import zipline.utils.factory as factory from zipline.test_algorithms import TestAlgorithm def create_test_zipline(**config): """ :param config: A configuration object that is a dict with: - sid - an integer, which will be used as the security ID. - order_count - the number of orders the test algo will place, defaults to 100 - order_amount - the number of shares per order, defaults to 100 - trade_count - the number of trades to simulate, defaults to 101 to ensure all orders are processed. - algorithm - optional parameter providing an algorithm. defaults to :py:class:`zipline.test.algorithms.TestAlgorithm` - trade_source - optional parameter to specify trades, if present. If not present :py:class:`zipline.sources.SpecificEquityTrades` is the source, with daily frequency in trades. - slippage: optional parameter that configures the :py:class:`zipline.gens.tradingsimulation.TransactionSimulator`. Expects an object with a simulate mehod, such as :py:class:`zipline.gens.tradingsimulation.FixedSlippage`. :py:mod:`zipline.finance.trading` - transforms: optional parameter that provides a list of StatefulTransform objects. """ assert isinstance(config, dict) sid_list = config.get('sid_list') if not sid_list: sid = config.get('sid') sid_list = [sid] concurrent_trades = config.get('concurrent_trades', False) if 'order_count' in config: order_count = config['order_count'] else: order_count = 100 if 'order_amount' in config: order_amount = config['order_amount'] else: order_amount = 100 if 'trade_count' in config: trade_count = config['trade_count'] else: # to ensure all orders are filled, we provide one more # trade than order trade_count = 101 #------------------- # Create the Algo #------------------- if 'algorithm' in config: test_algo = config['algorithm'] else: test_algo = TestAlgorithm( sid, order_amount, order_count, sim_params=factory.create_simulation_parameters() ) #------------------- # Trade Source #------------------- if 'trade_source' in config: trade_source = config['trade_source'] else: trade_source = factory.create_daily_trade_source( sid_list, trade_count, test_algo.sim_params, concurrent=concurrent_trades ) if trade_source: test_algo.set_sources([trade_source]) #------------------- # Transforms #------------------- transforms = config.get('transforms', None) if transforms is not None: test_algo.set_transforms(transforms) #------------------- # Slippage # ------------------ slippage = config.get('slippage', None) if slippage is not None: test_algo.set_slippage(slippage) # ------------------ # generator/simulator sim = test_algo.get_generator() return sim