def _create_generator(self, environment): """ Create a basic generator setup using the sources and transforms attached to this algorithm. """ self.date_sorted = date_sorted_sources(*self.sources) self.with_tnfms = sequential_transforms(self.date_sorted, *self.transforms) self.trading_client = tsc(self, environment) transact_method = transact_partial(self.slippage, self.commission) self.set_transact(transact_method) return self.trading_client.simulate(self.with_tnfms)
def _create_generator(self, environment): """ Create a basic generator setup using the sources and transforms attached to this algorithm. """ self.date_sorted = date_sorted_sources(*self.sources) self.with_tnfms = sequential_transforms(self.date_sorted, *self.transforms) # Group together events with the same dt field. This depends on the # events already being sorted. self.grouped_by_date = groupby(self.with_tnfms, attrgetter('dt')) self.trading_client = tsc(self, environment) transact_method = transact_partial(self.slippage, self.commission) self.set_transact(transact_method) return self.trading_client.simulate(self.grouped_by_date)
def _create_generator(self, sim_params, source_filter=None): """ Create a basic generator setup using the sources and transforms attached to this algorithm. ::source_filter:: is a method that receives events in date sorted order, and returns True for those events that should be processed by the zipline, and False for those that should be skipped. """ self.data_gen = self._create_data_generator(source_filter) self.trading_client = tsc(self, sim_params) transact_method = transact_partial(self.slippage, self.commission) self.set_transact(transact_method) return self.trading_client.simulate(self.data_gen)