ENH: Implemented new Zipline interface. Implemented Algorithm base class. Implemented example algorithm. Implemented example.py code.

zipline/optimize/algorithms.py

@@ -1,3 +1,6 @@
+from zipline.gens.mavg import MovingAverage
+from datetime import datetime, timedelta
+
 class BuySellAlgorithm(object):
     """Algorithm that buys and sells alternatingly. The amount for
     each order can be specified. In addition, an offset that will
@@ -46,3 +49,57 @@ class BuySellAlgorithm(object):
 
     def get_sid_filter(self):
         return [self.sid]
+
+# Algorithm base class, user algorithms inherit from this as they
+# don't want to have to copy and know about set_order and
+# set_portfolio
+class Algorithm(object):
+    def set_order(self, order_callable):
+        self.order = order_callable
+
+    def get_sid_filter(self):
+        return [self.sid]
+
+    def set_logger(self, logger):
+        self.logger = logger
+
+    def initialize(self):
+        pass
+
+    def add_transform(self, transform_class, tag, *args, **kwargs):
+        if not hasattr(self, 'registered_transforms'):
+            self.registered_transforms = {}
+
+        self.registered_transforms[tag] = {'class': transform_class,
+                                           'args': args,
+                                           'kwargs': kwargs}
+
+
+# Inherits from Algorithm base class
+class DMA(Algorithm):
+    """Dual Moving Average algorithm.
+    """
+
+    def __init__(self, sid, amount, short_window=20, long_window=40):
+        self.sid = sid
+        self.amount = amount
+        self.done = False
+        self.order = None
+        self.frame_count = 0
+        self.portfolio = None
+        self.orders = []
+        self.market_entered = False
+        self.prices = []
+        self.events = 0
+        self.add_transform(MovingAverage, 'short_mavg', ['price'], market_aware=False, delta=timedelta(days=short_window))
+        self.add_transform(MovingAverage, 'long_mavg', ['price'], market_aware=False, delta=timedelta(days=long_window))
+
+    def handle_data(self, data):
+        self.events += 1
+        # access transforms via their user-defined tag
+        if (data[self.sid].short_mavg > data[self.sid].long_mavg) and not self.market_entered:
+            self.order(self.sid, 100)
+            self.market_entered = True
+        elif (data[self.sid].short_mavg < data[self.sid].long_mavg) and self.market_entered:
+            self.order(self.sid, -100)
+            self.market_entered = False