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Merge branch 'develop'

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This commit is contained in:
Frederic Fortier
2018-02-09 12:01:57 -05:00
parent 3c4c6c3dfd 6b1982274e
commit 49b6792399
17 changed files with 357 additions and 248 deletions
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catalyst/algorithm.py
+5 -5
View File
@@ -939,7 +939,7 @@ class TradingAlgorithm(object):
The field to query. The options have the following meanings:
arena : str
The arena from the simulation parameters. This will normally
be ``'backtest'`` but some systems may use this distinguish
be ``backtest`` but some systems may use this distinguish
live trading from backtesting.
data_frequency : {'daily', 'minute'}
data_frequency tells the algorithm if it is running with
@@ -954,7 +954,7 @@ class TradingAlgorithm(object):
The platform that the code is running on. By default this
will be the string 'catalyst'. This can allow algorithms to
know if they are running on the Quantopian platform instead.
* : dict[str -> any]
\* : dict[str -> any]
Returns all of the fields in a dictionary.
Returns
@@ -1032,7 +1032,7 @@ class TradingAlgorithm(object):
argument is the name of the column in the preprocessed dataframe
containing the symbols. This will be used along with the date
information to map the sids in the asset finder.
**kwargs
\*\*kwargs
Forwarded to :func:`pandas.read_csv`.
Returns
@@ -1156,7 +1156,7 @@ class TradingAlgorithm(object):
Parameters
----------
**kwargs
\*\*kwargs
The names and values to record.
Notes
@@ -1273,7 +1273,7 @@ class TradingAlgorithm(object):
Parameters
----------
*args : iterable[str]
\*args : iterable[str]
The ticker symbols to lookup.
Returns
catalyst/exchange/exchange_bundle.py
+16 -25
View File
@@ -458,7 +458,7 @@ class ExchangeBundle:
last_entry = None
if start is None or \
(earliest_trade is not None and earliest_trade > start):
(earliest_trade is not None and earliest_trade > start):
start = earliest_trade
if last_entry is not None and (end is None or end > last_entry):
@@ -600,14 +600,14 @@ class ExchangeBundle:
if show_breakdown:
for asset in chunks:
with maybe_show_progress(
chunks[asset],
show_progress,
label='Ingesting {frequency} price data for '
'{symbol} on {exchange}'.format(
exchange=self.exchange_name,
frequency=data_frequency,
symbol=asset.symbol
)) as it:
chunks[asset],
show_progress,
label='Ingesting {frequency} price data for '
'{symbol} on {exchange}'.format(
exchange=self.exchange_name,
frequency=data_frequency,
symbol=asset.symbol
)) as it:
for chunk in it:
problems += self.ingest_ctable(
asset=chunk['asset'],
@@ -625,13 +625,13 @@ class ExchangeBundle:
key=lambda chunk: pd.to_datetime(chunk['period'])
)
with maybe_show_progress(
all_chunks,
show_progress,
label='Ingesting {frequency} price data on '
'{exchange}'.format(
exchange=self.exchange_name,
frequency=data_frequency,
)) as it:
all_chunks,
show_progress,
label='Ingesting {frequency} price data on '
'{exchange}'.format(
exchange=self.exchange_name,
frequency=data_frequency,
)) as it:
for chunk in it:
problems += self.ingest_ctable(
asset=chunk['asset'],
@@ -830,7 +830,6 @@ class ExchangeBundle:
field,
data_frequency,
algo_end_dt=None,
trailing_bar_count=None,
force_auto_ingest=False
):
"""
@@ -858,7 +857,6 @@ class ExchangeBundle:
bar_count=bar_count,
field=field,
data_frequency=data_frequency,
trailing_bar_count=trailing_bar_count,
)
return pd.DataFrame(series)
@@ -887,7 +885,6 @@ class ExchangeBundle:
field=field,
data_frequency=data_frequency,
reset_reader=True,
trailing_bar_count=trailing_bar_count,
)
return series
@@ -898,7 +895,6 @@ class ExchangeBundle:
bar_count=bar_count,
field=field,
data_frequency=data_frequency,
trailing_bar_count=trailing_bar_count,
)
return pd.DataFrame(series)
@@ -962,12 +958,7 @@ class ExchangeBundle:
bar_count,
field,
data_frequency,
trailing_bar_count=None,
reset_reader=False):
if trailing_bar_count:
delta = get_delta(trailing_bar_count, data_frequency)
end_dt += delta
start_dt = get_start_dt(end_dt, bar_count, data_frequency, False)
start_dt, _ = self.get_adj_dates(
start_dt, end_dt, assets, data_frequency
catalyst/exchange/exchange_data_portal.py
-2
View File
@@ -298,7 +298,6 @@ class DataPortalExchangeBacktest(DataPortalExchangeBase):
frequency, data_frequency
)
adj_bar_count = candle_size * bar_count
trailing_bar_count = candle_size - 1
if data_frequency == 'minute' and adj_data_frequency == 'daily':
end_dt = end_dt.floor('1D')
@@ -310,7 +309,6 @@ class DataPortalExchangeBacktest(DataPortalExchangeBase):
field=field,
data_frequency=adj_data_frequency,
algo_end_dt=self._last_available_session,
trailing_bar_count=trailing_bar_count,
)
df = resample_history_df(pd.DataFrame(series), freq, field)
catalyst/exchange/utils/exchange_utils.py
+1 -1
View File
@@ -540,7 +540,7 @@ def resample_history_df(df, freq, field):
else:
raise ValueError('Invalid field.')
