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Changed zipline -> catalyst import paths

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* Updated cython build scripts
 * Updated setup.py to to install catalyst package
 * Updated momentum example to use catalyst package
 * catalyst executable now supports loading pipelines from multiple bundles
This commit is contained in:
Conner Fromknecht
2017-06-18 21:02:15 -07:00
parent be2fe35583
commit fce97176d6
244 changed files with 1101 additions and 1121 deletions
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Dockerfile
+9 -9
View File
@@ -1,11 +1,11 @@
#
# Dockerfile for an image with the currently checked out version of zipline installed. To build:
# Dockerfile for an image with the currently checked out version of catalyst installed. To build:
#
# docker build -t quantopian/zipline .
# docker build -t quantopian/catalyst .
#
# To run the container:
#
# docker run -v /path/to/your/notebooks:/projects -v ~/.zipline:/root/.zipline -p 8888:8888/tcp --name zipline -it quantopian/zipline
# docker run -v /path/to/your/notebooks:/projects -v ~/.catalyst:/root/.catalyst -p 8888:8888/tcp --name catalyst -it quantopian/catalyst
#
# To access Jupyter when running docker locally (you may need to add NAT rules):
#
@@ -19,7 +19,7 @@
#
# You can also run an algo using the docker exec command. For example:
#
# docker exec -it zipline zipline run -f /projects/my_algo.py --start 2015-1-1 --end 2016-1-1 /projects/result.pickle
# docker exec -it catalyst catalyst run -f /projects/my_algo.py --start 2015-1-1 --end 2016-1-1 /projects/result.pickle
#
FROM python:3.5
@@ -48,7 +48,7 @@ RUN mkdir ${PROJECT_DIR} \
&& curl -L https://downloads.sourceforge.net/project/ta-lib/ta-lib/0.4.0/ta-lib-0.4.0-src.tar.gz | tar xvz
#
# build and install zipline from source. install TA-Lib after to ensure
# build and install catalyst from source. install TA-Lib after to ensure
# numpy is available.
#
@@ -72,17 +72,17 @@ RUN pip install 'numpy>=1.11.1,<2.0.0' \
ADD ./etc/docker_cmd.sh /
#
# make port available. /zipline is made a volume
# make port available. /catalyst is made a volume
# for developer testing.
#
EXPOSE ${NOTEBOOK_PORT}
#
# build and install the zipline package into the image
# build and install the catalyst package into the image
#
ADD . /zipline
WORKDIR /zipline
ADD . /catalyst
WORKDIR /catalyst
RUN pip install -e .
#
Dockerfile-dev
+8 -8
View File
@@ -1,15 +1,15 @@
#
# Dockerfile for an image with the currently checked out version of zipline installed. To build:
# Dockerfile for an image with the currently checked out version of catalyst installed. To build:
#
# docker build -t quantopian/ziplinedev -f Dockerfile-dev .
# docker build -t quantopian/catalystdev -f Dockerfile-dev .
#
# Note: the dev build requires a quantopian/zipline image, which you can build as follows:
# Note: the dev build requires a quantopian/catalyst image, which you can build as follows:
#
# docker build -t quantopian/zipline -f Dockerfile
# docker build -t quantopian/catalyst -f Dockerfile
#
# To run the container:
#
# docker run -v /path/to/your/notebooks:/projects -v ~/.zipline:/root/.zipline -p 8888:8888/tcp --name ziplinedev -it quantopian/ziplinedev
# docker run -v /path/to/your/notebooks:/projects -v ~/.catalyst:/root/.catalyst -p 8888:8888/tcp --name catalystdev -it quantopian/catalystdev
#
# To access Jupyter when running docker locally (you may need to add NAT rules):
#
@@ -23,11 +23,11 @@
#
# You can also run an algo using the docker exec command. For example:
#
# docker exec -it ziplinedev zipline run -f /projects/my_algo.py --start 2015-1-1 --end 2016-1-1 /projects/result.pickle
# docker exec -it catalystdev catalyst run -f /projects/my_algo.py --start 2015-1-1 --end 2016-1-1 /projects/result.pickle
#
FROM quantopian/zipline
FROM quantopian/catalyst
WORKDIR /zipline
WORKDIR /catalyst
RUN pip install -r etc/requirements_dev.txt -r etc/requirements_blaze.txt
# Clean out any cython assets. The pip install re-builds them.
MANIFEST.in
+4 -4
View File
@@ -1,9 +1,9 @@
include LICENSE
include etc/requirements*.txt
recursive-include zipline *.pyi
recursive-include zipline *.pxi
recursive-include catalyst *.pyi
recursive-include catalyst *.pxi
recursive-include zipline/resources *.*
recursive-include catalyst/resources *.*
include versioneer.py
include zipline/_version.py
include catalyst/_version.py
appveyor.yml
+4 -4
View File
@@ -83,8 +83,8 @@ install:
- ps: copy .\ci\appveyor\vcvars64.bat "C:\Program Files (x86)\Microsoft Visual Studio 10.0\VC\bin\amd64"
- "%CMD_IN_ENV% python .\\ci\\make_conda_packages.py"
# test that we can conda install zipline in a new env
- conda create -n installenv --yes -q --use-local python=%PYTHON_VERSION% numpy=%NUMPY_VERSION% zipline -c quantopian -c https://conda.anaconda.org/quantopian/label/ci
# test that we can conda install catalyst in a new env
- conda create -n installenv --yes -q --use-local python=%PYTHON_VERSION% numpy=%NUMPY_VERSION% catalyst -c quantopian -c https://conda.anaconda.org/quantopian/label/ci
- ps: $env:BCOLZ_VERSION=(sls "bcolz==(.*)" .\etc\requirements.txt -ca).matches.groups[1].value
- ps: $env:NUMEXPR_VERSION=(sls "numexpr==(.*)" .\etc\requirements.txt -ca).matches.groups[1].value
@@ -101,8 +101,8 @@ install:
- pip freeze | sort
test_script:
- nosetests -e zipline.utils.numpy_utils
- flake8 zipline tests
- nosetests -e catalyst.utils.numpy_utils
- flake8 catalyst tests
branches:
only:
