mirror of
https://github.com/wassname/catalyst.git
synced 2026-07-02 11:01:10 +08:00
Richard Frank
419bd1e3b5
This lets us publish an "old" db version for the most recent release of zipline, using the latest code base.
378 lines
9.5 KiB
Python
378 lines
9.5 KiB
Python
import errno
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import os
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from functools import wraps
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import click
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import logbook
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import pandas as pd
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from six import text_type
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from zipline.data import bundles as bundles_module
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from zipline.utils.cli import Date, Timestamp
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from zipline.utils.run_algo import _run, load_extensions
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try:
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__IPYTHON__
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except NameError:
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__IPYTHON__ = False
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@click.group()
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@click.option(
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'-e',
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'--extension',
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multiple=True,
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help='File or module path to a zipline extension to load.',
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)
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@click.option(
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'--strict-extensions/--non-strict-extensions',
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is_flag=True,
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help='If --strict-extensions is passed then zipline will not run if it'
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' cannot load all of the specified extensions. If this is not passed or'
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' --non-strict-extensions is passed then the failure will be logged but'
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' execution will continue.',
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)
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@click.option(
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'--default-extension/--no-default-extension',
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is_flag=True,
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default=True,
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help="Don't load the default zipline extension.py file in $ZIPLINE_HOME.",
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)
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def main(extension, strict_extensions, default_extension):
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"""Top level zipline entry point.
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"""
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# install a logbook handler before performing any other operations
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logbook.StderrHandler().push_application()
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load_extensions(
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default_extension,
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extension,
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strict_extensions,
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os.environ,
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)
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def extract_option_object(option):
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"""Convert a click.option call into a click.Option object.
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Parameters
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----------
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option : decorator
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A click.option decorator.
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Returns
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-------
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option_object : click.Option
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The option object that this decorator will create.
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"""
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@option
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def opt():
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pass
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return opt.__click_params__[0]
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def ipython_only(option):
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"""Mark that an option should only be exposed in IPython.
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Parameters
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----------
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option : decorator
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A click.option decorator.
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Returns
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-------
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ipython_only_dec : decorator
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A decorator that correctly applies the argument even when not
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using IPython mode.
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"""
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if __IPYTHON__:
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return option
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argname = extract_option_object(option).name
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def d(f):
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@wraps(f)
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def _(*args, **kwargs):
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kwargs[argname] = None
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return f(*args, **kwargs)
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return _
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return d
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@main.command()
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@click.option(
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'-f',
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'--algofile',
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default=None,
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type=click.File('r'),
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help='The file that contains the algorithm to run.',
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)
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@click.option(
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'-t',
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'--algotext',
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help='The algorithm script to run.',
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)
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@click.option(
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'-D',
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'--define',
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multiple=True,
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help="Define a name to be bound in the namespace before executing"
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" the algotext. For example '-Dname=value'. The value may be any python"
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" expression. These are evaluated in order so they may refer to previously"
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" defined names.",
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)
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@click.option(
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'--data-frequency',
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type=click.Choice({'daily', 'minute'}),
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default='daily',
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show_default=True,
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help='The data frequency of the simulation.',
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)
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@click.option(
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'--capital-base',
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type=float,
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default=10e6,
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show_default=True,
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help='The starting capital for the simulation.',
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)
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@click.option(
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'-b',
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'--bundle',
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default='quantopian-quandl',
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metavar='BUNDLE-NAME',
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show_default=True,
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help='The data bundle to use for the simulation.',
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)
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@click.option(
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'--bundle-timestamp',
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type=Timestamp(),
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default=pd.Timestamp.utcnow(),
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show_default=False,
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help='The date to lookup data on or before.\n'
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'[default: <current-time>]'
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)
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@click.option(
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'-s',
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'--start',
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type=Date(tz='utc', as_timestamp=True),
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help='The start date of the simulation.',
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)
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@click.option(
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'-e',
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'--end',
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type=Date(tz='utc', as_timestamp=True),
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help='The end date of the simulation.',
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)
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@click.option(
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'-o',
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'--output',
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default='-',
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metavar='FILENAME',
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show_default=True,
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help="The location to write the perf data. If this is '-' the perf will"
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" be written to stdout.",
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)
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@click.option(
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'--print-algo/--no-print-algo',
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is_flag=True,
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default=False,
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help='Print the algorithm to stdout.',
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)
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@ipython_only(click.option(
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'--local-namespace/--no-local-namespace',
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is_flag=True,
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default=None,
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help='Should the algorithm methods be resolved in the local namespace.'
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))
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@click.pass_context
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def run(ctx,
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algofile,
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algotext,
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define,
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data_frequency,
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capital_base,
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bundle,
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bundle_timestamp,
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start,
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end,
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output,
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print_algo,
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local_namespace):
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"""Run a backtest for the given algorithm.
