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