DOC: Updated whatsnew with Q2 information.

docs/source/appendix.rst

@@ -15,6 +15,12 @@ The following methods are available for use in the ``initialize``,
 In all listed functions, the ``self`` argument is implicitly the
 currently-executing :class:`~zipline.algorithm.TradingAlgorithm` instance.
 
+Data Object
+```````````
+
+.. autoclass:: zipline.protocol.BarData
+   :members:
+
 Scheduling Functions
 ````````````````````
 
@@ -271,6 +277,9 @@ Readers
 .. autoclass:: zipline.assets.AssetFinderCachedEquities
    :members:
 
+.. autoclass:: zipline.data.data_portal.DataPortal
+   :members:
+
 Bundles
 ```````
 .. autofunction:: zipline.data.bundles.register

docs/source/whatsnew/1.0.0.txt

@@ -12,6 +12,45 @@ Development
 Highlights
 ~~~~~~~~~~
 
+Zipline 1.0 Rewrite (:issue:`1105`)
+```````````````````````````````````
+
+We have rewritten a lot of Zipline and its basic concepts in order to improve
+runtime performance. At the same time, we've introduced several new APIs.
+
+At a high level, earlier versions of Zipline simulations pulled from a
+multiplexed stream of data sources, which were merged via heapq. This stream was
+fed to the main simulation loop, driving the clock forward. This strong
+dependency on reading all the data made it difficult to optimize simulation
+performance because there was no connection between the amount of data we
+fetched and the amount of data actually used by the algorithm.
+
+Now, we only fetch data when the algorithm needs it. A new class,
+:class:`~zipline.data.data_portal.DataPortal`, dispatches data requests to
+various data sources and returns the requested values. This makes the runtime of
+a simulation scale much more closely with the complexity of the algorithm,
+rather than with the number of assets provided by the data sources.
+
+Instead of the data stream driving the clock, now simulations iterate through a
+pre-calculated set of day or minute timestamps. The timestamps are emitted by
+:class:`~zipline.gens.sim_engine.MinuteSimulationClock` and
+:class:`~zipline.gens.sim_engine.DailySimulationClock`, and consumed by the main
+loop in :meth:`~zipline.gens.tradesimulation.AlgorithmSimulator.transform`.
+
+We've retired the ``data[sid(N)]`` and ``history`` APIs, replacing them with
+several methods on the :class:`~zipline.protocol.BarData` object:
+:meth:`zipline.protocol.BarData.current`,
+:meth:`zipline.protocol.BarData.history`,
+:meth:`zipline.protocol.BarData.can_trade`, and
+:meth:`zipline.protocol.BarData.is_stale`. Old APIs will continue to work for
+now, but will issue deprecation warnings.
+
+You can now pass in an adjustments source to the
+:class:`~zipline.data.data_portal.DataPortal`, and we will apply adjustments to
+the pricing data when looking backwards at data. Prices and volumes for
+execution and presented to the algorithm in data.current are the as-traded value
+of the asset.
+
 New Entry Points (:issue:`1173` and :issue:`1178`)
 ``````````````````````````````````````````````````
 
@@ -131,6 +170,9 @@ Enhancements
   implements the Bollinger Bands technical indicator:
   https://en.wikipedia.org/wiki/Bollinger_Bands (:issue:`1199`).
 
+* Fetcher has been moved from Quantopian internal code into Zipline
+  (:issue:`1105`).
+
 
 Experimental Features
 ~~~~~~~~~~~~~~~~~~~~~

zipline/data/data_portal.py

@@ -459,6 +459,39 @@ class DailyHistoryAggregator(object):
 
 
 class DataPortal(object):
+    """Interface to all of the data that a zipline simulation needs.
+
+    This is used by the simulation runner to answer questions about the data,
+    like getting the prices of assets on a given day or to service history
+    calls.
+
+    Parameters
+    ----------
+    env : TradingEnvironment
+        The trading environment for the simulation. This includes the trading
+        calendar and benchmark data.
+    equity_daily_reader : BcolzDailyBarReader, optional
+        The daily bar ready for equities. This will be used to service
+        daily data backtests or daily history calls in a minute backetest.
+        If a daily bar reader is not provided but a minute bar reader is,
+        the minutes will be rolled up to serve the daily requests.
+    equity_minute_reader : BcolzMinuteBarReader, optional
+        The minute bar reader for equities. This will be used to service
+        minute data backtests or minute history calls. This can be used
+        to serve daily calls if no daily bar reader is provided.
+    future_daily_reader : BcolzDailyBarReader, optional
+        The daily bar ready for futures. This will be used to service
+        daily data backtests or daily history calls in a minute backetest.
+        If a daily bar reader is not provided but a minute bar reader is,
+        the minutes will be rolled up to serve the daily requests.
+    future_minute_reader : BcolzMinuteBarReader, optional
+        The minute bar reader for futures. This will be used to service
+        minute data backtests or minute history calls. This can be used
+        to serve daily calls if no daily bar reader is provided.
+    adjustment_reader : SQLiteAdjustmentWriter, optional
+        The adjustment reader. This is used to apply splits, dividends, and
+        other adjustment data to the raw data from the readers.
+    """
     def __init__(self,
                  env,
                  equity_daily_reader=None,