mirror of
https://github.com/wassname/catalyst.git
synced 2026-09-09 11:19:23 +08:00
MAINT: Removes the ability to reference a global TradingEnvironment
This commit removes the ability to reference a shared TradingEnvironment through the zipline.finance.trading module. In place, the classes that require a TradingEnvironment, or its child AssetFinder, contain their own references to those objects. This commit also adds serialization utilities that allow for the pickling/unpickling of objects without unintentionally their TradingEnvironments or AssetFinders.
This commit is contained in:
jfkirk
+82
-64
@@ -6,8 +6,7 @@ from unittest import TestCase
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from zipline.algorithm import TradingAlgorithm
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from zipline.errors import TradingControlViolation
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from zipline.sources import SpecificEquityTrades
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from zipline.finance import trading
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from zipline.finance.trading import with_environment
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from zipline.finance.trading import TradingEnvironment
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from zipline.utils.test_utils import (
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setup_logger, teardown_logger, security_list_copy, add_security_data,)
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from zipline.utils import factory
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@@ -19,7 +18,7 @@ LEVERAGED_ETFS = load_from_directory('leveraged_etf_list')
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class RestrictedAlgoWithCheck(TradingAlgorithm):
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def initialize(self, symbol):
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self.rl = SecurityListSet(self.get_datetime)
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self.rl = SecurityListSet(self.get_datetime, self.asset_finder)
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self.set_do_not_order_list(self.rl.leveraged_etf_list)
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self.order_count = 0
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self.sid = self.symbol(symbol)
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@@ -34,7 +33,7 @@ class RestrictedAlgoWithCheck(TradingAlgorithm):
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class RestrictedAlgoWithoutCheck(TradingAlgorithm):
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def initialize(self, symbol):
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self.rl = SecurityListSet(self.get_datetime)
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self.rl = SecurityListSet(self.get_datetime, self.asset_finder)
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self.set_do_not_order_list(self.rl.leveraged_etf_list)
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self.order_count = 0
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self.sid = self.symbol(symbol)
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@@ -46,7 +45,7 @@ class RestrictedAlgoWithoutCheck(TradingAlgorithm):
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class IterateRLAlgo(TradingAlgorithm):
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def initialize(self, symbol):
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self.rl = SecurityListSet(self.get_datetime)
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self.rl = SecurityListSet(self.get_datetime, self.asset_finder)
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self.set_do_not_order_list(self.rl.leveraged_etf_list)
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self.order_count = 0
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self.sid = self.symbol(symbol)
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@@ -60,6 +59,12 @@ class IterateRLAlgo(TradingAlgorithm):
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class SecurityListTestCase(TestCase):
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@classmethod
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def setUpClass(cls):
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cls.env = TradingEnvironment()
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cls.env.write_data(equities_identifiers=['AAPL', 'GOOG', 'BZQ',
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'URTY', 'JFT'])
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def setUp(self, env=None):
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self.extra_knowledge_date = \
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@@ -69,43 +74,38 @@ class SecurityListTestCase(TestCase):
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setup_logger(self)
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trading.environment = trading.TradingEnvironment()
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def tearDown(self):
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teardown_logger(self)
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def test_iterate_over_rl(self):
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sim_params = factory.create_simulation_parameters(
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start=list(LEVERAGED_ETFS.keys())[0], num_days=4)
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trading.environment.write_data(equities_identifiers=['BZQ'])
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start=list(LEVERAGED_ETFS.keys())[0], num_days=4, env=self.env)
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trade_history = factory.create_trade_history(
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'BZQ',
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[10.0, 10.0, 11.0, 11.0],
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[100, 100, 100, 300],
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timedelta(days=1),
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sim_params
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sim_params,
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env=self.env
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)
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self.source = SpecificEquityTrades(event_list=trade_history)
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algo = IterateRLAlgo(symbol='BZQ', sim_params=sim_params)
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self.source = SpecificEquityTrades(event_list=trade_history,
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env=self.env)
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algo = IterateRLAlgo(symbol='BZQ', sim_params=sim_params, env=self.env)
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algo.run(self.source)
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self.assertTrue(algo.found)
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@with_environment()
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def test_security_list(self, env=None):
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def test_security_list(self):
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# set the knowledge date to the first day of the
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# leveraged etf knowledge date.
