mirror of
https://github.com/wassname/catalyst.git
synced 2026-06-29 01:57:31 +08:00
Jean Bredeche
6fb4923cc7
Instead of having separate ExchangeCalendar and TradingSchedule objects, we now just have TradingCalendar. The TradingCalendar keeps track of each session (defined as a contiguous set of minutes between an open and a close). It's also responsible for handling the grouping logic of any given minute to its containing session, or the next/previous session if it's not a market minute for the given calendar.
105 lines
3.6 KiB
Python
105 lines
3.6 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 get_calendar
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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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order_count = config.get('order_count', 100)
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order_amount = config.get('order_amount', 100)
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trading_calendar = config.get('trading_calendar', get_calendar("NYSE"))
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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_calendar=trading_calendar,
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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_calendar,
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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'].asset_finder,
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trading_calendar,
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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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