mirror of
https://github.com/wassname/catalyst.git
synced 2026-06-27 19:30:28 +08:00
twiecki
f9fded97ac
Add a CLI that reads in an algorithm, loads data, run the algorithm, and output performance metrics. The examples are adapted to the new zipline API and analyses are split into separate files. Also add config files that run the example algorithms with preset settings.
122 lines
3.7 KiB
Python
122 lines
3.7 KiB
Python
#
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# Copyright 2014 Quantopian, Inc.
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#
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# Licensed under the Apache License, Version 2.0 (the "License");
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# you may not use this file except in compliance with the License.
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# You may obtain a copy of the License at
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#
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# http://www.apache.org/licenses/LICENSE-2.0
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#
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# Unless required by applicable law or agreed to in writing, software
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# distributed under the License is distributed on an "AS IS" BASIS,
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# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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# See the License for the specific language governing permissions and
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# limitations under the License.
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import sys
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import os
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import argparse
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import ConfigParser
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from copy import copy
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import datetime
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import pandas as pd
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try:
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from pygments import highlight
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from pygments.lexers import PythonLexer
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from pygments.formatters import TerminalFormatter
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from pygments.styles import STYLE_MAP
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PYGMENTS = True
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except:
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PYGMENTS = False
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import zipline
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DEFAULTS = {
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'start': '2012-01-01',
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'end': '2012-12-31',
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'data_frequency': 'daily',
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'capital_base': '10e6',
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'source': 'yahoo',
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'symbols': 'AAPL'
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}
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def parse_args(argv):
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# Parse any conf_file specification
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# We make this parser with add_help=False so that
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# it doesn't parse -h and print help.
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conf_parser = argparse.ArgumentParser(
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# Don't mess with format of description
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formatter_class=argparse.RawDescriptionHelpFormatter,
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# Turn off help, so we print all options in response to -h
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add_help=False
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)
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conf_parser.add_argument("-c", "--conf_file",
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help="Specify config file",
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metavar="FILE")
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args, remaining_argv = conf_parser.parse_known_args(argv)
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defaults = copy(DEFAULTS)
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if args.conf_file:
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config = ConfigParser.SafeConfigParser()
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config.read([args.conf_file])
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defaults.update(dict(config.items("Defaults")))
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# Parse rest of arguments
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# Don't suppress add_help here so it will handle -h
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parser = argparse.ArgumentParser(
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# Inherit options from config_parser
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description="Zipline version %s." % zipline.__version__,
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parents=[conf_parser]
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)
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parser.set_defaults(**defaults)
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parser.add_argument('--algofile', '-f')
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parser.add_argument('--data-frequency',
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choices=('minute', 'daily'))
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parser.add_argument('--start', '-s')
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parser.add_argument('--end', '-e')
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parser.add_argument('--capital_base')
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parser.add_argument('--source', choices=('yahoo',))
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parser.add_argument('--symbols')
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args = parser.parse_args(remaining_argv)
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return(vars(args))
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def run_algo(print_algo=True, **kwargs):
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start = pd.Timestamp(kwargs['start'], tz='UTC')
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end = pd.Timestamp(kwargs['end'], tz='UTC')
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symbols = kwargs['symbols'].split(',')
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if kwargs['source'] == 'yahoo':
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source = zipline.data.load_bars_from_yahoo(stocks=symbols, start=start, end=end)
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else:
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raise NotImplementedError('Source %s not implemented.' % kwargs['source'])
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algo_fname = kwargs['algofile']
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with open(algo_fname, 'r') as fd:
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algo_text = fd.read()
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analyze_fname = os.path.splitext(algo_fname)[0] + '_analyze.py'
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if os.path.exists(analyze_fname):
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with open(analyze_fname, 'r') as fd:
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# Simply append
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algo_text += fd.read()
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if print_algo:
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if PYGMENTS:
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highlight(algo_text, PythonLexer(), TerminalFormatter(), outfile=sys.stdout)
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else:
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print algo_text
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algo = zipline.TradingAlgorithm(script=algo_text,
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capital_base=float(kwargs['capital_base']))
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perf = algo.run(source)
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return perf
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