ziplime 0.1.11__tar.gz

ziplime-0.1.11/PKG-INFO

@@ -0,0 +1,56 @@
+Metadata-Version: 2.1
+Name: ziplime
+Version: 0.1.11
+Summary: 
+Author: Lime Financial
+Author-email: support@lime.co
+Requires-Python: >=3.12,<4.0
+Classifier: Programming Language :: Python :: 3
+Classifier: Programming Language :: Python :: 3.12
+Classifier: Programming Language :: Python :: 3.13
+Requires-Dist: dask (>=2024.9.1,<2025.0.0)
+Requires-Dist: joblib (>=1.4.2,<2.0.0)
+Requires-Dist: lime-trader-sdk (>=0.3.9,<0.4.0)
+Requires-Dist: limexhub (>=0.1.27,<0.2.0)
+Requires-Dist: pygments (>=2.18.0,<3.0.0)
+Requires-Dist: setuptools (>=72.1.0,<73.0.0)
+Requires-Dist: zipline-reloaded (==3.1)
+Description-Content-Type: text/markdown
+
+# ziplime
+
+Zipline wrapper which enables using Lime data for backtesting
+
+## Installation
+
+```Bash
+poetry add ziplime
+```
+
+## Usage
+
+You can find usage examples below. All commands supported by `zipline` are also supported by `ziplime` with extended
+list of parameters for easier usage.
+
+### Data ingestion
+
+Data ingestion works by first fetching historical data and then and then running live data fetch in the background. 
+
+Difference from original zipline:
+
+- `--start-date` and `--end-date` parameters - used to fetch bundle data only for specific date period
+- `--symbols` parameter - specifies symbols to fetch data for directly in the command
+- Running live data fetch in the background
+
+Example:
+
+Ingest data:
+```Bash
+poetry run python -m ziplime ingest -b lime --period day --start-date 2024-06-01 --end-date 2024-07-31 --symbols AAPL,TSLA,AMZN
+```
+Run strategy
+```Bash
+poetry run python -m ziplime run -b lime --start 2024-06-01 --end 2024-07-31 --data-frequency daily --capital-base 100000 --no-benchmark -f test.py
+```
+
+

ziplime-0.1.11/README.md

@@ -0,0 +1,36 @@
+# ziplime
+
+Zipline wrapper which enables using Lime data for backtesting
+
+## Installation
+
+```Bash
+poetry add ziplime
+```
+
+## Usage
+
+You can find usage examples below. All commands supported by `zipline` are also supported by `ziplime` with extended
+list of parameters for easier usage.
+
+### Data ingestion
+
+Data ingestion works by first fetching historical data and then and then running live data fetch in the background. 
+
+Difference from original zipline:
+
+- `--start-date` and `--end-date` parameters - used to fetch bundle data only for specific date period
+- `--symbols` parameter - specifies symbols to fetch data for directly in the command
+- Running live data fetch in the background
+
+Example:
+
+Ingest data:
+```Bash
+poetry run python -m ziplime ingest -b lime --period day --start-date 2024-06-01 --end-date 2024-07-31 --symbols AAPL,TSLA,AMZN
+```
+Run strategy
+```Bash
+poetry run python -m ziplime run -b lime --start 2024-06-01 --end 2024-07-31 --data-frequency daily --capital-base 100000 --no-benchmark -f test.py
+```
+

ziplime-0.1.11/pyproject.toml

@@ -0,0 +1,24 @@
+[tool.poetry]
+name = "ziplime"
+version = "0.1.11"
+description = ""
+authors = ["Lime Financial <support@lime.co>"]
+readme = "README.md"
+packages = [{include = "ziplime"}]
+
+[tool.poetry.dependencies]
+python = "^3.12"
+zipline-reloaded = "3.1"
+dask = "^2024.9.1"
+setuptools = "^72.1.0"
+lime-trader-sdk = "^0.3.9"
+limexhub = "^0.1.27"
+joblib = "^1.4.2"
+pygments = "^2.18.0"
+
+[tool.poetry.scripts]
+weather = "ziplime.cli:cli"
+
+[build-system]
+requires = ["poetry-core"]
+build-backend = "poetry.core.masonry.api"

