make broker interface more generic

Current implementation of --live-trading and --tws-uri command
line options is very IB-specific. We need something more generic
to be able to support different brokers.

Changed --live-trading and --tws-uri options to more generic
--broker and --broker-uri to be able to support more than one
broker interface.

Changed the way broker module is imported. From now on it's expected
that broker class will be placed into
   gens/brokers/<lowercase broker name>_broker.py
and broker module will be named <uppercase broker name>Broker,
e.g. zipline/gens/brokers/ib_broker.py and IBBroker.

This should hopefully allow us to add broker modules without
changing command line interface.

Signed-off-by: Ed Bartosh <bartosh@gmail.com>

zipline/__main__.py

@@ -1,5 +1,7 @@
 import errno
 import os
+
+from importlib import import_module
 from functools import wraps
 
 import click
@@ -185,17 +187,16 @@ def _(*args, **kwargs):
     help='Should the algorithm methods be resolved in the local namespace.'
 ))
 @click.option(
-    '--live-trading',
-    is_flag=True,
-    default=False,
-    help='Live trading using IB TWS'
+    '--broker',
+    default=None,
+    help='Broker'
 )
 @click.option(
-    '--tws-uri',
+    '--broker-uri',
     default=None,
-    metavar='TWS-URI',
+    metavar='BROKER-URI',
     show_default=True,
-    help='Connection to TWS: host:port:client-id.',
+    help='Connection to broker',
 )
 @click.pass_context
 def run(ctx,
@@ -211,29 +212,46 @@ def run(ctx,
         output,
         print_algo,
         local_namespace,
-        live_trading,
-        tws_uri):
+        broker,
+        broker_uri):
     """Run a backtest for the given algorithm.
     """
     # check that the start and end dates are passed correctly
-    if not live_trading and start is None and end is None:
+    if not broker and start is None and end is None:
         # check both at the same time to avoid the case where a user
         # does not pass either of these and then passes the first only
         # to be told they need to pass the second argument also
         ctx.fail(
             "must specify dates with '-s' / '--start' and '-e' / '--end'",
         )
-    if not live_trading and start is None:
+
+    if not broker and start is None:
         ctx.fail("must specify a start date with '-s' / '--start'")
-    if not live_trading and end is None:
+    if not broker and end is None:
         ctx.fail("must specify an end date with '-e' / '--end'")
 
-    if live_trading and tws_uri is None:
-        ctx.fail("must specify tws-uri if live-trading is specified")
+    if broker and broker_uri is None:
+        ctx.fail("must specify broker-uri if broker is specified")
 
-    if live_trading and data_frequency != 'minute':
+    if broker and data_frequency != 'minute':
         ctx.fail("must use '--data-frequency minute' with live trading")
 
+    brokerobj = None
+    if broker:
+        mod_name = 'zipline.gens.brokers.%s_broker' % broker.lower()
+        try:
+            bmod = import_module(mod_name)
+        except ImportError:
+            ctx.fail("unsupported broker: can't import module %s" % mod_name)
+
+        cl_name = '%sBroker' % broker.upper()
+        try:
+            bclass = getattr(bmod, cl_name)
+        except AttributeError:
+            ctx.fail("unsupported broker: can't import class %s from %s" %
+                     (cl_name, mod_name))
+        brokerobj = bclass(broker_uri)
+
     if (algotext is not None) == (algofile is not None):
         ctx.fail(
             "must specify exactly one of '-f' / '--algofile' or"
@@ -259,8 +277,7 @@ def run(ctx,
         print_algo=print_algo,
         local_namespace=local_namespace,
         environ=os.environ,
-        live_trading=live_trading,
-        tws_uri=tws_uri
+        broker=brokerobj,
     )
 
     if output == '-':

zipline/algorithm_live.py

@@ -33,7 +33,6 @@ def __init__(self, *args, **kwargs):
 
 class LiveTradingAlgorithm(TradingAlgorithm):
     def __init__(self, *args, **kwargs):
-        self.live_trading = kwargs.pop('live_trading', False)
         self.broker = kwargs.pop('broker', None)
 
         super(self.__class__, self).__init__(*args, **kwargs)

zipline/utils/run_algo.py

@@ -29,7 +29,6 @@
 from zipline.pipeline.loaders import USEquityPricingLoader
 from zipline.utils.calendars import get_calendar
 from zipline.utils.factory import create_simulation_parameters
-from zipline.gens.brokers import IBBroker
 import zipline.utils.paths as pth
 
 
@@ -72,8 +71,7 @@ def _run(handle_data,
          print_algo,
          local_namespace,
          environ,
-         live_trading,
-         tws_uri):
+         broker):
     """Run a backtest for the given algorithm.
 
     This is shared between the cli and :func:`zipline.run_algo`.
@@ -122,8 +120,6 @@ def _run(handle_data,
         else:
             click.echo(algotext)
 
-    broker = IBBroker(tws_uri) if live_trading else None
-
     if bundle is not None:
         bundle_data = load(
             bundle,
@@ -146,7 +142,7 @@ def _run(handle_data,
             bundle_data.equity_minute_bar_reader.first_trading_day
 
         DataPortalClass = (partial(DataPortalLive, broker)
-                           if live_trading
+                           if broker
                            else DataPortal)
         data = DataPortalClass(
             env.asset_finder, get_calendar("NYSE"),
@@ -171,13 +167,12 @@ def choose_loader(column):
         env = None
         choose_loader = None
 
-    if live_trading:
+    if broker:
         start = pd.Timestamp.utcnow()
         end = start + pd.Timedelta('1', 'D')
-    TradingAlgorithmClass = (partial(LiveTradingAlgorithm,
-                                     live_trading=live_trading,
-                                     broker=broker)
-                             if live_trading else TradingAlgorithm)
+
+    TradingAlgorithmClass = (partial(LiveTradingAlgorithm, broker=broker)
+                             if broker else TradingAlgorithm)
 
     perf = TradingAlgorithmClass(
         namespace=namespace,
@@ -384,6 +379,5 @@ def run_algorithm(start,
         print_algo=False,
         local_namespace=False,
         environ=environ,
-        live_trading=live_trading,
-        tws_uri=tws_uri
+        broker=None,
     )