zipline_strategy.py 文件源码

def rebalance(context, data):

    #############################################################################
    # Pipeline data will be a dataframe with boolean columns named 'longs' and
    # 'shorts'.
    pipeline_data = context.pipeline_data
    all_assets = pipeline_data.index

    longs = all_assets[pipeline_data.longs]
    shorts = all_assets[pipeline_data.shorts]

    record(universe_size=len(all_assets))

    # Build a 2x-leveraged, equal-weight, long-short portfolio.
    one_third = 1.0 / context.optim_leveraged
    for asset in longs:
        order_target_percent(asset, one_third)

    for asset in shorts:
        order_target_percent(asset, -one_third)

    # Remove any assets that should no longer be in our portfolio.
    portfolio_assets = longs | shorts
    positions = context.portfolio.positions
    for asset in viewkeys(positions) - set(portfolio_assets):
        # This will fail if the asset was removed from our portfolio because it
        # was delisted.
        if data.can_trade(asset):
            order_target_percent(asset, 0)