ziplime-0.1.11/ziplime/__main__.py

@@ -0,0 +1,507 @@
+import datetime
+import logging
+import os
+from functools import partial
+
+import pandas as pd
+from zipline.__main__ import ipython_only
+
+from zipline.utils.calendar_utils import get_calendar
+from zipline.utils.cli import Date
+
+from ziplime.constants.default_columns import DEFAULT_COLUMNS, OHLCV_COLUMNS
+from ziplime.constants.fundamental_data import FUNDAMENTAL_DATA_COLUMNS
+from ziplime.data.storages.bcolz_data_bundle import BcolzDataBundle
+from ziplime.utils.run_algo import _run, BenchmarkSpec
+
+import click
+import zipline
+from ziplime.data import bundles as bundles_module
+
+from click import DateTime
+from lime_trader.models.market import Period
+from zipline.utils.cli import Timestamp
+from zipline.utils.paths import data_root
+
+from ziplime.config.register_bundles import register_lime_symbol_list_equities_bundle
+
+from zipline import __main__ as zipline__main__
+from zipline.utils.run_algo import load_extensions
+from zipline.extensions import create_args
+
+from ziplime.data.bcolz_daily_bars import ZiplimeBcolzDailyBarWriter
+from ziplime.data.bcolz_minute_bars import ZiplimeBcolzMinuteBarWriter
+from ziplime.utils.bundle_utils import register_default_bundles, get_historical_market_data_provider, \
+    get_fundamental_data_provider, get_live_market_data_provider
+
+DEFAULT_BUNDLE = "lime"
+
+
+def validate_date_range(date_min: datetime.datetime, date_max: datetime.datetime):
+    def _validate_date_range(ctx, param, value):
+        if not date_min < value.replace(tzinfo=datetime.timezone.utc) < date_max:
+            raise click.BadParameter(f"Must be between {date_min} and {date_max}")
+        return value
+
+    return _validate_date_range
+
+
+@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.",
+)
+@click.option(
+    "-x",
+    multiple=True,
+    help="Any custom command line arguments to define, in key=value form.",
+)
+@click.pass_context
+def main(ctx, extension, strict_extensions, default_extension, x):
+    """Top level ziplime entry point."""
+    # install a logging handler before performing any other operations
+
+    logging.basicConfig(
+        format="[%(asctime)s-%(levelname)s][%(name)s]\n %(message)s",
+        level=logging.INFO,
+        datefmt="%Y-%m-%dT%H:%M:%S%z",
+    )
+
+    register_default_bundles()
+
+    create_args(x, zipline.extension_args)
+    load_extensions(
+        default_extension,
+        extension,
+        strict_extensions,
+        os.environ,
+    )
+
+
+@main.command(context_settings=dict(
+    # ignore_unknown_options=True,
+    # allow_extra_args=True,
+))
+@click.option(
+    "-b",
+    "--bundle",
+    default=DEFAULT_BUNDLE,
+    metavar="BUNDLE-NAME",
+    show_default=True,
+    help="The data bundle to ingest.",
+)
+@click.option(
+    "-c",
+    "--calendar",
+    default="NYSE",
+    show_default=True,
+    help="Default calendar to use.",
+)
+@click.option('--new-bundle-name', default=None)
+@click.option(
+    "--start-date",
+    type=DateTime(),
+    callback=validate_date_range(date_min=datetime.datetime(year=1800,
+                                                            month=1,
+                                                            day=1,
+                                                            tzinfo=datetime.timezone.utc
+                                                            ),
+                                 date_max=datetime.datetime.now(tz=datetime.timezone.utc),
+                                 )
+)
+@click.option(
+    "--end-date",
+    type=DateTime(),
+    callback=validate_date_range(date_min=datetime.datetime(year=1800,
+                                                            month=1,
+                                                            day=1,
+                                                            tzinfo=datetime.timezone.utc
+                                                            ),
+                                 date_max=datetime.datetime.now(tz=datetime.timezone.utc),
+                                 )
+)
+@click.option(
+    "--period",
+    default="day",
+    type=click.Choice(['minute', 'hour', 'day', 'week', 'month', 'quarter'], case_sensitive=False),
+)
+@click.option("-s", '--symbols')
+@click.option('--fundamental-data')
+@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.",
+)
+@click.option(
+    "--historical-market-data-provider",
+    default="limex-hub",
+    help="Market data provider for historical data",
+    show_default=True,
+)
+@click.option(
+    "--fundamental-data-provider",
+    default="limex-hub",
+    help="Fundamental data provider",
+    show_default=True,
+)
+@click.pass_context
+def ingest(ctx, bundle, new_bundle_name, start_date, end_date, period, symbols, fundamental_data, show_progress,
+           assets_version, calendar,
+           historical_market_data_provider,
+           fundamental_data_provider
+           ):
+    """Top level ziplime entry point."""
+    symbols_parsed = symbols.split(',') if symbols else None
+    fundamental_data_list = fundamental_data.split(",") if fundamental_data else None
+    if new_bundle_name:
+        bundle_name = f"{DEFAULT_BUNDLE}-{new_bundle_name}"
+        ctx.args = ['-b', new_bundle_name] + ctx.args
+    else:
+        bundle_name = bundle
+        ctx.args = ['-b', bundle] + ctx.args
+    # install a logging handler before performing any other operations
+    register_lime_symbol_list_equities_bundle(
+        bundle_name=bundle_name,
