diff --git a/zipline/sources/simulated.py b/zipline/sources/simulated.py index c580184b..8fd65806 100644 --- a/zipline/sources/simulated.py +++ b/zipline/sources/simulated.py @@ -35,7 +35,7 @@ class RandomWalkSource(DataSource): VALID_FREQS = frozenset(('daily', 'minute')) def __init__(self, start_prices=None, freq='minute', start=None, - end=None, calendar=calendar_nyse): + end=None, drift=0.1, sd=0.1, calendar=calendar_nyse): """ :Arguments: start_prices : dict @@ -48,6 +48,10 @@ class RandomWalkSource(DataSource): Start dt to emit events. end : datetime End dt until to which emit events. + drift: float + Constant drift of the price series. + sd: float + Standard deviation of the price series. calendar : calendar object Calendar to use. See zipline.utils for different choices. @@ -84,8 +88,8 @@ class RandomWalkSource(DataSource): else: self.end = end - self.drift = .1 - self.sd = .1 + self.drift = drift + self.sd = sd self.sids = self.start_prices.keys()