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Migrate your Algorithm from Quantopian

This document describes how you can transform your algorithm source built in Quantopian to pylivetrader. pylivetrader API is compatible with zipline API, but there are some changes that require mechanical and manual process to move from Quantopian/zipline.

Copy and Paste

First thing first, you need to create a python script. Go to your Quantopian algorithm page, copy the entire source code, paste and save it as a python script. Here we name it algo.py as an example.

Python 2 and 3

The next thing you need to know is that Quantopian's environment, as of writing, is based on Python 2. Python 2 is ending its life by 2020. pylivetrader currently supports only Python 3, so you need to convert your Python 2 script for Python 3. While those two are not compatible, there are not so many differences. And the good news is that the Python community has been putting so much effort to make it easy to migrate from 2 to 3.

In short, the 2to3 command will help here. You should have this program if you have installed Python 3. For more details of this script, you can read the official document.

$ 2to3 -w algo.py

This updates your Python script so it works with Python 3. Remember, you will have the original file as algo.py.bak.

Fix imports

pylivetrader is API-compatible with Quantopian/zipline, but you still need to update your import statements so you import pylivetrader modules, instead of Quantopian/zipline ones. Any imported modules starting from quantopian will not work outside of the Quantopian environment. There are a couple of cases that need different solutions here.

Algorithm API

This is the API under the quantopian.algorithm or zipline.algorithm package. The package path should be replaced with pylivetrader.algorithm. All the Algorithm API is ported to pylivetrader, but some of the API (such as futures trading specific API) will throw NotSupported exception.

Pipeline API

This is the API under the quantopian.pipeline or zipline.pipeline package. pylivetrader does not provide direct replacement for pipeline, but you can use pipeline-live. You need to install this package separately as pylivetrader does not automatically include it. For more information, please read pipeline-live's migration document.

Under attach_pipeline and pipeline_output, pylivetrader uses the pipeline-live pakcage if it is installed, otherwise throws RuntimeError.

Optimize API

This is the API under the quantopian.optimize or zipline.optimize package. Optimize API is not currently supported by pylivetrader.

Anything Else that Starts wtih quantopian.

For those other APIs, you will have to change the code so it works as you intended. The good news is that there is no limiation or restriction in this pylivetrader, so you will probably be able to do what you can do.

Zipline API

The other zipline API is ported to pylivetrader as much as possible, and should cover most of the use cases. Some of the features such as commission model is no-operation, since it is not applicable in the live trading environment, but they still exist for compatibility.

Implicit imports

The Quantopian environment adds certain functions to the namespace when it loads the algorithm source code. In pylivetrader, your algorithm file has to explicitly import those by yourself. These "auto" functions are under pylivetrader.api package. You can add this line to your algorithm source code.

from pylivetrader.api import *

The implicitly imported APIs are the following.

  • order
  • order_value
  • order_percent
  • order_target
  • order_target_value
  • order_target_percent
  • cancel_order
  • get_open_orders
  • get_order
  • continuous_future (unsupported in pylivetrader)
  • fetch_csv (unsupported in pylivetrader)
  • get_datetime
  • get_environment (unsupported in pylivetrader)
  • log (need extra step)
  • record
  • schedule_function
  • set_symbol_lookup_date (no-op in pylivetrader)
  • sid
  • symbol
  • symbols
  • set_long_only
  • set_max_order_count
  • set_max_order_size
  • set_max_position_size
  • set_max_leverage

Checking and Testing

Once you convert your algorithm code, you may want to check if there is no easy mistake at the literal level. This is optional, but we recommend using autopep8 and flake8 which you can install via pip and tell there are some syntax errors or uninitialized variables etc.

You are almost there, but remember, good software is always tested before deployed, and there is no difference in trading algorithm. At the moment, your option is to write a unit test using unittest package and pytest by youself, but pytrader will soon have a good support for it, too.

It is also recommended to take advantage of paper trading account if your broker supports it. You should expect some issues such as network problem, API to return errors, orders not being filled for long. Paper trading will help you spot these issues by running your algorithm in live.

Future Plans

pylivetrader is designed to run Quantopian/zipline algorithm with minimum effort. The procedure explained here will be also automated as much as possible by pylivetrader in the future. Also, as discussed above, the unit test helper class is also under development currently.