+        symbols=symbols_parsed,
+        start_session=start_date,
+        end_session=end_date,
+        period=Period(period),
+        calendar_name=calendar,
+        fundamental_data_list=fundamental_data_list if fundamental_data_list is not None else [
+            col.name for col in
+            FUNDAMENTAL_DATA_COLUMNS
+        ]
+    )
+
+    new_params = dict(**ctx.params)
+
+    # clean up lime only params and set new bundle name
+    new_params["bundle"] = bundle_name
+
+    fundamental_data_cols = ([
+                                 col
+                                 for col in FUNDAMENTAL_DATA_COLUMNS
+                                 if col.name in set(fundamental_data_list)
+                             ]
+                             if fundamental_data_list is not None
+                             else DEFAULT_COLUMNS)
+    bundles_module.ingest(
+        name=bundle_name,
+        environ=os.environ,
+        timestamp=pd.Timestamp.utcnow(),
+        assets_version=assets_version,
+        show_progress=show_progress,
+        historical_market_data_provider=get_historical_market_data_provider(code=historical_market_data_provider),
+        fundamental_data_provider=get_fundamental_data_provider(code=fundamental_data_provider),
+        minute_bar_writer_class=ZiplimeBcolzMinuteBarWriter,
+        daily_bar_writer_class=BcolzDataBundle,
+        fundamental_data_writer_class=BcolzDataBundle,
+        market_data_fields=OHLCV_COLUMNS,
+        fundamental_data_fields=fundamental_data_cols,
+        minute_bar_writer_cols=fundamental_data_cols,
+    )
+
+
+@main.command(context_settings=dict(
+    ignore_unknown_options=True,
+    allow_extra_args=True,
+))
+@click.option(
+    "-b",
+    "--bundle",
+    default=DEFAULT_BUNDLE,
+    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",
+)
+@click.pass_context
+def clean(ctx, bundle, before, after, keep_last):
+    """Top level ziplime entry point."""
+
+    func = getattr(zipline__main__, "clean")
+    ctx.forward(func)
+
+
+@main.command(context_settings=dict(
+    ignore_unknown_options=True,
+    allow_extra_args=True,
+))
+@click.pass_context
+def bundles(ctx):
+    """Top level ziplime entry point."""
+    func = getattr(zipline__main__, "bundles")
+    ctx.forward(func)
+
+
+@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=DEFAULT_BUNDLE,
+    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(
+    "-bf",
+    "--benchmark-file",
+    default=None,
+    type=click.Path(exists=True, dir_okay=False, readable=True, path_type=str),
+    help="The csv file that contains the benchmark returns",
+)
+@click.option(
+    "--benchmark-symbol",
+    default=None,
+    type=click.STRING,
+    help="The symbol of the instrument to be used as a benchmark "
+         "(should exist in the ingested bundle)",
+)
+@click.option(
+    "--benchmark-sid",
+    default=None,
+    type=int,
+    help="The sid of the instrument to be used as a benchmark "
+         "(should exist in the ingested bundle)",
+)
+@click.option(
+    "--no-benchmark",
+    is_flag=True,
+    default=False,
+    help="If passed, use a benchmark of zero returns.",
+)
+@click.option(
+    "-s",
+    "--start",
+    type=Date(as_timestamp=True),
+    help="The start date of the simulation.",
+)
+@click.option(
+    "-e",
+    "--end",
+    type=Date(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="XNYS",
+    help="The calendar you want to use e.g. XLON. XNYS is the default.",
+)
+@click.option(
+    "--print-algo/--no-print-algo",
+    is_flag=True,
+    default=False,
+    help="Print the algorithm to stdout.",
+)
+@click.option(
+    "--metrics-set",
+    default="default",
+    help="The metrics set to use. New metrics sets may be registered in your"
+         " extension.py.",
+)
+@click.option(
+    "--blotter",
+    default="default",
+    help="The blotter to use.",
+    show_default=True,
+)
+@click.option(
+    "--broker",
+    default=None,
+    help="The broker to use for live trading.",
+    show_default=True,
+)
+@click.option(
+    "--live-market-data-provider",
+    default="lime-trader-sdk",
+    help="Market data provider for live trading",
+    show_default=True,
+)
+@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,
+        benchmark_file,
+        benchmark_symbol,
+        benchmark_sid,
+        no_benchmark,
+        start,
+        end,
+        output,
+        trading_calendar,
+        print_algo,
+        metrics_set,
+        local_namespace,
+        blotter,
+        broker: str | None,
+        live_market_data_provider: str,
+):
+    """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)
+
+    benchmark_spec = BenchmarkSpec.from_cli_params(
+        no_benchmark=no_benchmark,
+        benchmark_sid=benchmark_sid,
+        benchmark_symbol=benchmark_symbol,
+        benchmark_file=benchmark_file,
+    )
+
+    return _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,
+        bundle=bundle,
+        bundle_timestamp=bundle_timestamp,
+        start=start,
+        end=end,
+        output=output,
+        trading_calendar=trading_calendar,
+        print_algo=print_algo,
+        metrics_set=metrics_set,
+        local_namespace=local_namespace,
+        environ=os.environ,
+        blotter=blotter,
+        benchmark_spec=benchmark_spec,
+        custom_loader=None,
+        broker=broker,
+        market_data_provider=get_live_market_data_provider(live_market_data_provider)
+    )
+
+
+if __name__ == "__main__":
+    main()