resampled_df = df.resample(freq).agg(agg)
resampled_df = df.resample(freq, closed='left', label='left').agg(agg)
return resampled_df
catalyst/utils/run_algo.py
+6 -8
View File
@@ -55,6 +55,7 @@ class _RunAlgoError(click.ClickException, ValueError):
----------
pyfunc_msg : str
The message that will be shown when called as a python function.
cmdline_msg : str
The message that will be shown on the command line.
"""
@@ -416,7 +417,8 @@ def run_algorithm(initialize,
auth_aliases=None,
stats_output=None,
output=os.devnull):
"""Run a trading algorithm.
"""
Run a trading algorithm.
Parameters
----------
@@ -458,7 +460,7 @@ def run_algorithm(initialize,
This argument is mutually exclusive with ``data``.
default_extension : bool, optional
Should the default catalyst extension be loaded. This is found at
``$ZIPLINE_ROOT/extension.py``
``$CATALYST_ROOT/extension.py``
extensions : iterable[str], optional
The names of any other extensions to load. Each element may either be
a dotted module path like ``a.b.c`` or a path to a python file ending
@@ -469,12 +471,8 @@ def run_algorithm(initialize,
environ : mapping[str -> str], optional
The os environment to use. Many extensions use this to get parameters.
This defaults to ``os.environ``.
live: execute live trading
exchange_conn: The exchange connection parameters
Supported Exchanges
-------------------
bitfinex
live : bool, optional
Execute algorithm in live trading mode.
Returns
-------
docs/source/appendix.rst
+173 -179
View File
@@ -4,7 +4,7 @@ API Reference
Running a Backtest
~~~~~~~~~~~~~~~~~~
.. autofunction:: zipline.run_algorithm(...)
.. autofunction:: catalyst.run_algorithm(...)
Algorithm API
~~~~~~~~~~~~~
@@ -18,341 +18,335 @@ currently-executing :class:`~zipline.algorithm.TradingAlgorithm` instance.
Data Object
```````````
.. autoclass:: zipline.protocol.BarData
.. autoclass:: catalyst.protocol.BarData
:members:
Scheduling Functions
````````````````````
.. autofunction:: zipline.api.schedule_function
.. autofunction:: catalyst.api.schedule_function
.. autoclass:: zipline.api.date_rules
.. autoclass:: catalyst.api.date_rules
:members:
:undoc-members:
.. autoclass:: zipline.api.time_rules
.. autoclass:: catalyst.api.time_rules
:members:
Orders
``````
.. autofunction:: zipline.api.order
.. autofunction:: catalyst.api.order
.. autofunction:: zipline.api.order_value
.. autofunction:: catalyst.api.order_value
.. autofunction:: zipline.api.order_percent
.. autofunction:: catalyst.api.order_percent
.. autofunction:: zipline.api.order_target
.. autofunction:: catalyst.api.order_target
.. autofunction:: zipline.api.order_target_value
.. autofunction:: catalyst.api.order_target_value
.. autofunction:: zipline.api.order_target_percent
.. autofunction:: catalyst.api.order_target_percent
.. autoclass:: zipline.finance.execution.ExecutionStyle
.. autoclass:: catalyst.finance.execution.ExecutionStyle
:members:
.. autoclass:: zipline.finance.execution.MarketOrder
.. autoclass:: catalyst.finance.execution.MarketOrder
.. autoclass:: zipline.finance.execution.LimitOrder
.. autoclass:: catalyst.finance.execution.LimitOrder
.. autoclass:: zipline.finance.execution.StopOrder
.. autoclass:: catalyst.finance.execution.StopOrder
.. autoclass:: zipline.finance.execution.StopLimitOrder
.. autoclass:: catalyst.finance.execution.StopLimitOrder
