Context API

context is the persistent algorithm object passed into lifecycle functions. Store your strategy state on it and call its methods to look up assets, trade, schedule work, inspect portfolio state, and configure controls.

Direct context style

Prefer direct method calls on context:

from ziplime.finance.execution import MarketOrder

asset = await context.symbol("AAPL")
await context.order_target_percent(asset, 0.25, style=MarketOrder())

Ziplime also exposes Zipline-style functions through ziplime.api, but context calls are clearer inside async algorithm code.

Asset lookup

`await context.symbol(symbol, mic=None, asset_type=AssetType.EQUITY)`

Look up an exchange-listed asset by ticker.

context.aapl = await context.symbol("AAPL")
context.nflx = await context.symbol("NFLX@XNGS")
context.msft = await context.symbol("MSFT", mic="XNGS")

If the symbol string contains @, the part after @ is interpreted as the MIC exchange code.

Multiple symbols

Recommended pattern:

SYMBOLS = ["AAPL", "MSFT", "NVDA"]


async def initialize(context):
    context.assets = [await context.symbol(symbol) for symbol in SYMBOLS]

context.symbols(*symbols) exists for compatibility, but in the current implementation it returns a list of awaitables. If you use it, gather or await each item:

import asyncio

context.assets = await asyncio.gather(*context.symbols("AAPL", "MSFT", "NVDA"))

`await context.symbols_universe(name, dt=None)`

Load a named symbol universe from the asset service.

context.q100us = await context.symbols_universe(name="Q100US")

If dt is omitted, Ziplime uses the current simulation datetime.

`await context.sid(sid)`

Look up an asset by numeric SID.

asset = await context.sid(12345)

`await context.future_symbol(symbol, exchange_name=None)`

Look up a futures contract.

contract = await context.future_symbol("ESM25", exchange_name="XCME")

Time and configuration

`context.get_datetime()`

Return the current simulation datetime.

now = context.get_datetime()

context.simulation_dt holds the same current simulation timestamp.

`context.algorithm.config`

Access a typed algorithm config loaded from JSON.

async def initialize(context):
    cfg = context.algorithm.config
    context.max_weight = cfg.max_weight

See Algorithm file for the config class pattern.

Available methods

Method	Await?	Main use
`symbol(symbol, mic=None, asset_type=...)`	Yes	Look up an equity or exchange asset.
`symbols(symbols, *kwargs)`	See note	Compatibility helper; prefer list comprehensions.
`symbols_universe(name, dt=None)`	Yes	Load a named universe.
`sid(sid)`	Yes	Look up by numeric asset id.
`future_symbol(symbol, exchange_name=None)`	Yes	Look up a futures contract.
`get_datetime()`	No	Current simulation datetime.
`record(**kwargs)`	No	Add custom columns to performance output.
`schedule_function(func, date_rule=None, time_rule=None, ...)`	No	Register a callback.
`order(asset, amount, style, exchange_name=None)`	Yes	Buy or sell a fixed quantity.
`order_percent(asset, percent, style, exchange_name=None)`	Yes	Trade an incremental percent of portfolio value.
`order_target(asset, target, style, exchange_name=None)`	Yes	Target a share/contract quantity.
`order_target_value(asset, target, style, exchange_name=None)`	Yes	Target a dollar exposure.
`order_target_percent(asset, target, style, exchange_name=None)`	Yes	Target a portfolio weight.
`get_open_orders(asset=None)`	No	Inspect open orders.
`get_order(order_id, exchange_name)`	No	Retrieve a specific order.
`cancel_order(order_id, exchange_name, relay_status=True)`	Yes	Cancel an open order.
`set_long_only()`	No	Disallow short positions.
`set_max_leverage(max_leverage)`	No	Cap account leverage.
`set_max_position_size(...)`	No	Cap position size.
`set_max_order_size(...)`	No	Cap single-order size.
`set_max_order_count(max_count)`	No	Cap order count per day.
`attach_pipeline(pipeline, name, ...)`	No	Register a pipeline during initialization.
`pipeline_output(name)`	No	Read attached pipeline results after initialization.

Exchange names

Most order methods accept an optional exchange_name. If omitted, Ziplime uses the default exchange configured by the simulation runner. The examples in this repository commonly use "LIME" as the simulation exchange name. Use explicit exchange names when:

You run multiple exchanges.
You inspect or cancel an order with get_order or cancel_order.
You query portfolio helper methods by exchange.

Introduction

Writing Strategies

Strategy Language

Migrating to Ziplime

Limitations

Direct context style

Asset lookup

`await context.symbol(symbol, mic=None, asset_type=AssetType.EQUITY)`

Multiple symbols

`await context.symbols_universe(name, dt=None)`

`await context.sid(sid)`

`await context.future_symbol(symbol, exchange_name=None)`

Time and configuration

`context.get_datetime()`

`context.algorithm.config`

Available methods

Exchange names

​Direct context style

​Asset lookup

​await context.symbol(symbol, mic=None, asset_type=AssetType.EQUITY)

​Multiple symbols

​await context.symbols_universe(name, dt=None)

​await context.sid(sid)

​await context.future_symbol(symbol, exchange_name=None)

​Time and configuration

​context.get_datetime()

​context.algorithm.config

​Available methods

​Exchange names

Direct context style

Asset lookup

`await context.symbol(symbol, mic=None, asset_type=AssetType.EQUITY)`

Multiple symbols

`await context.symbols_universe(name, dt=None)`

`await context.sid(sid)`

`await context.future_symbol(symbol, exchange_name=None)`

Time and configuration

`context.get_datetime()`

`context.algorithm.config`

Available methods

Exchange names