tsc work

zipline/gens/examples.py

@@ -3,9 +3,13 @@ from datetime import datetime, timedelta
 from zipline.utils.factory import create_trading_environment
 from zipline.test_algorithms import TestAlgorithm
 
-from zipline.gens.composites import SourceBundle, TransformBundle, date_sorted_sources, merged_transforms
+from zipline.gens.composites import SourceBundle, TransformBundle, \
+    date_sorted_sources, merged_transforms
 from zipline.gens.tradegens import SpecificEquityTrades
 from zipline.gens.transform import MovingAverage, Passthrough
+from zipline.gens.tradesimulation import trade_simulation_client as tsc
+
+import zipline.protocol as zp
 
 if __name__ == "__main__":
     
@@ -45,13 +49,20 @@ if __name__ == "__main__":
     sort_out = date_sorted_sources(source_bundles)     
 
     passthrough = TransformBundle(Passthrough, (), {})
-    mavg_price = TransformBundle(MovingAverage, (timedelta(minutes = 20), ['price', 'volume']), {})
+    mavg_price = TransformBundle(MovingAverage, (timedelta(minutes = 20), ['price']), {})
     tnfm_bundles = (passthrough, mavg_price)
 
     merge_out = merged_transforms(sort_out, tnfm_bundles)
 
-    for message in merge_out:
-        print "Event: \n", message.event
-        print "Transforms: \n", message.tnfms
-        
+# for message in merge_out:
+#      print "Event: \n", message.event
+#      print "Transforms: \n", message.tnfms
     
+    algo = TestAlgorithm(2, 100, 100)
+    environment = create_trading_environment()
+    style = zp.SIMULATION_STYLE.PARTIAL_VOLUME
+
+    client_out = tsc(merge_out, algo, environment, style)
+    
+    for message in client_out:
+        print message

zipline/gens/tradesimulation.py

@@ -1,6 +1,10 @@
+import logbook
+
 from numbers import Integral
 
-from zipline.gens import stateful_transform
+from zipline import ndict
+
+from zipline.gens.transform import stateful_transform
 from zipline.finance.trading import TransactionSimulator
 from zipline.finance.performance import PerformanceTracker
 
@@ -44,20 +48,22 @@ def trade_simulation_client(stream_in, algo, environment, sim_style):
 
     # Initialize txn_sim's dictionary of orders here so that we can
     # reference it from within the user's algorithm.
+    
+    import nose.tools; nose.tools.set_trace()
     sids = algo.get_sid_filter()
     open_orders = {}
 
     for sid in sids:
-        open_orders[sids] = []
+        open_orders[sid] = []
 
     # Closure to pass into the user's algo to allow placing orders
     # into the txn_sim's dict of open orders.
     def order(self, sid, amount):
         assert sid in sids, "Order on invalid sid: %i" % sid
-        order = zp.ndict({
+        order = ndict({
             'dt'     : self.current_dt,
             'sid'    : sid,
-            'amount' : int(amount)
+            'amount' : int(amount),
             'filled' : 0
         })
 
@@ -75,7 +81,7 @@ def trade_simulation_client(stream_in, algo, environment, sim_style):
     algo.set_order(order)
 
     # Provide a logbook logging interface to user code.
-    algo.set_logger(Logger("Algolog"))
+    algo.set_logger(logbook.Logger("Algolog"))
 
     # Call user-defined initialize method before we process any
     # events.