Sell-on-Gap Strategy › Part 4: Zipline Code

Zipline Strategy Code¶

The strategy code is provided in sell-gap.py.

Install strategy file¶

To "install" the strategy, execute the following cell to move the strategy file to the /codeload/zipline directory, where Zipline looks:

In [1]:

# make directory if doesn't exist
!mkdir -p /codeload/zipline

!mv sell-gap.py /codeload/zipline/

Strategy overview¶

A summary of functions in the strategy file is provided below:

In make_pipeline(), imported from our helper module created earlier, we define the pipeline using the code from our earlier notebook.
In initialize(), we attach the pipeline to the algo and schedule the custom functions find_down_gaps, short_down_gaps, and close_positions.
In before_trading_start(), we gather the pipeline output for the day and, in live trading, initiate real-time data collection. (We also instruct the real-time service to automatically cancel data collection at 9:32 AM, shortly after our strategy has checked the opening prices.)
In find_down_gaps(), which is scheduled to run at 9:31 AM, we identify stocks that gapped down and opened below their moving average.
In short_down_gaps(), which is scheduled to run at 9:40 AM, we short the stocks identified earlier.
In close_positions(), which is scheduled to run 5 minutes before the market closes, we place market orders to liquidate our positions.

Next Up¶

Part 5: Backtest