def main():
register_calendar('BITMEX', AlwaysOpenCalendar())
# The following is necessary because zipline's developer hard-coded NYSE
# everywhere in run_algo._run, *DOH*!!!
deregister_calendar('NYSE')
register_calendar_alias('NYSE', 'BITMEX', force=False)
register(
'bitmex',
create_bundle(
[
Pairs.symbol_btc,
#Pairs.symbol_ada,
#Pairs.symbol_bch,
#Pairs.symbol_eos,
#Pairs.symbol_eth,
#Pairs.symbol_ltc,
#Pairs.symbol_trx,
#Pairs.symbol_xrp,
],
pd.Timestamp('2017-11-05 00:00:00', tz='utc'),
pd.Timestamp('2018-12-18 23:59:59', tz='utc'),
),
calendar_name='BITMEX',
minutes_per_day=24*60
)
def main():
register_calendar('CN_FUTURES', CN_FUTURE_CALENDAR(), force=True)
deregister_calendar('NYSE')
register_calendar_alias('NYSE', 'CN_FUTURES', force=True)
register(
'CN_FUTURES',
create_bundle(
['IC', 'IH', 'IF', 'RB'],
pd.Timestamp('2017-09-20 01:31:00', tz='utc'),
pd.Timestamp('2018-10-31 01:31:00', tz='utc'),
),
calendar_name='CN_FUTURES',
minutes_per_day=4 * 60 + 90
)
split = DataFrame(data=tmp.index.tolist(),
columns=['effective_date'])
split['ratio'] = tmp.tolist()
split['sid'] = sid
splits = divs_splits['splits']
index = Index(
range(splits.shape[0], splits.shape[0] + split.shape[0]))
split.set_index(index, inplace=True)
divs_splits['splits'] = splits.append(split)
if 'dividend' in dfr.columns:
# ex_date amount sid record_date declared_date pay_date
tmp = dfr[dfr['dividend'] != 0.0]['dividend']
div = DataFrame(data=tmp.index.tolist(), columns=['ex_date'])
div['record_date'] = NaT
div['declared_date'] = NaT
div['pay_date'] = NaT
div['amount'] = tmp.tolist()
div['sid'] = sid
divs = divs_splits['divs']
ind = Index(range(divs.shape[0], divs.shape[0] + div.shape[0]))
div.set_index(ind, inplace=True)
divs_splits['divs'] = divs.append(div)
yield sid, dfr
register_calendar_alias("CSVDIR", "NYSE")
dividends['record_date'] = pd.NaT
dividends['declared_date'] = pd.NaT
dividends['pay_date'] = pd.NaT
adjustment_writer.write(splits=splits, dividends=dividends)
return ingest
# bundle used when creating test data
register(
'.test',
yahoo_equities(
(
'AMD',
'CERN',
'COST',
'DELL',
'GPS',
'INTC',
'MMM',
'AAPL',
'MSFT',
),
pd.Timestamp('2004-01-02', tz='utc'),
pd.Timestamp('2015-01-01', tz='utc'),
),
)
register_calendar_alias("YAHOO", "NYSE")
@bundles.register('quantopian-quandl', create_writers=False)
def quantopian_quandl_bundle(environ,
asset_db_writer,
minute_bar_writer,
daily_bar_writer,
adjustment_writer,
calendar,
start_session,
end_session,
cache,
show_progress,
output_dir):
if show_progress:
data = download_with_progress(
QUANTOPIAN_QUANDL_URL,
chunk_size=ONE_MEGABYTE,
label="Downloading Bundle: quantopian-quandl",
)
else:
data = download_without_progress(QUANTOPIAN_QUANDL_URL)
with tarfile.open('r', fileobj=data) as tar:
if show_progress:
print("Writing data to %s." % output_dir)
tar.extractall(output_dir)
register_calendar_alias("QUANDL", "NYSE")
dividends['record_date'] = pd.NaT
dividends['declared_date'] = pd.NaT
dividends['pay_date'] = pd.NaT
adjustment_writer.write(splits=splits, dividends=dividends)
return ingest
# bundle used when creating test data
register(
'.test',
yahoo_equities(
(
'AMD',
'CERN',
'COST',
'DELL',
'GPS',
'INTC',
'MMM',
'AAPL',
'MSFT',
),
pd.Timestamp('2004-01-02', tz='utc'),
pd.Timestamp('2015-01-01', tz='utc'),
),
)
register_calendar_alias("YAHOO", "NYSE")
@bundles.register('quantopian-quandl', create_writers=False)
def quantopian_quandl_bundle(environ,
asset_db_writer,
minute_bar_writer,
daily_bar_writer,
adjustment_writer,
calendar,
start_session,
end_session,
cache,
show_progress,
output_dir,
writer="bcolz"):
if show_progress:
data = download_with_progress(
