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ENH: Add granularity and annualizer arguments to TradingAlgorithm. Accompanying doc string and unittest.

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This commit is contained in:
Thomas Wiecki
2012-12-20 12:49:24 -05:00
parent 7d15cb870f
commit daf29c2d39
2 changed files with 46 additions and 4 deletions
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zipline/algorithm.py
+32 -4
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@@ -65,8 +65,16 @@ class TradingAlgorithm(object):
"""
def __init__(self, *args, **kwargs):
"""
Initialize sids and other state variables.
"""Initialize sids and other state variables.
:Arguments:
granularity : str (daily, hourly or minutely)
The duration of the bars.
annualizer : int <optional>
Which constant to use for annualizing risk metrics.
If not provided, will extract from granularity.
capital_base : float <default: 1.0e5>
How much capital to start with.
"""
self.done = False
self.order = None
@@ -84,16 +92,36 @@ class TradingAlgorithm(object):
self.slippage = VolumeShareSlippage()
self.commission = PerShare()
self.granularity = kwargs.get('granularity', 'daily')
# annualizer is used for e.g. risk calculations
self.annualizer = kwargs.get('annualizer', None)
# set the capital base
self.capital_base = kwargs.get('capital_base', DEFAULT_CAPITAL_BASE)
# an algorithm subclass needs to set initialized to True
# when it is fully initialized.
# an algorithm subclass needs to set initialized to True when
# it is fully initialized.
self.initialized = False
# call to user-defined constructor method
self.initialize(*args, **kwargs)
# set annualizer according to granularity
# this is happening after initialize because granularity
# could be set in there.
if self.annualizer is None:
if self.granularity == 'daily':
self.annualizer = 250
elif self.granularity == 'hourly':
# trading days * hours
self.annualizer = 250 * 6
elif self.granularity == 'minutely':
# trading days * hours * minutes
self.annualizer = 250 * 6 * 60
else:
raise NotImplementedError('{g} is not implemented.\
'.format(g=self.granularity))
def _create_generator(self, environment):
"""
Create a basic generator setup using the sources and