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DOC Initial setup of mkdocs.

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Thomas Wiecki
2014-10-20 17:15:23 +02:00
parent 357f1a88a4
commit 37032eee62
24 changed files with 2789 additions and 2261 deletions
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README.md
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@@ -30,6 +30,8 @@ Discussion of the project is held at the Google Group,
<zipline@googlegroups.com>,
<https://groups.google.com/forum/#!forum/zipline>.
For other questions, please contact <opensource@quantopian.com>.
Features
========
@@ -60,8 +62,11 @@ conda install -c Quantopian zipline
```
Currently supported platforms include:
* Windows 32-bit (can be 64-bit Windows but has to be 32-bit Anaconda)
* OSX 64-bit
* Linux 64-bit
PIP
@@ -162,93 +167,3 @@ Contributions
============
If you would like to contribute, please see our Contribution Requests: https://github.com/quantopian/zipline/wiki/Contribution-Requests
Credits
--------
Thank you for all the help so far!
- @rday for sortino ratio, information ratio, and exponential moving average transform
- @snth
- @yinhm for integrating zipline with @yinhm/datafeed
- [Jeremiah Lowin](http://www.lowindata.com) for teaching us the nuances of Sharpe and Sortino Ratios,
and for implementing new order methods.
- Brian Cappello
- @verdverm (Tony Worm), Order types (stop, limit)
- @benmccann for benchmarking contributions
- @jkp and @bencpeters for bugfixes to benchmark.
- @dstephens for adding Canadian treasury curves.
- @mtrovo for adding BMF&Bovespa calendars.
- @sdrdis for bugfixes.
- @humdings for refactoring the order methods.
- Quantopian Team
(alert us if we've inadvertantly missed listing you here!)
Development Environment
-----------------------
The following guide assumes your system has [virtualenvwrapper](https://bitbucket.org/dhellmann/virtualenvwrapper)
and [pip](http://www.pip-installer.org/en/latest/) already installed.
You'll need to install some C library dependencies:
```
sudo apt-get install libopenblas-dev liblapack-dev gfortran
wget http://prdownloads.sourceforge.net/ta-lib/ta-lib-0.4.0-src.tar.gz
tar -xvzf ta-lib-0.4.0-src.tar.gz
cd ta-lib/
./configure --prefix=/usr
make
sudo make install
```
Suggested installation of Python library dependencies used for development:
```
mkvirtualenv zipline
./etc/ordered_pip.sh ./etc/requirements.txt
pip install -r ./etc/requirements_dev.txt
```
Finally, install zipline in develop mode (from the zipline source root dir):
```
python setup.py develop
```
Style Guide
------------
To ensure that changes and patches are focused on behavior changes,
the zipline codebase adheres to both PEP-8,
<http://www.python.org/dev/peps/pep-0008/>, and pyflakes,
<https://launchpad.net/pyflakes/>.
The maintainers check the code using the flake8 script,
<https://bitbucket.org/tarek/flake8/wiki/Home>, which is included in the
requirements_dev.txt.
Before submitting patches or pull requests, please ensure that your
changes pass ```flake8 zipline tests``` and ```nosetests```
Source
======
The source for Zipline is hosted at
<https://github.com/quantopian/zipline>.
Documentation
------------
You can compile the documentation using Sphinx:
```
sudo apt-get install python-sphinx
make html
```
Contact
=======
For other questions, please contact <opensource@quantopian.com>.
docs/.gitignore
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_build
notebooks/test.nc
log
docs/CNAME
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www.zipline.io
docs/Makefile
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# Makefile for Sphinx documentation
#
# You can set these variables from the command line.
SPHINXOPTS =
SPHINXBUILD = sphinx-build
PAPER =
BUILDDIR = _build
# Internal variables.
PAPEROPT_a4 = -D latex_paper_size=a4
PAPEROPT_letter = -D latex_paper_size=letter
ALLSPHINXOPTS = -d $(BUILDDIR)/doctrees $(PAPEROPT_$(PAPER)) $(SPHINXOPTS) .
# the i18n builder cannot share the environment and doctrees with the others
I18NSPHINXOPTS = $(PAPEROPT_$(PAPER)) $(SPHINXOPTS) .
.PHONY: help clean html dirhtml singlehtml pickle json htmlhelp qthelp devhelp epub latex latexpdf text man changes linkcheck doctest gettext
help:
@echo "Please use \`make <target>' where <target> is one of"
@echo " html to make standalone HTML files"
@echo " dirhtml to make HTML files named index.html in directories"
@echo " singlehtml to make a single large HTML file"
@echo " pickle to make pickle files"
@echo " json to make JSON files"
@echo " htmlhelp to make HTML files and a HTML help project"
@echo " qthelp to make HTML files and a qthelp project"
@echo " devhelp to make HTML files and a Devhelp project"
@echo " epub to make an epub"
@echo " latex to make LaTeX files, you can set PAPER=a4 or PAPER=letter"
@echo " latexpdf to make LaTeX files and run them through pdflatex"
@echo " text to make text files"
@echo " man to make manual pages"
@echo " texinfo to make Texinfo files"
@echo " info to make Texinfo files and run them through makeinfo"
@echo " gettext to make PO message catalogs"
@echo " changes to make an overview of all changed/added/deprecated items"
@echo " linkcheck to check all external links for integrity"
@echo " doctest to run all doctests embedded in the documentation (if enabled)"
clean:
-rm -rf $(BUILDDIR)/*
html:
$(SPHINXBUILD) -b html $(ALLSPHINXOPTS) $(BUILDDIR)/html
@echo
@echo "Build finished. The HTML pages are in $(BUILDDIR)/html."