.. autofunction:: zipline.api.get_order
.. autofunction:: catalyst.api.get_order
.. autofunction:: zipline.api.get_open_orders
.. autofunction:: catalyst.api.get_open_orders
.. autofunction:: zipline.api.cancel_order
.. autofunction:: catalyst.api.cancel_order
Order Cancellation Policies
'''''''''''''''''''''''''''
.. autofunction:: zipline.api.set_cancel_policy
.. autofunction:: catalyst.api.set_cancel_policy
.. autoclass:: zipline.finance.cancel_policy.CancelPolicy
.. autoclass:: catalyst.finance.cancel_policy.CancelPolicy
:members:
.. autofunction:: zipline.api.EODCancel
.. autofunction:: catalyst.api.EODCancel
.. autofunction:: zipline.api.NeverCancel
.. autofunction:: catalyst.api.NeverCancel
Assets
``````
.. autofunction:: zipline.api.symbol
.. autofunction:: catalyst.api.symbol
.. autofunction:: zipline.api.symbols
.. autofunction:: catalyst.api.symbols
.. autofunction:: zipline.api.future_symbol
.. autofunction:: catalyst.api.set_symbol_lookup_date
.. autofunction:: zipline.api.set_symbol_lookup_date
.. autofunction:: zipline.api.sid
.. autofunction:: catalyst.api.sid
Trading Controls
````````````````
Zipline provides trading controls to help ensure that the algorithm is
zipline provides trading controls to help ensure that the algorithm is
performing as expected. The functions help protect the algorithm from certian
bugs that could cause undesirable behavior when trading with real money.
.. autofunction:: zipline.api.set_do_not_order_list
.. autofunction:: catalyst.api.set_do_not_order_list
.. autofunction:: zipline.api.set_long_only
.. autofunction:: catalyst.api.set_long_only
.. autofunction:: zipline.api.set_max_leverage
.. autofunction:: catalyst.api.set_max_leverage
.. autofunction:: zipline.api.set_max_order_count
.. autofunction:: catalyst.api.set_max_order_count
.. autofunction:: zipline.api.set_max_order_size
.. autofunction:: catalyst.api.set_max_order_size
.. autofunction:: zipline.api.set_max_position_size
.. autofunction:: catalyst.api.set_max_position_size
Simulation Parameters
`````````````````````
.. autofunction:: zipline.api.set_benchmark
.. autofunction:: catalyst.api.set_benchmark
Commission Models
'''''''''''''''''
.. autofunction:: zipline.api.set_commission
.. autofunction:: catalyst.api.set_commission
.. autoclass:: zipline.finance.commission.CommissionModel
.. autoclass:: catalyst.finance.commission.CommissionModel
:members:
.. autoclass:: zipline.finance.commission.PerShare
.. autoclass:: catalyst.finance.commission.PerShare
.. autoclass:: zipline.finance.commission.PerTrade
.. autoclass:: catalyst.finance.commission.PerTrade
.. autoclass:: zipline.finance.commission.PerDollar
.. autoclass:: catalyst.finance.commission.PerDollar
Slippage Models
'''''''''''''''
.. autofunction:: zipline.api.set_slippage
.. autofunction:: catalyst.api.set_slippage
.. autoclass:: zipline.finance.slippage.SlippageModel
.. autoclass:: catalyst.finance.slippage.SlippageModel
:members:
.. autoclass:: zipline.finance.slippage.FixedSlippage
.. autoclass:: catalyst.finance.slippage.FixedSlippage
.. autoclass:: zipline.finance.slippage.VolumeShareSlippage
.. autoclass:: catalyst.finance.slippage.VolumeShareSlippage
Pipeline
````````
For more information, see :ref:`pipeline-api`
Not supported yet.