zipline/__init__.py → catalyst/__init__.py
+6 -6
View File
@@ -30,14 +30,14 @@ from . algorithm import TradingAlgorithm
from . import api
# PERF: Fire a warning if calendars were instantiated during zipline import.
# Having calendars doesn't break anything per-se, but it makes zipline imports
# PERF: Fire a warning if calendars were instantiated during catalyst import.
# Having calendars doesn't break anything per-se, but it makes catalyst imports
# noticeably slower, which becomes particularly noticeable in the Zipline CLI.
from zipline.utils.calendars.calendar_utils import global_calendar_dispatcher
from catalyst.utils.calendars.calendar_utils import global_calendar_dispatcher
if global_calendar_dispatcher._calendars:
import warnings
warnings.warn(
"Found TradingCalendar instances after zipline import.\n"
"Found TradingCalendar instances after catalyst import.\n"
"Zipline startup will be much slower until this is fixed!",
)
del warnings
@@ -49,8 +49,8 @@ del get_versions
def load_ipython_extension(ipython):
from .__main__ import zipline_magic
ipython.register_magic_function(zipline_magic, 'line_cell', 'zipline')
from .__main__ import catalyst_magic
ipython.register_magic_function(catalyst_magic, 'line_cell', 'catalyst')
if os.name == 'nt':
zipline/__main__.py → catalyst/__main__.py
+11 -11
View File
@@ -7,9 +7,9 @@ import logbook
import pandas as pd
from six import text_type
from zipline.data import bundles as bundles_module
from zipline.utils.cli import Date, Timestamp
from zipline.utils.run_algo import _run, load_extensions
from catalyst.data import bundles as bundles_module
from catalyst.utils.cli import Date, Timestamp
from catalyst.utils.run_algo import _run, load_extensions
try:
__IPYTHON__
@@ -22,12 +22,12 @@ except NameError:
'-e',
'--extension',
multiple=True,
help='File or module path to a zipline extension to load.',
help='File or module path to a catalyst extension to load.',
)
@click.option(
'--strict-extensions/--non-strict-extensions',
is_flag=True,
help='If --strict-extensions is passed then zipline will not run if it'
help='If --strict-extensions is passed then catalyst will not run if it'
' cannot load all of the specified extensions. If this is not passed or'
' --non-strict-extensions is passed then the failure will be logged but'
' execution will continue.',
@@ -36,10 +36,10 @@ except NameError:
'--default-extension/--no-default-extension',
is_flag=True,
default=True,
help="Don't load the default zipline extension.py file in $ZIPLINE_HOME.",
help="Don't load the default catalyst extension.py file in $ZIPLINE_HOME.",
)
def main(extension, strict_extensions, default_extension):
"""Top level zipline entry point.
"""Top level catalyst entry point.
"""
# install a logbook handler before performing any other operations
logbook.StderrHandler().push_application()
@@ -242,14 +242,14 @@ def run(ctx,
if output == '-':
click.echo(str(perf))
elif output != os.devnull: # make the zipline magic not write any data
elif output != os.devnull: # make the catalyst magic not write any data
perf.to_pickle(output)
return perf
def zipline_magic(line, cell=None):
"""The zipline IPython cell magic.
def catalyst_magic(line, cell=None):
"""The catalyst IPython cell magic.
"""
load_extensions(
default=True,
@@ -270,7 +270,7 @@ def zipline_magic(line, cell=None):
'--algotext', '',
'--local-namespace',
] if cell is None else []) + line.split(),
'%s%%zipline' % ((cell or '') and '%'),
'%s%%catalyst' % ((cell or '') and '%'),
# don't use system exit and propogate errors to the caller
standalone_mode=False,
)
zipline/_protocol.pyx → catalyst/_protocol.pyx
+4 -4
View File
@@ -24,12 +24,12 @@ from six import iteritems, PY2, string_types
from cpython cimport bool
from collections import Iterable
from zipline.assets import (Asset,
from catalyst.assets import (Asset,
AssetConvertible,
PricingDataAssociable,
Future)
from zipline.assets.continuous_futures import ContinuousFuture
from zipline.zipline_warnings import ZiplineDeprecationWarning
from catalyst.assets.continuous_futures import ContinuousFuture
from catalyst.catalyst_warnings import ZiplineDeprecationWarning
cdef bool _is_iterable(obj):
@@ -149,7 +149,7 @@ cdef class BarData:
data_frequency : {'minute', 'daily'}
The frequency of the bar data; i.e. whether the data is
daily or minute bars
restrictions : zipline.finance.asset_restrictions.Restrictions
restrictions : catalyst.finance.asset_restrictions.Restrictions
Object that combines and returns restricted list information from
multiple sources
universe_func : callable, optional
zipline/_version.py → catalyst/_version.py
+2 -2
View File
@@ -37,8 +37,8 @@ def get_config():
cfg.VCS = "git"
cfg.style = "pep440"
cfg.tag_prefix = ""
cfg.parentdir_prefix = "zipline-"
cfg.versionfile_source = "zipline/_version.py"
cfg.parentdir_prefix = "catalyst-"
cfg.versionfile_source = "catalyst/_version.py"
cfg.verbose = False
return cfg
zipline/algorithm.py → catalyst/algorithm.py
+88 -88
View File
@@ -35,11 +35,11 @@ from six import (
viewkeys,
)
from zipline._protocol import handle_non_market_minutes
from zipline.assets.synthetic import make_simple_equity_info
from zipline.data.data_portal import DataPortal
from zipline.data.us_equity_pricing import PanelBarReader
from zipline.errors import (
from catalyst._protocol import handle_non_market_minutes
from catalyst.assets.synthetic import make_simple_equity_info
from catalyst.data.data_portal import DataPortal
from catalyst.data.us_equity_pricing import PanelBarReader
from catalyst.errors import (
AttachPipelineAfterInitialize,
CannotOrderDelistedAsset,
HistoryInInitialize,
@@ -60,9 +60,9 @@ from zipline.errors import (
UnsupportedDatetimeFormat,
UnsupportedOrderParameters,
)
from zipline.finance.trading import TradingEnvironment
from zipline.finance.blotter import Blotter
from zipline.finance.controls import (
from catalyst.finance.trading import TradingEnvironment
from catalyst.finance.blotter import Blotter
from catalyst.finance.controls import (
LongOnly,
MaxOrderCount,
MaxOrderSize,
@@ -70,34 +70,34 @@ from zipline.finance.controls import (
MaxLeverage,
RestrictedListOrder
)
from zipline.finance.execution import (
from catalyst.finance.execution import (
LimitOrder,
MarketOrder,
StopLimitOrder,
StopOrder,
)
from zipline.finance.performance import PerformanceTracker
from zipline.finance.asset_restrictions import Restrictions
from zipline.finance.cancel_policy import NeverCancel, CancelPolicy
from zipline.finance.asset_restrictions import (
from catalyst.finance.performance import PerformanceTracker
from catalyst.finance.asset_restrictions import Restrictions
from catalyst.finance.cancel_policy import NeverCancel, CancelPolicy
from catalyst.finance.asset_restrictions import (
NoRestrictions,
StaticRestrictions,
SecurityListRestrictions,
)
from zipline.assets import Asset, Equity, Future
from zipline.gens.tradesimulation import AlgorithmSimulator
from zipline.pipeline import Pipeline
from zipline.pipeline.engine import (
from catalyst.assets import Asset, Equity, Future
from catalyst.gens.tradesimulation import AlgorithmSimulator
from catalyst.pipeline import Pipeline
from catalyst.pipeline.engine import (
ExplodingPipelineEngine,
SimplePipelineEngine,
)
from zipline.utils.api_support import (
from catalyst.utils.api_support import (
api_method,
require_initialized,
require_not_initialized,
ZiplineAPI,
disallowed_in_before_trading_start)
from zipline.utils.input_validation import (
from catalyst.utils.input_validation import (
coerce_string,
ensure_upper_case,
error_keywords,
@@ -105,14 +105,14 @@ from zipline.utils.input_validation import (
expect_types,
optional,
)
from zipline.utils.numpy_utils import int64_dtype
from zipline.utils.calendars.trading_calendar import days_at_time
from zipline.utils.cache import CachedObject, Expired
from zipline.utils.calendars import get_calendar
from zipline.utils.compat import exc_clear
from catalyst.utils.numpy_utils import int64_dtype
from catalyst.utils.calendars.trading_calendar import days_at_time
from catalyst.utils.cache import CachedObject, Expired
from catalyst.utils.calendars import get_calendar
from catalyst.utils.compat import exc_clear
import zipline.utils.events
from zipline.utils.events import (
import catalyst.utils.events
from catalyst.utils.events import (
EventManager,
make_eventrule,
date_rules,
@@ -121,21 +121,21 @@ from zipline.utils.events import (
AfterOpen,
BeforeClose
)
from zipline.utils.factory import create_simulation_parameters
from zipline.utils.math_utils import (
from catalyst.utils.factory import create_simulation_parameters
from catalyst.utils.math_utils import (
tolerant_equals,
round_if_near_integer,
)
from zipline.utils.pandas_utils import clear_dataframe_indexer_caches
from zipline.utils.preprocess import preprocess
from zipline.utils.security_list import SecurityList
from catalyst.utils.pandas_utils import clear_dataframe_indexer_caches
from catalyst.utils.preprocess import preprocess
from catalyst.utils.security_list import SecurityList
import zipline.protocol
from zipline.sources.requests_csv import PandasRequestsCSV
import catalyst.protocol
from catalyst.sources.requests_csv import PandasRequestsCSV
from zipline.gens.sim_engine import MinuteSimulationClock
from zipline.sources.benchmark_source import BenchmarkSource
from zipline.zipline_warnings import ZiplineDeprecationWarning
from catalyst.gens.sim_engine import MinuteSimulationClock
from catalyst.sources.benchmark_source import BenchmarkSource
from catalyst.catalyst_warnings import ZiplineDeprecationWarning
log = logbook.Logger("ZiplineLog")
@@ -206,7 +206,7 @@ class TradingAlgorithm(object):
The platform the simulation is running on. This can be queried for
in the simulation with ``get_environment``. This allows algorithms
to conditionally execute code based on platform it is running on.
