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81 lines
2.5 KiB
Python
81 lines
2.5 KiB
Python
"""
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Provides data handlers that can push messages to a zipline.core.DataFeed
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"""
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import datetime
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import random
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import pytz
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import zipline.util as qutil
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import zipline.messaging as zm
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import zipline.protocol as zp
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class TradeDataSource(zm.DataSource):
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def send(self, event):
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""" :param dict event: is a trade event with data as per :py:func: `zipline.protocol.TRADE_FRAME`
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:rtype: None
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"""
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event.source_id = self.get_id
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message = zp.DATASOURCE_FRAME(event)
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self.data_socket.send(message)
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class RandomEquityTrades(TradeDataSource):
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"""Generates a random stream of trades for testing."""
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def __init__(self, sid, source_id, count):
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zm.DataSource.__init__(self, source_id)
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self.count = count
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self.incr = 0
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self.sid = sid
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self.trade_start = datetime.datetime.now().replace(tzinfo=pytz.utc)
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self.minute = datetime.timedelta(minutes=1)
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self.price = random.uniform(5.0, 50.0)
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def get_type(self):
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return 'equity_trade'
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def do_work(self):
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if(self.incr == self.count):
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self.signal_done()
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return
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self.price = self.price + random.uniform(-0.05, 0.05)
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self._send(self.sid, self.price, random.randrange(100,10000,100), self.trade_start + (self.minute * self.incr))
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self.incr += 1
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def _send(self, sid, price, volume, dt):
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event = zp.namedict({'source_id': self.get_id, "type" : "TRADE", "sid":sid, "price":price, "volume":volume, "dt":dt})
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self.send(event)
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class SpecificEquityTrades(TradeDataSource):
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"""Generates a random stream of trades for testing."""
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def __init__(self, source_id, event_list):
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"""
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:event_list: should be a chronologically ordered list of dictionaries in the following form:
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event = {
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'sid' : an integer for security id,
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'dt' : datetime object,
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'price' : float for price,
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'volume' : integer for volume
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}
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"""
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zm.DataSource.__init__(self, source_id)
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self.event_list = event_list
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def get_type(self):
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return 'equity_trade'
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def do_work(self):
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if(len(self.event_list) == 0):
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self.signal_done()
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return
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event = self.event_list.pop(0)
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self.send(zp.namedict(event))
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