule_function without '
'specifying a date_rule',
stacklevel=3)
date_rule = date_rule or date_rules.every_day()
time_rule = ((time_rule or time_rules.every_minute())
if self.data_frequency == 'minute' else
# If we are in daily mode the time_rule is ignored.
time_rules.every_minute())
# Check the type of the algorithm's schedule before pulling calendar
# Note that the ExchangeTradingSchedule is currently the only
# TradingSchedule class, so this is unlikely to be hit
if calendar is None:
cal = self.trading_calendar
elif calendar is calendars.US_EQUITIES:
cal = get_calendar('NYSE')
elif calendar is calendars.US_FUTURES:
cal = get_calendar('us_futures')
else:
raise ScheduleFunctionInvalidCalendar(
given_calendar=calendar,
allowed_calendars=(
'[calendars.US_EQUITIES, calendars.US_FUTURES]'),
)
self.add_event(
make_eventrule(date_rule, time_rule, cal, half_days),
func,
)
@api_method
def record(self, *args, **kwargs):
"""Track and record values each day.
Parameters
----------
**kwargs
The names and values to record.
Notes
-----
These values will appear in the performance packets and the performance
dataframe passed to ``analyze`` and returned from
:func:`~zipline.run_algorithm`.
"""
# Make 2 objects both referencing the same iterator
args = [iter(args)] * 2
# Zip generates list entries by calling `next` on each iterator it
# receives. In this case the two iterators are the same object, so the
# call to next on args[0] will also advance args[1], resulting in zip
# returning (a,b) (c,d) (e,f) rather than (a,a) (b,b) (c,c) etc.
positionals = zip(*args)
for name, value in chain(positionals, kwargs.items()):
self._recorded_vars[name] = value
@api_method
def set_benchmark(self, benchmark):
'''Just do nothing for compatibility.'''
pass
@api_method
@preprocess(symbol=ensure_upper_case)
def symbol(self, symbol):
'''Lookup equity by symbol.
Parameters:
symbol (string): The ticker symbol for the asset.
Returns:
equity (Equity): The equity object lookuped by the ``symbol``.
Raises:
AssetNotFound: When could not resolve the ``Asset`` by ``symbol``.
'''
return self.asset_finder.lookup_symbol(symbol, as_of_date=None)
@api_method
def continuous_future(self, *args, **kwargs):
raise APINotSupported
@api_method
def symbols(self, *args, **kwargs):
'''Lookup equities by symbol.
Parameters:
args (iterable[str]): List of ticker symbols for the asset.
Returns:
equities (List[Equity]): The equity lookuped by the ``symbol``.
Raises:
AssetNotFound: When could not resolve the ``Asset`` by ``symbol``.
'''
return [self.symbol(idendifier, **kwargs) for idendifier in args]
@api_method
def sid(self, sid):
'''Lookup equity by asset unique identifier
Parameters:
sid: asset unique identifier.
Returns:
equity (Equity): The equity object lookuped by the ``sid``.
Raises:
AssetNotFound: When could not resolve the ``Asset`` by ``sid``.
'''
return self.asset_finder.retrieve_asset(sid)
@api_method
def future_symbol(self, symbol):
raise APINotSupported
@api_method
def batch_order(self, order_arg_list):
return [self.order(*order_args) for order_args in order_arg_list]
@api_method
@disallowed_in_before_trading_start(OrderInBeforeTradingStart())
def order_value(self,
asset,
value,
limit_price=None,
stop_price=None,
style=None):
if not self._can_order_asset(asset):
return None
amount = self._calculate_order_value_amount(asset, value)
return self.order(asset,
amount,
limit_price=limit_price,
stop_price=stop_price,
style=style)
@property
def recorded_vars(self):
return copy(self._recorded_vars)
@property
def portfolio(self):
if self._portfolio_needs_update:
self._portfolio = self._backend.portfolio
self._portfolio_needs_update = False
return self._portfolio
@property
def account(self):
if self._account_needs_update:
self._account = self._backend.account
self._account_needs_update = False
return self._account
def set_logger(self, logger):
self.logger = logger
def on_dt_changed(self, dt):
self._portfolio_needs_update = True
self._account_needs_update = True
self.datetime = dt
@api_method
@preprocess(tz=coerce_string(pytz.timezone))
@expect_types(tz=optional(tzinfo))
def get_datetime(self, tz=None):
dt = self.datetime
assert dt.tzinfo == pytz.utc, "Algorithm should have a utc datetime"
if tz is not None:
dt = dt.astimezone(tz)
return dt
@api_method
def set_slippage(self, **kwargs):
'''Just do nothing for compatibility.'''