dirhtml:
$(SPHINXBUILD) -b dirhtml $(ALLSPHINXOPTS) $(BUILDDIR)/dirhtml
@echo
@echo "Build finished. The HTML pages are in $(BUILDDIR)/dirhtml."
singlehtml:
$(SPHINXBUILD) -b singlehtml $(ALLSPHINXOPTS) $(BUILDDIR)/singlehtml
@echo
@echo "Build finished. The HTML page is in $(BUILDDIR)/singlehtml."
pickle:
$(SPHINXBUILD) -b pickle $(ALLSPHINXOPTS) $(BUILDDIR)/pickle
@echo
@echo "Build finished; now you can process the pickle files."
json:
$(SPHINXBUILD) -b json $(ALLSPHINXOPTS) $(BUILDDIR)/json
@echo
@echo "Build finished; now you can process the JSON files."
htmlhelp:
$(SPHINXBUILD) -b htmlhelp $(ALLSPHINXOPTS) $(BUILDDIR)/htmlhelp
@echo
@echo "Build finished; now you can run HTML Help Workshop with the" \
".hhp project file in $(BUILDDIR)/htmlhelp."
qthelp:
$(SPHINXBUILD) -b qthelp $(ALLSPHINXOPTS) $(BUILDDIR)/qthelp
@echo
@echo "Build finished; now you can run "qcollectiongenerator" with the" \
".qhcp project file in $(BUILDDIR)/qthelp, like this:"
@echo "# qcollectiongenerator $(BUILDDIR)/qthelp/QSim.qhcp"
@echo "To view the help file:"
@echo "# assistant -collectionFile $(BUILDDIR)/qthelp/QSim.qhc"
devhelp:
$(SPHINXBUILD) -b devhelp $(ALLSPHINXOPTS) $(BUILDDIR)/devhelp
@echo
@echo "Build finished."
@echo "To view the help file:"
@echo "# mkdir -p $$HOME/.local/share/devhelp/QSim"
@echo "# ln -s $(BUILDDIR)/devhelp $$HOME/.local/share/devhelp/QSim"
@echo "# devhelp"
epub:
$(SPHINXBUILD) -b epub $(ALLSPHINXOPTS) $(BUILDDIR)/epub
@echo
@echo "Build finished. The epub file is in $(BUILDDIR)/epub."
latex:
$(SPHINXBUILD) -b latex $(ALLSPHINXOPTS) $(BUILDDIR)/latex
@echo
@echo "Build finished; the LaTeX files are in $(BUILDDIR)/latex."
@echo "Run \`make' in that directory to run these through (pdf)latex" \
"(use \`make latexpdf' here to do that automatically)."
latexpdf:
$(SPHINXBUILD) -b latex $(ALLSPHINXOPTS) $(BUILDDIR)/latex
@echo "Running LaTeX files through pdflatex..."
$(MAKE) -C $(BUILDDIR)/latex all-pdf
@echo "pdflatex finished; the PDF files are in $(BUILDDIR)/latex."
text:
$(SPHINXBUILD) -b text $(ALLSPHINXOPTS) $(BUILDDIR)/text
@echo
@echo "Build finished. The text files are in $(BUILDDIR)/text."
man:
$(SPHINXBUILD) -b man $(ALLSPHINXOPTS) $(BUILDDIR)/man
@echo
@echo "Build finished. The manual pages are in $(BUILDDIR)/man."
texinfo:
$(SPHINXBUILD) -b texinfo $(ALLSPHINXOPTS) $(BUILDDIR)/texinfo
@echo
@echo "Build finished. The Texinfo files are in $(BUILDDIR)/texinfo."
@echo "Run \`make' in that directory to run these through makeinfo" \
"(use \`make info' here to do that automatically)."
info:
$(SPHINXBUILD) -b texinfo $(ALLSPHINXOPTS) $(BUILDDIR)/texinfo
@echo "Running Texinfo files through makeinfo..."
make -C $(BUILDDIR)/texinfo info
@echo "makeinfo finished; the Info files are in $(BUILDDIR)/texinfo."
gettext:
$(SPHINXBUILD) -b gettext $(I18NSPHINXOPTS) $(BUILDDIR)/locale
@echo
@echo "Build finished. The message catalogs are in $(BUILDDIR)/locale."
changes:
$(SPHINXBUILD) -b changes $(ALLSPHINXOPTS) $(BUILDDIR)/changes
@echo
@echo "The overview file is in $(BUILDDIR)/changes."
linkcheck:
$(SPHINXBUILD) -b linkcheck $(ALLSPHINXOPTS) $(BUILDDIR)/linkcheck
@echo
@echo "Link check complete; look for any errors in the above output " \
"or in $(BUILDDIR)/linkcheck/output.txt."
doctest:
$(SPHINXBUILD) -b doctest $(ALLSPHINXOPTS) $(BUILDDIR)/doctest
@echo "Testing of doctests in the sources finished, look at the " \
"results in $(BUILDDIR)/doctest/output.txt."
docs/conf.py
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# -*- coding: utf-8 -*-
#
# QSim documentation build configuration file, created by
# sphinx-quickstart on Wed Feb 8 15:29:56 2012.
#
# This file is execfile()d with the current directory set to its containing dir.
#
# Note that not all possible configuration values are present in this
# autogenerated file.
#
# All configuration values have a default; values that are commented out
# serve to show the default.
import sys, os
# If extensions (or modules to document with autodoc) are in another directory,
# add these directories to sys.path here. If the directory is relative to the
# documentation root, use os.path.abspath to make it absolute, like shown here.
sys.path.append(os.path.abspath('..'))