QUANTOPIAN_QUANDL_URL,
chunk_size=ONE_MEGABYTE,
label="Downloading Bundle: quantopian-quandl",
)
else:
data = download_without_progress(QUANTOPIAN_QUANDL_URL)
with tarfile.open('r', fileobj=data) as tar:
if show_progress:
print("Writing data to %s." % output_dir)
tar.extractall(output_dir)
register_calendar_alias("QUANDL", "NYSE")
split = DataFrame(data=tmp.index.tolist(),
columns=['effective_date'])
split['ratio'] = tmp.tolist()
split['sid'] = sid
splits = divs_splits['splits']
index = Index(range(splits.shape[0],
splits.shape[0] + split.shape[0]))
split.set_index(index, inplace=True)
divs_splits['splits'] = splits.append(split)
if 'dividend' in dfr.columns:
# ex_date amount sid record_date declared_date pay_date
tmp = dfr[dfr['dividend'] != 0.0]['dividend']
div = DataFrame(data=tmp.index.tolist(), columns=['ex_date'])
div['record_date'] = NaT
div['declared_date'] = NaT
div['pay_date'] = NaT
div['amount'] = tmp.tolist()
div['sid'] = sid
divs = divs_splits['divs']
ind = Index(range(divs.shape[0], divs.shape[0] + div.shape[0]))
div.set_index(ind, inplace=True)
divs_splits['divs'] = divs.append(div)
yield sid, dfr
register_calendar_alias("CSVDIR", "NYSE")
if 'split_ratio' not in raw_data.columns:
raw_data['split_ratio'] = 1
if 'ex_dividend' not in raw_data.columns:
raw_data['ex_dividend'] = 0
adjustment_writer.write(
splits=parse_splits(
raw_data[['sid', 'date', 'split_ratio',]].loc[raw_data.split_ratio != 1],
show_progress=show_progress
),
dividends=parse_dividends(
raw_data[['sid', 'date', 'ex_dividend',]].loc[raw_data.ex_dividend != 0],
show_progress=show_progress
)
)
register_calendar_alias("YXQUANT", "SHSZ")
###### del
'''
from io import BytesIO
import tarfile
from zipfile import ZipFile
from click import progressbar
from logbook import Logger
import pandas as pd
import requests
from six.moves.urllib.parse import urlencode
from six import iteritems
dividends['pay_date'] = pd.NaT
adjustment_writer.write(splits=splits, dividends=dividends)
'''
adjustment_writer.write()
return ingest
# bundle used when creating test data
register(
'.test',
yahoo_equities(
(
'AMD',
'CERN',
'COST',
'DELL',
'GPS',
'INTC',
'MMM',
'AAPL',
'MSFT',
),
pd.Timestamp('2004-01-02', tz='utc'),
pd.Timestamp('2015-01-01', tz='utc'),
),
)
register_calendar_alias("YAHOO", "SHSZ")
@property
def tz(self):
return timezone('UTC')
@property
def open_time(self):
return time(0, 0)
@property
def close_time(self):
return time(23, 59)
@lazyval
def day(self):
return CustomBusinessDay(weekmask='Mon Tue Wed Thu Fri Sat Sun')
register_calendar('POLONIEX', PoloniexCalendar())
# The following is necessary because zipline's developer hard-coded NYSE
# everywhere in run_algo._run, *DOH*!!!
deregister_calendar('NYSE')
register_calendar_alias('NYSE', 'POLONIEX', force=False)
register('.test_poloniex',
create_bundle(
[Pairs.usdt_eth],
pd.Timestamp('2016-01-01', tz='utc'),
pd.Timestamp('2016-01-31', tz='utc'),
),
calendar_name='POLONIEX',
minutes_per_day=24 * 60)
splits = adj_df[adj_df.action == 'SPLIT']
splits = splits.rename(
columns={'value': 'ratio', 'date': 'effective_date'},
)
splits.drop('action', axis=1, inplace=True)
dividends = adj_df[adj_df.action == 'DIVIDEND']
dividends = dividends.rename(
columns={'value': 'amount', 'date': 'ex_date'},
)
dividends.drop('action', axis=1, inplace=True)
# we do not have this data in the yahoo dataset
dividends['record_date'] = pd.NaT
dividends['declared_date'] = pd.NaT
dividends['pay_date'] = pd.NaT
adjustment_writer.write(splits=splits, dividends=dividends)
return ingest
# bundle used when creating test data
register(
'hs300',
hs300_equities(
),
"SH"
)
#
register_calendar_alias("hs300", "SH")