pass
@api_method
def set_commission(self, **kwargs):
'''Just do nothing for compatibility.'''
pass
@api_method
def set_cancel_policy(self, *args):
'''Just do nothing for compatibility.'''
pass
@api_method
def set_symbol_lookup_date(self, dt):
'''Just do nothing for compatibility.'''
pass
@api_method
def order_percent(self,
asset,
percent,
limit_price=None,
stop_price=None,
style=None):
if not self._can_order_asset(asset):
return None
amount = self._calculate_order_percent_amount(asset, percent)
return self.order(asset,
amount,
limit_price=limit_price,
stop_price=stop_price,
style=style)
@api_method
def order_target(self,
asset,
target,
limit_price=None,
stop_price=None,
style=None):
if not self._can_order_asset(asset):
return None
amount = self._calculate_order_target_amount(asset, target)
return self.order(asset,
amount,
limit_price=limit_price,
stop_price=stop_price,
style=style)
@api_method
def order_target_value(self,
asset,
target,
limit_price=None,
stop_price=None,
style=None):
if not self._can_order_asset(asset):
return None
target_amount = self._calculate_order_value_amount(asset, target)
amount = self._calculate_order_target_amount(asset, target_amount)
return self.order(asset,
amount,
limit_price=limit_price,
stop_price=stop_price,
style=style)
@api_method
def order_target_percent(self,
asset,
target,
limit_price=None,
stop_price=None,
style=None):
if not self._can_order_asset(asset):
return None
amount = self._calculate_order_target_percent_amount(asset, target)
return self.order(asset,
amount,
limit_price=limit_price,
stop_price=stop_price,
style=style)
@api_method
@expect_types(share_counts=pd.Series)
@expect_dtypes(share_counts=np.dtype('float64'))
def batch_market_order(self, share_counts):
style = MarketOrder()
order_args = [(asset, amount, style)
for (asset, amount) in share_counts.items() if amount]
return self._backend.batch_order(order_args)
@api_method
def get_open_orders(self, asset=None):
'''
If asset is unspecified or None, returns a dictionary keyed by
asset ID. The dictionary contains a list of orders for each ID,
oldest first. If an asset is specified, returns a list of open
orders for that asset, oldest first.
'''
return self.get_all_orders(asset=asset, status='open')
@api_method
def get_recent_orders(self, days_back=2):
'''
Returns all orders from the past n days.
'''
return self.get_all_orders(days_back=days_back)
@api_method
def get_all_orders(self,
asset=None,
before=None,
status='all',
days_back=None):
'''
If asset is unspecified or None, returns a dictionary keyed by
asset ID. The dictionary contains a list of orders for each ID,
oldest first. If an asset is specified, returns a list of open
orders for that asset, oldest first. Orders submitted after
before will not be returned. If provided, only orders of type
status ('closed' or 'open') will be returned.
'''
orders = self._backend.all_orders(before, status, days_back)
omap = {}
orders = sorted([o for o in orders.values()], key=lambda o: o.dt)
for order in orders:
key = order.asset
if key not in omap:
omap[key] = []
omap[key].append(order.to_api_obj())
if asset is None:
return omap
return omap.get(asset, [])
@api_method
def get_order(self, order_id):
return self._backend.get_order(order_id).to_api_obj()
@api_method
def cancel_order(self, order_param):
order_id = order_param
if isinstance(order_param, proto.Order):
order_id = order_param.id
self._backend.cancel_order(order_id)
@api_method
@require_initialized(HistoryInInitialize())
def history(self, bar_count, frequency, field, ffill=True):
"""DEPRECATED: use ``data.history`` instead.
"""
return self.get_history_window(
bar_count,
frequency,
self._calculate_universe(),
field,
ffill,
)
def get_history_window(self, bar_count, frequency, assets, field, ffill):
return self.data_portal.get_history_window(
assets,
self.datetime,
bar_count,
frequency,
field,
self.data_frequency,
ffill,
)
def _calculate_order(self,
asset,
amount,
limit_price=None,
stop_price=None,
style=None):
amount = self.round_order(amount)
# Raises a ZiplineError if invalid parameters are detected.
self.validate_order_params(asset, amount, limit_price, stop_price,
style)
# Convert deprecated limit_price and stop_price parameters to use
# ExecutionStyle objects.
style = self.__convert_order_params_for_blotter(
limit_price, stop_price, style)
return amount, style
def validate_order_params(self, asset, amount, limit_price, stop_price,
style):
"""
Helper method for validating parameters to the order API function.