# -- General configuration -----------------------------------------------------
# If your documentation needs a minimal Sphinx version, state it here.
#needs_sphinx = '1.0'
# Add any Sphinx extension module names here, as strings. They can be extensions
# coming with Sphinx (named 'sphinx.ext.*') or your custom ones.
extensions = [
'sphinx.ext.autodoc',
'sphinx.ext.intersphinx',
'sphinx.ext.todo',
'sphinx.ext.coverage',
'sphinx.ext.viewcode'
]
# Add any paths that contain templates here, relative to this directory.
templates_path = ['_templates']
# The suffix of source filenames.
source_suffix = '.rst'
# The encoding of source files.
#source_encoding = 'utf-8-sig'
# The master toctree document.
master_doc = 'index'
# General information about the project.
project = u'Zipline'
copyright = u'2012, Quantopian: jean, fawce, sdiehl'
# The version info for the project you're documenting, acts as replacement for
# |version| and |release|, also used in various other places throughout the
# built documents.
#
# The short X.Y version.
version = '0.0'
# The full version, including alpha/beta/rc tags.
release = 'dev'
# The language for content autogenerated by Sphinx. Refer to documentation
# for a list of supported languages.
#language = None
# There are two options for replacing |today|: either, you set today to some
# non-false value, then it is used:
#today = ''
# Else, today_fmt is used as the format for a strftime call.
#today_fmt = '%B %d, %Y'
# List of patterns, relative to source directory, that match files and
# directories to ignore when looking for source files.
exclude_patterns = ['_build']
# The reST default role (used for this markup: `text`) to use for all documents.
#default_role = None
# If true, '()' will be appended to :func: etc. cross-reference text.
#add_function_parentheses = True
# If true, the current module name will be prepended to all description
# unit titles (such as .. function::).
#add_module_names = True
# If true, sectionauthor and moduleauthor directives will be shown in the
# output. They are ignored by default.
#show_authors = False
# The name of the Pygments (syntax highlighting) style to use.
pygments_style = 'sphinx'
# A list of ignored prefixes for module index sorting.
#modindex_common_prefix = []
# -- Options for HTML output ---------------------------------------------------
# The theme to use for HTML and HTML Help pages. See the documentation for
# a list of builtin themes.
html_theme = 'nature'
# Theme options are theme-specific and customize the look and feel of a theme
# further. For a list of options available for each theme, see the
# documentation.
#html_theme_options = {}
# Add any paths that contain custom themes here, relative to this directory.
#html_theme_path = []
# The name for this set of Sphinx documents. If None, it defaults to
# "<project> v<release> documentation".
#html_title = None
# A shorter title for the navigation bar. Default is the same as html_title.
#html_short_title = None
# The name of an image file (relative to this directory) to place at the top
# of the sidebar.
#html_logo = None
# The name of an image file (within the static path) to use as favicon of the
# docs. This file should be a Windows icon file (.ico) being 16x16 or 32x32
# pixels large.
#html_favicon = None
# Add any paths that contain custom static files (such as style sheets) here,
# relative to this directory. They are copied after the builtin static files,
# so a file named "default.css" will overwrite the builtin "default.css".
html_static_path = ['_static']
# If not '', a 'Last updated on:' timestamp is inserted at every page bottom,
# using the given strftime format.
#html_last_updated_fmt = '%b %d, %Y'
# If true, SmartyPants will be used to convert quotes and dashes to
# typographically correct entities.
#html_use_smartypants = True
# Custom sidebar templates, maps document names to template names.
#html_sidebars = {}
# Additional templates that should be rendered to pages, maps page names to
# template names.
#html_additional_pages = {}
# If false, no module index is generated.
#html_domain_indices = True
# If false, no index is generated.
#html_use_index = True
# If true, the index is split into individual pages for each letter.
#html_split_index = False
# If true, links to the reST sources are added to the pages.
#html_show_sourcelink = True
# If true, "Created using Sphinx" is shown in the HTML footer. Default is True.
#html_show_sphinx = True
# If true, "(C) Copyright ..." is shown in the HTML footer. Default is True.
#html_show_copyright = True
# If true, an OpenSearch description file will be output, and all pages will
# contain a <link> tag referring to it. The value of this option must be the
# base URL from which the finished HTML is served.
#html_use_opensearch = ''
# This is the file name suffix for HTML files (e.g. ".xhtml").
#html_file_suffix = None
# Output file base name for HTML help builder.
htmlhelp_basename = 'QSimdoc'
# -- Options for LaTeX output --------------------------------------------------
latex_elements = {
# The paper size ('letterpaper' or 'a4paper').
#'papersize': 'letterpaper',
# The font size ('10pt', '11pt' or '12pt').
#'pointsize': '10pt',
# Additional stuff for the LaTeX preamble.
#'preamble': '',
}
# Grouping the document tree into LaTeX files. List of tuples
# (source start file, target name, title, author, documentclass [howto/manual]).
latex_documents = [
('index', 'QSim.tex', u'QSim Documentation',
u'Quantopian: jean, fawce, sdiehl', 'manual'),
]
