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Jenkins T. Quantopian, III
67 lines
2.5 KiB
Python
67 lines
2.5 KiB
Python
"""
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QBT - Quantopian Backtest
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====================================
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qbt runs backtests using multiple processes and zeromq messaging for communication and coordination.
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Backtest is the primary process. It maintains both server and client sockets:
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zmq sockets for internal processing::
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- data sink, ZMQ.REQ. Port = port_start + 1
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- backtest will connect to socket, and then spawn one process per datasource, passing the data sink url as a startup arg. Each
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datasource process will bind to the socket, and start processing
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- backtest is responsible for merging the data events from all sources into a serialized stream and relaying it to the
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aggregators, merging agg results, and transmitting consolidated stream to event feed.
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- agg source, ZMQ.PUSH. Port = port_start + 2
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- agg sink, ZMQ.PULL. Port = port_start + 3
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- control source, ZMQ.PUB. Port = port_start + 4
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- all child processes must subscribe to this socket. Control commands:
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- START -- begin processing
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- TIME -- current simulated time in backtest
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- KILL -- exit immediately
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zmq sockets for backtest clients:
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=================================
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- orders sink, ZMQ.RESP. Port = port_start + 5
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- backtest will connect (can you bind?) to this socket and await orders from the client. Order data will be processed against the streaming datafeed.
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- event feed, ZMQ.RESP. Port = port_start + 6
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- backtest will bind to this socket and respond to requests from client for more data. Response data will be the queue of events that
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transpired since the last request.
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"""
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import copy
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import multiprocessing
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import zmq
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from backtest.util import *
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from data.sources.equity import *
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CONTROLLER_PORT = 9000
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DATA_SINK_PORT = 10000
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DATA_FEED_PORT = 30000
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class Backtest(object):
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def __init__(self, db, logger):
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self.logger = logger
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self.db = db
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self.feed = DataFeed(db, logger)
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def start_feed(self):
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proc1 = multiprocessing.Process(target=feed.run)
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proc1.start()
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def run(self):
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# Prepare our context and sockets
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self.context = zmq.Context()
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#create the feed sink.
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self.feed_address = self.feed.data_address
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self.feed_socket = self.context.connect(self.feed_address)
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self.feed_socket.connect(zmq.PULL)
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