Refactor sim_params #352
Refactor sim_params #352
Conversation
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@twiecki did you run this against the internal test suite, some of the settings for minute/minute sessions may introduce some wrinkles here. |
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@twiecki if you have a chance could you update the commit message with an example of how an algorithm would use the standardized init based SimulationParameters? (Also, do we need to update the examples to use the new standardized form?) |
There were sevaral places you could supply sim_params in TradingAlgorithm (__init__, run). This got confusing as its not clear who updated what and which one was the correct one to use at each time. Then there were to ways to define data_frequency, one in __init__() and one in the sim_params which also added code complexity. This refactor makes it explicit that sim_params are to be passed to __init__() only. Moreover, data_frequency is only stored in sim_params. For backwards compatibility, it can still be supplied separately but will link to the one in sim_params. For example, you could create new sim params via: sim_params = create_simulation_parameters(data_frequency='minute') algo = MyAlgo(sim_params) algo.run(data) In addition, perf_tracker only gets initialized in one place: _create_generator() which should also make the various ways of running an algorithm more deterministic. This also fixes a bug with SimulationParameters where you could not change the period_start. Unfortunately, the current implementation still requieres an implicit call to update the internal variables.
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@ehebert OK, I think I did the refactorings. FWIW, I never was a fan of the sim_params to begin with. So a totally different train of thought would revolve around merging SimParameters into TradingAlgorithm. In any case though, there should be only one place for the settings. So I still think we should merge this as it reduces complexity and unexpected behavior and keeps backwards compatibility. The user-impact should be low in any case as the new CLI hides direct class instantiation. |
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I also ran this against the internal test-suite and it passes (after some backwards compat changes already included). |
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@ehebert I think this is ready for another round of review. |
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@twiecki I could be reading the timestamps/commitishes incorrectly, but I am not seeing any new/updated commits. |
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Oops, forgot to push. Should be updated now. |
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Thanks the example usage, which is great in its simplicity, helped the reading immensely. /signoff |
I stumbled over some problems when trying to change daily events to get the dt of closing day, rather than midnight. I then saw that the code is a little complex and has identical settings in different places that can get out of sync so this is aimed at untangling this code a bit.