.. autofunction:: zipline.api.attach_pipeline
.. For more information, see :ref:`pipeline-api`
.. autofunction:: zipline.api.pipeline_output
.. .. autofunction:: catalyst.api.attach_pipeline
.. .. autofunction:: catalyst.api.pipeline_output
Miscellaneous
`````````````
.. autofunction:: zipline.api.record
.. autofunction:: catalyst.api.record
.. autofunction:: zipline.api.get_environment
.. autofunction:: catalyst.api.get_environment
.. autofunction:: zipline.api.fetch_csv
.. autofunction:: catalyst.api.fetch_csv
.. _pipeline-api:
Pipeline API
~~~~~~~~~~~~
.. Pipeline API
.. ~~~~~~~~~~~~
.. autoclass:: zipline.pipeline.Pipeline
:members:
:member-order: groupwise
.. .. autoclass:: zipline.pipeline.Pipeline
.. :members:
.. :member-order: groupwise
.. autoclass:: zipline.pipeline.CustomFactor
:members:
:member-order: groupwise
.. .. autoclass:: zipline.pipeline.CustomFactor
.. :members:
.. :member-order: groupwise
.. autoclass:: zipline.pipeline.filters.Filter
:members: __and__, __or__
:exclude-members: dtype
.. .. autoclass:: zipline.pipeline.filters.Filter
.. :members: __and__, __or__
.. :exclude-members: dtype
.. autoclass:: zipline.pipeline.factors.Factor
:members: bottom, deciles, demean, linear_regression, pearsonr,
percentile_between, quantiles, quartiles, quintiles, rank,
spearmanr, top, winsorize, zscore, isnan, notnan, isfinite, eq,
__add__, __sub__, __mul__, __div__, __mod__, __pow__, __lt__,
__le__, __ne__, __ge__, __gt__
:exclude-members: dtype
:member-order: bysource
.. .. autoclass:: zipline.pipeline.factors.Factor
.. :members: bottom, deciles, demean, linear_regression, pearsonr,
.. percentile_between, quantiles, quartiles, quintiles, rank,
.. spearmanr, top, winsorize, zscore, isnan, notnan, isfinite, eq,
.. \__add__, \__sub__, \__mul__, \__div__, \__mod__, \__pow__,
.. \__lt__, \__le__, \__ne__, \__ge__, \__gt__
.. :exclude-members: dtype
.. :member-order: bysource
.. autoclass:: zipline.pipeline.term.Term
:members:
:exclude-members: compute_extra_rows, dependencies, inputs, mask, windowed
.. .. autoclass:: zipline.pipeline.term.Term
.. :members:
.. :exclude-members: compute_extra_rows, dependencies, inputs, mask, windowed
.. autoclass:: zipline.pipeline.data.USEquityPricing
:members: open, high, low, close, volume
:undoc-members:
.. .. autoclass:: zipline.pipeline.data.USEquityPricing
.. :members: open, high, low, close, volume
.. :undoc-members:
Built-in Factors
````````````````
.. Built-in Factors
.. ````````````````
.. autoclass:: zipline.pipeline.factors.AverageDollarVolume
:members:
.. .. autoclass:: zipline.pipeline.factors.AverageDollarVolume
.. :members:
.. autoclass:: zipline.pipeline.factors.BollingerBands
:members:
.. .. autoclass:: zipline.pipeline.factors.BollingerBands
.. :members:
.. autoclass:: zipline.pipeline.factors.BusinessDaysSincePreviousEvent
:members:
.. .. autoclass:: zipline.pipeline.factors.BusinessDaysSincePreviousEvent
.. :members:
.. autoclass:: zipline.pipeline.factors.BusinessDaysUntilNextEvent
:members:
.. .. autoclass:: zipline.pipeline.factors.BusinessDaysUntilNextEvent
.. :members:
.. autoclass:: zipline.pipeline.factors.ExponentialWeightedMovingAverage
:members:
.. .. autoclass:: zipline.pipeline.factors.ExponentialWeightedMovingAverage
.. :members:
.. autoclass:: zipline.pipeline.factors.ExponentialWeightedMovingStdDev
:members:
.. .. autoclass:: zipline.pipeline.factors.ExponentialWeightedMovingStdDev
.. :members:
.. autoclass:: zipline.pipeline.factors.Latest
:members:
.. .. autoclass:: zipline.pipeline.factors.Latest
.. :members:
.. autoclass:: zipline.pipeline.factors.MaxDrawdown
:members:
.. .. autoclass:: zipline.pipeline.factors.MaxDrawdown
.. :members:
.. autoclass:: zipline.pipeline.factors.Returns
:members:
.. .. autoclass:: zipline.pipeline.factors.Returns
.. :members:
.. autoclass:: zipline.pipeline.factors.RollingLinearRegressionOfReturns
:members:
