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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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from copy import copy |
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import six |
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import numpy as np |
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from datetime import timedelta |
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import pandas as pd |
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from zipline.sources.data_source import DataSource |
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from zipline.utils import tradingcalendar as calendar_nyse |
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from zipline.gens.utils import hash_args |
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class RandomWalkSource(DataSource): |
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"""RandomWalkSource that emits events with prices that follow a |
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random walk. Will generate valid datetimes that match market hours |
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of the supplied calendar and can generate emit events with |
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user-defined frequencies (e.g. minutely). |
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""" |
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VALID_FREQS = frozenset(('daily', 'minute')) |
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def __init__(self, start_prices=None, freq='minute', start=None, |
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end=None, drift=0.1, sd=0.1, calendar=calendar_nyse): |
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""" |
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:Arguments: |
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start_prices : dict |
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sid -> starting price. |
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Default: {0: 100, 1: 500} |
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freq : str <default='minute'> |
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Emits events according to freq. |
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Can be 'daily' or 'minute' |
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start : datetime <default=start of calendar> |
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Start dt to emit events. |
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end : datetime <default=end of calendar> |
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End dt until to which emit events. |
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drift: float <default=0.1> |
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Constant drift of the price series. |
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sd: float <default=0.1> |
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Standard deviation of the price series. |
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calendar : calendar object <default: NYSE> |
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Calendar to use. |
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See zipline.utils for different choices. |
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:Example: |
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# Assumes you have instantiated your Algorithm |
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# as myalgo. |
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myalgo = MyAlgo() |
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source = RandomWalkSource() |
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myalgo.run(source) |
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""" |
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# Hash_value for downstream sorting. |
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self.arg_string = hash_args(start_prices, freq, start, end, |
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calendar.__name__) |
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if freq not in self.VALID_FREQS: |
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raise ValueError('%s not in %s' % (freq, self.VALID_FREQS)) |
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self.freq = freq |
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if start_prices is None: |
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self.start_prices = {0: 100, |
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1: 500} |
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else: |
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self.start_prices = start_prices |
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self.calendar = calendar |
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if start is None: |
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self.start = calendar.start |
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else: |
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self.start = start |
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if end is None: |
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self.end = calendar.end_base |
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else: |
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self.end = end |
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self.drift = drift |
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self.sd = sd |
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self.sids = self.start_prices.keys() |
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self.open_and_closes = \ |
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calendar.open_and_closes[self.start:self.end] |
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self._raw_data = None |
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@property |
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def instance_hash(self): |
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return self.arg_string |
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@property |
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def mapping(self): |
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return { |
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'dt': (lambda x: x, 'dt'), |
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'sid': (lambda x: x, 'sid'), |
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'price': (float, 'price'), |
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'volume': (int, 'volume'), |
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'open_price': (float, 'open_price'), |
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'high': (float, 'high'), |
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'low': (float, 'low'), |
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} |
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def _gen_next_step(self, x): |
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x += np.random.randn() * self.sd + self.drift |
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return max(x, 0.1) |
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def _gen_events(self, cur_prices, current_dt): |
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for sid, price in six.iteritems(cur_prices): |
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cur_prices[sid] = self._gen_next_step(cur_prices[sid]) |
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event = { |
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'dt': current_dt, |
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'sid': sid, |
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'price': cur_prices[sid], |
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'volume': np.random.randint(1e5, 1e6), |
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'open_price': cur_prices[sid], |
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'high': cur_prices[sid] + .1, |
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'low': cur_prices[sid] - .1, |
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} |
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yield event |
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def raw_data_gen(self): |
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cur_prices = copy(self.start_prices) |
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for _, (open_dt, close_dt) in self.open_and_closes.iterrows(): |
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current_dt = copy(open_dt) |
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if self.freq == 'minute': |
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# Emit minutely trade signals from open to close |
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while current_dt <= close_dt: |
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for event in self._gen_events(cur_prices, current_dt): |
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yield event |
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current_dt += timedelta(minutes=1) |
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elif self.freq == 'daily': |
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# Emit one signal per day at close |
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for event in self._gen_events( |
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cur_prices, pd.tslib.normalize_date(close_dt)): |
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yield event |
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@property |
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def raw_data(self): |
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if not self._raw_data: |
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self._raw_data = self.raw_data_gen() |
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return self._raw_data |
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quantopian /
zipline
