Установка и запуск

pip install "zipfinam[all]"

pip install "ziplime[all]" "zipfinam[all]"

export GRPC_TOKEN=...      # токен Finam Trade API: котировки, справочник, лоты

ziplime providers                           # какие провайдеры данных доступны и настроены
ziplime ingest-assets -p finam              # один раз: справочник инструментов из Финама
ziplime ingest -p finam -c XMOS -b moex -s SBER@MISX,GAZP@MISX \
  --start-date 2019-01-01 --end-date 2025-12-31

# sma.py
from ziplime.domain.bar_data import BarData
from ziplime.finance.execution import MarketOrder
from ziplime.trading.trading_algorithm import TradingAlgorithm


async def initialize(context: TradingAlgorithm):
    context.stocks = [await context.symbol("SBER@MISX"), await context.symbol("GAZP@MISX")]
    context.fast, context.slow = 20, 50


async def handle_data(context: TradingAlgorithm, data: BarData):
    for stock in context.stocks:
        bars = await data.history(assets=[stock], fields=["close"], bar_count=context.slow)
        if len(bars) < context.slow:
            continue
        closes = bars["close"]
        target = 0.5 if closes[-context.fast:].mean() > closes.mean() else 0.0
        await context.order_target_percent(asset=stock, style=MarketOrder(), target=target)

ziplime run -f sma.py -b moex -s SBER@MISX,GAZP@MISX -c XMOS --capital-base 1000000 \
  --start-date 2020-01-01 --end-date 2025-12-31

import asyncio
import datetime
from zoneinfo import ZoneInfo

from ziplime.assets.domain.asset_type import AssetType
from ziplime.assets.entities.asset_symbol import AssetSymbol
from ziplime.core.ingest_data import get_asset_service
from ziplime.core.run_simulation import run_simulation
from ziplime.finance.commission import PerDollar
from ziplime.utils.bundle_utils import get_bundle_service


async def main():
    tz = ZoneInfo("Europe/Moscow")
    start = datetime.datetime(2024, 1, 3, tzinfo=tz)
    end = datetime.datetime(2025, 12, 30, 23, 59, tzinfo=tz)

    asset_service = get_asset_service(clear_asset_db=False)
    assets = await asset_service.get_exchange_assets_by_symbols(
        symbols=[AssetSymbol(symbol=s, mic="MISX") for s in ["SBER", "GAZP"]],
        asset_type=AssetType.EQUITY,
    )
    market_data, missing = await get_bundle_service().load_bundle(
        bundle_name="moex", bundle_version=None,
        frequency=datetime.timedelta(days=1),
        start_date=start, end_date=end, assets=assets,
    )

    result = await run_simulation(
        start_date=start,
        end_date=end,
        trading_calendar="XMOS",
        emission_rate=datetime.timedelta(days=1),
        total_cash=1_000_000.0,
        market_data_source=market_data,
        custom_data_sources=[],
        algorithm_file="sma.py",
        stop_on_error=True,
        asset_service=asset_service,
        same_bar_execution=False,
        equity_commission=PerDollar(cost=0.0004),   # порядка 0,04% от оборота
    )
    print(result.perf.tail())


asyncio.run(main())