# The name of an image file (relative to this directory) to place at the top of
# the title page.
#latex_logo = None
# For "manual" documents, if this is true, then toplevel headings are parts,
# not chapters.
#latex_use_parts = False
# If true, show page references after internal links.
#latex_show_pagerefs = False
# If true, show URL addresses after external links.
#latex_show_urls = False
# Documents to append as an appendix to all manuals.
#latex_appendices = []
# If false, no module index is generated.
#latex_domain_indices = True
# -- Options for manual page output --------------------------------------------
# One entry per manual page. List of tuples
# (source start file, name, description, authors, manual section).
man_pages = [
('index', 'zipline', u'QSim Documentation',
[u'Quantopian: jean, fawce, sdiehl'], 1)
]
# If true, show URL addresses after external links.
#man_show_urls = False
# -- Options for Texinfo output ------------------------------------------------
# Grouping the document tree into Texinfo files. List of tuples
# (source start file, target name, title, author,
# dir menu entry, description, category)
texinfo_documents = [
('index', 'QSim', u'QSim Documentation',
u'Quantopian: jean, fawce, sdiehl', 'QSim', 'One line description of project.',
'Miscellaneous'),
]
# Documents to append as an appendix to all manuals.
#texinfo_appendices = []
# If false, no module index is generated.
#texinfo_domain_indices = True
# How to display URL addresses: 'footnote', 'no', or 'inline'.
#texinfo_show_urls = 'footnote'
# Example configuration for intersphinx: refer to the Python standard library.
intersphinx_mapping = {'http://docs.python.org/': None}
docs/contributing.rst
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***************************
Contributing to the project
***************************
Style Guide
===========
To ensure that changes and patches are focused on behavior changes,
the zipline codebase adheres to PEP-8,
`<http://www.python.org/dev/peps/pep-0008/>`_.
The maintainers check the code using the flake8 script,
`<https://github.com/jcrocholl/pep8/>`_, which is included in the
requirements_dev.txt.
Before submitting patches or pull requests, please ensure that your
changes pass
::
flake8 zipline tests
Discussion and Help
===================
Discussion of the project is held at the Google Group,
`<zipline@googlegroups.com>`_,
`<https://groups.google.com/forum/#!forum/zipline>`_.
Source
======
The source for Zipline is hosted at
`<https://github.com/quantopian/zipline>`_.
Contact
=======
For other questions, please contact `<opensource@quantopian.com>`_.
docs/convert_nbs_to_md.sh
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#!/bin/bash
NBDIR=notebooks
for fullfile in $NBDIR/*.ipynb; do
echo "Processing $fullfile file..";
filename=$(basename "$fullfile")
extension="${filename##*.}"
filename="${filename%.*}"
ipython nbconvert $fullfile --to markdown --output $filename
done
docs/index.md
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../README.md
docs/index.rst
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.. Zipline documentation master file, created by
sphinx-quickstart on Wed Feb 8 15:29:56 2012.
You can adapt this file completely to your liking, but it should at least
contain the root `toctree` directive.
.. module:: zipline
****************************************************
Zipline: Financial Backtester for Trading Algorithms
****************************************************
Python is quickly becoming the glue language which holds together data science
and related fields like quantitative finance. Zipline is a new, BSD-licensed
quantitative trading system which allows easy backtesting of investment
algorithms on historical data. The system is fundamentally event-driven and a
close approximation of how live-trading systems operate. Moreover, Zipline
comes "batteries included" as many common statistics like
moving average and linear regression can be readily accessed from within a
user-written algorithm. Input of historical data and output of performance
statistics is based on Pandas DataFrames to integrate nicely into the existing
Python eco-system. Furthermore, statistic and machine learning libraries like
matplotlib, scipy, statsmodels, and sklearn support development, analysis and
visualization of state-of-the-art trading systems.
Zipline is currently used in production as the backtesting engine
powering `quantopian.com <https://app.quantopian.com>`_ -- a free, community-centered
platform that allows development and real-time backtesting of trading
algorithms in the web browser.
Features
========
* Ease of use: Zipline tries to get out of your way so that you can focus on
algorithm development. See below for a code example.
* Zipline comes "batteries included" as many common statistics like moving
average and linear regression can be readily accessed from within a
user-written algorithm.
* Input of historical data and output of performance statistics is based on
Pandas DataFrames to integrate nicely into the existing Python eco-system.
* Statistic and machine learning libraries like matplotlib, scipy, statsmodels,
and sklearn support development, analysis and visualization of
state-of-the-art trading systems.
Contents
========
.. toctree::
:maxdepth: 4
manifesto.rst
installation.rst
quickstart.rst
contributing.rst
modules.rst
Indices and tables
==================
* :ref:`genindex`
* :ref:`modindex`
* :ref:`search`
docs/installation.rst
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************
Installation
************
Since zipline is pure-python code it should be very easy to install
and set up with pip:
::
pip install zipline
If there are problems installing the dependencies or zipline we
recommend installing these packages via some other means. For Windows,
the `Enthought Python Distribution
<http://www.enthought.com/products/epd.php>`_
includes most of the necessary dependencies. On OSX, the `Scipy Superpack
<http://fonnesbeck.github.com/ScipySuperpack/>`_ works very well.
Dependencies
------------
* Python (>= 2.7.2)
* numpy (>= 1.6.0)
* pandas (>= 0.9.0)
* pytz
* Logbook
Develop
-------
To run tests::
$ nosetests
Tooling hints
================
:mod:`zipline` relies heavily on scientific python components (numpy, scikit, pandas, matplotlib, ipython, etc). Tooling up can be a pain, and it often involves managing a configuration including your OS, c/c++/fortran compilers, python version, and versions of numerous modules. I've found the following tools absolutely indispensable:
- some kind of package manager for your platform. package managers generally give you a way to search, install, uninstall, and check currently installed packages. They also do a great job of managing dependencies.
