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Frederic Fortier
75 lines
2.6 KiB
Python
75 lines
2.6 KiB
Python
import pandas as pd
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from catalyst.constants import LOG_LEVEL
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from catalyst.exchange.utils.stats_utils import prepare_stats
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from catalyst.gens.sim_engine import (
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BAR,
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SESSION_START
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)
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from logbook import Logger
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log = Logger('LiveGraphClock', level=LOG_LEVEL)
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class LiveGraphClock(object):
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"""Realtime clock for live trading.
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This class is a drop-in replacement for
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:class:`zipline.gens.sim_engine.MinuteSimulationClock`.
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This mixes the clock with a live graph.
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Notes
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-----
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This seemingly awkward approach allows us to run the program using a single
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thread. This is important because Matplotlib does not play nice with
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multi-threaded environments. Zipline probably does not either.
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Matplotlib has a pause() method which is a wrapper around time.sleep()
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used in the SimpleClock. The key difference is that users
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can still interact with the chart during the pause cycles. This is
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what enables us to keep a single thread. This is also why we are not using
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the 'animate' callback of Matplotlib. We need to direct access to the
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__iter__ method in order to yield events to Zipline.
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The :param:`time_skew` parameter represents the time difference between
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the exchange and the live trading machine's clock. It's not used currently.
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"""
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def __init__(self, sessions, context, callback=None,
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time_skew=pd.Timedelta('0s')):
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self.sessions = sessions
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self.time_skew = time_skew
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self._last_emit = None
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self._before_trading_start_bar_yielded = True
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self.context = context
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self.callback = callback
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def __iter__(self):
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from matplotlib import pyplot as plt
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yield pd.Timestamp.utcnow(), SESSION_START
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while True:
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current_time = pd.Timestamp.utcnow()
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current_minute = current_time.floor('1T')
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if self._last_emit is None or current_minute > self._last_emit:
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log.debug('emitting minutely bar: {}'.format(current_minute))
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self._last_emit = current_minute
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yield current_minute, BAR
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recorded_cols = list(self.context.recorded_vars.keys())
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df, _ = prepare_stats(
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self.context.frame_stats, recorded_cols=recorded_cols
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)
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self.callback(self.context, df)
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else:
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# I can't use the "animate" reactive approach here because
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# I need to yield from the main loop.
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# Workaround: https://stackoverflow.com/a/33050617/814633
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plt.pause(1)
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