.. .. autoclass:: zipline.pipeline.factors.RollingLinearRegressionOfReturns
.. :members:
.. autoclass:: zipline.pipeline.factors.RollingPearsonOfReturns
:members:
.. .. autoclass:: zipline.pipeline.factors.RollingPearsonOfReturns
.. :members:
.. autoclass:: zipline.pipeline.factors.RollingSpearmanOfReturns
:members:
.. .. autoclass:: zipline.pipeline.factors.RollingSpearmanOfReturns
.. :members:
.. autoclass:: zipline.pipeline.factors.RSI
:members:
.. .. autoclass:: zipline.pipeline.factors.RSI
.. :members:
.. autoclass:: zipline.pipeline.factors.SimpleMovingAverage
:members:
.. .. autoclass:: zipline.pipeline.factors.SimpleMovingAverage
.. :members:
.. autoclass:: zipline.pipeline.factors.VWAP
:members:
.. .. autoclass:: zipline.pipeline.factors.VWAP
.. :members:
.. autoclass:: zipline.pipeline.factors.WeightedAverageValue
:members:
.. .. autoclass:: zipline.pipeline.factors.WeightedAverageValue
.. :members:
Pipeline Engine
```````````````
.. Pipeline Engine
.. ```````````````
.. autoclass:: zipline.pipeline.engine.PipelineEngine
:members: run_pipeline, run_chunked_pipeline
:member-order: bysource
.. .. autoclass:: zipline.pipeline.engine.PipelineEngine
.. :members: run_pipeline, run_chunked_pipeline
.. :member-order: bysource
.. autoclass:: zipline.pipeline.engine.SimplePipelineEngine
:members: __init__, run_pipeline, run_chunked_pipeline
:member-order: bysource
.. .. autoclass:: zipline.pipeline.engine.SimplePipelineEngine
.. :members: __init__, run_pipeline, run_chunked_pipeline
.. :member-order: bysource
.. autofunction:: zipline.pipeline.engine.default_populate_initial_workspace
.. .. autofunction:: zipline.pipeline.engine.default_populate_initial_workspace
Data Loaders
````````````
.. Data Loaders
.. ````````````
.. autoclass:: zipline.pipeline.loaders.equity_pricing_loader.USEquityPricingLoader
:members: __init__, from_files, load_adjusted_array
:member-order: bysource
.. .. autoclass:: zipline.pipeline.loaders.equity_pricing_loader.USEquityPricingLoader
.. :members: __init__, from_files, load_adjusted_array
.. :member-order: bysource
Asset Metadata
~~~~~~~~~~~~~~
.. autoclass:: zipline.assets.Asset
.. autoclass:: catalyst.assets.Asset
:members:
.. autoclass:: zipline.assets.Equity
:members:
.. autoclass:: zipline.assets.Future
:members:
.. autoclass:: zipline.assets.AssetConvertible
.. autoclass:: catalyst.assets.AssetConvertible
:members:
Trading Calendar API
~~~~~~~~~~~~~~~~~~~~
.. autofunction:: zipline.utils.calendars.get_calendar
.. autofunction:: catalyst.utils.calendars.get_calendar
.. autoclass:: zipline.utils.calendars.TradingCalendar
.. autoclass:: catalyst.utils.calendars.TradingCalendar
:members:
.. autofunction:: zipline.utils.calendars.register_calendar
.. autofunction:: catalyst.utils.calendars.register_calendar
.. autofunction:: zipline.utils.calendars.register_calendar_type
.. autofunction:: catalyst.utils.calendars.register_calendar_type
.. autofunction:: zipline.utils.calendars.deregister_calendar
.. autofunction:: catalyst.utils.calendars.deregister_calendar
.. autofunction:: zipline.utils.calendars.clear_calendars
.. autofunction:: catalyst.utils.calendars.clear_calendars
Data API
~~~~~~~~
Writers
```````
.. autoclass:: zipline.data.minute_bars.BcolzMinuteBarWriter
:members:
.. Writers
.. ```````
.. .. autoclass:: zipline.data.minute_bars.BcolzMinuteBarWriter
.. :members:
.. autoclass:: zipline.data.us_equity_pricing.BcolzDailyBarWriter
:members:
.. .. autoclass:: zipline.data.us_equity_pricing.BcolzDailyBarWriter
.. :members:
.. autoclass:: zipline.data.us_equity_pricing.SQLiteAdjustmentWriter
:members:
.. .. autoclass:: zipline.data.us_equity_pricing.SQLiteAdjustmentWriter
.. :members:
.. autoclass:: zipline.assets.AssetDBWriter
:members:
.. .. autoclass:: zipline.assets.AssetDBWriter
.. :members:
Readers
```````
.. autoclass:: zipline.data.minute_bars.BcolzMinuteBarReader
:members:
.. Readers
.. ```````
.. .. autoclass:: zipline.data.minute_bars.BcolzMinuteBarReader