default: 'zipline'
default: 'catalyst'
"""
def __init__(self, *args, **kwargs):
@@ -260,7 +260,7 @@ class TradingAlgorithm(object):
self._recorded_vars = {}
self.namespace = kwargs.pop('namespace', {})
self._platform = kwargs.pop('platform', 'zipline')
self._platform = kwargs.pop('platform', 'catalyst')
self.logger = None
@@ -316,7 +316,7 @@ class TradingAlgorithm(object):
if not self.blotter:
self.blotter = Blotter(
data_frequency=self.data_frequency,
# Default to NeverCancel in zipline
# Default to NeverCancel in catalyst
cancel_policy=self.cancel_policy,
)
@@ -389,8 +389,8 @@ class TradingAlgorithm(object):
self._analyze = kwargs.pop('analyze', None)
self.event_manager.add_event(
zipline.utils.events.Event(
zipline.utils.events.Always(),
catalyst.utils.events.Event(
catalyst.utils.events.Always(),
# We pass handle_data.__func__ to get the unbound method.
# We will explicitly pass the algorithm to bind it again.
self.handle_data.__func__,
@@ -702,7 +702,7 @@ class TradingAlgorithm(object):
# this is a repeat run of the algorithm.
self.perf_tracker = None
# Create zipline and loop through simulated_trading.
# Create catalyst and loop through simulated_trading.
# Each iteration returns a perf dictionary
try:
perfs = []
@@ -937,7 +937,7 @@ class TradingAlgorithm(object):
The starting capital for the simulation.
platform : str
The platform that the code is running on. By default this
will be the string 'zipline'. This can allow algorithms to
will be the string 'catalyst'. This can allow algorithms to
know if they are running on the Quantopian platform instead.
* : dict[str -> any]
Returns all of the fields in a dictionary.
@@ -1022,7 +1022,7 @@ class TradingAlgorithm(object):
Returns
-------
csv_data_source : zipline.sources.requests_csv.PandasRequestsCSV
csv_data_source : catalyst.sources.requests_csv.PandasRequestsCSV
A requests source that will pull data from the url specified.
"""
@@ -1063,7 +1063,7 @@ class TradingAlgorithm(object):
The function to execute when the rule is triggered.
"""
self.event_manager.add_event(
zipline.utils.events.Event(rule, callback),
catalyst.utils.events.Event(rule, callback),
)
@api_method
@@ -1090,8 +1090,8 @@ class TradingAlgorithm(object):
See Also
--------
:class:`zipline.api.date_rules`
:class:`zipline.api.time_rules`
:class:`catalyst.api.date_rules`
:class:`catalyst.api.time_rules`
"""
# When the user calls schedule_function(func, <time_rule>), assume that
@@ -1146,7 +1146,7 @@ class TradingAlgorithm(object):
-----
These values will appear in the performance packets and the performance
dataframe passed to ``analyze`` and returned from
:func:`~zipline.run_algorithm`.
:func:`~catalyst.run_algorithm`.
"""
# Make 2 objects both referencing the same iterator
args = [iter(args)] * 2
@@ -1201,7 +1201,7 @@ class TradingAlgorithm(object):
See Also
--------
:func:`zipline.api.set_symbol_lookup_date`
:func:`catalyst.api.set_symbol_lookup_date`
"""
# If the user has not set the symbol lookup date,
# use the end_session as the date for sybmol->sid resolution.
@@ -1273,7 +1273,7 @@ class TradingAlgorithm(object):
See Also
--------
:func:`zipline.api.set_symbol_lookup_date`
:func:`catalyst.api.set_symbol_lookup_date`
"""
return [self.symbol(identifier) for identifier in args]
@@ -1433,9 +1433,9 @@ class TradingAlgorithm(object):
See Also
--------
:class:`zipline.finance.execution.ExecutionStyle`
:func:`zipline.api.order_value`
:func:`zipline.api.order_percent`
:class:`catalyst.finance.execution.ExecutionStyle`
:func:`catalyst.api.order_value`
:func:`catalyst.api.order_percent`
"""
if not self._can_order_asset(asset):
return None
@@ -1567,14 +1567,14 @@ class TradingAlgorithm(object):
Notes
-----
See :func:`zipline.api.order` for more information about
See :func:`catalyst.api.order` for more information about
``limit_price``, ``stop_price``, and ``style``
See Also
--------
:class:`zipline.finance.execution.ExecutionStyle`
:func:`zipline.api.order`
:func:`zipline.api.order_percent`
:class:`catalyst.finance.execution.ExecutionStyle`
:func:`catalyst.api.order`
:func:`catalyst.api.order_percent`
"""
if not self._can_order_asset(asset):
return None
@@ -1673,7 +1673,7 @@ class TradingAlgorithm(object):
See Also
--------
:class:`zipline.finance.slippage.SlippageModel`
:class:`catalyst.finance.slippage.SlippageModel`
"""
if self.initialized:
raise SetSlippagePostInit()
@@ -1709,9 +1709,9 @@ class TradingAlgorithm(object):
See Also
--------
:class:`zipline.finance.commission.PerShare`
:class:`zipline.finance.commission.PerTrade`
:class:`zipline.finance.commission.PerDollar`
:class:`catalyst.finance.commission.PerShare`
:class:`catalyst.finance.commission.PerTrade`
:class:`catalyst.finance.commission.PerDollar`
"""
if self.initialized:
raise SetCommissionPostInit()
@@ -1745,8 +1745,8 @@ class TradingAlgorithm(object):
See Also
--------
:class:`zipline.api.EODCancel`
:class:`zipline.api.NeverCancel`
:class:`catalyst.api.EODCancel`
:class:`catalyst.api.NeverCancel`
"""
if not isinstance(cancel_policy, CancelPolicy):
raise UnsupportedCancelPolicy()
@@ -1815,14 +1815,14 @@ class TradingAlgorithm(object):
Notes
-----
See :func:`zipline.api.order` for more information about
See :func:`catalyst.api.order` for more information about
``limit_price``, ``stop_price``, and ``style``
See Also
--------
:class:`zipline.finance.execution.ExecutionStyle`
:func:`zipline.api.order`
:func:`zipline.api.order_value`
:class:`catalyst.finance.execution.ExecutionStyle`
:func:`catalyst.api.order`
:func:`catalyst.api.order_value`
"""
if not self._can_order_asset(asset):
return None
@@ -1884,15 +1884,15 @@ class TradingAlgorithm(object):
call to ``order_target`` will not have been filled when the second
``order_target`` call is made.
