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https://github.com/wassname/catalyst.git
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scottsanderson
62 lines
1.9 KiB
Python
62 lines
1.9 KiB
Python
import pytz
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from time import sleep
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from pprint import pprint as pp
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from datetime import datetime, timedelta
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from zipline.utils.factory import create_trading_environment
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from zipline.test_algorithms import TestAlgorithm
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from zipline.gens.composites import SourceBundle, TransformBundle, \
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date_sorted_sources, merged_transforms
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from zipline.gens.tradegens import SpecificEquityTrades
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from zipline.gens.transform import MovingAverage, Passthrough, StatefulTransform
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from zipline.gens.tradesimulation import TradeSimulationClient as tsc
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import zipline.protocol as zp
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if __name__ == "__main__":
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filter = [2,3]
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#Set up source a. One minute between events.
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args_a = tuple()
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kwargs_a = {
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'count' : 2000,
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'sids' : [1,2,3],
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'start' : datetime(2012,1,3,15, tzinfo = pytz.utc),
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'delta' : timedelta(minutes = 10),
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'filter' : filter
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}
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source_a = SpecificEquityTrades(*args_a, **kwargs_a)
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#Set up source b. Two minutes between events.
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args_b = tuple()
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kwargs_b = {
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'count' : 2000,
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'sids' : [2,3,4],
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'start' : datetime(2012,1,3,14, tzinfo = pytz.utc),
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'delta' : timedelta(minutes = 10),
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'filter' : filter
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}
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source_b = SpecificEquityTrades(*args_b, **kwargs_b)
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#Set up source c. Three minutes between events.
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sort_out = date_sorted_sources(source_a, source_b)
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passthrough = TransformBundle(Passthrough, (), {})
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mavg_price = TransformBundle(MovingAverage, (timedelta(minutes = 20), ['price']), {})
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tnfm_bundles = (passthrough, mavg_price)
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merge_out = merged_transforms(sort_out, tnfm_bundles)
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algo = TestAlgorithm(2, 10, 100, sid_filter = [2,3])
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environment = create_trading_environment(year = 2012)
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style = zp.SIMULATION_STYLE.FIXED_SLIPPAGE
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client_out = tsc(merge_out, algo, environment, style)
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for message in client_out:
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pp(message)
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sleep(1)
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