def run_analyse(script, codes, start, end):
open_time = "09:30:00"
close_time = "15:00:00"
start_time = "{0} {1}".format(start, open_time)
end_time = "{0} {1}".format(end, close_time)
sim_params = create_simulation_parameters(
start=pd.to_datetime(start_time).tz_localize("Asia/Shanghai").tz_convert("UTC"),
end=pd.to_datetime(end_time).tz_localize("Asia/Shanghai").tz_convert("UTC"),
data_frequency="daily",
emission_rate="daily",
sids=codes)
with open(script, 'r') as f:
algo_text = f.read()
zp_algo = zipline.TradingAlgorithm(script=algo_text,
namespace={},
capital_base=10e6,
sim_params=sim_params)
stocks = Market.get_stocks(codes, start, end)
d = pd.Panel(stocks)
res = zp_algo.run(d)
results = {}
results['parameters'] = {
'time': datetime.datetime.now(),
'algorithm': script,
}
results['results'] = res
results['report'] = zp_algo.risk_report
results['orders'] = zp_algo.blotter.orders
results['benchmark'] = zp_algo.perf_tracker.all_benchmark_returns
job = get_current_job(connection=Redis())
data.save_result(job.id, results)
return results
from zipline.utils.factory import create_simulation_parameters
sim_params = create_simulation_parameters(
start = pd.to_datetime("2014-01-01 09:30:00").tz_localize("Asia/Shanghai").tz_convert("UTC"), #Bug in code doesn't set tz if these are not specified (finance/trading.py:SimulationParameters.calculate_first_open[close])
end = pd.to_datetime("2014-12-31 15:00:00").tz_localize("Asia/Shanghai").tz_convert("UTC"),
data_frequency = "daily",
emission_rate = "daily",
sids = ["600000"])
prefix = '000666'
codes = filter(lambda s: s.startswith(prefix), data.get_basics().index)
start = '2014-01-01'
end = '2015-04-30'
benchmark = data.get_hist('sh')
d = Market.get_stocks(codes, start, end)
# d[code].prices.index = d[code].prices.index.to_datetime().tz_localize('UTC')
# d[code].prices['price'] = d[code].prices['close']
d = pd.Panel(d)
with open('/home/leo/Workspace/stock/algorithms/aberration.py', 'r') as f:
algo_text = f.read()
# d = zipline.data.load_bars_from_yahoo(stocks=['AAPL'], start=start, end=end)
algo = zipline.TradingAlgorithm(script=algo_text,
namespace={},
capital_base=100000,
sim_params=sim_params)
# results = algo.run(d, benchmark_return_source=d[code]['close'].pct_change())
results = algo.run(d)
fig = plt.figure()
import zipline
import data
from algorithms import test
import pandas as pd
import matplotlib.pyplot as plt
from analyse import Simulator, BackTester
from strategy import TestStrategy
from model import Market
code = '600000'
start = '2014-01-01'
end = '2014-12-31'
# d = data.get_hist(code, start, end)
d = Market.get_stocks([code])
strategy = TestStrategy()
analyst = BackTester()
sim = Simulator(strategy)
sim.add_analyst('backtest', analyst)
sim.run(d, start, end)
# syms = ["002038.sz"]
# d = zipline.data.load_bars_from_yahoo(stocks=syms, start='2014-01-01', end='2014-12-31',)
# algo = zipline.TradingAlgorithm(initialize=test.initialize,
# handle_data=test.handle_data,
# namespace={},
# capital_base=10e6)
# results = algo.run(d)