See :func:`zipline.api.order` for more information about
See :func:`catalyst.api.order` for more information about
``limit_price``, ``stop_price``, and ``style``
See Also
--------
:class:`zipline.finance.execution.ExecutionStyle`
:func:`zipline.api.order`
:func:`zipline.api.order_target_percent`
:func:`zipline.api.order_target_value`
:class:`catalyst.finance.execution.ExecutionStyle`
:func:`catalyst.api.order`
:func:`catalyst.api.order_target_percent`
:func:`catalyst.api.order_target_value`
"""
if not self._can_order_asset(asset):
return None
@@ -1958,15 +1958,15 @@ class TradingAlgorithm(object):
call to ``order_target_value`` will not have been filled when the
second ``order_target_value`` call is made.
See :func:`zipline.api.order` for more information about
See :func:`catalyst.api.order` for more information about
``limit_price``, ``stop_price``, and ``style``
See Also
--------
:class:`zipline.finance.execution.ExecutionStyle`
:func:`zipline.api.order`
:func:`zipline.api.order_target`
:func:`zipline.api.order_target_percent`
:class:`catalyst.finance.execution.ExecutionStyle`
:func:`catalyst.api.order`
:func:`catalyst.api.order_target`
:func:`catalyst.api.order_target_percent`
"""
if not self._can_order_asset(asset):
return None
@@ -2022,15 +2022,15 @@ class TradingAlgorithm(object):
because the first call to ``order_target_percent`` will not have been
filled when the second ``order_target_percent`` call is made.
See :func:`zipline.api.order` for more information about
See :func:`catalyst.api.order` for more information about
``limit_price``, ``stop_price``, and ``style``
See Also
--------
:class:`zipline.finance.execution.ExecutionStyle`
:func:`zipline.api.order`
:func:`zipline.api.order_target`
:func:`zipline.api.order_target_value`
:class:`catalyst.finance.execution.ExecutionStyle`
:func:`catalyst.api.order`
:func:`catalyst.api.order_target`
:func:`catalyst.api.order_target_value`
"""
if not self._can_order_asset(asset):
return None
@@ -2128,7 +2128,7 @@ class TradingAlgorithm(object):
The order_id or order object to cancel.
"""
order_id = order_param
if isinstance(order_param, zipline.protocol.Order):
if isinstance(order_param, catalyst.protocol.Order):
order_id = order_param.id
self.blotter.cancel(order_id)
@@ -2333,7 +2333,7 @@ class TradingAlgorithm(object):
else:
warnings.warn(
"`set_do_not_order_list(container_of_assets)` is deprecated. "
"Create a zipline.finance.asset_restrictions."
"Create a catalyst.finance.asset_restrictions."
"StaticRestrictions object with a container of assets and use "
"`set_asset_restrictions(StaticRestrictions("
"container_of_assets))` instead.",
@@ -2359,7 +2359,7 @@ class TradingAlgorithm(object):
See Also
--------
zipline.finance.asset_restrictions.Restrictions
catalyst.finance.asset_restrictions.Restrictions
"""
control = RestrictedListOrder(on_error, restrictions)
self.register_trading_control(control)
@@ -2404,7 +2404,7 @@ class TradingAlgorithm(object):
See Also
--------
:func:`zipline.api.pipeline_output`
:func:`catalyst.api.pipeline_output`
"""
if self._pipelines:
raise NotImplementedError("Multiple pipelines are not supported.")
@@ -2444,8 +2444,8 @@ class TradingAlgorithm(object):
See Also
--------
:func:`zipline.api.attach_pipeline`
:meth:`zipline.pipeline.engine.PipelineEngine.run_pipeline`
:func:`catalyst.api.attach_pipeline`
:meth:`catalyst.pipeline.engine.PipelineEngine.run_pipeline`
"""
# NOTE: We don't currently support multiple pipelines, but we plan to
# in the future.
zipline/api.py → catalyst/api.py
View File
zipline/api.pyi → catalyst/api.pyi
+51 -51
View File
@@ -1,12 +1,12 @@
import collections
from zipline.assets import Asset, Equity, Future
from zipline.assets.futures import FutureChain
from zipline.finance.asset_restrictions import Restrictions
from zipline.finance.cancel_policy import CancelPolicy
from zipline.pipeline import Pipeline
from zipline.protocol import Order
from zipline.utils.events import EventRule
from zipline.utils.security_list import SecurityList
from catalyst.assets import Asset, Equity, Future
from catalyst.assets.futures import FutureChain
from catalyst.finance.asset_restrictions import Restrictions
from catalyst.finance.cancel_policy import CancelPolicy
from catalyst.pipeline import Pipeline
from catalyst.protocol import Order
from catalyst.utils.events import EventRule
from catalyst.utils.security_list import SecurityList
def attach_pipeline(pipeline, name, chunks=None):
@@ -31,7 +31,7 @@ def attach_pipeline(pipeline, name, chunks=None):
See Also
--------
:func:`zipline.api.pipeline_output`
:func:`catalyst.api.pipeline_output`
"""
def batch_market_order(share_counts):
@@ -121,7 +121,7 @@ def fetch_csv(url, pre_func=None, post_func=None, date_column='date', date_forma
Returns
-------
csv_data_source : zipline.sources.requests_csv.PandasRequestsCSV
csv_data_source : catalyst.sources.requests_csv.PandasRequestsCSV
A requests source that will pull data from the url specified.
"""
@@ -182,7 +182,7 @@ def get_environment(field='platform'):
The starting capital for the simulation.
platform : str
The platform that the code is running on. By default this
will be the string 'zipline'. This can allow algorithms to
will be the string 'catalyst'. This can allow algorithms to
know if they are running on the Quantopian platform instead.
* : dict[str -> any]
Returns all of the fields in a dictionary.
@@ -253,9 +253,9 @@ def order(asset, amount, limit_price=None, stop_price=None, style=None):
See Also
--------
:class:`zipline.finance.execution.ExecutionStyle`
:func:`zipline.api.order_value`
:func:`zipline.api.order_percent`
:class:`catalyst.finance.execution.ExecutionStyle`
:func:`catalyst.api.order_value`
:func:`catalyst.api.order_percent`
"""
def order_percent(asset, percent, limit_price=None, stop_price=None, style=None):
@@ -283,14 +283,14 @@ def order_percent(asset, percent, limit_price=None, stop_price=None, style=None)
Notes
-----
See :func:`zipline.api.order` for more information about
See :func:`catalyst.api.order` for more information about
``limit_price``, ``stop_price``, and ``style``
See Also
--------
:class:`zipline.finance.execution.ExecutionStyle`
:func:`zipline.api.order`
:func:`zipline.api.order_value`
:class:`catalyst.finance.execution.ExecutionStyle`
:func:`catalyst.api.order`
:func:`catalyst.api.order_value`
"""
def order_target(asset, target, limit_price=None, stop_price=None, style=None):
@@ -333,15 +333,15 @@ def order_target(asset, target, limit_price=None, stop_price=None, style=None):
call to ``order_target`` will not have been filled when the second
``order_target`` call is made.
