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ENH: Implement CLI.
Add a CLI that reads in an algorithm, loads data, run the algorithm, and output performance metrics. The examples are adapted to the new zipline API and analyses are split into separate files. Also add config files that run the example algorithms with preset settings.
This commit is contained in:
twiecki
Regular → Executable
+20
-169
@@ -1,174 +1,25 @@
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import argparse
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import os
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#!/usr/bin/env python
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#
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# Copyright 2014 Quantopian, Inc.
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#
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# Licensed under the Apache License, Version 2.0 (the "License");
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# you may not use this file except in compliance with the License.
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# You may obtain a copy of the License at
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#
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# http://www.apache.org/licenses/LICENSE-2.0
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#
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# Unless required by applicable law or agreed to in writing, software
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# distributed under the License is distributed on an "AS IS" BASIS,
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# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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# See the License for the specific language governing permissions and
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# limitations under the License.
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import sys
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sys.path.append('qexec')
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import pandas as pd
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import cProfile
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from line_profiler import LineProfiler
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import datetime
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from functools import partial
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from mem_util import get_memusage_mb
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def profile_qexec(algo_text, results_file_name, start_date, end_date,
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capital_base, granularity, profiler_type=None,
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names_to_profile=None,
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live_algo=False,
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session_start_date=None,
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inception_date=None,
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data_delay=None):
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# Import inside profile function, so that modules that take a while
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# to import, e.g. tradingcalendar, don't trigger when there are
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# invalid parameters, which should be a quick fail.
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# TODO: Fix load time of tradingcalendar.
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from algo_profile import run_algo
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from qexec.algo.validation import unittest
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results, ok = unittest(algo_text, granularity)
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if not ok:
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for res in results:
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if not res['passed']:
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print res._data
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sys.exit('Did not pass validation.')
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algo_runner = partial(
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run_algo,
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algo_text,
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start_date,
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end_date,
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capital_base,
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granularity,
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session_start=session_start_date,
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inception_date=inception_date,
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data_delay=data_delay,
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live_algo=live_algo
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)
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if profiler_type == 'cProfile':
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results_dir = os.path.join('results', 'cprofile')
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if not os.path.exists(results_dir):
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os.makedirs(results_dir)
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results_file = os.path.join(results_dir, results_file_name)
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cProfile.runctx('algo_runner()',
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globals(),
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locals(),
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results_file)
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print ("Wrote results to: {0}".format(results_file))
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elif profiler_type == 'line_profiler':
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results_dir = os.path.join('results', 'line_profiler')
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if not os.path.exists(results_dir):
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os.makedirs(results_dir)
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results_file = os.path.join(results_dir, results_file_name)
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profiler = LineProfiler()
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for name_to_profile in names_to_profile:
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name_parts = name_to_profile.split('.')
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obj = __import__(name_parts[0])
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for name in name_parts[1:]:
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obj = getattr(obj, name)
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profiler.add_function(obj)
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profiler.runctx('algo_runner()',
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globals(),
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locals())
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with open(results_file, 'w') as f:
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profiler.print_stats(stream=f)
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print ("Wrote results to: {0}".format(results_file))
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elif not profiler_type:
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algo_runner()
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def create_parser():
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parser = argparse.ArgumentParser()
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parser.add_argument('--algofile', '-f', type=argparse.FileType('r'),
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required=True)
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parser.add_argument('--data-frequency', default='minute',
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choices=('minute', 'daily'))
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parser.add_argument('--start-date', default='2012-01-01')
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parser.add_argument('--end-date', default='2012-12-31')
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parser.add_argument('--start-epoch', type=int)
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parser.add_argument('--end-epoch', type=int)
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parser.add_argument('--capital-base', default='10e6')
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parser.add_argument('--live-algo', action='store_true', default=False)
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parser.add_argument('--session-start-date', default='2014-01-03')
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parser.add_argument('--inception-date', default='2013-12-03')
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parser.add_argument('--data-delay', type=int, default=15 * 60)
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parser.add_argument('--is-inception', action='store_true', default=False)
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parser.add_argument('--profiler-type', choices=('cProfile',
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'line_profiler')),
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parser.add_argument(
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'--name-to-profile',
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action='append',
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default=[
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# Good proxy for overall performance/main gen
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'zipline.gens.tradesimulation.AlgorithmSimulator.transform',
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# Proxy for network time, will eventually have to change if
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# we change data access style.
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'pymongo.cursor.Cursor.next'
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])
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return parser
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import zipline
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from zipline.utils import parse_args, run_algo
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if __name__ == "__main__":
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parser = create_parser()
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args = parser.parse_args()
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start_date = pd.Timestamp(args.start_date, tz='UTC')
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end_date = pd.Timestamp(args.end_date, tz='UTC')
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if args.start_epoch:
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start_date = pd.Timestamp(args.start_epoch, tz='UTC')
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if args.end_epoch:
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end_date = pd.Timestamp(args.end_epoch, tz='UTC')
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algo_text = args.algofile.read()
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# Remove the extension
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algo_name_base = os.path.splitext(args.algofile.name)[0]
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algo_name = os.path.basename(algo_name_base)
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results_file_name = \
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'qexec-prof-{algo_name}-{commitish}-{granularity}-{time}'.format(
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algo_name=algo_name.replace('.', '_'),
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commitish='local',
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granularity=args.data_frequency,
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time=str(datetime.datetime.now()).replace(' ', '-').
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replace(':', '-'))
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if args.live_algo:
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session_start_date = pd.Timestamp(args.session_start_date, tz='UTC')
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inception_date = pd.Timestamp(args.inception_date, tz='UTC')
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else:
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session_start_date = None
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inception_date = None
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profile_qexec(
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algo_text,
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results_file_name,
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start_date,
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end_date,
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float(args.capital_base),
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args.data_frequency,
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args.profiler_type,
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args.name_to_profile,
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live_algo=args.live_algo,
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session_start_date=session_start_date,
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inception_date=inception_date,
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data_delay=args.data_delay
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)
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import objgraph
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print 'finished running algo, now doing memory inspection'
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maxrss_in_mb = get_memusage_mb()
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print "Max memory consumption={maxrss_in_mb}MB".format(
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maxrss_in_mb=maxrss_in_mb)
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print objgraph.show_growth(limit=20)
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print objgraph.show_most_common_types(limit=35)
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parsed = parse_args(sys.argv[1:])
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run_algo(print_algo=True, **parsed)
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sys.exit(0)
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