Announcement: New schedule_function method allows you to specify when a function runs

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edited Nov 13, 2014

Today we are releasing a brand new method called schedule_function that allows you to specify on what days and at what times you want a function to run. Instead of manually calculating the day and time in your algorithm, you can pass it in this function automatically! It will execute your code based on the rules you pass - on a daily, weekly or monthly schedule, or at a specific time during the trading day.

This means, you can easily schedule a piece of code to run once a day, at the beginning of a month, or only execute orders 15 minutes before the market closes - to name a few examples.

Take a look at the example below which shows a portfolio rebalance that happens the first trading day of the month, 30 minutes after the market opens or read more about how schedule_function works. Try it out with your algorithm and we'd love to hear your feedback!

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11 responses

Richard Diehl

Nov 13, 2014

Great addition to Quantopian. This should save code, make things simpler, and hopefully allow the programmers to optimize the code.

Grant Kiehne

Nov 14, 2014

Thanks Karen,

Some questions:

When does the function get called in relation to the call to handle_data?
The help page and your example show the function with context & data as arguments. Are they the only arguments that can be used?
Is the code for this functionality open source (e.g. in zipline)?
If the function contains an order, will it be sent asynchronously (immediately) to the broker (as for a normal order)? Or will there be a delay?
Can the function be called independently (e.g. based on other conditions in the code)? Or if it is scheduled, can it only be run per the schedule automatically?

Grant

Joe Jevnik

Nov 14, 2014

Hey Grant, to address your questions:

The functions are called AFTER handle_data in the order they are scheduled.
Just like handle_data, context and data are the only arguments that can be used. You can think of handle_data as a function that has been implicitly scheduled to run every minute (this is the actual implementation too).
This is all in zipline. For implementation details, you can poke at zipline.utils.events
I am going to double check on the timing of orders.
The function is still usable like normal, you can call it just like any other function without affecting the schedule.

Disclaimer

Seong Lee

Nov 21, 2014

Here are a few examples that show how you'd convert an algorithm into schedule function.

I took Alex Lokhov's Structural Arbitrage Strategy found here (https://www.quantopian.com/posts/example-implementation-of-the-structural-arbitrage-strategy?c=1) and converted (very easily with schedule function) into minutely mode

Disclaimer

Karol Estrada

Feb 3, 2015

I'm using schedule_function in a quantopian script without a problem, but when I try to run it outside quantopian using zipline the function can't be found.
zipline.utils.events doesn't seem to have that function either. Can you post the way to use it in zipline?

Joe Jevnik

Feb 3, 2015

If a function is available to you without import on Quantopian, then it normally lives in:

zipline.api

# For example  
from zipline.api import schedule_function, order, history

The function itself is in zipline.algorithm if you are interested.

Disclaimer

Karol Estrada

Feb 3, 2015

Thanks Joe, that worked well. How do I keep compatibility with the log.info commands available in quantopian?

Joe Jevnik

Feb 3, 2015

you can construct a Logger object:

from logbook import Logger  
log = Logger('Algorithm)

and then you should be good to go.

Disclaimer

Andrew Varley

Feb 3, 2015

Hey Seong--

I'm finding that the schedule function doesn't appear to be respecting the parameters in the market_open function as well as not respecting two separate schedule_function calls for the same day (ie. market_open/market_close) For the example you pasted, if I change minutes from 15 to 45 (or hours), nothing changes with respect when the order occurs or the returns generated. Similarly, if I try and use two schedule_function calls, one for the beginning of the day and one for the end, it seems to call them both at the same time. Any insight?

Thanks!

Joe Jevnik

Feb 3, 2015

In daily mode, all scheduled functions are executed at the end of day when handle_data is called.

Disclaimer

Grant Bartel

Mar 29, 2015

Is schedule_function available in zipline 0.7.0? If not, is there a plan on updating the zipline package in pip to 0.8.0 anytime soon? I tried importing zipline.api with schedule_function, but I receive

AttributeError: 'MyStrategy' object has no attribute 'schedule_function'

I checked the Git repository and read the schedule_function code, so I'm certain I'm calling it correctly. Here's an example of how my code looks

class MyStrategy(TradingAlgorithm):  
    def trade_indicator(self, data):  
        # Do something cool  
        pass

    def initialize(self):  
        # Initialize broker settings  
        self.set_commission(commission.PerTrade(cost=1.0))  
        self.set_slippage(FixedSlippage(spread=0.0))

        # Initialize scheduled functions  
        self.schedule_function(self.trade_indicator,  
                               date_rule=self.date_rules.every_day(),  
                               time_rule=self.time_rules.market_open(hours=0, minutes=30))

    def handle_data(self, data):  
        pass

Any ideas of what could be the issue? I guess if this ends up not working, I'll prime the data via history and "schedule" my function's call in handle_data.

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