Update spy_100.py

Author: gsamarakoon

spy_100.py

@@ -0,0 +1,43 @@
+'''
+    A benchmark comparison to buying and holding SPY at 100%.
+
+    NOTE: This algo can run in minute-mode simulation and is compatible with LIVE TRADING.
+'''
+
+import pandas as pd
+from zipline.api import order_target_percent
+
+def initialize(context):
+    set_long_only()
+    set_symbol_lookup_date('2008-01-01') 
+    schedule_function(trade,                      
+                      date_rule=date_rules.every_day(),
+                      time_rule=time_rules.market_open())
+
+    context.secs = [symbol('SPY')]
+    context.pcts = [1.0]
+    context.ETFs = zip(context.secs, context.pcts) # list of tuples
+ 
+def handle_data(context, data):
+    pass
+
+def trade(context, data):  
+    """
+    Make sure the porfolio is fully invested every day.
+    """
+    threshold = 0.05
+    
+    need_full_rebalance = False
+    # rebalance if we have too much cash
+    if context.portfolio.cash / context.portfolio.portfolio_value > threshold:
+        need_full_rebalance = True
+    
+    # What we should do is first sell the overs and then buy the unders.
+    if need_full_rebalance:
+        # Get the current exchange time, in the exchange timezone 
+        exchange_time = pd.Timestamp(get_datetime()).tz_convert('US/Eastern')
+        # perform the full rebalance if we flagged the need to do so
+        for sid, target in context.ETFs:
+            order_target_percent(sid, target)
+        log.info("Rebalanced at %s" %  str(exchange_time))
+