Zipline uses blotter class to interface with backtesting or normal brokers.
Currently in zipline-live blotter is unused: TradingAlgorithm's respective calls are
overridden to reach out the broker directly. This approach prevents zipline to keep
track of positions in the performance report.
Additionally, if we want to run backtest & live trading at the same time (e.g.: to enable dynamic activation of the strategy based on it's previous performance) the current approach won't work.
This ticket tracks the efforts of migrating to blotter_live.
tibkiss
commented
6 years ago
Zipline uses blotter class to interface with backtesting or normal brokers.
Currently in zipline-live blotter is unused: TradingAlgorithm's respective calls are overridden to reach out the broker directly. This approach prevents zipline to keep track of positions in the performance report. Additionally, if we want to run backtest & live trading at the same time (e.g.: to enable dynamic activation of the strategy based on it's previous performance) the current approach won't work.
This ticket tracks the efforts of migrating to blotter_live.