Raises an UnsupportedOrderParameters if invalid arguments are found.
"""
if not self.initialized:
raise OrderDuringInitialize(
msg="order() can only be called from within handle_data()")
if style:
if limit_price:
raise UnsupportedOrderParameters(
msg="Passing both limit_price and style is not supported.")
if stop_price:
raise UnsupportedOrderParameters(
msg="Passing both stop_price and style is not supported.")
for control in self.trading_controls:
control.validate(asset, amount, self.portfolio,
self.get_datetime(), self.executor.current_data)
@staticmethod
def round_order(amount):
"""
Convert number of shares to an integer.
By default, truncates to the integer share count that's either within
.0001 of amount or closer to zero.
E.g. 3.9999 -> 4.0; 5.5 -> 5.0; -5.5 -> -5.0
"""
return int(round_if_near_integer(amount))
@staticmethod
def __convert_order_params_for_blotter(limit_price, stop_price, style):
"""
Helper method for converting deprecated limit_price and stop_price
arguments into ExecutionStyle instances.
This function assumes that either style == None or (limit_price,
stop_price) == (None, None).
"""
if style:
assert (limit_price, stop_price) == (None, None)
return style
if limit_price and stop_price:
return StopLimitOrder(limit_price, stop_price)
if limit_price:
return LimitOrder(limit_price)
if stop_price:
return StopOrder(stop_price)
else:
return MarketOrder()
def _calculate_universe(self):
# this exists to provide backwards compatibility for older,
# deprecated APIs, particularly around the iterability of
# BarData (ie, 'for sid in data`).
# our universe is all the assets passed into `run`.
return self._assets_from_source
def _calculate_order_value_amount(self, asset, value):
"""
Calculates how many shares/contracts to order based on the type of
asset being ordered.
"""
if not self.executor.current_data.can_trade(asset):
raise CannotOrderDelistedAsset(
msg="Cannot order {0}, as it not tradable".format(
asset.symbol))
last_price = \
self.executor.current_data.current(asset, "price")
if np.isnan(last_price):
raise CannotOrderDelistedAsset(
msg="Cannot order {0} on {1} as there is no last "
"price for the security.".format(asset.symbol, self.datetime))
if tolerant_equals(last_price, 0):
zero_message = "Price of 0 for {psid}; can't infer value".format(
psid=asset)
if self.logger:
self.logger.debug(zero_message)
# Don't place any order
return 0
return value / last_price
def _calculate_order_percent_amount(self, asset, percent):
value = self.portfolio.portfolio_value * percent
return self._calculate_order_value_amount(asset, value)
def _calculate_order_target_amount(self, asset, target):
if asset in self.portfolio.positions:
current_position = self.portfolio.positions[asset].amount
target -= current_position
return target
def _calculate_order_target_percent_amount(self, asset, target):
target_amount = self._calculate_order_percent_amount(asset, target)
return self._calculate_order_target_amount(asset, target_amount)
def _can_order_asset(self, asset):
if not isinstance(asset, Asset):
raise UnsupportedOrderParameters(
msg="Passing non-Asset argument to 'order()' is not supported."
" Use 'sid()' or 'symbol()' methods to look up an Asset.")
if asset.auto_close_date:
day = normalize_date(self.get_datetime())
if day > min(asset.end_date, asset.auto_close_date):
# If we are after the asset's end date or auto close date, warn
# the user that they can't place an order for this asset, and
# return None.
log.warn("Cannot place order for {0}"
", as it is not tradable.".format(asset.symbol))
return False
return True
#
# Account Controls
#
def register_account_control(self, control):
"""
Register a new AccountControl to be checked on each bar.
"""
if self.initialized:
raise RegisterAccountControlPostInit()
self.account_controls.append(control)
def validate_account_controls(self):
for control in self.account_controls:
control.validate(self.portfolio, self.account, self.get_datetime(),
self.executor.current_data)
@api_method
def set_max_leverage(self, max_leverage):
"""Set a limit on the maximum leverage of the algorithm.
Parameters
----------
max_leverage : float
The maximum leverage for the algorithm. If not provided there will
be no maximum.
"""
control = MaxLeverage(max_leverage)
self.register_account_control(control)
#
# Trading Controls
#
def register_trading_control(self, control):
"""
Register a new TradingControl to be checked prior to order calls.
"""
if self.initialized:
raise RegisterTradingControlPostInit()
self.trading_controls.append(control)
@api_method
def set_max_position_size(self,
asset=None,
max_shares=None,
max_notional=None,
on_error='fail'):
"""Set a limit on the number of shares and/or dollar value held for the
given sid. Limits are treated as absolute values and are enforced at
the time that the algo attempts to place an order for sid. This means
that it's possible to end up with more than the max number of shares
due to splits/dividends, and more than the max notional due to price
improvement.