- linux: yum/apt-get
- mac: homebrew/macport/fink (I highly recommend homebrew: https://github.com/mxcl/homebrew)
- windows: probably best if you use a complete distribution, like: enthought, ActiveState, or Python(x,y)
- Python also provides good package management tools to help you manage the components you install for Python.
- pip
- easy_install/setuptools. I have always used setuptools, and I've been quite happy with it. Just remember that setuptools is coupled to your python version.
- virtualenv and virtualenvwrapper are your very best friends. They complement your python package manager by allowing you to create and quickly switch between named configurations.
- *Install all the versions of Python you like to use, but install setuptools, virtualenv, and virtualenvwrapper with the very latest python.* Use the latest python to install the latest setuptools, and the latest setuptools to install virtualenv and virtualenvwrapper. virtualenvwrapper allows you to specify the python version you wish to use (mkvirtualenv -p <python executable> <env name>), so you can create envs of any python denomination.
Mac OS hints
-------------
Scientific python on the Mac can be a bit confusing because of the many independent variables. You need to have several components installed, and be aware of the versions of each:
- XCode. XCode includes the gcc and g++ compilers and architecture specific assemblers. Your version of XCode will determine which compilers and assemblers are available. The most common issue I encountered with scientific python libraries is compilation errors of underlying C code. Most scientific libraries are optimized with C routines, so this is a major hurdle. In my environment (XCode 4.0.2 with iOS components installed) I ran into problems with -arch flags asking for power pc (-arch ppc passed to the compiler). Read this stackoverflow to see how to handle similar problems: http://stackoverflow.com/questions/5256397/python-easy-install-fails-with-assembler-for-architecture-ppc-not-installed-on
- gfortran - you need this to build numpy. With brew you can install with just: ```brew install gfortran```
- umfpack - you need this to build scipy. ```brew install umfpack```
- swig - you need this to build scipy. ```brew install swig```
- hdf5 - you need this to build tables. ```brew install hdf5```
- zeromq - you need this to run qbt. ```brew install zmq```
Data Sources
=============
The Backtest can handle multiple concurrent data sources. QBT will start a
subprocess to run each datasource, and merge all events from all sources into a
single serial feed, ordered by date.
Data sources have events with very different frequencies. For example, liquid
stocks will trade many times per minute, while illiquid stocks may trade just
once a day. In order to serialize events from all sources into a single feed,
qbt loads events from all sources into memory, then sorts. The communication
happens like this:
1. QBT requests the next event from each data source, ignoring date (i.e.
just next in sequence for all)
2. Using the earliest date from all the events from all sources, QBT then
asks for "next after <date>" from all sources.
3. All datasources send all events in their history from before <date>,
moving their internal pointer forward to the next unsent event.
4. QBT merges all events in memory
5. goto 1!
docs/make.bat
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@ECHO OFF
REM Command file for Sphinx documentation
if "%SPHINXBUILD%" == "" (
set SPHINXBUILD=sphinx-build
)
set BUILDDIR=_build
set ALLSPHINXOPTS=-d %BUILDDIR%/doctrees %SPHINXOPTS% .
set I18NSPHINXOPTS=%SPHINXOPTS% .
if NOT "%PAPER%" == "" (
set ALLSPHINXOPTS=-D latex_paper_size=%PAPER% %ALLSPHINXOPTS%
set I18NSPHINXOPTS=-D latex_paper_size=%PAPER% %I18NSPHINXOPTS%
)
if "%1" == "" goto help
if "%1" == "help" (
:help
echo.Please use `make ^<target^>` where ^<target^> is one of
echo. html to make standalone HTML files
echo. dirhtml to make HTML files named index.html in directories
echo. singlehtml to make a single large HTML file
echo. pickle to make pickle files
echo. json to make JSON files
echo. htmlhelp to make HTML files and a HTML help project
echo. qthelp to make HTML files and a qthelp project
echo. devhelp to make HTML files and a Devhelp project
echo. epub to make an epub
echo. latex to make LaTeX files, you can set PAPER=a4 or PAPER=letter
echo. text to make text files
echo. man to make manual pages
echo. texinfo to make Texinfo files
echo. gettext to make PO message catalogs
echo. changes to make an overview over all changed/added/deprecated items
echo. linkcheck to check all external links for integrity
echo. doctest to run all doctests embedded in the documentation if enabled
goto end
)
if "%1" == "clean" (
for /d %%i in (%BUILDDIR%\*) do rmdir /q /s %%i
del /q /s %BUILDDIR%\*
goto end
)
if "%1" == "html" (
%SPHINXBUILD% -b html %ALLSPHINXOPTS% %BUILDDIR%/html
if errorlevel 1 exit /b 1
echo.
echo.Build finished. The HTML pages are in %BUILDDIR%/html.
goto end
)
if "%1" == "dirhtml" (
%SPHINXBUILD% -b dirhtml %ALLSPHINXOPTS% %BUILDDIR%/dirhtml
if errorlevel 1 exit /b 1
echo.
echo.Build finished. The HTML pages are in %BUILDDIR%/dirhtml.
goto end
)
if "%1" == "singlehtml" (
%SPHINXBUILD% -b singlehtml %ALLSPHINXOPTS% %BUILDDIR%/singlehtml
if errorlevel 1 exit /b 1
echo.
echo.Build finished. The HTML pages are in %BUILDDIR%/singlehtml.
goto end
)
if "%1" == "pickle" (
%SPHINXBUILD% -b pickle %ALLSPHINXOPTS% %BUILDDIR%/pickle
if errorlevel 1 exit /b 1
echo.
