mirror of
https://github.com/wassname/catalyst.git
synced 2026-07-03 08:16:54 +08:00
Joe Jevnik
375 lines
9.5 KiB
Python
375 lines
9.5 KiB
Python
import errno
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import os
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from functools import wraps
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import click
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import logbook
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import pandas as pd
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from zipline.data import bundles as bundles_module
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from zipline.utils.cli import Date, Timestamp
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import zipline.utils.paths as pth
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from zipline.utils.run_algo import _run, load_extensions
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try:
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__IPYTHON__
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except NameError:
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__IPYTHON__ = False
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@click.group()
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@click.option(
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'-e',
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'--extension',
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multiple=True,
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help='File or module path to a zipline extension to load.',
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)
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@click.option(
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'--strict-extensions/--non-strict-extensions',
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is_flag=True,
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help='If --strict-extensions is passed then zipline will not run if it'
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' cannot load all of the specified extensions. If this is not passed or'
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' --non-strict-extensions is passed then the failure will be logged but'
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' execution will continue.',
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)
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@click.option(
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'--default-extension/--no-default-extension',
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is_flag=True,
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default=True,
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help="Don't load the default zipline extension.py file in $ZIPLINE_HOME.",
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)
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def main(extension, strict_extensions, default_extension):
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"""Top level zipline entry point.
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"""
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# install a logbook handler before performing any other operations
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logbook.StderrHandler().push_application()
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load_extensions(
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default_extension,
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extension,
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strict_extensions,
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os.environ,
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)
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def extract_option_object(option):
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"""Convert a click.option call into a click.Option object.
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Parameters
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----------
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option : decorator
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A click.option decorator.
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Returns
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-------
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option_object : click.Option
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The option object that this decorator will create.
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"""
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@option
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def opt():
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pass
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return opt.__click_params__[0]
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def ipython_only(option):
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"""Mark that an option should only be exposed in IPython.
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Parameters
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----------
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option : decorator
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A click.option decorator.
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Returns
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-------
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ipython_only_dec : decorator
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A decorator that correctly applies the argument even when not
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using IPython mode.
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"""
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if __IPYTHON__:
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return option
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argname = extract_option_object(option).name
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def d(f):
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@wraps(f)
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def _(*args, **kwargs):
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kwargs[argname] = None
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return f(*args, **kwargs)
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return _
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return d
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@main.command()
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@click.option(
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'-f',
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'--algofile',
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default=None,
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type=click.File('r'),
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help='The file that contains the algorithm to run.',
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)
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@click.option(
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'-t',
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'--algotext',
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help='The algorithm script to run.',
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)
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@click.option(
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'-D',
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'--define',
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multiple=True,
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help="Define a name to be bound in the namespace before executing"
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" the algotext. For example '-Dname=value'. The value may be any python"
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" expression. These are evaluated in order so they may refer to previously"
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" defined names.",
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)
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@click.option(
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'--data-frequency',
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type=click.Choice({'daily', 'minute'}),
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default='daily',
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show_default=True,
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help='The data frequency of the simulation.',
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)
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@click.option(
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'--capital-base',
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type=float,
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default=10e6,
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show_default=True,
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help='The starting capital for the simulation.',
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)
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@click.option(
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'-b',
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'--bundle',
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default='quantopian-quandl',
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metavar='BUNDLE-NAME',
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show_default=True,
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help='The data bundle to use for the simulation.',
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)
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@click.option(
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'--bundle-timestamp',
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type=Timestamp(),
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default=pd.Timestamp.utcnow(),
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show_default=False,
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help='The date to lookup data on or before.\n'
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'[default: <current-time>]'
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)
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@click.option(
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'-s',
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'--start',
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type=Date(tz='utc', as_timestamp=True),
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help='The start date of the simulation.',
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)
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@click.option(
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'-e',
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'--end',
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type=Date(tz='utc', as_timestamp=True),
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help='The end date of the simulation.',
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)
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@click.option(
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'-o',
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'--output',
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default='-',
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metavar='FILENAME',
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show_default=True,
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help="The location to write the perf data. If this is '-' the perf will"
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" be written to stdout.",
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)
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@click.option(
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'--print-algo/--no-print-algo',
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is_flag=True,
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default=False,
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help='Print the algorithm to stdout.',
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)
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@ipython_only(click.option(
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'--local-namespace/--no-local-namespace',
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is_flag=True,
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default=None,
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help='Should the algorithm methods be resolved in the local namespace.'
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))
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@click.pass_context
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def run(ctx,
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algofile,
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algotext,
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define,
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data_frequency,
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capital_base,
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bundle,
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bundle_timestamp,
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start,
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end,
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output,
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print_algo,
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local_namespace):
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"""Run a backtest for the given algorithm.