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"""
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# check that the start and end dates are passed correctly
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if start is None and end is None:
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# check both at the same time to avoid the case where a user
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# does not pass either of these and then passes the first only
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# to be told they need to pass the second argument also
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ctx.fail(
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"must specify dates with '-s' / '--start' and '-e' / '--end'",
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)
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if start is None:
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ctx.fail("must specify a start date with '-s' / '--start'")
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if end is None:
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ctx.fail("must specify an end date with '-e' / '--end'")
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if (algotext is not None) == (algofile is not None):
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ctx.fail(
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"must specify exactly one of '-f' / '--algofile' or"
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" '-t' / '--algotext'",
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)
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perf = _run(
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initialize=None,
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handle_data=None,
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before_trading_start=None,
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analyze=None,
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algofile=algofile,
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algotext=algotext,
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defines=define,
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data_frequency=data_frequency,
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capital_base=capital_base,
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data=None,
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bundle=bundle,
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bundle_timestamp=bundle_timestamp,
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start=start,
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end=end,
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output=output,
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print_algo=print_algo,
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local_namespace=local_namespace,
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environ=os.environ,
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)
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if output == '-':
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click.echo(str(perf))
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elif output != os.devnull: # make the zipline magic not write any data
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perf.to_pickle(output)
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return perf
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def zipline_magic(line, cell=None):
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"""The zipline IPython cell magic.
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"""
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try:
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return run.main(
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# put our overrides at the start of the parameter list so that
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# users may pass values with higher precedence
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[
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'--algotext', cell,
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'--output', os.devnull, # don't write the results by default
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] + ([
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# these options are set when running in line magic mode
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# set a non None algo text to use the ipython user_ns
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'--algotext', '',
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'--local-namespace',
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] if cell is None else []) + line.split(),
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'%s%%zipline' % ((cell or '') and '%'),
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# don't use system exit and propogate errors to the caller
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standalone_mode=False,
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)
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except SystemExit as e:
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# https://github.com/mitsuhiko/click/pull/533
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# even in standalone_mode=False `--help` really wants to kill us ;_;
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if e.code:
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raise ValueError('main returned non-zero status code: %d' % e.code)
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@main.command()
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@click.option(
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'-b',
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'--bundle',
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default='quantopian-quandl',
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metavar='BUNDLE-NAME',
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show_default=True,
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help='The data bundle to ingest.',
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)
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@click.option(
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'--assets-version',
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type=int,
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multiple=True,
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help='Version of the assets db to which to downgrade.',
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)
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@click.option(
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'--show-progress/--no-show-progress',
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default=True,
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help='Print progress information to the terminal.'
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)
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def ingest(bundle, assets_version, show_progress):
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"""Ingest the data for the given bundle.
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"""
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bundles_module.ingest(
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bundle,
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os.environ,
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pd.Timestamp.utcnow(),
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assets_version,
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show_progress,
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)
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@main.command()
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@click.option(
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'-b',
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'--bundle',
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default='quantopian-quandl',
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metavar='BUNDLE-NAME',
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show_default=True,
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help='The data bundle to clean.',
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)
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@click.option(
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'-b',
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'--before',
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type=Timestamp(),
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help='Clear all data before TIMESTAMP.'
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' This may not be passed with -k / --keep-last',
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)
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@click.option(
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'-a',
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'--after',
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type=Timestamp(),
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help='Clear all data after TIMESTAMP'
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' This may not be passed with -k / --keep-last',
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)
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@click.option(
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'-k',
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'--keep-last',
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type=int,
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metavar='N',
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help='Clear all but the last N downloads.'
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' This may not be passed with -b / --before or -a / --after',
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)
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def clean(bundle, before, after, keep_last):
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"""Clean up data downloaded with the ingest command.
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"""
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bundles_module.clean(
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bundle,
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before,
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after,
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keep_last,
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)
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@main.command()
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def bundles():
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"""List all of the available data bundles.
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"""
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for bundle in sorted(bundles_module.bundles.keys()):
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if bundle.startswith('.'):
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# hide the test data
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continue
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try:
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ingestions = list(
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map(text_type, bundles_module.ingestions_for_bundle(bundle))
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)
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except OSError as e:
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if e.errno != errno.ENOENT:
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raise
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ingestions = []
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# If we got no ingestions, either because the directory didn't exist or
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# because there were no entries, print a single message indicating that
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# no ingestions have yet been made.
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for timestamp in ingestions or ["<no ingestions>"]:
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click.echo("%s %s" % (bundle, timestamp))
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if __name__ == '__main__':
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main()
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