# assuming you're running this notebook in zipline/docs/notebooks
import os

if os.name == 'nt':
    # windows doesn't have the cat command, but uses 'type' similarly
    ! type "..\..\zipline\examples\buyapple.py"
else:
    ! cat ../../zipline/examples/buyapple.py

"""
Explanation: Zipline beginner tutorial
Basics
Zipline is an open-source algorithmic trading simulator written in Python.
The source can be found at: https://github.com/quantopian/zipline
Some benefits include:

Realistic: slippage, transaction costs, order delays.
Stream-based: Process each event individually, avoids look-ahead bias.
Batteries included: Common transforms (moving average) as well as common risk calculations (Sharpe).
Developed and continuously updated by Quantopian which provides an easy-to-use web-interface to Zipline, 10 years of minute-resolution historical US stock data, and live-trading capabilities. This tutorial is directed at users wishing to use Zipline without using Quantopian. If you instead want to get started on Quantopian, see here.

This tutorial assumes that you have zipline correctly installed, see the installation instructions if you haven't set up zipline yet.
Every zipline algorithm consists of two functions you have to define:
* initialize(context)
* handle_data(context, data)
Before the start of the algorithm, zipline calls the initialize() function and passes in a context variable. context is a persistent namespace for you to store variables you need to access from one algorithm iteration to the next.
After the algorithm has been initialized, zipline calls the handle_data() function once for each event. At every call, it passes the same context variable and an event-frame called data containing the current trading bar with open, high, low, and close (OHLC) prices as well as volume for each stock in your universe. For more information on these functions, see the relevant part of the Quantopian docs.
My first algorithm
Lets take a look at a very simple algorithm from the examples directory, buyapple.py:
End of explanation
"""


!zipline run --help

"""
Explanation: As you can see, we first have to import some functions we would like to use. All functions commonly used in your algorithm can be found in zipline.api. Here we are using order() which takes two arguments -- a security object, and a number specifying how many stocks you would like to order (if negative, order() will sell/short stocks). In this case we want to order 10 shares of Apple at each iteration. For more documentation on order(), see the Quantopian docs.
Finally, the record() function allows you to save the value of a variable at each iteration. You provide it with a name for the variable together with the variable itself: varname=var. After the algorithm finished running you will have access to each variable value you tracked with record() under the name you provided (we will see this further below). You also see how we can access the current price data of the AAPL stock in the data event frame (for more information see here.
Running the algorithm
To now test this algorithm on financial data, zipline provides two interfaces. A command-line interface and an IPython Notebook interface.
Command line interface
After you installed zipline you should be able to execute the following from your command line (e.g. cmd.exe on Windows, or the Terminal app on OSX):
End of explanation
"""


!zipline run -f ../../zipline/examples/buyapple.py --start 2000-1-1 --end 2014-1-1 -o buyapple_out.pickle

"""
Explanation: Note that you have to omit the preceding '!' when you call run_algo.py, this is only required by the IPython Notebook in which this tutorial was written.
As you can see there are a couple of flags that specify where to find your algorithm (-f) as well as parameters specifying which stock data to load from Yahoo! finance and the time-range (--start and --end). Finally, you'll want to save the performance metrics of your algorithm so that you can analyze how it performed. This is done via the --output flag and will cause it to write the performance DataFrame in the pickle Python file format. Note that you can also define a configuration file with these parameters that you can then conveniently pass to the -c option so that you don't have to supply the command line args all the time (see the .conf files in the examples directory).
Thus, to execute our algorithm from above and save the results to buyapple_out.pickle we would call run_algo.py as follows:
End of explanation
"""


import pandas as pd
perf = pd.read_pickle('buyapple_out.pickle') # read in perf DataFrame
perf.head()

