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DOC: Updated whatsnew with Q2 information.

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Jean Bredeche
2016-05-13 16:48:57 -04:00
committed by Joe Jevnik
parent 784d5f4a16
commit 6b1cdb6929
3 changed files with 84 additions and 0 deletions
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docs/source/appendix.rst
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@@ -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
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@@ -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
~~~~~~~~~~~~~~~~~~~~~