Set max_leverage to output a warning by default

Signed-off-by: Nikola Losic <nikolalosic@protonmail.ch>

Author: nikolalosic

ziplime/core/run_simulation.py

@@ -129,6 +129,7 @@ async def run_simulation(
         benchmark_asset_symbol=benchmark_asset_symbol,
         stop_on_error=stop_on_error,
         custom_data_sources=custom_data_sources,
+        max_leverage=max_leverage
     )
 
 

ziplime/finance/controls/max_leverage.py

@@ -1,3 +1,5 @@
+import structlog
+
 from ziplime.finance.controls.account_control import AccountControl
 
 
@@ -6,20 +8,27 @@ class MaxLeverage(AccountControl):
     by the algorithm.
     """
 
-    def __init__(self, max_leverage):
+    def __init__(self, max_leverage:float, fail_on_error: bool = True,
+                 logger = structlog.get_logger(__name__)):
         """max_leverage is the gross leverage in decimal form. For example,
         2, limits an algorithm to trading at most double the account value.
         """
         super(MaxLeverage, self).__init__(max_leverage=max_leverage)
         self.max_leverage = max_leverage
+        self._logger = logger
 
         if max_leverage is None:
             raise ValueError("Must supply max_leverage")
 
         if max_leverage < 0:
             raise ValueError("max_leverage must be positive")
+        self.fail_on_error = fail_on_error
 
     def validate(self, _portfolio, _account, _algo_datetime, _algo_current_data):
         """Fail if the leverage is greater than the allowed leverage."""
         if _account.leverage > self.max_leverage:
-            self.fail()
+            if self.fail_on_error:
+                self._logger.error(f"Current leverage {_account.leverage} exceeds max_leverage of {self.max_leverage}.", dt=_algo_current_data.current_dt)
+                self.fail()
+            else:
+                self._logger.warning(f"Current leverage {_account.leverage} exceeds max_leverage of {self.max_leverage}.", dt=_algo_current_data.current_dt)

ziplime/utils/run_algo.py

@@ -8,6 +8,7 @@
 from ziplime.core.algorithm_file import AlgorithmFile
 from ziplime.data.services.data_source import DataSource
 from ziplime.exchanges.exchange import Exchange
+from ziplime.finance.controls.max_leverage import MaxLeverage
 
 from ziplime.finance.blotter.in_memory_blotter import InMemoryBlotter
 from ziplime.gens.domain.trading_clock import TradingClock
@@ -175,6 +176,8 @@ def choose_loader(column):
         custom_data_sources=custom_data_sources
     )
 
-    tr.set_max_leverage(max_leverage=max_leverage)
+    if max_leverage is not None:
+        max_leverage = MaxLeverage(max_leverage, fail_on_error=False)
+        tr.register_account_control(control=max_leverage)
 
     return tr