See :func:`zipline.api.order` for more information about
See :func:`catalyst.api.order` for more information about
``limit_price``, ``stop_price``, and ``style``
See Also
--------
:class:`zipline.finance.execution.ExecutionStyle`
:func:`zipline.api.order`
:func:`zipline.api.order_target_percent`
:func:`zipline.api.order_target_value`
:class:`catalyst.finance.execution.ExecutionStyle`
:func:`catalyst.api.order`
:func:`catalyst.api.order_target_percent`
:func:`catalyst.api.order_target_value`
"""
def order_target_percent(asset, target, limit_price=None, stop_price=None, style=None):
@@ -385,15 +385,15 @@ def order_target_percent(asset, target, limit_price=None, stop_price=None, style
because the first call to ``order_target_percent`` will not have been
filled when the second ``order_target_percent`` call is made.
See :func:`zipline.api.order` for more information about
See :func:`catalyst.api.order` for more information about
``limit_price``, ``stop_price``, and ``style``
See Also
--------
:class:`zipline.finance.execution.ExecutionStyle`
:func:`zipline.api.order`
:func:`zipline.api.order_target`
:func:`zipline.api.order_target_value`
:class:`catalyst.finance.execution.ExecutionStyle`
:func:`catalyst.api.order`
:func:`catalyst.api.order_target`
:func:`catalyst.api.order_target_value`
"""
def order_target_value(asset, target, limit_price=None, stop_price=None, style=None):
@@ -437,15 +437,15 @@ def order_target_value(asset, target, limit_price=None, stop_price=None, style=N
call to ``order_target_value`` will not have been filled when the
second ``order_target_value`` call is made.
See :func:`zipline.api.order` for more information about
See :func:`catalyst.api.order` for more information about
``limit_price``, ``stop_price``, and ``style``
See Also
--------
:class:`zipline.finance.execution.ExecutionStyle`
:func:`zipline.api.order`
:func:`zipline.api.order_target`
:func:`zipline.api.order_target_percent`
:class:`catalyst.finance.execution.ExecutionStyle`
:func:`catalyst.api.order`
:func:`catalyst.api.order_target`
:func:`catalyst.api.order_target_percent`
"""
def order_value(asset, value, limit_price=None, stop_price=None, style=None):
@@ -478,14 +478,14 @@ def order_value(asset, value, limit_price=None, stop_price=None, style=None):
Notes
-----
See :func:`zipline.api.order` for more information about
See :func:`catalyst.api.order` for more information about
``limit_price``, ``stop_price``, and ``style``
See Also
--------
:class:`zipline.finance.execution.ExecutionStyle`
:func:`zipline.api.order`
:func:`zipline.api.order_percent`
:class:`catalyst.finance.execution.ExecutionStyle`
:func:`catalyst.api.order`
:func:`catalyst.api.order_percent`
"""
def pipeline_output(name):
@@ -510,8 +510,8 @@ def pipeline_output(name):
See Also
--------
:func:`zipline.api.attach_pipeline`
:meth:`zipline.pipeline.engine.PipelineEngine.run_pipeline`
:func:`catalyst.api.attach_pipeline`
:meth:`catalyst.pipeline.engine.PipelineEngine.run_pipeline`
"""
def record(*args, **kwargs):
@@ -526,7 +526,7 @@ def record(*args, **kwargs):
-----
These values will appear in the performance packets and the performance
dataframe passed to ``analyze`` and returned from
:func:`~zipline.run_algorithm`.
:func:`~catalyst.run_algorithm`.
"""
def schedule_function(func, date_rule=None, time_rule=None, half_days=True, calendar=None):
@@ -545,8 +545,8 @@ def schedule_function(func, date_rule=None, time_rule=None, half_days=True, cale
See Also
--------
:class:`zipline.api.date_rules`
:class:`zipline.api.time_rules`
:class:`catalyst.api.date_rules`
:class:`catalyst.api.time_rules`
"""
def set_asset_restrictions(restrictions, on_error='fail'):
@@ -559,7 +559,7 @@ def set_asset_restrictions(restrictions, on_error='fail'):
See Also
--------
zipline.finance.asset_restrictions.Restrictions
catalyst.finance.asset_restrictions.Restrictions
"""
def set_benchmark(benchmark):
@@ -586,8 +586,8 @@ def set_cancel_policy(cancel_policy):
See Also
--------
:class:`zipline.api.EODCancel`
:class:`zipline.api.NeverCancel`
:class:`catalyst.api.EODCancel`
:class:`catalyst.api.NeverCancel`
"""
def set_commission(commission):
@@ -600,9 +600,9 @@ def set_commission(commission):
See Also
--------
:class:`zipline.finance.commission.PerShare`
:class:`zipline.finance.commission.PerTrade`
:class:`zipline.finance.commission.PerDollar`
:class:`catalyst.finance.commission.PerShare`
:class:`catalyst.finance.commission.PerTrade`
:class:`catalyst.finance.commission.PerDollar`
"""
def set_do_not_order_list(restricted_list, on_error='fail'):
@@ -691,7 +691,7 @@ def set_slippage(slippage):
See Also
--------
:class:`zipline.finance.slippage.SlippageModel`
:class:`catalyst.finance.slippage.SlippageModel`
"""
def set_symbol_lookup_date(dt):
@@ -745,7 +745,7 @@ def symbol(symbol_str):
See Also
--------
:func:`zipline.api.set_symbol_lookup_date`
:func:`catalyst.api.set_symbol_lookup_date`
"""
def symbols(*args):
@@ -770,6 +770,6 @@ def symbols(*args):
See Also
--------
:func:`zipline.api.set_symbol_lookup_date`
:func:`catalyst.api.set_symbol_lookup_date`
"""
zipline/assets/__init__.py → catalyst/assets/__init__.py
View File
zipline/assets/_assets.pyx → catalyst/assets/_assets.pyx
+1 -1
View File
@@ -34,7 +34,7 @@ from numpy cimport int64_t
import warnings
cimport numpy as np
from zipline.utils.calendars import get_calendar
from catalyst.utils.calendars import get_calendar
# IMPORTANT NOTE: You must change this template if you change
zipline/assets/asset_db_migrations.py → catalyst/assets/asset_db_migrations.py
+4 -4
View File
@@ -5,10 +5,10 @@ from alembic.operations import Operations
import sqlalchemy as sa
from toolz.curried import do, operator as op
from zipline.assets.asset_writer import write_version_info
from zipline.errors import AssetDBImpossibleDowngrade
from zipline.utils.preprocess import preprocess
from zipline.utils.sqlite_utils import coerce_string_to_eng
from catalyst.assets.asset_writer import write_version_info
from catalyst.errors import AssetDBImpossibleDowngrade
from catalyst.utils.preprocess import preprocess
from catalyst.utils.sqlite_utils import coerce_string_to_eng
@preprocess(engine=coerce_string_to_eng)
zipline/assets/asset_db_schema.py → catalyst/assets/asset_db_schema.py
View File
zipline/assets/asset_writer.py → catalyst/assets/asset_writer.py
+6 -6
View File
@@ -21,8 +21,8 @@ import pandas as pd
import sqlalchemy as sa
from toolz import first
from zipline.errors import AssetDBVersionError
from zipline.assets.asset_db_schema import (
from catalyst.errors import AssetDBVersionError
from catalyst.assets.asset_db_schema import (
ASSET_DB_VERSION,
asset_db_table_names,
asset_router,
@@ -36,9 +36,9 @@ from zipline.assets.asset_db_schema import (
version_info,
)
from zipline.utils.preprocess import preprocess
from zipline.utils.range import from_tuple, intersecting_ranges
from zipline.utils.sqlite_utils import coerce_string_to_eng
from catalyst.utils.preprocess import preprocess
from catalyst.utils.range import from_tuple, intersecting_ranges
from catalyst.utils.sqlite_utils import coerce_string_to_eng
# Define a namedtuple for use with the load_data and _load_data methods
AssetData = namedtuple(
@@ -455,7 +455,7 @@ class AssetDBWriter(object):
See Also
--------
zipline.assets.asset_finder
catalyst.assets.asset_finder
"""
with self.engine.begin() as conn:
