zipline-norgatedata 0.0.2

Zipline extension to provide bundles of data from Norgate Data into the Zipline algorithmic trading library

Project description

Creates an interface between Norgate data and Zipline, the pythonic algorithmic trading library, to create bundles.

This is currently in alpha stage testing to selected users of Norgate Data.

Currently, equities are supported. Futures data support is coming very soon.

Installation

pip install zipline-norgatedata

or, if you prefer to use conda:

conda install -c norgatedata zipline-norgatedata

Requirements

• Python 3.5 (3.6 and 3.7 will be supported when Zipline supports them)
• Zipline 1.3
• Microsoft Windows
• Active Norgate Data subscription

Usage

Add the following lines at the top of your extension.py file:

from pandas import Timestamp
from norgatedata import StockPriceAdjustmentType
from zipline_norgatedata import register_norgatedata_equities_bundle,register_norgatedata_futures_bundle

Then create as many bundles as you desire. These bundles will use one or more watchlists from your Norgate Data installation.

Here are some examples:

bundlename = 'norgatedata-sp500-backtest'
watchlists = ['S&P 500 Current & Past']
stock_price_adjustment_setting = StockPriceAdjustmentType.TOTALRETURN
start_session = Timestamp("1990-01-01",tz='utc') # Start date of data ingestion - NOTE: zipline cannot handle dates prior to 1990
end_session = Timestamp.now(tz='utc')
calendar_name = 'NYSE'
register_norgatedata_equities_bundle(bundlename,stock_price_adjustment_setting,watchlists,start_session,end_session,calendar_name)


bundlename = 'norgatedata-russell3000-backtest'
watchlists = ['Russell 3000 Current & Past']
stock_price_adjustment_setting = StockPriceAdjustmentType.TOTALRETURN
start_session = Timestamp("1990-01-01",tz='utc') # Start date of data ingestion - NOTE: zipline cannot handle dates prior to 1990
end_session = Timestamp.now(tz='utc')
calendar_name = 'NYSE'
register_norgatedata_equities_bundle(bundlename,stock_price_adjustment_setting,watchlists,start_session,end_session,calendar_name)

Ingest data

To ingest data from one of the bundles you've defined in extension.py. For example:

zipline ingest -b norgatedata-sp500-backtest
zipline ingest -b norgatedata-russell3000-backtest

Support

Norgate Data support