echo.Build finished; now you can process the pickle files.
goto end
)
if "%1" == "json" (
%SPHINXBUILD% -b json %ALLSPHINXOPTS% %BUILDDIR%/json
if errorlevel 1 exit /b 1
echo.
echo.Build finished; now you can process the JSON files.
goto end
)
if "%1" == "htmlhelp" (
%SPHINXBUILD% -b htmlhelp %ALLSPHINXOPTS% %BUILDDIR%/htmlhelp
if errorlevel 1 exit /b 1
echo.
echo.Build finished; now you can run HTML Help Workshop with the ^
.hhp project file in %BUILDDIR%/htmlhelp.
goto end
)
if "%1" == "qthelp" (
%SPHINXBUILD% -b qthelp %ALLSPHINXOPTS% %BUILDDIR%/qthelp
if errorlevel 1 exit /b 1
echo.
echo.Build finished; now you can run "qcollectiongenerator" with the ^
.qhcp project file in %BUILDDIR%/qthelp, like this:
echo.^> qcollectiongenerator %BUILDDIR%\qthelp\QSim.qhcp
echo.To view the help file:
echo.^> assistant -collectionFile %BUILDDIR%\qthelp\QSim.ghc
goto end
)
if "%1" == "devhelp" (
%SPHINXBUILD% -b devhelp %ALLSPHINXOPTS% %BUILDDIR%/devhelp
if errorlevel 1 exit /b 1
echo.
echo.Build finished.
goto end
)
if "%1" == "epub" (
%SPHINXBUILD% -b epub %ALLSPHINXOPTS% %BUILDDIR%/epub
if errorlevel 1 exit /b 1
echo.
echo.Build finished. The epub file is in %BUILDDIR%/epub.
goto end
)
if "%1" == "latex" (
%SPHINXBUILD% -b latex %ALLSPHINXOPTS% %BUILDDIR%/latex
if errorlevel 1 exit /b 1
echo.
echo.Build finished; the LaTeX files are in %BUILDDIR%/latex.
goto end
)
if "%1" == "text" (
%SPHINXBUILD% -b text %ALLSPHINXOPTS% %BUILDDIR%/text
if errorlevel 1 exit /b 1
echo.
echo.Build finished. The text files are in %BUILDDIR%/text.
goto end
)
if "%1" == "man" (
%SPHINXBUILD% -b man %ALLSPHINXOPTS% %BUILDDIR%/man
if errorlevel 1 exit /b 1
echo.
echo.Build finished. The manual pages are in %BUILDDIR%/man.
goto end
)
if "%1" == "texinfo" (
%SPHINXBUILD% -b texinfo %ALLSPHINXOPTS% %BUILDDIR%/texinfo
if errorlevel 1 exit /b 1
echo.
echo.Build finished. The Texinfo files are in %BUILDDIR%/texinfo.
goto end
)
if "%1" == "gettext" (
%SPHINXBUILD% -b gettext %I18NSPHINXOPTS% %BUILDDIR%/locale
if errorlevel 1 exit /b 1
echo.
echo.Build finished. The message catalogs are in %BUILDDIR%/locale.
goto end
)
if "%1" == "changes" (
%SPHINXBUILD% -b changes %ALLSPHINXOPTS% %BUILDDIR%/changes
if errorlevel 1 exit /b 1
echo.
echo.The overview file is in %BUILDDIR%/changes.
goto end
)
if "%1" == "linkcheck" (
%SPHINXBUILD% -b linkcheck %ALLSPHINXOPTS% %BUILDDIR%/linkcheck
if errorlevel 1 exit /b 1
echo.
echo.Link check complete; look for any errors in the above output ^
or in %BUILDDIR%/linkcheck/output.txt.
goto end
)
if "%1" == "doctest" (
%SPHINXBUILD% -b doctest %ALLSPHINXOPTS% %BUILDDIR%/doctest
if errorlevel 1 exit /b 1
echo.
echo.Testing of doctests in the sources finished, look at the ^
results in %BUILDDIR%/doctest/output.txt.
goto end
)
:end
docs/manifesto.rst
-140
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@@ -1,140 +0,0 @@
********************
Quantopian Manifesto
********************
Wall Street's culture was born in an age of information scarcity.
Hoarding information and keeping secrets were the norm. The world has changed.
Today's world is defined by information that wants to be free. The new
scarcity is people: people with the talent and drive to wring insight from all
of that data.
Quantopian's mission is to attract the world's algorithmic and
financial talent. We want to attract today's quants, and we want to
attract talent that hasn't yet had the opportunity to be a quant. We
want to bring this talent together, provide them with the tools that they
require, and help them build a community. First and foremost, our community is
rooted in openness and sharing. Members share code, know-how, and data.
Quantopian sets the tone by providing open-sourced code, discussing our
techniques, and supplying the historical data needed for algorithmic investing.
By educating more people about statistical arbitrage and data mining for
finance, we aim to dispense with the secrecy and raise the state of the art.
Rather than hoard data, we relentlessly push data to our community. We want to
diversify the data that can be mined, and permit our members to explore as much
as they like. Our members' success in analyzing and investing will help
us draw more data and more members to our community. Every individual's
success will also help other Quantopians.
