mirror of
https://github.com/wassname/catalyst.git
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scottsanderson
101 lines
2.9 KiB
Python
101 lines
2.9 KiB
Python
import pytz
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import time
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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 itertools import izip
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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, sequential_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. Six minutes between events.
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args_a = tuple()
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kwargs_a = {
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'count' : 1000,
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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 = 6),
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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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source_a_prime = SpecificEquityTrades(*args_a, **kwargs_a)
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#Set up source b. Five minutes between events.
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args_b = tuple()
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kwargs_b = {
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'count' : 1000,
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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 = 5),
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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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source_b_prime = SpecificEquityTrades(*args_b, **kwargs_b)
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sorted = date_sorted_sources(source_a, source_b)
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sorted_prime = date_sorted_sources(
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source_a_prime,
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source_b_prime
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)
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passthrough = StatefulTransform(Passthrough)
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mavg_price = StatefulTransform(
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MovingAverage,
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timedelta(minutes = 20),
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['price']
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)
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passthrough_prime = StatefulTransform(Passthrough)
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mavg_price_prime = StatefulTransform(
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MovingAverage,
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timedelta(minutes = 20),
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['price']
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)
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merged = merged_transforms(sorted, passthrough, mavg_price)
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start = time.time()
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for message in merged:
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assert 1 + 1 == 2
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stop = time.time()
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merge_time = stop - start
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print "Merge time: %s" % str(merge_time)
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sequential = sequential_transforms(
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sorted_prime,
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passthrough_prime,
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mavg_price_prime
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)
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start = time.time()
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for message in sequential:
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assert 1 + 1 == 2
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stop = time.time()
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seq_time = stop - start
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print "Sequential time: %s" % str(seq_time)
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print "Merge/Seq: %s" % (str(merge_time/seq_time))
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# merged = merged_transforms(sorted, passthrough, mavg_price)
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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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# trading_client = tsc(algo, environment, style)
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# for message in trading_client.simulate(merged):
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# pp(message)
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