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def get_datetime():
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return list(LEVERAGED_ETFS.keys())[0]
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env.write_data(equities_identifiers=['AAPL', 'GOOG', 'BZQ',
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'URTY', 'JFT'])
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rl = SecurityListSet(get_datetime)
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rl = SecurityListSet(get_datetime, self.env.asset_finder)
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# assert that a sample from the leveraged list are in restricted
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should_exist = [
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asset.sid for asset in
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[env.asset_finder.lookup_symbol(
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[self.env.asset_finder.lookup_symbol(
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symbol,
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as_of_date=self.extra_knowledge_date)
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for symbol in ["BZQ", "URTY", "JFT"]]
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@@ -116,7 +116,7 @@ class SecurityListTestCase(TestCase):
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# assert that a sample of allowed stocks are not in restricted
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shouldnt_exist = [
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asset.sid for asset in
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[env.asset_finder.lookup_symbol(
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[self.env.asset_finder.lookup_symbol(
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symbol,
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as_of_date=self.extra_knowledge_date)
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for symbol in ["AAPL", "GOOG"]]
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@@ -124,18 +124,15 @@ class SecurityListTestCase(TestCase):
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for sid in shouldnt_exist:
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self.assertNotIn(sid, rl.leveraged_etf_list)
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@with_environment()
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def test_security_add(self, env=None):
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def test_security_add(self):
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def get_datetime():
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return datetime(2015, 1, 27, tzinfo=pytz.utc)
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with security_list_copy():
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add_security_data(['AAPL', 'GOOG'], [])
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env.write_data(equities_identifiers=['AAPL', 'GOOG',
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'BZQ', 'URTY'])
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rl = SecurityListSet(get_datetime)
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rl = SecurityListSet(get_datetime, self.env.asset_finder)
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should_exist = [
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asset.sid for asset in
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[env.asset_finder.lookup_symbol(
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[self.env.asset_finder.lookup_symbol(
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symbol,
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as_of_date=self.extra_knowledge_date
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) for symbol in ["AAPL", "GOOG", "BZQ", "URTY"]]
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@@ -147,57 +144,67 @@ class SecurityListTestCase(TestCase):
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with security_list_copy():
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def get_datetime():
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return datetime(2015, 1, 27, tzinfo=pytz.utc)
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trading.environment.write_data(equities_identifiers=['BZQ',
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'URTY'])
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rl = SecurityListSet(get_datetime)
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rl = SecurityListSet(get_datetime, self.env.asset_finder)
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self.assertNotIn("BZQ", rl.leveraged_etf_list)
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self.assertNotIn("URTY", rl.leveraged_etf_list)
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def test_algo_without_rl_violation_via_check(self):
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sim_params = factory.create_simulation_parameters(
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start=list(LEVERAGED_ETFS.keys())[0], num_days=4)
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trading.environment.write_data(equities_identifiers=['BZQ'])
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start=list(LEVERAGED_ETFS.keys())[0], num_days=4,
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env=self.env)
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trade_history = factory.create_trade_history(
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'BZQ',
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[10.0, 10.0, 11.0, 11.0],
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[100, 100, 100, 300],
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timedelta(days=1),
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sim_params
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sim_params,
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env=self.env
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)
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self.source = SpecificEquityTrades(event_list=trade_history)
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self.source = SpecificEquityTrades(event_list=trade_history,
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env=self.env)
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algo = RestrictedAlgoWithCheck(symbol='BZQ', sim_params=sim_params)
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algo = RestrictedAlgoWithCheck(symbol='BZQ',
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sim_params=sim_params,
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env=self.env)
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algo.run(self.source)
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def test_algo_without_rl_violation(self):
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sim_params = factory.create_simulation_parameters(
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start=list(LEVERAGED_ETFS.keys())[0], num_days=4)
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trading.environment.write_data(equities_identifiers=['AAPL'])
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start=list(LEVERAGED_ETFS.keys())[0], num_days=4,
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env=self.env)
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trade_history = factory.create_trade_history(
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'AAPL',
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[10.0, 10.0, 11.0, 11.0],
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[100, 100, 100, 300],
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timedelta(days=1),
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sim_params
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sim_params,
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env=self.env
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)
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self.source = SpecificEquityTrades(event_list=trade_history)
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algo = RestrictedAlgoWithoutCheck(symbol='AAPL', sim_params=sim_params)
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self.source = SpecificEquityTrades(event_list=trade_history,
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env=self.env)
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algo = RestrictedAlgoWithoutCheck(symbol='AAPL',
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sim_params=sim_params,
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env=self.env)
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algo.run(self.source)
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def test_algo_with_rl_violation(self):
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sim_params = factory.create_simulation_parameters(
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start=list(LEVERAGED_ETFS.keys())[0], num_days=4)
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trading.environment.write_data(equities_identifiers=['BZQ', 'JFT'])
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start=list(LEVERAGED_ETFS.keys())[0], num_days=4,
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env=self.env)
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trade_history = factory.create_trade_history(
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'BZQ',
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[10.0, 10.0, 11.0, 11.0],
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[100, 100, 100, 300],
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timedelta(days=1),
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sim_params
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sim_params,
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env=self.env