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"""
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# check that the start and end dates are passed correctly
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if start is None and end is None:
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# check both at the same time to avoid the case where a user
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# does not pass either of these and then passes the first only
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# to be told they need to pass the second argument also
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ctx.fail(
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"must specify dates with '-s' / '--start' and '-e' / '--end'",
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)
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if start is None:
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ctx.fail("must specify a start date with '-s' / '--start'")
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if end is None:
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ctx.fail("must specify an end date with '-e' / '--end'")
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if (algotext is not None) == (algofile is not None):
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ctx.fail(
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"must specify exactly one of '-f' / '--algofile' or"
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" '-t' / '--algotext'",
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)
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perf = _run(
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initialize=None,
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handle_data=None,
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before_trading_start=None,
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analyze=None,
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algofile=algofile,
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algotext=algotext,
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defines=define,
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data_frequency=data_frequency,
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capital_base=capital_base,
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data=None,
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bundle=bundle,
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bundle_timestamp=bundle_timestamp,
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start=start,
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end=end,
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output=output,
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print_algo=print_algo,
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local_namespace=local_namespace,
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environ=os.environ,
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)
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if output == '-':
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click.echo(str(perf))
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elif output != os.devnull: # make the zipline magic not write any data
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perf.to_pickle(output)
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return perf
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def zipline_magic(line, cell=None):
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"""The zipline IPython cell magic.
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"""
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try:
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return run.main(
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# put our overrides at the start of the parameter list so that
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# users may pass values with higher precedence
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[
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'--algotext', cell,
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'--output', os.devnull, # don't write the results by default
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] + ([
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# these options are set when running in line magic mode
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# set a non None algo text to use the ipython user_ns
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'--algotext', '',
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'--local-namespace',
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] if cell is None else []) + line.split(),
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'%s%%zipline' % ((cell or '') and '%'),
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# don't use system exit and propogate errors to the caller
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standalone_mode=False,
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)
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except SystemExit as e:
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# https://github.com/mitsuhiko/click/pull/533
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# even in standalone_mode=False `--help` really wants to kill us ;_;
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if e.code:
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raise ValueError('main returned non-zero status code: %d' % e.code)
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@main.command()
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@click.option(
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'-b',
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'--bundle',
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default='quantopian-quandl',
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metavar='BUNDLE-NAME',
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show_default=True,
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help='The data bundle to ingest.',
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)
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@click.option(
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'--show-progress/--no-show-progress',
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is_flag=True,
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default=True,
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help='Print progress information to the terminal.'
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)
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def ingest(bundle, show_progress):
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"""Ingest the data for the given bundle.
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"""
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bundles_module.ingest(
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bundle,
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os.environ,
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pd.Timestamp.utcnow(),
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show_progress,
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)
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@main.command()
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@click.option(
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'-b',
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'--bundle',
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default='quantopian-quandl',
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metavar='BUNDLE-NAME',
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show_default=True,
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help='The data bundle to clean.',
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)
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@click.option(
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'-b',
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'--before',
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type=Timestamp(),
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help='Clear all data before TIMESTAMP.'
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' This may not be passed with -k / --keep-last',
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)
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@click.option(
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'-a',
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'--after',
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type=Timestamp(),
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help='Clear all data after TIMESTAMP'
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' This may not be passed with -k / --keep-last',
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)
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@click.option(
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'-k',
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'--keep-last',
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type=int,
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metavar='N',
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help='Clear all but the last N downloads.'
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' This may not be passed with -b / --before or -a / --after',
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)
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def clean(bundle, before, after, keep_last):
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"""Clean up data downloaded with the ingest command.
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"""
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bundles_module.clean(
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bundle,
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before,
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after,
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keep_last,
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)
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@main.command()
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def bundles():
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"""List all of the available data bundles.
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"""
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for bundle in sorted(bundles_module.bundles.keys()):
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if bundle.startswith('.'):
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# hide the test data
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continue
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try:
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ingestions = sorted(
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(str(bundles_module.from_bundle_ingest_dirname(ing))
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for ing in os.listdir(pth.data_path([bundle]))
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if not pth.hidden(ing)),
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reverse=True,
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)
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except OSError as e:
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if e.errno != errno.ENOENT:
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raise
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ingestions = []
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# If we got no ingestions, either because the directory didn't exist or
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# because there were no entries, print a single message indicating that
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# no ingestions have yet been made.
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for timestamp in ingestions or ["<no ingestions>"]:
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print("%s %s" % (bundle, timestamp))
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if __name__ == '__main__':
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main()
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