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The Basic Objects and Functions |
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Subject: The Basic Objects and Functions
Author: WebSpider
In response to: Quantopian -- The basics
Posted on: 05/02/2019 12:28:10 AM
Object context:
context is a Python dictionary used for maintaining state by attaching any property:
context.some_property = some_value
is a Asset or a list of Assets which represents security. Find security asset by name:
assets = symbol('AAPL')
assets = [symbol('AAPL'), symbol('MSFT')]
assets = symbols('AAPL', 'MSFT')
# AAPL
assets = sid(24)
# AAPL, MSFT, and SPY
assets = [sid(24), sid(5061), sid(8554)]
>
> On 04/29/2019 10:45:33 PM WebSpider wrote:
The Algorithm Bare Bone:
# Import Algorithm API
import quantopian.algorithm as algo
def initialize(context):
# Initialize algorithm parameters
context.minute_count = 0
context.day_count = 0
context.minutely_message = "Minute {}."
context.daily_message = "Day {}."
context.weekly_message = "Time to place some trades!"
# Schedule rebalance function
algo.schedule_function(
rebalance,
date_rule=algo.date_rules.week_start(),
time_rule=algo.time_rules.market_open()
)
def handle_data(context, data):
context.minute_count += 1
if context.minute_count%60 == 0:
log.info(context.minutely_message, context.minute_count)
def before_trading_start(context, data):
# Execute any daily actions that need to happen
# before the start of a trading session
context.day_count += 1
log.info(context.daily_message, context.day_count)
def rebalance(context, data):
# Execute rebalance logic
log.info(context.weekly_message)
The output:
2019-01-02 05:45 before_trading_start:29 INFO Day 1.
2019-01-02 07:30 handle_data:23 INFO Minute 60.
2019-01-02 08:30 handle_data:23 INFO Minute 120.
2019-01-02 09:30 handle_data:23 INFO Minute 180.
2019-01-02 10:30 handle_data:23 INFO Minute 240.
2019-01-02 11:30 handle_data:23 INFO Minute 300.
2019-01-02 12:30 handle_data:23 INFO Minute 360.
2019-01-03 05:45 before_trading_start:29 INFO Day 2.
2019-01-03 07:00 handle_data:23 INFO Minute 420.
2019-01-03 08:00 handle_data:23 INFO Minute 480.
2019-01-03 09:00 handle_data:23 INFO Minute 540.
2019-01-03 10:00 handle_data:23 INFO Minute 600.
2019-01-03 11:00 handle_data:23 INFO Minute 660.
2019-01-03 12:00 handle_data:23 INFO Minute 720.
2019-01-03 13:00 handle_data:23 INFO Minute 780.
2019-01-04 05:45 before_trading_start:29 INFO Day 3.
2019-01-04 07:30 handle_data:23 INFO Minute 840.
2019-01-04 08:30 handle_data:23 INFO Minute 900.
2019-01-04 09:30 handle_data:23 INFO Minute 960.
2019-01-04 10:30 handle_data:23 INFO Minute 1020.
2019-01-04 11:30 handle_data:23 INFO Minute 1080.
2019-01-04 12:30 handle_data:23 INFO Minute 1140.
2019-01-07 05:45 before_trading_start:29 INFO Day 4.
2019-01-07 06:31 rebalance:34 INFO Time to place some trades!
2019-01-07 07:00 handle_data:23 INFO Minute 1200.
2019-01-07 08:00 handle_data:23 INFO Minute 1260.
2019-01-07 09:00 handle_data:23 INFO Minute 1320.
2019-01-07 10:00 handle_data:23 INFO Minute 1380.
2019-01-07 11:00 handle_data:23 INFO Minute 1440.
2019-01-07 12:00 handle_data:23 INFO Minute 1500.
2019-01-07 13:00 handle_data:23 INFO Minute 1560.
2019-01-08 05:45 before_trading_start:29 INFO Day 5.
2019-01-08 07:30 handle_data:23 INFO Minute 1620.
2019-01-08 08:30 handle_data:23 INFO Minute 1680.
2019-01-08 09:30 handle_data:23 INFO Minute 1740.
2019-01-08 10:30 handle_data:23 INFO Minute 1800.
2019-01-08 11:30 handle_data:23 INFO Minute 1860.
2019-01-08 12:30 handle_data:23 INFO Minute 1920.
2019-01-09 05:45 before_trading_start:29 INFO Day 6.
2019-01-09 07:00 handle_data:23 INFO Minute 1980.
2019-01-09 08:00 handle_data:23 INFO Minute 2040.
2019-01-09 09:00 handle_data:23 INFO Minute 2100.
2019-01-09 10:00 handle_data:23 INFO Minute 2160.
2019-01-09 11:00 handle_data:23 INFO Minute 2220.
2019-01-09 12:00 handle_data:23 INFO Minute 2280.
2019-01-09 13:00 handle_data:23 INFO Minute 2340.
2019-01-10 05:45 before_trading_start:29 INFO Day 7.
2019-01-10 07:30 handle_data:23 INFO Minute 2400.
2019-01-10 08:30 handle_data:23 INFO Minute 2460.
2019-01-10 09:30 handle_data:23 INFO Minute 2520.
2019-01-10 10:30 handle_data:23 INFO Minute 2580.
2019-01-10 11:30 handle_data:23 INFO Minute 2640.
2019-01-10 12:30 handle_data:23 INFO Minute 2700.
2019-01-11 05:45 before_trading_start:29 INFO Day 8.
2019-01-11 07:00 handle_data:23 INFO Minute 2760.
2019-01-11 08:00 handle_data:23 INFO Minute 2820.
2019-01-11 09:00 handle_data:23 INFO Minute 2880.
2019-01-11 10:00 handle_data:23 INFO Minute 2940.
2019-01-11 11:00 handle_data:23 INFO Minute 3000.
2019-01-11 12:00 handle_data:23 INFO Minute 3060.
2019-01-11 13:00 handle_data:23 INFO Minute 3120.
2019-01-14 05:45 before_trading_start:29 INFO Day 9.
2019-01-14 06:31 rebalance:34 INFO Time to place some trades!
What's going on here?
Function handle_data(context, data) (-- optional) has been triggered by system every minute;
Function before_trading_start(context, data) has been triggered by system (45 minutes) before trading start;
Function rebalance(context, data) has been triggered by Scheduler by its own specific rules.
References:
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