# Create SQL tables if they do not exist.
zipline/assets/assets.py → catalyst/assets/assets.py
+8 -8
View File
@@ -39,7 +39,7 @@ from toolz import (
)
from toolz.curried import operator as op
from zipline.errors import (
from catalyst.errors import (
EquitiesNotFound,
FutureContractsNotFound,
MapAssetIdentifierIndexError,
@@ -70,11 +70,11 @@ from .asset_writer import (
from .asset_db_schema import (
ASSET_DB_VERSION
)
from zipline.utils.control_flow import invert
from zipline.utils.memoize import lazyval
from zipline.utils.numpy_utils import as_column
from zipline.utils.preprocess import preprocess
from zipline.utils.sqlite_utils import group_into_chunks, coerce_string_to_eng
from catalyst.utils.control_flow import invert
from catalyst.utils.memoize import lazyval
from catalyst.utils.numpy_utils import as_column
from catalyst.utils.preprocess import preprocess
from catalyst.utils.sqlite_utils import group_into_chunks, coerce_string_to_eng
log = Logger('assets.py')
@@ -260,7 +260,7 @@ class AssetFinder(object):
See Also
--------
:class:`zipline.assets.AssetDBWriter`
:class:`catalyst.assets.AssetDBWriter`
"""
# Token used as a substitute for pickling objects that contain a
# reference to an AssetFinder.
@@ -1316,7 +1316,7 @@ class AssetFinder(object):
See Also
--------
numpy.putmask
zipline.pipeline.engine.SimplePipelineEngine._compute_root_mask
catalyst.pipeline.engine.SimplePipelineEngine._compute_root_mask
"""
# This is a less than ideal place to do this, because if someone adds
# assets to the finder after we've touched lifetimes we won't have
zipline/assets/continuous_futures.pyx → catalyst/assets/continuous_futures.pyx
+1 -1
View File
@@ -36,7 +36,7 @@ from numpy cimport long_t, int64_t
from pandas import Timestamp
import warnings
from zipline.utils.calendars import get_calendar
from catalyst.utils.calendars import get_calendar
def delivery_predicate(codes, contract):
zipline/assets/futures.py → catalyst/assets/futures.py
View File
zipline/assets/roll_finder.py → catalyst/assets/roll_finder.py
View File
zipline/assets/synthetic.py → catalyst/assets/synthetic.py
+1 -1
View File
@@ -187,7 +187,7 @@ def make_future_info(first_sid,
month_codes : dict[str -> [1..12]], optional
Dictionary of month codes for which to create contracts. Entries
should be strings mapped to values from 1 (January) to 12 (December).
Default is zipline.futures.CME_CODE_TO_MONTH
Default is catalyst.futures.CME_CODE_TO_MONTH
Returns
-------
zipline/zipline_warnings.py → catalyst/catalyst_warnings.py
View File
zipline/data/__init__.py → catalyst/data/__init__.py
View File
zipline/data/_adjustments.pyx → catalyst/data/_adjustments.pyx
+3 -3
View File
@@ -29,11 +29,11 @@ ctypedef object Timestamp_t
ctypedef object DatetimeIndex_t
ctypedef object Int64Index_t
from zipline.lib.adjustment import Float64Multiply
from zipline.assets.asset_writer import (
from catalyst.lib.adjustment import Float64Multiply
from catalyst.assets.asset_writer import (
SQLITE_MAX_VARIABLE_NUMBER as SQLITE_MAX_IN_STATEMENT,
)
from zipline.utils.pandas_utils import timedelta_to_integral_seconds
from catalyst.utils.pandas_utils import timedelta_to_integral_seconds
_SID_QUERY_TEMPLATE = """
zipline/data/_equities.pyx → catalyst/data/_equities.pyx
View File
zipline/data/_minute_bar_internal.pyx → catalyst/data/_minute_bar_internal.pyx
View File
zipline/data/_resample.pyx → catalyst/data/_resample.pyx
View File
zipline/data/bar_reader.py → catalyst/data/bar_reader.py
+2 -2
View File
@@ -71,7 +71,7 @@ class BarReader(with_metaclass(ABCMeta, object)):
@abstractproperty
def trading_calendar(self):
"""
Returns the zipline.utils.calendar.trading_calendar used to read
Returns the catalyst.utils.calendar.trading_calendar used to read
the data. Can be None (if the writer didn't specify it).
"""
pass
@@ -124,7 +124,7 @@ class BarReader(with_metaclass(ABCMeta, object)):
Parameters
----------
asset : zipline.asset.Asset
asset : catalyst.asset.Asset
The asset for which to get the last traded minute.
dt : pd.Timestamp
The minute at which to start searching for the last traded minute.
zipline/data/benchmarks.py → catalyst/data/benchmarks.py
View File
zipline/data/bundles/__init__.py → catalyst/data/bundles/__init__.py
-3
View File
@@ -1,6 +1,5 @@
# These imports are necessary to force module-scope register calls to happen.
from . import quandl # noqa
from . import catalyst
from .core import (
UnknownBundle,
bundles,
@@ -15,8 +14,6 @@ from .core import (
)
from .yahoo import yahoo_equities
__all__ = [
'UnknownBundle',
'bundles',
zipline/data/bundles/core.py → catalyst/data/bundles/core.py
+16 -16
View File
@@ -19,18 +19,18 @@ from ..minute_bars import (
BcolzMinuteBarReader,
BcolzMinuteBarWriter,
)
from zipline.assets import AssetDBWriter, AssetFinder, ASSET_DB_VERSION
from zipline.assets.asset_db_migrations import downgrade
from zipline.utils.cache import (
from catalyst.assets import AssetDBWriter, AssetFinder, ASSET_DB_VERSION
from catalyst.assets.asset_db_migrations import downgrade
from catalyst.utils.cache import (
dataframe_cache,
working_dir,
working_file,
)
from zipline.utils.compat import mappingproxy
from zipline.utils.input_validation import ensure_timestamp, optionally
import zipline.utils.paths as pth
from zipline.utils.preprocess import preprocess
from zipline.utils.calendars import get_calendar
from catalyst.utils.compat import mappingproxy
from catalyst.utils.input_validation import ensure_timestamp, optionally
import catalyst.utils.paths as pth
from catalyst.utils.preprocess import preprocess
from catalyst.utils.calendars import get_calendar
def asset_db_path(bundle_name, timestr, environ=None, db_version=None):
@@ -248,7 +248,7 @@ def _make_bundle_core():
The daily bar writer to write into.
adjustment_writer : SQLiteAdjustmentWriter
The adjustment db writer to write into.
calendar : zipline.utils.calendars.TradingCalendar
calendar : catalyst.utils.calendars.TradingCalendar
The trading calendar to ingest for.
start_session : pd.Timestamp
The first session of data to ingest.
