ENH: Rewrite of Zipline to use lazy access pattern

More documentation to follow in release notes.

Based on lazy-mainline branch, see for more details.

Also-By: Jean Bredeche <jean@quantopian.com>
Also-By: Andrew Liang <aliang@quantopian.com>
Also-By: Abhijeet Kalyan <akalyan@quantopian.com>

scripts/generate_new_sample_saved_state.py

@@ -1,143 +0,0 @@
-#
-# Copyright 2015 Quantopian, Inc.
-#
-# Licensed under the Apache License, Version 2.0 (the "License");
-# you may not use this file except in compliance with the License.
-# You may obtain a copy of the License at
-#
-#     http://www.apache.org/licenses/LICENSE-2.0
-#
-# Unless required by applicable law or agreed to in writing, software
-# distributed under the License is distributed on an "AS IS" BASIS,
-# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
-# See the License for the specific language governing permissions and
-# limitations under the License.
-
-import datetime
-import logbook
-import os
-import pickle
-import pytz
-
-import sys
-sys.path.insert(0, '.')  # noqa
-
-from zipline.finance.blotter import Blotter, Order
-from zipline.finance.commission import PerShare, PerTrade, PerDollar
-from zipline.finance.performance.period import PerformancePeriod
-from zipline.finance.performance.position import Position
-from zipline.finance.performance.position_tracker import PositionTracker
-from zipline.finance.performance.tracker import PerformanceTracker
-from zipline.finance.risk.cumulative import RiskMetricsCumulative
-from zipline.finance.risk.period import RiskMetricsPeriod
-from zipline.finance.risk.report import RiskReport
-from zipline.finance.slippage import (
-    FixedSlippage,
-    Transaction,
-    VolumeShareSlippage
-)
-from zipline.protocol import Account
-from zipline.protocol import Portfolio
-from zipline.protocol import Position as ProtocolPosition
-
-
-from zipline.finance.trading import SimulationParameters
-
-from zipline.utils import factory
-from zipline.utils.serialization_utils import VERSION_LABEL
-
-base_state_dir = 'tests/resources/saved_state_archive'
-if not os.path.exists(base_state_dir):
-    os.makedirs(base_state_dir)
-
-
-sim_params_daily = SimulationParameters(
-    datetime.datetime(2013, 6, 19, tzinfo=pytz.UTC),
-    datetime.datetime(2013, 6, 19, tzinfo=pytz.UTC),
-    10000,
-    emission_rate='daily')
-
-
-sim_params_minute = SimulationParameters(
-    datetime.datetime(2013, 6, 19, tzinfo=pytz.UTC),
-    datetime.datetime(2013, 6, 19, tzinfo=pytz.UTC),
-    10000,
-    emission_rate='minute')
-
-
-returns = factory.create_returns_from_list(
-    [1.0], sim_params_daily)
-
-
-argument_list = [
-    (Blotter, ()),
-    (Order, (datetime.datetime(2013, 6, 19), 8554, 100)),
-    (PerShare, ()),
-    (PerTrade, ()),
-    (PerDollar, ()),
-    (PerformancePeriod, (10000,)),
-    (Position, (8554,)),
-    (PositionTracker, ()),
-    (PerformanceTracker, (sim_params_minute,)),
-    (RiskMetricsCumulative, (sim_params_minute,)),
-    (RiskMetricsPeriod, (returns.index[0], returns.index[0], returns)),
-    (RiskReport, (returns, sim_params_minute)),
-    (FixedSlippage, ()),
-    (Transaction, (8554, 10, datetime.datetime(2013, 6, 19), 100, "0000")),
-    (VolumeShareSlippage, ()),
-    (Account, ()),
-    (Portfolio, ()),
-    (ProtocolPosition, (8554,))
-]
-
-
-def write_state_to_disk(cls, state, emission_rate=None):
-    state_dir = cls.__module__ + '.' + cls.__name__
-
-    full_dir = base_state_dir + '/' + state_dir
-
-    if not os.path.exists(full_dir):
-        os.makedirs(full_dir)
-
-    if emission_rate is not None:
-        name = 'State_Version_' + emission_rate + \
-            str(state['obj_state'][VERSION_LABEL])
-    else:
-        name = 'State_Version_' + str(state['obj_state'][VERSION_LABEL])
-
-    full_path = full_dir + '/' + name
-
-    f = open(full_path, 'w')
-
-    pickle.dump(state, f)
-
-    f.close()
-
-
-def generate_object_state(cls, initargs):
-
-    obj = cls(*initargs)
-    state = obj.__getstate__()
-    if hasattr(obj, '__getinitargs__'):
-        initargs = obj.__getinitargs__()
-    else:
-        initargs = None
-    if hasattr(obj, '__getnewargs__'):
-        newargs = obj.__getnewargs__()
-    else:
-        newargs = None
-
-    on_disk_state = {
-        'obj_state': state,
-        'initargs': initargs,
-        'newargs': newargs
-    }
-
-    write_state_to_disk(cls, on_disk_state)
-
-
-if __name__ == "__main__":
-    logbook.StderrHandler().push_application()
-
-    for args in argument_list:
-        generate_object_state(*args)