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)
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self.source = SpecificEquityTrades(event_list=trade_history)
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self.source = SpecificEquityTrades(event_list=trade_history,
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env=self.env)
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algo = RestrictedAlgoWithoutCheck(symbol='BZQ', sim_params=sim_params)
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algo = RestrictedAlgoWithoutCheck(symbol='BZQ',
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sim_params=sim_params,
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env=self.env)
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with self.assertRaises(TradingControlViolation) as ctx:
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algo.run(self.source)
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@@ -209,11 +216,15 @@ class SecurityListTestCase(TestCase):
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[10.0, 10.0, 11.0, 11.0],
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[100, 100, 100, 300],
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timedelta(days=1),
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sim_params
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sim_params,
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env=self.env
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)
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self.source = SpecificEquityTrades(event_list=trade_history)
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self.source = SpecificEquityTrades(event_list=trade_history,
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env=self.env)
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algo = RestrictedAlgoWithoutCheck(symbol='JFT', sim_params=sim_params)
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algo = RestrictedAlgoWithoutCheck(symbol='JFT',
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sim_params=sim_params,
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env=self.env)
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with self.assertRaises(TradingControlViolation) as ctx:
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algo.run(self.source)
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@@ -222,17 +233,21 @@ class SecurityListTestCase(TestCase):
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def test_algo_with_rl_violation_after_knowledge_date(self):
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sim_params = factory.create_simulation_parameters(
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start=list(
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LEVERAGED_ETFS.keys())[0] + timedelta(days=7), num_days=5)
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trading.environment.write_data(equities_identifiers=['BZQ'])
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LEVERAGED_ETFS.keys())[0] + timedelta(days=7), num_days=5,
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env=self.env)
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trade_history = factory.create_trade_history(
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'BZQ',
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[10.0, 10.0, 11.0, 11.0],
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[100, 100, 100, 300],
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timedelta(days=1),
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sim_params
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sim_params,
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env=self.env
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)
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self.source = SpecificEquityTrades(event_list=trade_history)
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algo = RestrictedAlgoWithoutCheck(symbol='BZQ', sim_params=sim_params)
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self.source = SpecificEquityTrades(event_list=trade_history,
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env=self.env)
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algo = RestrictedAlgoWithoutCheck(symbol='BZQ',
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sim_params=sim_params,
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env=self.env)
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with self.assertRaises(TradingControlViolation) as ctx:
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algo.run(self.source)
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@@ -255,12 +270,13 @@ class SecurityListTestCase(TestCase):
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[10.0, 10.0, 11.0, 11.0],
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[100, 100, 100, 300],
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timedelta(days=1),
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sim_params
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sim_params,
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env=self.env,
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)
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trading.environment.write_data(equities_identifiers=['BZQ'])
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self.source = SpecificEquityTrades(event_list=trade_history)
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self.source = SpecificEquityTrades(event_list=trade_history,
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env=self.env)
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algo = RestrictedAlgoWithoutCheck(
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symbol='BZQ', sim_params=sim_params)
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symbol='BZQ', sim_params=sim_params, env=self.env)
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with self.assertRaises(TradingControlViolation) as ctx:
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algo.run(self.source)
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@@ -273,18 +289,19 @@ class SecurityListTestCase(TestCase):
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add_security_data([], ['BZQ'])
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sim_params = factory.create_simulation_parameters(
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start=self.extra_knowledge_date, num_days=3)
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trading.environment.write_data(equities_identifiers=['BZQ'])
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trade_history = factory.create_trade_history(
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'BZQ',
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[10.0, 10.0, 11.0, 11.0],
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[100, 100, 100, 300],
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timedelta(days=1),
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sim_params
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sim_params,
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env=self.env,
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)
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self.source = SpecificEquityTrades(event_list=trade_history)
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self.source = SpecificEquityTrades(event_list=trade_history,
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env=self.env)
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algo = RestrictedAlgoWithoutCheck(
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symbol='BZQ', sim_params=sim_params
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symbol='BZQ', sim_params=sim_params, env=self.env
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)
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algo.run(self.source)
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@@ -293,17 +310,18 @@ class SecurityListTestCase(TestCase):
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add_security_data(['AAPL'], [])
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sim_params = factory.create_simulation_parameters(
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start=self.trading_day_before_first_kd, num_days=4)
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trading.environment.write_data(equities_identifiers=['AAPL'])
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trade_history = factory.create_trade_history(
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'AAPL',
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[10.0, 10.0, 11.0, 11.0],
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[100, 100, 100, 300],
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timedelta(days=1),
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sim_params
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sim_params,
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env=self.env
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)
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self.source = SpecificEquityTrades(event_list=trade_history)
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self.source = SpecificEquityTrades(event_list=trade_history,
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env=self.env)
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algo = RestrictedAlgoWithoutCheck(
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symbol='AAPL', sim_params=sim_params)
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symbol='AAPL', sim_params=sim_params, env=self.env)
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with self.assertRaises(TradingControlViolation) as ctx:
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algo.run(self.source)
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