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Tobias Brandt
78 lines
2.8 KiB
ReStructuredText
78 lines
2.8 KiB
ReStructuredText
*******************************************
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Overview
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*******************************************
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Simulations
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===========
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:mod:`zipline` runs backtests using asynchronous components and zeromq messaging for
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communication and coordination.
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:class:`.algorithm.TradingAlgorithm` is the heart of :mod:`zipline`, and the primary access point for creating,
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launching, and tracking simulations. You can find it in
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:py:class:`~zipline.algorithm.TradingAlgorithm`
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Simulator Sub-Components
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========================
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Each simulation contains numerous subcomponents, each operating asynchronously
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from all others, and communicating via zeromq.
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DataSources
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--------------------
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A DataSource represents a historical event record, which will be played back
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during simulation. A simulation may have one or more DataSources, which will be
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combined in DataFeed. Generally, datasources read records from a persistent
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store (db, csv file, remote service), format the messages for downstream
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simulation components, and send them to a PUSH socket. See the base class for
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all datasources :py:class:`~zipline.messaging.DataSource` and the module
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holding all datasources :py:mod:`zipline.sources`
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DataFeed
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--------------------
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All simulations start with a collection of
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:py:class:`~zipline.messaging.DataSource`, which need to be fed to an
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algorithm. Each :py:class:`~zipline.sources.DataSource`can contain events of
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differing content (trades, quotes, corporate event) and frequency (quarterly,
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intraday). To simplify the process of managing the data sources,
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:py:class:`~zipline.core.DataFeed` can receive events from multiple
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:py:class:`DataSources <zipline.sources.DataSource>` and combine them into a
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serial chronological stream.
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Transforms
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--------------------
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Often, an algorithm will require a running calculation on top of a
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:py:class:`~zipline.messaging.DataSource`, or on the consolidated feed. A
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simple example is a technical indicator or a moving average. Transforms can be
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described in :py:class:`~zipline.core.Simulator`'s configuration. Subclass
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:py:class:`~zipline.transforms.core.Transform` to add your own Transform.
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Transforms must hold their own state between events, and serialize their
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current values into messages.
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Data Alignment
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--------------------
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Like Datasources, Transforms have differing frequencies and results. Simulator
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manages the results of parallel transforms and **aligns** transform results
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with the raw DataFeed. Client algorithms simply receive a map of data, which
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includes the current event and all the transformed values.
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Time Compression
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--------------------
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According to `this post
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<https://www.quantopian.com/posts/help-with-runtime-error>`_ on the Quantopian
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forums, time periods during which none of the selected SIDs were traded are
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skipped.
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Review the unit test coverage_.
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.. _coverage: cover/index.html
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