Reviewing the key Zipline API reference

In this section, we will outline the key features from https://www.zipline.io/appendix.html.

For backtesting, the most important features are order types, commission models, and slippage models. Let's look at them in more detail.

Types of orders

Zipline supports these types of orders:

Figure 8.9 – Supported order types

The order-placing logic is typically placed in the handle_data method.

The following is an example:

def handle_data(context, data): 
    price_hist = data.history(context.stock, "close", 
                              context.rolling_window, "1d")
    order_target_percent(context.stock, 1.0 if price_hist[-1] > price_hist.mean() else 0.0) 

This example places an...