Merge pull request #22 from quantopian/integration

Integration

zipline/finance/risk.py

@@ -128,6 +128,8 @@ class RiskMetrics():
             'benchmark_volatility'  : self.benchmark_volatility,
             'algo_volatility'       : self.algorithm_volatility,
             'treasury_period_return': self.treasury_period_return,
+            'algorithm_period_return' : self.algorithm_period_returns,
+            'benchmark_period_return' : self.benchmark_period_returns,
             'sharpe'                : self.sharpe,
             'beta'                  : self.beta,
             'alpha'                 : self.alpha,

zipline/lines.py

@@ -173,6 +173,7 @@ class SimulatedTrading(object):
         
         
         self.trading_client.set_algorithm(self.algorithm)
+
     
     @staticmethod
     def create_test_zipline(**config):
@@ -191,6 +192,10 @@ class SimulatedTrading(object):
               :py:class:`zipline.simulator.Simulator`   
             - algorithm - optional parameter providing an algorithm. defaults
               to :py:class:`zipline.test.algorithms.TestAlgorithm`
+            - random - optional parameter to request random trades. if present
+              :py:class:`zipline.sources.RandomEquityTrades` is the source. If
+              not :py:class:`ziplien.sources.SpecificEquityTrades` is the 
+              source
         """
         assert isinstance(config, dict)
         
@@ -225,11 +230,18 @@ class SimulatedTrading(object):
         #-------------------
         sids = [sid]
         #-------------------
-        trade_source = factory.create_daily_trade_source(
-            sids,
-            trade_count,
-            trading_environment
-        )
+        if config.has_key('random'):
+            trade_source = factory.create_random_trade_source(
+                sids,
+                trade_count,
+                trading_environment
+            )
+        else:
+            trade_source = factory.create_daily_trade_source(
+                sids,
+                trade_count,
+                trading_environment
+            )
         #-------------------
         # Create the Algo
         #-------------------
@@ -287,6 +299,9 @@ class SimulatedTrading(object):
     
     def get_cumulative_performance(self):
         return self.trading_client.perf.cumulative_performance.to_dict()
+        
+    def publish_to(self, result_socket):
+        self.trading_client.perf.publish_to(result_socket)
     
     def allocate_sockets(self, n):
         """

zipline/test/factory.py

@@ -9,7 +9,7 @@ from datetime import datetime, timedelta
 import zipline.util as qutil
 import zipline.finance.risk as risk
 import zipline.protocol as zp
-from zipline.sources import SpecificEquityTrades
+from zipline.sources import SpecificEquityTrades, RandomEquityTrades
 from zipline.finance.trading import TradingEnvironment
 
 def load_market_data():
@@ -152,6 +152,19 @@ def create_returns_from_list(returns, start, trading_calendar):
         
     return test_range
 
+def create_random_trade_source(sid, trade_count, trading_environment):
+    # create the source
+    source = RandomEquityTrades(sid, "rand-"+str(sid), trade_count)
+    
+    # make the period_end of trading_environment match
+    cur = trading_environment.period_start
+    one_day = timedelta(days = 1)
+    for i in range(trade_count + 2):
+       cur = get_next_trading_dt(cur, one_day, trading_environment)
+    trading_environment.period_end = cur
+    
+    return source
+    
 def create_daily_trade_source(sids, trade_count, trading_environment):
     """
     creates trade_count trades for each sid in sids list.