DOC: Update release notes for trading controls.

This commit is contained in:
Scott Sanderson
2014-05-12 18:11:48 -04:00
parent 644486e6da
commit 2976a0dc5f
+54 -4
View File
@@ -7,6 +7,10 @@
* IPython Magic %%zipline that runs algorithm defined in an IPython
notebook cell.
* API methods for building safeguards against runaway ordering and undesired
short positions.
## Enhancements (ENH)
* CLI: Adds a CLI and IPython magic for zipline. [PR325](https://github.com/quantopian/zipline/pull/325)
@@ -25,12 +29,58 @@
* IPython magic command (at the top of an IPython notebook cell). [PR325](https://github.com/quantopian/zipline/pull/325)
> ```
%%zipline --symbols AAPL --start 2011-1-1 --end 2012-1-1 -o perf
```
> %%zipline --symbols AAPL --start 2011-1-1 --end 2012-1-1 -o perf
> ```
> Does the same as above except instead of executing the file looks
for the algorithm in the cell and instead of outputting the perf df
to a file, creates a variable in the namespace called perf.
> for the algorithm in the cell and instead of outputting the perf df
> to a file, creates a variable in the namespace called perf.
* Adds Trading Controls to the algorithm API. [PR329](https://github.com/quantopian/zipline/pull/329)
> The following functions are now available on ```TradingAlgorithm``` and for algo scripts:
> - `set_max_order_size(self, sid=None, max_shares=None, max_notional=None)`
- Set a limit on the absolute magnitude, in shares and/or total
dollar value, of any single order placed by this algorithm for a
given sid. If `sid` is None, then the rule is applied to any order
placed by the algorithm.
- Example:
def initialize(context):
# Algorithm will raise an exception if we attempt to place an
# order which would cause us to hold more than 10 shares
# or 1000 dollars worth of sid(24).
set_max_order_size(sid(24), max_shares=10, max_notional=1000.0)
> - `set_max_position_size(self, sid=None, max_shares=None, max_notional=None)`
- Set a limit on the absolute magnitude, in either shares or dollar
value, of any position held by the algorithm for a given sid. If `sid`
is None, then the rule is applied to any position held by the
algorithm.
- Example:
def initialize(context):
# Algorithm will raise an exception if we attempt to order more than
# 10 shares or 1000 dollars worth of sid(24) in a single order.
set_max_order_size(sid(24), max_shares=10, max_notional=1000.0)
> - `set_max_order_count(self, max_count)`
- Set a limit on the number of orders that can be placed by the
algorithm in a single trading day.
- Example:
def initialize(context):
# Algorithm will raise an exception if more than 50 orders are placed in a day.
set_max_order_count(50)
> - `set_long_only(self)`
- Set a rule specifying that the algorithm may not hold short positions.
- Example:
def initialize(context):
# Algorithm will raise an exception if it attempts to place
# an order that would cause it to hold a short position.
set_long_only()
## Bug Fixes (BUG)