.. :members:
.. autoclass:: zipline.data.us_equity_pricing.BcolzDailyBarReader
:members:
.. .. autoclass:: zipline.data.us_equity_pricing.BcolzDailyBarReader
.. :members:
.. autoclass:: zipline.data.us_equity_pricing.SQLiteAdjustmentReader
:members:
.. .. autoclass:: zipline.data.us_equity_pricing.SQLiteAdjustmentReader
.. :members:
.. autoclass:: zipline.assets.AssetFinder
:members:
.. .. autoclass:: zipline.assets.AssetFinder
.. :members:
.. autoclass:: zipline.data.data_portal.DataPortal
:members:
.. .. autoclass:: zipline.data.data_portal.DataPortal
.. :members:
Bundles
```````
.. autofunction:: zipline.data.bundles.register
.. Bundles
.. ```````
.. .. autofunction:: zipline.data.bundles.register
.. autofunction:: zipline.data.bundles.ingest(name, environ=os.environ, date=None, show_progress=True)
.. .. autofunction:: zipline.data.bundles.ingest(name, environ=os.environ, date=None, show_progress=True)
.. autofunction:: zipline.data.bundles.load(name, environ=os.environ, date=None)
.. .. autofunction:: zipline.data.bundles.load(name, environ=os.environ, date=None)
.. autofunction:: zipline.data.bundles.unregister
.. .. autofunction:: zipline.data.bundles.unregister
.. data:: zipline.data.bundles.bundles
.. .. data:: zipline.data.bundles.bundles
The bundles that have been registered as a mapping from bundle name to bundle
data. This mapping is immutable and should only be updated through
:func:`~zipline.data.bundles.register` or
:func:`~zipline.data.bundles.unregister`.
.. The bundles that have been registered as a mapping from bundle name to bundle
.. data. This mapping is immutable and should only be updated through
.. :func:`~zipline.data.bundles.register` or
.. :func:`~zipline.data.bundles.unregister`.
.. autofunction:: zipline.data.bundles.yahoo_equities
.. .. autofunction:: zipline.data.bundles.yahoo_equities
@@ -362,16 +356,16 @@ Utilities
Caching
```````
.. autoclass:: zipline.utils.cache.CachedObject
.. autoclass:: catalyst.utils.cache.CachedObject
.. autoclass:: zipline.utils.cache.ExpiringCache
.. autoclass:: catalyst.utils.cache.ExpiringCache
.. autoclass:: zipline.utils.cache.dataframe_cache
.. autoclass:: catalyst.utils.cache.dataframe_cache
.. autoclass:: zipline.utils.cache.working_file
.. autoclass:: catalyst.utils.cache.working_file
.. autoclass:: zipline.utils.cache.working_dir
.. autoclass:: catalyst.utils.cache.working_dir
Command Line
````````````
.. autofunction:: zipline.utils.cli.maybe_show_progress
.. autofunction:: catalyst.utils.cli.maybe_show_progress
docs/source/beginner-tutorial.rst
+7 -5
View File
@@ -168,7 +168,7 @@ We'll start with the CLI, and introduce the ``run_algorithm()`` in the last
example of this tutorial. Some of the :doc:`example algorithms <example-algos>`
provide instructions on how to run them both from the CLI, and using the
:func:`~catalyst.run_algorithm` function. For the third method, refer to the
corresponding section on :doc:`Catalyst & Jupyter Notebook <jupyter>` after you
corresponding section on :ref:`Catalyst & Jupyter Notebook <jupyter>` after you
have assimilated the contents of this tutorial.
Command line interface
@@ -473,6 +473,7 @@ Which we execute by running:
</div>
|
There is a row for each trading day, starting on the first day of our
simulation Jan 1st, 2016. In the columns you can find various
information about the state of your algorithm. The column
@@ -518,7 +519,7 @@ alongside enigma-catalyst (with the exception of the ``Conda`` install, where it
was included by default inside the conda environment we created). If for any
reason you don't have it installed, you can add it by running:
.. code-block:: python
.. code-block:: bash
(catalyst)$ pip install matplotlib
@@ -806,6 +807,7 @@ the ``scikit-learn`` functions require ``numpy.ndarray``\ s rather than
``pandas.DataFrame``\ s, so you can simply pass the underlying
``ndarray`` of a ``DataFrame`` via ``.values``).