@@ -291,7 +291,7 @@ def _make_bundle_core():
See Also
--------
zipline.data.bundles.bundles
catalyst.data.bundles.bundles
"""
if name in bundles:
warnings.warn(
@@ -300,9 +300,9 @@ def _make_bundle_core():
)
# NOTE: We don't eagerly compute calendar values here because
# `register` is called at module scope in zipline, and creating a
# `register` is called at module scope in catalyst, and creating a
# calendar currently takes between 0.5 and 1 seconds, which causes a
# noticeable delay on the zipline CLI.
# noticeable delay on the catalyst CLI.
_bundles[name] = RegisteredBundle(
calendar_name=calendar_name,
start_session=start_session,
@@ -328,7 +328,7 @@ def _make_bundle_core():
See Also
--------
zipline.data.bundles.bundles
catalyst.data.bundles.bundles
"""
try:
del _bundles[name]
@@ -470,7 +470,7 @@ def _make_bundle_core():
timestamp : datetime
The timestamp to begin searching on or before.
environ : dict, optional
An environment dict to forward to zipline_root.
An environment dict to forward to catalyst_root.
"""
if bundle_name not in bundles:
raise UnknownBundle(bundle_name)
@@ -492,7 +492,7 @@ def _make_bundle_core():
raise
raise ValueError(
'no data for bundle {bundle!r} on or before {timestamp}\n'
'maybe you need to run: $ zipline ingest -b {bundle}'.format(
'maybe you need to run: $ catalyst ingest -b {bundle}'.format(
bundle=bundle_name,
timestamp=timestamp,
),
@@ -544,7 +544,7 @@ def _make_bundle_core():
keep_last=None,
environ=os.environ):
"""Clean up data that was created with ``ingest`` or
``$ python -m zipline ingest``
``$ python -m catalyst ingest``
Parameters
----------
zipline/data/bundles/quandl.py → catalyst/data/bundles/quandl.py
+39 -4
View File
@@ -12,8 +12,8 @@ import pandas as pd
import requests
from six.moves.urllib.parse import urlencode
from zipline.utils.calendars import register_calendar_alias
from zipline.utils.cli import maybe_show_progress
from catalyst.utils.calendars import register_calendar_alias
from catalyst.utils.cli import maybe_show_progress
from . import core as bundles
@@ -87,7 +87,7 @@ def fetch_symbol_metadata_frame(api_key,
retries : int, optional
The number of times to retry each request before failing.
environ : mapping[str -> str], optional
The environment to use to find the zipline home. By default this
The environment to use to find the catalyst home. By default this
is ``os.environ``.
show_progress : bool, optional
Show a progress bar for the download of this data.
@@ -286,7 +286,7 @@ def quandl_bundle(environ,
cache,
show_progress,
output_dir):
"""Build a zipline data bundle from the Quandl WIKI dataset.
"""Build a catalyst data bundle from the Quandl WIKI dataset.
"""
api_key = environ.get('QUANDL_API_KEY')
metadata = fetch_symbol_metadata_frame(
@@ -407,3 +407,38 @@ def quantopian_quandl_bundle(environ,
register_calendar_alias("QUANDL", "NYSE")
CATALYST_URL = (
'https://s3.amazonaws.com/quantopian-public-zipline-data/quandl'
)
@bundles.register(
'catalyst',
calendar_name='NYSE',
minutes_per_day=390,
create_writers=False,
)
def catalyst_bundle(environ,
asset_db_writer,
minute_bar_writer,
daily_bar_writer,
adjustment_writer,
calendar,
start_session,
end_session,
cache,
show_progress,
output_dir):
if show_progress:
data = download_with_progress(
CATALYST_URL,
chunk_size=ONE_MEGABYTE,
label="Downloading Bundle: catalyst",
)
else:
data = download_without_progress(CATALYST_URL)
with tarfile.open('r', fileobj=data) as tar:
if show_progress:
print("Writing data to %s." % output_dir)
tar.extractall(output_dir)
zipline/data/bundles/yahoo.py → catalyst/data/bundles/yahoo.py
+4 -4
View File
@@ -5,8 +5,8 @@ import pandas as pd
from pandas_datareader.data import DataReader
import requests
from zipline.utils.calendars import register_calendar_alias
from zipline.utils.cli import maybe_show_progress
from catalyst.utils.calendars import register_calendar_alias
from catalyst.utils.cli import maybe_show_progress
from .core import register
@@ -36,11 +36,11 @@ def yahoo_equities(symbols, start=None, end=None):
Examples
--------
This code should be added to ~/.zipline/extension.py
This code should be added to ~/.catalyst/extension.py
.. code-block:: python
from zipline.data.bundles import yahoo_equities, register
from catalyst.data.bundles import yahoo_equities, register
symbols = (
'AAPL',
zipline/data/continuous_future_reader.py → catalyst/data/continuous_future_reader.py
+5 -5
View File
@@ -1,6 +1,6 @@
import numpy as np
import pandas as pd
from zipline.data.session_bars import SessionBarReader
from catalyst.data.session_bars import SessionBarReader
class ContinuousFutureSessionBarReader(SessionBarReader):
@@ -93,7 +93,7 @@ class ContinuousFutureSessionBarReader(SessionBarReader):
@property
def trading_calendar(self):
"""
Returns the zipline.utils.calendar.trading_calendar used to read
Returns the catalyst.utils.calendar.trading_calendar used to read
the data. Can be None (if the writer didn't specify it).
"""
return self._bar_reader.trading_calendar
@@ -148,7 +148,7 @@ class ContinuousFutureSessionBarReader(SessionBarReader):
Parameters
----------
asset : zipline.asset.Asset
asset : catalyst.asset.Asset
The asset for which to get the last traded minute.
dt : pd.Timestamp
The minute at which to start searching for the last traded minute.
@@ -279,7 +279,7 @@ class ContinuousFutureMinuteBarReader(SessionBarReader):
@property
def trading_calendar(self):
"""
Returns the zipline.utils.calendar.trading_calendar used to read
Returns the catalyst.utils.calendar.trading_calendar used to read
the data. Can be None (if the writer didn't specify it).
