Python Bridge
Python is an popular interactive script language, created by Guido van Rossum
and first released in 1991. Unlike C, whitespace
and line feeds matter for Python syntax, and enforce a clean code style with
correct indentations. Python is interpreted and thus slow compared to
compiled languages like C. Its strengths are a simple and more modern syntax, and access to all
sorts of libraries for machine learning and data analysis.
The
Python bridge (Zorro 2.04 and above) allows calling Python functions from a Zorro script and using their results for trade signals.
A script can start a
Python session, send price data or indicator values to it, and use
Python machine learning packages for training and prediction. Many problems can be solved in lite-C as well
as in Python, but Python often has already a dedicated command implemented or
library available for
that.
Installation and test
It's not always necessary to install Python for running Python commands and scripts.
The Zorro
installation contains a Python interpreter (python36.dll).
But a Python 3.6 installation is required when the VC 14 runtime is not
installed on the PC, or when external Python packages are used. Here's the
procedure:
- Install Python 3.6.8 32 bit for Windows from https://www.python.org
(even if you already have a newer Python version).
- Open Zorro.ini and edit the entry
PythonPath to your Python folder
(f.i.
C:\Users\You\AppData\Local\Programs\Python\Python36-32).
- Start Zorro and run the script PythonTest. If
everything went well, it prints out 0, 10, 20, 30, 40 and the sum 100.
- Move to the Python 3.6.8 folder and install the needed packages with
pip: python -m pip install [packagename]
- For updating an existing package to the latest version, use python -m pip install [packagename]
--upgrade
Make sure that the package is installed to your Python 3.6.8 folder, so don't use
the pip --user option. Afterwards the package can be accessed
with the import statement. Please read the remarks about issues
with particular packages.
The following functions are available for sending data to
Python, performing computations, and receiving data back:
pyStart(string Filename, int Mode): int
Start a new Python session, and optionally load Python code from the file
Filename.
This function must be called before any Python computations can be done. Returns 0 when the
Python session could not be started, otherwise nonzero.
The Python session will stay alive until the end of the simulation or Zorro
session.
Parameters:
| Filename |
Name of a .py file in the Strategy folder containing all needed
Python functions and variables (f.i. "MySource.py"), or
0 for not
loading a file.
|
| Mode |
1 for logging Python output and errors to the
files PyOut.txt and PyError.txt in the Log folder;
otherwise 0.
|
pyX(string Code): int
Execute Python Code. It can contain an expression, like "a = b + c",
a function call, a
function definition, an import, or any other valid Python statement. If the code
cannot be excuted, 0 is returned, otherwise nonzero.
Parameters:
| Code |
Python code to be executed. Separate lines with \n
and mind whitespace indentations. |
pySet(string Name, int n)
pySet(string Name, var d)
pySet(string Name, var *v, int elements)
Store an int, var, series or array in the Python variable Name.
Since the target type depends on the variable type, make sure to use the correct type.
When storing constants, typecast them with (int) or
(var) if in doubt.
Parameters:
| name |
Name of the Python variable. |
| i |
int value to be assigned to a Python integer variable. |
| d |
var value to be assigned to a Python floating point variable. |
| v |
Pointer of the var array or series to be assigned to a
Python list. |
| elements |
Length of the vector or series. Make sure to give the exact number of elements. |
pyInt(string Name): int
pyVar(string Name): var
pyVec(string Name, var *v, int elements)
Return the Python variable with the given Name as an int, double, or
array.Parameters:
| Name |
Name of a Python variable that must have been defined before. |
| v |
Pointer of the var array to be filled with the Python
list. |
| elements |
Number of elements of the vector; must be identical in the Python code and in the lite-C script. |
Remarks:
- Numpy
has issues with embedded Python. This also affects the
Python bridge with all libraries that use numpy,
f.i. scipy, pandas, keras, tensorflow. Although numpy release 1.16.3 can now be imported
in embedded applications, it does not shut down properly (so you can
only start it once) and is not compatible with the R bridge (so r.h and contract.c cannot be included in
numpy scripts). This issue will be supposedly fixed with numpy release
1.16.4.
- Test your Python commands and functions carefully with the Python console before executing them in a lite-C script. A command error - wrong syntax, a wrong path, a missing
Python package, or a bad parameter for a Python function - can cause the session to abort and subsequent
Python commands to fail.
- If you have the choice, perform script-based computations on the lite-C side.
Lite-C is
about
100 times faster than Python.
- You can use [Train] mode and WFO for training
Python machine learning algorithms, f.i. a SVM or neural network. For
this, send training data to
Python at the end of every WFO cycle, and store the trained models in files for later use in the [Test] or [Trade] session,
similar to the neural function for R.
A neural function for Python will be provided in a future Zorro version.
Examples:
function main()
{
if(!pyStart(0,1)) {
printf("Error - Python won't start!");
return;
}
var Vec[5] = { 0,1,2,3,4 };
pySet("PyVec",Vec,5);
pyX("for i in range(5): PyVec[i] *= 10\n");
pyVec("PyVec",Vec,5);
int i;
printf("\nReturned: ");
for(i=0; i<5; i++) printf("%.0f ",Vec[i]);
// test a function
pyX("def PySum(V):\n Sum = 0.0\n for X in V:\n Sum += X\n return Sum\n\n");
pyX("Result = PySum(PyVec)");
printf("\nSum: %.0f",pyVar("Result"));
}
See also:
Code conversion,
R Bridge,
Python cheat sheet
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