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fawce
111 lines
3.4 KiB
Python
111 lines
3.4 KiB
Python
import zipline.utils.factory as factory
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from zipline.test_algorithms import TestAlgorithm
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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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- environment - a \
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:py:class:`zipline.finance.trading.TradingEnvironment`
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- sid - an integer, which will be used as the security 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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- transforms: optional parameter that provides a list
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of StatefulTransform objects.
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"""
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assert isinstance(config, dict)
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sid_list = config.get('sid_list')
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if not sid_list:
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sid = config.get('sid')
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sid_list = [sid]
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concurrent_trades = config.get('concurrent_trades', False)
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#--------------------
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# Trading Environment
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#--------------------
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if 'environment' in config:
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trading_environment = config['environment']
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else:
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trading_environment = factory.create_trading_environment()
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if 'order_count' in config:
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order_count = config['order_count']
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else:
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order_count = 100
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if 'order_amount' in config:
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order_amount = config['order_amount']
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else:
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order_amount = 100
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if 'trade_count' in config:
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trade_count = config['trade_count']
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else:
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# to ensure all orders are filled, we provide one more
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# trade than order
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trade_count = 101
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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,
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order_amount,
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order_count
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)
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#-------------------
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# Trade Source
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#-------------------
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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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trade_count,
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trading_environment,
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concurrent=concurrent_trades
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)
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test_algo.set_sources([trade_source])
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#-------------------
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# Transforms
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#-------------------
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transforms = config.get('transforms', None)
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if transforms is not None:
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test_algo.set_transforms(transforms)
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#-------------------
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# Slippage
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# ------------------
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slippage = config.get('slippage', None)
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if slippage is not None:
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test_algo.set_slippage(slippage)
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# ------------------
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# generator/simulator
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sim = test_algo.get_generator(trading_environment)
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return sim
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