.. _jupyter:
Jupyter Notebook
~~~~~~~~~~~~~~~~
@@ -826,13 +828,13 @@ In order to use Jupyter Notebook, you first have to install it inside your
environment. It's available as ``pip`` package, so regardless of how you
installed Catalyst, go inside your catalyst environemnt and run:
.. code:: bash
.. code-block:: bash
(catalyst)$ pip install jupyter
Once you have Jupyter Notebook installed, every time you want to use it run:
.. code:: bash
.. code-block:: bash
(catalyst)$ jupyter notebook
@@ -846,7 +848,7 @@ Before running your algorithms inside the Jupyter Notebook, remember to ingest
the data from the command line interface (CLI). In the example below, you would
need to run first:
.. code:: bash
.. code-block:: bash
catalyst ingest-exchange -x bitfinex -i btc_usd
docs/source/conf.py
+5 -2
View File
@@ -27,8 +27,8 @@ extlinks = {
# -- Docstrings ---------------------------------------------------------------
#extensions += ['numpydoc']
#numpydoc_show_class_members = False
extensions += ['numpydoc']
numpydoc_show_class_members = False
# Add any paths that contain templates here, relative to this directory.
templates_path = ['.templates']
@@ -97,3 +97,6 @@ intersphinx_mapping = {
doctest_global_setup = "import catalyst"
todo_include_todos = True
suppress_warnings = ['image.nonlocal_uri']
docs/source/development-guidelines.rst
+7 -17
View File
@@ -36,25 +36,15 @@ Finally, you can build the C extensions by running:
$ python setup.py build_ext --inplace
.. To finish, make sure `tests`__ pass.
Development with Docker
-----------------------
.. __ #style-guide-running-tests
If you want to work with zipline using a `Docker`__ container, you'll need to
build the ``Dockerfile`` in the Zipline root directory, and then build
``Dockerfile-dev``. Instructions for building both containers can be found in
``Dockerfile`` and ``Dockerfile-dev``, respectively.
.. If you get an error running nosetests after setting up a fresh virtualenv, please try running
.. code-block
.. # where zipline is the name of your virtualenv
.. $ deactivate zipline
.. $ workon zipline
.. Development with Docker
.. -----------------------
..If you want to work with zipline using a `Docker`__ container, you'll need to build the ``Dockerfile`` in the Zipline root directory, and then build ``Dockerfile-dev``. Instructions for building both containers can be found in ``Dockerfile`` and ``Dockerfile-dev``, respectively.
.. __ https://docs.docker.com/get-started/
__ https://docs.docker.com/get-started/
Git Branching Structure
-----------------------
docs/source/example-algos.rst
+1
View File
@@ -1,4 +1,5 @@
|
Example Algorithms
==================
docs/source/index.rst
+2
View File
@@ -1,6 +1,8 @@
.. include:: ../../README.rst
|
|
Table of Contents
-----------------
docs/source/install.rst
+2 -1
View File
@@ -298,7 +298,7 @@ Troubleshooting ``pip`` Install
.. _pipenv:
Installing with ``pipenv``
-------------------------
--------------------------
Installing Catalyst via ``pipenv`` is perhaps easier that installing it via
``pip`` itself but you need to install ``pipenv`` first via ``pip``.
@@ -476,6 +476,7 @@ mentioned above are as follows:
default you get 0 as the Value Data)
|
- **The installer has encountered an unexpected error installing this package.
This may indicate a problem with this package. The error code is 2503.**
docs/source/live-trading.rst
+1 -1
View File
@@ -113,7 +113,7 @@ Currency symbols (e.g. btc, eth, ltc) follow the Bittrex convention.