"""
Explanation: run_algo.py first outputs the algorithm contents. It then fetches historical price and volume data of Apple from Yahoo! finance in the desired time range, calls the initialize() function, and then streams the historical stock price day-by-day through handle_data(). After each call to handle_data() we instruct zipline to order 10 stocks of AAPL. After the call of the order() function, zipline enters the ordered stock and amount in the order book. After the handle_data() function has finished, zipline looks for any open orders and tries to fill them. If the trading volume is high enough for this stock, the order is executed after adding the commission and applying the slippage model which models the influence of your order on the stock price, so your algorithm will be charged more than just the stock price * 10. (Note, that you can also change the commission and slippage model that zipline uses, see the Quantopian docs for more information).
Note that there is also an analyze() function printed. run_algo.py will try and look for a file with the ending with _analyze.py and the same name of the algorithm (so buyapple_analyze.py) or an analyze() function directly in the script. If an analyze() function is found it will be called after the simulation has finished and passed in the performance DataFrame. (The reason for allowing specification of an analyze() function in a separate file is that this way buyapple.py remains a valid Quantopian algorithm that you can copy&paste to the platform).
Lets take a quick look at the performance DataFrame. For this, we use pandas from inside the IPython Notebook and print the first ten rows. Note that zipline makes heavy usage of pandas, especially for data input and outputting so it's worth spending some time to learn it.
End of explanation
"""


%pylab inline
figsize(12, 12)
import matplotlib.pyplot as plt

ax1 = plt.subplot(211)
perf.portfolio_value.plot(ax=ax1)
ax1.set_ylabel('portfolio value')
ax2 = plt.subplot(212, sharex=ax1)
perf.AAPL.plot(ax=ax2)
ax2.set_ylabel('AAPL stock price')

"""
Explanation: As you can see, there is a row for each trading day, starting on the first business day of 2000. In the columns you can find various information about the state of your algorithm. The very first column AAPL was placed there by the record() function mentioned earlier and allows us to plot the price of apple. For example, we could easily examine now how our portfolio value changed over time compared to the AAPL stock price.
End of explanation
"""


%load_ext zipline

%%zipline --start 2000-1-1 --end 2014-1-1 -o perf_ipython.pickle

from zipline.api import symbol, order, record

def initialize(context):
    context.asset = symbol('AAPL')

def handle_data(context, data):
    order(context.asset, 10)
    record(AAPL=data.current(context.asset, 'price'))

"""
Explanation: As you can see, our algorithm performance as assessed by the portfolio_value closely matches that of the AAPL stock price. This is not surprising as our algorithm only bought AAPL every chance it got.
IPython Notebook
The IPython Notebook is a very powerful browser-based interface to a Python interpreter (this tutorial was written in it). As it is already the de-facto interface for most quantitative researchers zipline provides an easy way to run your algorithm inside the Notebook without requiring you to use the CLI. 
To use it you have to write your algorithm in a cell and let zipline know that it is supposed to run this algorithm. This is done via the %%zipline IPython magic command that is available after you run %load_ext zipline in a separate cell. This magic takes the same arguments as the command line interface described above.
End of explanation
"""


pd.read_pickle('perf_ipython.pickle').head()

"""
Explanation: Note that we did not have to specify an input file as above since the magic will use the contents of the cell and look for your algorithm functions there.
End of explanation
"""


from zipline.utils.paths import zipline_root

root = zipline_root()

"""
Explanation: Using Custom Bundles (Advanced)
If you want to use your own custom data bundles using yahoo finance data,  you'll first need to find where your zipline root directory is.
End of explanation
"""


ext_path = os.path.join(root, "extension.py")

%%writefile {ext_path}

from zipline.data.bundles import register, yahoo_equities

equities = (
    'AAPL',
    'IBM',
    'MSFT',
)

register(
    'my-bundle', # you can use any name you want                                                                                                                                    
    yahoo_equities(equities),
)

"""
Explanation: Once we've found where our root directory is, we'll want to add a file called extension.py to the zipline root directory, which is where we will register our custom yahoo bundle. We'll edit that file with the following code:
End of explanation
"""


