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jfkirk
c8304e8601
Conflicts: tests/data/test_minute_bars.py tests/data/test_us_equity_pricing.py tests/finance/test_slippage.py tests/pipeline/test_engine.py tests/pipeline/test_us_equity_pricing_loader.py tests/serialization_cases.py tests/test_algorithm.py tests/test_assets.py tests/test_bar_data.py tests/test_benchmark.py tests/test_exception_handling.py tests/test_fetcher.py tests/test_finance.py tests/test_history.py tests/test_perf_tracking.py tests/test_security_list.py tests/utils/test_events.py zipline/algorithm.py zipline/data/data_portal.py zipline/data/us_equity_loader.py zipline/errors.py zipline/finance/trading.py zipline/testing/core.py zipline/utils/events.py
117 lines
3.8 KiB
Python
117 lines
3.8 KiB
Python
import zipline.utils.factory as factory
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from zipline.testing.core import create_data_portal_from_trade_history
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from zipline.test_algorithms import TestAlgorithm
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from zipline.utils.calendars import default_nyse_schedule
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def create_test_zipline(**config):
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"""
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:param config: A configuration object that is a dict with:
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- sid - an integer, which will be used as the asset ID.
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- order_count - the number of orders the test algo will place,
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defaults to 100
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- order_amount - the number of shares per order, defaults to 100
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- trade_count - the number of trades to simulate, defaults to 101
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to ensure all orders are processed.
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- algorithm - optional parameter providing an algorithm. defaults
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to :py:class:`zipline.test.algorithms.TestAlgorithm`
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- trade_source - optional parameter to specify trades, if present.
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If not present :py:class:`zipline.sources.SpecificEquityTrades`
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is the source, with daily frequency in trades.
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- slippage: optional parameter that configures the
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:py:class:`zipline.gens.tradingsimulation.TransactionSimulator`.
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Expects an object with a simulate mehod, such as
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:py:class:`zipline.gens.tradingsimulation.FixedSlippage`.
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:py:mod:`zipline.finance.trading`
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"""
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assert isinstance(config, dict)
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try:
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sid_list = config['sid_list']
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except KeyError:
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try:
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sid_list = [config['sid']]
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except KeyError:
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raise Exception("simfactory create_test_zipline() requires "
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"argument 'sid_list' or 'sid'")
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concurrent_trades = config.get('concurrent_trades', False)
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if 'order_count' in config:
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order_count = config['order_count']
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else:
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order_count = 100
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if 'order_amount' in config:
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order_amount = config['order_amount']
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else:
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order_amount = 100
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if 'trading_schedule' in config:
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trading_schedule = config['trading_schedule']
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else:
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trading_schedule = default_nyse_schedule
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# -------------------
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# Create the Algo
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# -------------------
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if 'algorithm' in config:
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test_algo = config['algorithm']
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else:
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test_algo = TestAlgorithm(
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sid_list[0],
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order_amount,
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order_count,
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sim_params=config.get('sim_params',
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factory.create_simulation_parameters()),
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trading_schedule=trading_schedule,
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slippage=config.get('slippage'),
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identifiers=sid_list
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)
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# -------------------
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# Trade Source
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# -------------------
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if 'skip_data' not in config:
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if 'trade_source' in config:
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trade_source = config['trade_source']
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else:
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trade_source = factory.create_daily_trade_source(
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sid_list,
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test_algo.sim_params,
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test_algo.trading_environment,
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trading_schedule,
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concurrent=concurrent_trades,
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)
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trades_by_sid = {}
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for trade in trade_source:
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if trade.sid not in trades_by_sid:
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trades_by_sid[trade.sid] = []
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trades_by_sid[trade.sid].append(trade)
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data_portal = create_data_portal_from_trade_history(
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config['env'],
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trading_schedule,
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config['tempdir'],
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config['sim_params'],
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trades_by_sid
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)
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test_algo.data_portal = data_portal
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# -------------------
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# Benchmark source
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# -------------------
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test_algo.benchmark_return_source = config.get('benchmark_source', None)
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# ------------------
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# generator/simulator
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sim = test_algo.get_generator()
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return sim
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