Going Live

Old zipline-live/zipline-live2 users know the command line tool that used to go live. e.g:

zipline run -f ~/zipline-algos/demo.py --state-file ~/zipline-algos/demo.state --realtime-bar-target ~/zipline-algos/realtime-bars/ --broker ib --broker-uri localhost:7496:1232 --bundle quantopian-quandl --data-frequency minute

You could still do that, but you shouldn’t.

The recommended way is to run inside a python file, preferably using an IDE so you could debug your code with breakpoints and memory view.

I will show you exactly how to do so, providing a template that you could just copy and develop your code in. It will be the exact same example I provided in the backtest section with a different call to run_algorithm which will connect to a broker (you could use IB or Alpaca for now)

Important notes before we start

You of course need to have everything already installed, so go to the install part if you don’t

You need to have an ingested data bundle. You could use the Alpaca Data Bundle or user your own.

You need to have some understanding on how a zipline algo is used. (Beginner Tutorial)

You need to set the ZIPLINE_ROOT env variable to point to your ingested data bundle.

You need to store the alpaca credentials in a file called zipline-trader.yaml in your root directory. it should look like this:

alpaca:
  key_id: "<YOUR-KEY>"
  secret: "<YOUR-SECRET>"
  base_url: https://paper-api.alpaca.markets

Algo Template

This next code snippet is a simple algorithm that is self contained. You could copy that into a python file and just execute it. It will connect to the Alpaca broker.

import os
import yaml
import pytz
import pandas as pd
from datetime import datetime
import pandas_datareader.data as yahoo_reader

from zipline.utils.calendars import get_calendar
from zipline.api import order_target, symbol
from zipline.data import bundles
from zipline import run_algorithm
from zipline.gens.brokers.alpaca_broker import ALPACABroker


def get_benchmark(symbol=None, start=None, end=None):
    bm = yahoo_reader.DataReader(symbol,
                                 'yahoo',
                                 pd.Timestamp(start),
                                 pd.Timestamp(end))['Close']
    bm.index = bm.index.tz_localize('UTC')
    return bm.pct_change(periods=1).fillna(0)


def initialize(context):
    pass


def handle_data(context, data):
    order_target(context.equity, 100)


def before_trading_start(context, data):
    context.equity = symbol("AMZN")


if __name__ == '__main__':
    bundle_name = 'alpaca_api'
    bundle_data = bundles.load(bundle_name)

    with open("zipline-trader.yaml", mode='r') as f:
        o = yaml.safe_load(f)
        os.environ["APCA_API_KEY_ID"] = o["alpaca"]["key_id"]
        os.environ["APCA_API_SECRET_KEY"] = o["alpaca"]["secret"]
        os.environ["APCA_API_BASE_URL"] = o["alpaca"]["base_url"]
    broker = ALPACABroker()

    # Set the trading calendar
    trading_calendar = get_calendar('NYSE')

    start = pd.Timestamp(datetime(2020, 1, 1, tzinfo=pytz.UTC))
    end = pd.Timestamp.utcnow()

    run_algorithm(start=start,
                  end=end,
                  initialize=initialize,
                  handle_data=handle_data,
                  capital_base=100000,
                  benchmark_returns=get_benchmark(symbol="SPY",
                                                  start=start.date().isoformat(),
                                                  end=end.date().isoformat()),
                  bundle='alpaca_api',
                  broker=broker,
                  state_filename="./demo.state",
                  trading_calendar=trading_calendar,
                  before_trading_start=before_trading_start,
                  data_frequency='daily'
                  )