! zipline bundles

! zipline ingest -b my-bundle

"""
Explanation: Now we'll check that our bundle was created by running zipline bundles, and then ingest our bundle for usage using zipline ingest.
End of explanation
"""


%%zipline --bundle my-bundle --start 2000-1-1 --end 2014-1-1 -o custom_bundle

from zipline.api import symbol, order, record

def initialize(context):
    context.asset = symbol('AAPL')

def handle_data(context, data):
    order(context.asset, 10)
    record(AAPL=data.current(context.asset, 'price'))

"""
Explanation: And now we can re-run the code we wrote above using our custom yahoo bundle.
End of explanation
"""


%%zipline --start 2000-1-1 --end 2014-1-1 -o perf_dma.pickle

from zipline.api import order_target, record, symbol
import numpy as np
import matplotlib.pyplot as plt

def initialize(context):
    context.i = 0
    context.asset = symbol('AAPL')


def handle_data(context, data):
    # Skip first 300 days to get full windows
    context.i += 1
    if context.i < 300:
        return

    # Compute averages
    # data.history() has to be called with the same params
    # from above and returns a pandas dataframe.
    short_mavg = data.history(context.asset, 'price', bar_count=100, frequency="1d").mean()
    long_mavg = data.history(context.asset, 'price', bar_count=300, frequency="1d").mean()

    # Trading logic
    if short_mavg > long_mavg:
        # order_target orders as many shares as needed to
        # achieve the desired number of shares.
        order_target(context.asset, 100)
    elif short_mavg < long_mavg:
        order_target(context.asset, 0)

    # Save values for later inspection
    record(AAPL=data.current(context.asset, 'price'),
           short_mavg=short_mavg,
           long_mavg=long_mavg)


def analyze(context, perf):
    fig = plt.figure()
    ax1 = fig.add_subplot(211)
    perf.portfolio_value.plot(ax=ax1)
    ax1.set_ylabel('portfolio value in $')
    ax1.set_xlabel('time in years')

    ax2 = fig.add_subplot(212)

    perf['AAPL'].plot(ax=ax2)
    perf[['short_mavg', 'long_mavg']].plot(ax=ax2)

    perf_trans = perf.ix[[t != [] for t in perf.transactions]]
    buys = perf_trans.ix[[t[0]['amount'] > 0 for t in perf_trans.transactions]]
    sells = perf_trans.ix[[t[0]['amount'] < 0 for t in perf_trans.transactions]]
    ax2.plot(buys.index, perf.short_mavg.ix[buys.index], '^', markersize=10, color='m')
    ax2.plot(sells.index, perf.short_mavg.ix[sells.index],'v', markersize=10, color='k')
    ax2.set_ylabel('price in $')
    ax2.set_xlabel('time in years')
    plt.legend(loc=0)
    plt.show()

"""
Explanation: If you want to use your own custom bundle, that doesn't use yahoo finance data, check out our docs on writing a new bundle
Access to previous prices using data.history()
Working example: Dual Moving Average Cross-Over
The Dual Moving Average (DMA) is a classic momentum strategy. It's probably not used by any serious trader anymore but is still very instructive. The basic idea is that we compute two rolling or moving averages (mavg) -- one with a longer window that is supposed to capture long-term trends and one shorter window that is supposed to capture short-term trends. Once the short-mavg crosses the long-mavg from below we assume that the stock price has upwards momentum and long the stock. If the short-mavg crosses from above we exit the positions as we assume the stock to go down further.
As we need to have access to previous prices to implement this strategy we need a new concept: History
data.history() is a convenience function that keeps a rolling window of data for you. The first argument is the asset or iterable of assets you're using, the second argument is the field you're looking for i.e. price, open, volume, the third argument is the number of bars, and the fourth argument is your frequency (either '1d' for '1m' but note that you need to have minute-level data for using 1m). 
For a more detailed description of data.history()'s features, see the Quantopian docs. Let's look at the strategy which should make this clear:
End of explanation
"""