If an algorithm attempts to place an order that would result in
increasing the absolute value of shares/dollar value exceeding one of
these limits, raise a TradingControlException.
Parameters
----------
asset : Asset, optional
If provided, this sets the guard only on positions in the given
asset.
max_shares : int, optional
The maximum number of shares to hold for an asset.
max_notional : float, optional
The maximum value to hold for an asset.
"""
control = MaxPositionSize(asset=asset,
max_shares=max_shares,
max_notional=max_notional,
on_error=on_error)
self.register_trading_control(control)
@api_method
def set_max_order_size(self,
asset=None,
max_shares=None,
max_notional=None,
on_error='fail'):
"""Set a limit on the number of shares and/or dollar value of any single
order placed for sid. Limits are treated as absolute values and are
enforced at the time that the algo attempts to place an order for sid.
If an algorithm attempts to place an order that would result in
exceeding one of these limits, raise a TradingControlException.
Parameters
----------
asset : Asset, optional
If provided, this sets the guard only on positions in the given
asset.
max_shares : int, optional
The maximum number of shares that can be ordered at one time.
max_notional : float, optional
The maximum value that can be ordered at one time.
"""
control = MaxOrderSize(asset=asset,
max_shares=max_shares,
max_notional=max_notional,
on_error=on_error)
self.register_trading_control(control)
@api_method
def set_max_order_count(self, max_count, on_error='fail'):
"""Set a limit on the number of orders that can be placed in a single
day.
Parameters
----------
max_count : int
The maximum number of orders that can be placed on any single day.
"""
control = MaxOrderCount(on_error, max_count)
self.register_trading_control(control)
@api_method
def set_do_not_order_list(self, restricted_list, on_error='fail'):
"""Set a restriction on which assets can be ordered.
Parameters
----------
restricted_list : container[Asset], SecurityList
The assets that cannot be ordered.
"""
if isinstance(restricted_list, SecurityList):
warnings.warn(
"`set_do_not_order_list(security_lists.leveraged_etf_list)` "
"is deprecated. Use `set_asset_restrictions("
"security_lists.restrict_leveraged_etfs)` instead.",
category=DeprecationWarning,
stacklevel=2)
restrictions = SecurityListRestrictions(restricted_list)
else:
warnings.warn(
"`set_do_not_order_list(container_of_assets)` is deprecated. "
"Create a zipline.finance.asset_restrictions."
"StaticRestrictions object with a container of assets and use "
"`set_asset_restrictions(StaticRestrictions("
"container_of_assets))` instead.",
category=DeprecationWarning,
stacklevel=2)
restrictions = StaticRestrictions(restricted_list)
self.set_asset_restrictions(restrictions, on_error)
@api_method
@expect_types(
restrictions=Restrictions,
on_error=str,
)
def set_asset_restrictions(self, restrictions, on_error='fail'):
"""Set a restriction on which assets can be ordered.
Parameters
----------
restricted_list : Restrictions
An object providing information about restricted assets.
See Also
--------
zipline.finance.asset_restrictions.Restrictions
"""
control = RestrictedListOrder(on_error, restrictions)
self.register_trading_control(control)
self.restrictions |= restrictions
@api_method
def set_long_only(self, on_error='fail'):
"""Set a rule specifying that this algorithm cannot take short
positions.