Here are some examples:
.. code-block:: json
.. code:: python
# With Bitfinex
bitcoin_usd_asset = symbol('btc_usd')
docs/source/releases.rst
+8
View File
@@ -2,6 +2,14 @@
Release Notes
=============
Version 0.5.3
^^^^^^^^^^^^^
**Release Date**: 2018-02-09
Bug Fixes
~~~~~~~~~
- Fixed an issue with last candle in backtesting :issue:`219`
Version 0.5.2
^^^^^^^^^^^^^
**Release Date**: 2018-02-08
etc/requirements_dev.txt
+1 -1
View File
@@ -16,7 +16,7 @@ babel==1.3
docutils==0.12
snowballstemmer==1.2.0
sphinx-rtd-theme==0.1.8
sphinx==1.3.4
sphinx==1.6.7
pbr==1.10.0
mock==2.0.0
etc/requirements_docs.txt
+1 -1
View File
@@ -1,4 +1,4 @@
Sphinx>=1.3.2
Sphinx==1.6.7
numpydoc>=0.5.0
sphinx-autobuild==0.6.0
docutils==0.12
tests/exchange/test_suites/test_suite_bundle.py
+121
View File
@@ -2,6 +2,7 @@ import random
import os
import pandas as pd
from datetime import timedelta
from logbook import TestHandler
from pandas.util.testing import assert_frame_equal
@@ -12,6 +13,7 @@ from catalyst.exchange.utils.exchange_utils import get_candles_df
from catalyst.exchange.utils.factory import get_exchange
from catalyst.exchange.utils.test_utils import output_df, \
select_random_assets
from catalyst.exchange.utils.stats_utils import set_print_settings
pd.set_option('display.expand_frame_repr', False)
pd.set_option('precision', 8)
@@ -58,6 +60,12 @@ class TestSuiteBundle:
log_catcher = TestHandler()
with log_catcher:
symbols = [asset.symbol for asset in assets]
print(
'comparing data for {}/{} with {} timeframe until {}'.format(
exchange.name, symbols, freq, end_dt
)
)
data['bundle'] = data_portal.get_history_window(
assets=assets,
end_dt=end_dt,
@@ -66,6 +74,12 @@ class TestSuiteBundle:
field='close',
data_frequency=data_frequency,
)
set_print_settings()
print(
'the bundle first / last row:\n{}'.format(
data['bundle'].iloc[[-1, 0]]
)
)
candles = exchange.get_candles(
end_dt=end_dt,
freq=freq,
@@ -79,6 +93,11 @@ class TestSuiteBundle:
bar_count=bar_count,
end_dt=end_dt,
)
print(
'the exchange first / last row:\n{}'.format(
data['exchange'].iloc[[-1, 0]]
)
)
for source in data:
df = data[source]
path, folder = output_df(
@@ -106,6 +125,65 @@ class TestSuiteBundle:
pass
def compare_current_with_last_candle(self, exchange, assets, end_dt,
freq, data_frequency, data_portal):
"""
Creates DataFrames from the bundle and exchange for the specified
data set.
Parameters
----------
exchange: Exchange
assets
end_dt
bar_count
freq
data_frequency
data_portal
Returns
-------
"""
data = dict()
assets = sorted(assets, key=lambda a: a.symbol)
log_catcher = TestHandler()
with log_catcher:
symbols = [asset.symbol for asset in assets]
print(
'comparing data for {}/{} with {} timeframe on {}'.format(
exchange.name, symbols, freq, end_dt
)
)
data['candle'] = data_portal.get_history_window(
assets=assets,
end_dt=end_dt,
bar_count=1,
frequency=freq,
field='close',
data_frequency=data_frequency,
)
set_print_settings()
print(
'the bundle first / last row:\n{}'.format(
data['candle'].iloc[[-1]]
)
)
current = data_portal.get_spot_value(
assets=assets,
field='close',
dt=end_dt,
data_frequency=data_frequency,
)
data['current'] = pd.Series(data=current, index=assets)
print(
'the current price:\n{}'.format(
data['current']
)
)
pass
def test_validate_bundles(self):
# exchange_population = 3
asset_population = 3
@@ -139,6 +217,7 @@ class TestSuiteBundle:
if end_dt is None or asset_end_dt < end_dt:
end_dt = asset_end_dt
end_dt = end_dt + timedelta(minutes=3)
dt_range = pd.date_range(
end=end_dt, periods=bar_count, freq=freq
)
@@ -152,3 +231,45 @@ class TestSuiteBundle:
data_portal=data_portal,
)
pass
def test_validate_last_candle(self):
# exchange_population = 3
asset_population = 3
data_frequency = random.choice(['minute'])
# bundle = 'dailyBundle' if data_frequency
# == 'daily' else 'minuteBundle'
# exchanges = select_random_exchanges(
# population=exchange_population,
# features=[bundle],
# ) # Type: list[Exchange]
exchanges = [get_exchange('poloniex', skip_init=True)]
data_portal = TestSuiteBundle.get_data_portal(exchanges)
for exchange in exchanges:
exchange.init()
frequencies = exchange.get_candle_frequencies(data_frequency)
freq = random.sample(frequencies, 1)[0]
assets = select_random_assets(
exchange.assets, asset_population
)
end_dt = None
for asset in assets:
attribute = 'end_{}'.format(data_frequency)
asset_end_dt = getattr(asset, attribute)
if end_dt is None or asset_end_dt < end_dt:
end_dt = asset_end_dt
end_dt = end_dt + timedelta(minutes=3)
self.compare_current_with_last_candle(
exchange=exchange,
assets=assets,
end_dt=end_dt,
freq=freq,
data_frequency=data_frequency,
data_portal=data_portal,
)
pass