import zipline.utils.factory as factory from zipline.test_algorithms import TestAlgorithm from zipline.lines import SimulatedTrading from zipline.finance.slippage import FixedSlippage, transact_partial from zipline.finance.commission import PerShare def create_test_zipline(**config): """ :param config: A configuration object that is a dict with: - environment - a \ :py:class:`zipline.finance.trading.TradingEnvironment` - 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) #-------------------- # Trading Environment #-------------------- if 'environment' in config: trading_environment = config['environment'] else: trading_environment = factory.create_trading_environment() 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 slippage = config.get('slippage', FixedSlippage()) commission = PerShare() transact_method = transact_partial(slippage, commission) #------------------- # Trade Source #------------------- if 'trade_source' in config: trade_source = config['trade_source'] else: trade_source = factory.create_daily_trade_source( sid_list, trade_count, trading_environment, concurrent=concurrent_trades ) #------------------- # Transforms #------------------- transforms = config.get('transforms', []) #------------------- # Create the Algo #------------------- if 'algorithm' in config: test_algo = config['algorithm'] else: test_algo = TestAlgorithm( sid, order_amount, order_count ) #------------------- # Simulation #------------------- sim = SimulatedTrading( [trade_source], transforms, test_algo, trading_environment, transact_method ) #------------------- return sim