The Evolution of Algorithmic Finance
====================================
Charting
--------
Algorithmic finance originated as chart reading. Chartists would look for
certain patterns in price history charts. The patterns were always graced with
artfully chosen names like 'head and shoulders,' 'spinning top', or 'morning
star'. Chart reading looks a lot like palm reading, and for the skeptics among
us the similarities don't end with appearances. Still, chart reading is an
attempt to infer the balance of buying and selling appetites in the markets
from a stock's history. Viewed that way, chart reading pursues the noble goal
of prediction. Charting is so common that certain events can trigger market
responses, possibly because so many participants infer the same meaning from a
stock's price chart.
Technical Analysis
------------------
Analysis grew more sophisticated as chartists gave way to
computer scientists writing algorithms. These algorithms have more scientific
sounding names like Moving Averages, Volume Weighted Moving Averages, Bollinger
Bands, Relative Strength Indicators, and Pearson's Correlation
Coefficient. Building technical analysis algorithms looks a lot like modern
statistics, and the optimists among us would say the similarities run deep.
Technical analysts take algorithmic approaches to the same concept: inferring
future behavior from trailing data. In addition to greater sophistication,
technical analysts can also test their algorithms over historic data. Imperfect
to be sure, but a giant leap from staring at a chart.
Reasonable people can disagree about the 'correctness' of
inferring future events from past behavior. Rather than dwell on that question,
we choose to point out a different limitation of both charting and modern
technical analysis: **both interpret the movement of a single stock in
isolation**. This limitation is both a blessing and a curse.
On the one hand, there is little room for sophisticated statistics or machine
learning when you have just a single time series for both your signal and your
prediction target.
On the other, technical analysis can still be intuitive, which makes it easier
to get acquainted with the idea of automated trading. Often there is a mental
leap for people to make from understanding the interpretation of a price series
to issuing orders. Because the signals are easy to understand, technical
analysis makes for a good initial learning experience to explore risk and
performance evaluation as well as order management: the price going above its
30 day moving average is something you can visualize. So, you can focus your
attention on the financial and trading aspects of the problem.
Statistical Arbitrage
---------------------
Statistical Arbitrage is the grandchild of chart reading.
Like technical analysis it relies on algorithms and statistics, but it departs
in one very significant way: 'stat arb' looks for relationships
among many stocks. The challenge with stat arb is twofold:
* visualizing the relationships can be quite difficult, since the relationships
can have high dimensionality
* the data processing load is quite high - a simple linear regression for all
stocks results in 32 million individual regressions. Assuming a 10-day
window, that can be 320 million individual calculations. To prepare,
backtest, and trade a stat arb strategy required both familiarity with the
mechanics of trading, knowledge of statistics, and a strong computer science
background.
As stat arb matured, the competition to find stat arb strategies that work
became a two part race:
1. execute the trades faster
2. find new ways to identify relationships within
market data
We think the pursuit of faster trades reached diminishing returns when the
market hit sub-millisecond trade execution. We think that the resulting high
level of liquidity is a good thing, but we agree with Thomas Petterffy that
`pursuing even faster trades
<http://www.npr.org/blogs/money/2012/08/27/159992076/a-father-of-high-speed-trading-thinks-we-should-slow-down>`_
"has absolutely no social value".
Finding new relationships in the market data is possible and more important now
than ever. In the summer of 2007, there was a sudden meltdown in quantitative
trading firms. Subsequent analysis points to quants crowding into the same
arbitrage bets, and an unforeseen fund liquidation driving all the quants to
unwind those bets concurrently. We believe finding new relationships should
permit investments with lower correlation and lower risks.
Algorithmic Investing and the Future
====================================
A revolution in market understanding happens next. We want Quantopian to enable
more quants than all of Wall Street combined. We want quants, new and old, to
explore and share new ways to view the market. We want to clear away the
obstacles that have so far kept all but a few from doing algorithmic investing
by:
* simulating with clean, high-quality market data for free
* easy access to markets through trusted brokers
* providing a robust, flexible open-source backtester to permit evaluation and
iteration of algorithms
* supporting a community that fosters the exchange of knowledge, ideas, code
solutions, and data sources
The community will find new ways to identify market opportunities. It may take
the form of new, non-market data sources, like news feeds or Twitter. It may be
new algorithmic techniques. Most likely, it will be something we
haven't heard of yet: your idea. The one you keep coming back to. The
idea you couldn't test without data. The idea that needs backtesting,
and iteration, and encouragement from other quants.
Do you want to unleash your idea? This is your chance. `Come hack Wall Street
<http://www.quantopian.com>`_.
docs/modules.rst
-8
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@@ -1,8 +0,0 @@
***********************
Packages and Modules
***********************
.. toctree::
:maxdepth: 4
zipline
docs/notebooks/tutorial.ipynb
+2756
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docs/quickstart.rst
-14
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@@ -1,14 +0,0 @@
**********
Quickstart
**********
Dual-Moving Average Example
===========================
The following code implements a simple dual moving average algorithm
and tests it on data extracted from yahoo finance.
