diff --git a/docs/source/appendix.rst b/docs/source/appendix.rst index 9da7452f..2d161ed3 100644 --- a/docs/source/appendix.rst +++ b/docs/source/appendix.rst @@ -45,6 +45,12 @@ Pipeline API .. autoclass:: zipline.pipeline.factors.RSI :members: +.. autoclass:: zipline.pipeline.factors.BusinessDaysUntilNextEarnings + :members: + +.. autoclass:: zipline.pipeline.factors.BusinessDaysSincePreviousEarnings + :members: + .. autoclass:: zipline.pipeline.factors.SimpleMovingAverage :members: @@ -58,6 +64,15 @@ Pipeline API :members: __and__, __or__ :exclude-members: dtype +.. autoclass:: zipline.pipeline.data.EarningsCalendar + :members: next_announcement, previous_announcement + :undoc-members: + +.. autoclass:: zipline.pipeline.data.USEquityPricing + :members: open, high, low, close, volume + :undoc-members: + + Asset Metadata ~~~~~~~~~~~~~~ diff --git a/docs/source/whatsnew/0.8.4.txt b/docs/source/whatsnew/0.8.4.txt index b5942387..94cc6548 100644 --- a/docs/source/whatsnew/0.8.4.txt +++ b/docs/source/whatsnew/0.8.4.txt @@ -11,7 +11,12 @@ Development Highlights ~~~~~~~~~~ -None +* Added a new :class:`~zipline.pipeline.data.EarningsCalendar` dataset + for use in the Pipeline API. (:issue:`905`). + +* :class:`~zipline.assets.assets.AssetFinder` speedups (:issue:`830` and + :issue:`817`). + Enhancements ~~~~~~~~~~~~ @@ -23,13 +28,30 @@ Enhancements passed to :class:`~zipline.algorithm.TradingAlgorithm` by the keyword argument ``create_event_context`` (:issue:`828`). +* Added support for :class:`zipline.pipeline.factors.Factor` instances with + ``datetime64[ns]`` dtypes. (:issue:`905`) + +* Added a new :class:`~zipline.pipeline.data.earnings.EarningsCalendar` dataset + for use in the Pipeline API. This dataset provides an abstract interface for + adding earnings announcement data to a new algorithm. A pandas-based + reference implementation for this dataset can be found in + :mod:`zipline.pipeline.loaders.earnings`, and an experimental blaze-based + implementation can be found in + :mod:`zipline.pipeline.loaders.blaze.earnings`. (:issue:`905`). + +* Added new built-in factors, + :class:`zipline.pipeline.factors.BusinessDaysUntilNextEarnings` and + :class:`zipline.pipeline.factors.BusinessDaysSincePreviousEarnings`. These + factors use the new ``EarningsCalendar`` dataset. (:issue:`905`). + * Added :meth:`~zipline.pipeline.factors.Factor.isnan`, :meth:`~zipline.pipeline.factors.Factor.notnan` and :meth:`~zipline.pipeline.factors.Factor.isfinite` methods to :class:`zipline.pipeline.factors.Factor` (:issue:`861`). * Added :class:`zipline.pipeline.factors.Returns`, a built-in factor which - calculates the percent change in close price over the given window_length. + calculates the percent change in close price over the given + window_length. (:issue:`884`). Experimental Features ~~~~~~~~~~~~~~~~~~~~~ @@ -61,6 +83,10 @@ Performance :meth:`~zipline.assets.assets.AssetFinder.lookup_symbol` to these dictionaries to find matching equities (:issue:`830`). +* Improved performance of + :meth:`~zipline.assets.assets.AssetFinder.lookup_symbol` by performing + batched queries. (:issue:`817`). + Maintenance and Refactorings ~~~~~~~~~~~~~~~~~~~~~~~~~~~~