"""
self.register_trading_control(LongOnly(on_error))
@api_method
def attach_pipeline(self, pipeline, name, chunks=None):
self._pipelines[name] = pipeline
@api_method
def pipeline_output(self, name):
try:
from pipeline_live.engine import LivePipelineEngine
except ImportError:
raise RuntimeError('pipeline-live is not installed')
finder = self.asset_finder
def list_symbols():
return sorted([a.symbol for a in finder._asset_cache.values()])
eng = LivePipelineEngine(list_symbols)
output = eng.run_pipeline(self._pipelines[name])
output.index = pd.Index(finder.lookup_symbols(output.index))
return output
def __init__(self, *args, **kwargs):
'''
data_frequency: 'minute' or 'daily'
algoname: str, defaults to 'algo'
backend: str or Backend instance, defaults to 'alpaca'
(str is either backend module name under
'pylivetrader.backend', or global import path)
trading_calendar: pd.DateIndex for trading calendar
initialize: initialize function
handle_data: handle_data function
before_trading_start: before_trading_start function
log_level: 'DEBUG', 'INFO', 'WARNING', 'ERROR', 'CRITICAL'
storage_engine: 'file', 'redis'
pipeline_hook: pipeline_output hook function to enable smoke like
functionality. it is not meant to be used by the
CLI
'''
log.level = lookup_level(kwargs.pop('log_level', 'INFO'))
self._recorded_vars = {}
self.data_frequency = kwargs.pop('data_frequency', 'minute')
assert self.data_frequency in ('minute', 'daily')
self._algoname = kwargs.pop('algoname', 'algo')
self.quantopian_compatible = kwargs.pop('quantopian_compatible', True)
storage_engine = kwargs.pop('storage_engine', 'file')
if storage_engine == 'redis':
storage_engine = RedisStore()
else:
storage_engine = FileStore(
kwargs.pop('statefile', None)
or '{}-state.pkl'.format(self._algoname))
self._state_store = StateStore(storage_engine=storage_engine)
self._pipelines = {}
backend_param = kwargs.pop('backend', 'alpaca')
if not isinstance(backend_param, str):
self._backend = backend_param
self._backend_name = backend_param.__class__.__name__
else:
self._backend_name = backend_param
try:
# First, tries to import official backend packages
backendmod = importlib.import_module(
'pylivetrader.backend.{}'.format(self._backend_name))
except ImportError:
# Then if failes, tries to find pkg in global package
# namespace.
try:
backendmod = importlib.import_module(self._backend_name)
except ImportError:
raise RuntimeError(
"Could not find backend package `{}`.".format(
self._backend_name))
self.backend_options = kwargs.pop('backend_options', None) or {}
self._backend = backendmod.Backend(**self.backend_options)
self.asset_finder = AssetFinder(self._backend)
self.trading_calendar = kwargs.pop('trading_calendar',
get_calendar('NYSE'))
self.data_portal = DataPortal(self._backend, self.asset_finder,
self.trading_calendar,
self.quantopian_compatible)
self.event_manager = EventManager()
self.trading_controls = []
self.account_controls = []
self.restrictions = NoRestrictions()
self._initialize = kwargs.pop('initialize', noop)
self._handle_data = kwargs.pop('handle_data', noop)
self._before_trading_start = kwargs.pop('before_trading_start', noop)
self._pipeline_hook = kwargs.get('pipeline_hook')
self.event_manager.add_event(
events.Event(
events.Always(),
# We pass handle_data.__func__ to get the unbound method.
self.handle_data.__func__,
),
prepend=True,
)
self._account_needs_update = True
self._portfolio_needs_update = True
self._in_before_trading_start = False
self._assets_from_source = []
self._context_persistence_excludes = []
self._max_shares = int(1e+11)
self.initialized = False
self.api_methods = [
func for func in dir(Algorithm)
if callable(getattr(Algorithm, func))
]
def test_finder():
asset = Equity('asset-id', 'NSDQ', symbol='AAPL')
class DummyBroker:
def get_equities(self):
return [asset]
# retrieve_asset
finder = AssetFinder(DummyBroker())
assert finder.retrieve_asset('asset-id') == asset
with pytest.raises(SidsNotFound):
finder.retrieve_asset('invalid')
# retrieve_all
assert finder.retrieve_all(['asset-id']) == [asset]
with pytest.raises(SidsNotFound):
assert finder.retrieve_all(['asset-id', 'invalid'])
assert finder.retrieve_all(['asset-id', 'invalid'], default_none=True) \
== [asset, None]
# retrieve_equities
assert finder.retrieve_equities(['asset-id'])['asset-id'] == asset
with pytest.raises(EquitiesNotFound):
assert finder.retrieve_equities(['inv'])
# asset should be cached until cleared
assert hasattr(finder, 'asset_cache')
finder.clear_cache()
assert not hasattr(finder, 'asset_cache')
# lookup_symbol
assert finder.lookup_symbol('AAPL', None) == asset
assert finder.lookup_symbol('AAPL', None, fuzzy=True) == asset
with pytest.raises(SymbolNotFound):
finder.lookup_symbol('invalid', None)
with pytest.raises(SymbolNotFound):
finder.lookup_symbol('invalid', None, fuzzy=True)
# lookup_symbols
assert finder.lookup_symbols(['AAPL'], None) == [asset]
assert finder.lookup_symbols(['AAPL'], None, fuzzy=True) == [asset]
with pytest.raises(SymbolNotFound):
finder.lookup_symbols(['AAPL', 'invalid'], None)
with pytest.raises(SymbolNotFound):
finder.lookup_symbols(['AAPL', 'invalid'], None)
# sids
assert finder.sids == ['asset-id']