.. include:: ../zipline/examples/dual_moving_average.py
:literal:
You can find other examples in `the zipline/examples directory <https://github.com/quantopian/zipline/tree/master/zipline/examples>`_.
docs/tutorial.ipynb
-953
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docs/zipline.data.rst
-40
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@@ -1,40 +0,0 @@
:mod:`zipline.data` subpackage
===============================
.. automodule:: zipline.data.__init__
:members:
:undoc-members:
:show-inheritance:
:mod:`benchmarks` Module
-------------------------
.. automodule:: zipline.data.benchmarks
:members:
:undoc-members:
:show-inheritance:
:mod:`loader` Module
--------------------
.. automodule:: zipline.data.loader
:members:
:undoc-members:
:show-inheritance:
:mod:`loader_utils` Module
--------------------------
.. automodule:: zipline.data.loader_utils
:members:
:undoc-members:
:show-inheritance:
:mod:`treasuries` Module
------------------------
.. automodule:: zipline.data.treasuries
:members:
:undoc-members:
:show-inheritance:
docs/zipline.finance.rst
-48
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@@ -1,48 +0,0 @@
:mod:`zipline.finance` subpackage
==================================
.. automodule:: zipline.finance.__init__
:members:
:undoc-members:
:show-inheritance:
:mod:`commission` Module
-------------------------
.. automodule:: zipline.finance.commission
:members:
:undoc-members:
:show-inheritance:
:mod:`performance` Module
-------------------------
.. automodule:: zipline.finance.performance
:members:
:undoc-members:
:show-inheritance:
:mod:`risk` Module
------------------
.. automodule:: zipline.finance.risk
:members:
:undoc-members:
:show-inheritance:
:mod:`slippage` Module
-------------------------
.. automodule:: zipline.finance.slippage
:members:
:undoc-members:
:show-inheritance:
:mod:`trading` Module
---------------------
.. automodule:: zipline.finance.trading
:members:
:undoc-members:
:show-inheritance:
docs/zipline.gens.rst
-32
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@@ -1,32 +0,0 @@
:mod:`zipline.gens` subpackage
==============================
.. automodule:: zipline.gens.__init__
:members:
:undoc-members:
:show-inheritance:
:mod:`composites` Module
-------------------------
.. automodule:: zipline.gens.composites
:members:
:undoc-members:
:show-inheritance:
:mod:`tradesimulation` Module
------------------------------
.. automodule:: zipline.gens.tradesimulation
:members:
:undoc-members:
:show-inheritance:
:mod:`utils` Module
---------------------
.. automodule:: zipline.gens.utils
:members:
:undoc-members:
:show-inheritance:
docs/zipline.rst
-51
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@@ -1,51 +0,0 @@
:mod:`zipline` Package
=======================
.. automodule:: zipline.__init__
:members:
:undoc-members:
:show-inheritance:
:mod:`algorithm` Module
-------------------------
.. automodule:: zipline.algorithm
:members:
:undoc-members:
:show-inheritance:
:mod:`sources` Module
----------------------
.. automodule:: zipline.sources
:members:
:undoc-members:
:show-inheritance:
:mod:`test_algorithms` Module
-----------------------------
.. automodule:: zipline.test_algorithms
:members:
:undoc-members:
:show-inheritance:
:mod:`version` Module
---------------------
.. automodule:: zipline.version
:members:
:undoc-members:
:show-inheritance:
Subpackages
-----------
.. toctree::
zipline.data
zipline.finance
zipline.gens
zipline.transforms
zipline.utils
docs/zipline.transforms.rst
-55
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@@ -1,55 +0,0 @@
:mod:`zipline.transforms` subpackage
=====================================
.. automodule:: zipline.transforms.__init__
:members:
:undoc-members:
:show-inheritance:
:mod:`mavg` Module
-------------------------
.. automodule:: zipline.transforms.mavg
:members:
:undoc-members:
:show-inheritance:
:mod:`returns` Module
-------------------------
.. automodule:: zipline.transforms.returns
:members:
:undoc-members:
:show-inheritance:
:mod:`stddev` Module
-------------------------
.. automodule:: zipline.transforms.stddev
:members:
:undoc-members:
:show-inheritance:
:mod:`utils` Module
-------------------------
.. automodule:: zipline.transforms.utils
:members:
:undoc-members:
:show-inheritance:
:mod:`vwap` Module
-------------------------
.. automodule:: zipline.transforms.vwap
:members:
:undoc-members:
:show-inheritance:
:mod:`talib` Module
-------------------------
.. automodule:: zipline.transforms.ta
:members:
:undoc-members:
:show-inheritance:
docs/zipline.utils.rst
-48
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@@ -1,48 +0,0 @@
:mod:`zipline.utils` subpackage
===============================
.. automodule:: zipline.utils.__init__
:members:
:undoc-members:
:show-inheritance:
:mod:`factory` Module
---------------------
.. automodule:: zipline.utils.factory
:members:
:undoc-members:
:show-inheritance:
:mod:`protocol_units` Module
----------------------------
.. automodule:: zipline.utils.protocol_utils
:members:
:undoc-members:
:show-inheritance:
:mod:`simfactory` Module
--------------------------
.. automodule:: zipline.utils.simfactory
:members:
:undoc-members:
:show-inheritance:
:mod:`test_utils` Module
------------------------
.. automodule:: zipline.utils.test_utils
:members:
:undoc-members:
:show-inheritance:
:mod:`tradingcalendar` Module
------------------------------
.. automodule:: zipline.utils.tradingcalendar
:members:
:undoc-members:
:show-inheritance:
etc/requirements_dev.txt
+3
View File
@@ -15,6 +15,9 @@ pyflakes==0.8.1
# Documentation Conversion
pyandoc==0.0.1
docopt==0.6.2
numpydoc==0.5
mistune==0.5
# Example scripts that are run during unit tests use the following:
mkdocs.yml
+10
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@@ -0,0 +1,10 @@
site_name: Zipline
repo_url: https://github.com/quantopian/zipline
site_author: Quantopian Inc.
pages:
- ['index.md', 'Overview']
- ['tutorial.md', 'Tutorial', 'Getting started']
- ['release-notes/zipline-0.7.1.md', 'Release notes']
- ['release-notes/zipline-0.7.0.md', 'Release notes']
- ['release-notes/zipline-0.6.1.md', 'Release notes']