"""
return self._bar_reader.trading_calendar
@@ -334,7 +334,7 @@ class ContinuousFutureMinuteBarReader(SessionBarReader):
Parameters
----------
asset : zipline.asset.Asset
asset : catalyst.asset.Asset
The asset for which to get the last traded minute.
dt : pd.Timestamp
The minute at which to start searching for the last traded minute.
zipline/data/data_portal.py → catalyst/data/data_portal.py
+16 -18
View File
@@ -24,45 +24,45 @@ from pandas.tslib import normalize_date
from six import iteritems
from six.moves import reduce
from zipline.assets import (
from catalyst.assets import (
Asset,
AssetConvertible,
Equity,
Future,
PricingDataAssociable,
)
from zipline.assets.continuous_futures import ContinuousFuture
from zipline.data.continuous_future_reader import (
from catalyst.assets.continuous_futures import ContinuousFuture
from catalyst.data.continuous_future_reader import (
ContinuousFutureSessionBarReader,
ContinuousFutureMinuteBarReader
)
from zipline.assets.roll_finder import (
from catalyst.assets.roll_finder import (
CalendarRollFinder,
VolumeRollFinder
)
from zipline.data.dispatch_bar_reader import (
from catalyst.data.dispatch_bar_reader import (
AssetDispatchMinuteBarReader,
AssetDispatchSessionBarReader
)
from zipline.data.resample import (
from catalyst.data.resample import (
DailyHistoryAggregator,
ReindexMinuteBarReader,
ReindexSessionBarReader,
)
from zipline.data.history_loader import (
from catalyst.data.history_loader import (
DailyHistoryLoader,
MinuteHistoryLoader,
)
from zipline.data.us_equity_pricing import NoDataOnDate
from catalyst.data.us_equity_pricing import NoDataOnDate
from zipline.utils.math_utils import (
from catalyst.utils.math_utils import (
nansum,
nanmean,
nanstd
)
from zipline.utils.memoize import remember_last, weak_lru_cache
from zipline.utils.pandas_utils import timedelta_to_integral_minutes
from zipline.errors import (
from catalyst.utils.memoize import remember_last, weak_lru_cache
from catalyst.utils.pandas_utils import timedelta_to_integral_minutes
from catalyst.errors import (
NoTradeDataAvailableTooEarly,
NoTradeDataAvailableTooLate,
HistoryWindowStartsBeforeData,
@@ -100,7 +100,7 @@ _DEF_D_HIST_PREFETCH = DEFAULT_DAILY_HISTORY_PREFETCH
class DataPortal(object):
"""Interface to all of the data that a zipline simulation needs.
"""Interface to all of the data that a catalyst 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
@@ -108,9 +108,9 @@ class DataPortal(object):
Parameters
----------
asset_finder : zipline.assets.assets.AssetFinder
asset_finder : catalyst.assets.assets.AssetFinder
The AssetFinder instance used to resolve assets.
trading_calendar: zipline.utils.calendar.exchange_calendar.TradingCalendar
trading_calendar: catalyst.utils.calendar.exchange_calendar.TradingCalendar
The calendar instance used to provide minute->session information.
first_trading_day : pd.Timestamp
The first trading day for the simulation.
@@ -154,8 +154,6 @@ class DataPortal(object):
minute_history_prefetch_length=_DEF_M_HIST_PREFETCH,
daily_history_prefetch_length=_DEF_D_HIST_PREFETCH):
print 'trading_calendar: {0}'.format(trading_calendar)
self.trading_calendar = trading_calendar
self.asset_finder = asset_finder
@@ -879,7 +877,7 @@ class DataPortal(object):
Parameters
----------
assets : list of zipline.data.Asset objects
assets : list of catalyst.data.Asset objects
The assets whose data is desired.
bar_count: int
zipline/data/dispatch_bar_reader.py → catalyst/data/dispatch_bar_reader.py
+3 -3
View File
@@ -22,7 +22,7 @@ from numpy import (
)
from six import iteritems, with_metaclass
from zipline.utils.memoize import lazyval
from catalyst.utils.memoize import lazyval
class AssetDispatchBarReader(with_metaclass(ABCMeta)):
@@ -30,8 +30,8 @@ class AssetDispatchBarReader(with_metaclass(ABCMeta)):
Parameters
----------
- trading_calendar : zipline.utils.trading_calendar.TradingCalendar
- asset_finder : zipline.assets.AssetFinder
- trading_calendar : catalyst.utils.trading_calendar.TradingCalendar
- asset_finder : catalyst.assets.AssetFinder
- readers : dict
A dict mapping Asset type to the corresponding
[Minute|Session]BarReader
zipline/data/history_loader.py → catalyst/data/history_loader.py
+10 -10
View File
@@ -26,16 +26,16 @@ from toolz import sliding_window
from six import with_metaclass
from zipline.assets import Equity, Future
from zipline.assets.continuous_futures import ContinuousFuture
from zipline.lib._int64window import AdjustedArrayWindow as Int64Window
from zipline.lib._float64window import AdjustedArrayWindow as Float64Window
from zipline.lib.adjustment import Float64Multiply, Float64Add
from zipline.utils.cache import ExpiringCache
from zipline.utils.math_utils import number_of_decimal_places
from zipline.utils.memoize import lazyval
from zipline.utils.numpy_utils import float64_dtype
from zipline.utils.pandas_utils import find_in_sorted_index
from catalyst.assets import Equity, Future
from catalyst.assets.continuous_futures import ContinuousFuture
from catalyst.lib._int64window import AdjustedArrayWindow as Int64Window
from catalyst.lib._float64window import AdjustedArrayWindow as Float64Window
from catalyst.lib.adjustment import Float64Multiply, Float64Add
from catalyst.utils.cache import ExpiringCache
from catalyst.utils.math_utils import number_of_decimal_places
from catalyst.utils.memoize import lazyval
from catalyst.utils.numpy_utils import float64_dtype
from catalyst.utils.pandas_utils import find_in_sorted_index
# Default number of decimal places used for rounding asset prices.
DEFAULT_ASSET_PRICE_DECIMALS = 3
zipline/data/loader.py → catalyst/data/loader.py
+2 -2
View File
@@ -29,7 +29,7 @@ from ..utils.paths import (
data_root,
)
from ..utils.deprecate import deprecated
from zipline.utils.calendars import get_calendar
from catalyst.utils.calendars import get_calendar
logger = logbook.Logger('Loader')
@@ -104,7 +104,7 @@ def load_market_data(trading_day=None, trading_days=None, bm_symbol='SPY',
Bank of Canada is also available.
Results downloaded from the internet are cached in
~/.zipline/data. Subsequent loads will attempt to read from the cached
~/.catalyst/data. Subsequent loads will attempt to read from the cached
files before falling back to redownload.
Parameters
zipline/data/minute_bars.py → catalyst/data/minute_bars.py
+11 -11
View File
@@ -30,19 +30,19 @@ import tables
from six import with_metaclass
from toolz import keymap, valmap
from zipline.data._minute_bar_internal import (
from catalyst.data._minute_bar_internal import (
minute_value,
find_position_of_minute,
find_last_traded_position_internal
)
from zipline.gens.sim_engine import NANOS_IN_MINUTE
from catalyst.gens.sim_engine import NANOS_IN_MINUTE
from zipline.data.bar_reader import BarReader, NoDataOnDate
from zipline.data.us_equity_pricing import check_uint32_safe
from zipline.utils.calendars import get_calendar
from zipline.utils.cli import maybe_show_progress
from zipline.utils.memoize import lazyval
from catalyst.data.bar_reader import BarReader, NoDataOnDate
from catalyst.data.us_equity_pricing import check_uint32_safe
from catalyst.utils.calendars import get_calendar
from catalyst.utils.cli import maybe_show_progress
from catalyst.utils.memoize import lazyval
logger = logbook.Logger('MinuteBars')
@@ -187,7 +187,7 @@ class BcolzMinuteBarMetadata(object):
ohlc_ratio : int
The factor by which the pricing data is multiplied so that the
float data can be stored as an integer.
calendar : zipline.utils.calendars.trading_calendar.TradingCalendar
calendar : catalyst.utils.calendars.trading_calendar.TradingCalendar
The TradingCalendar on which the minute bars are based.
start_session : datetime
The first trading session in the data set.
@@ -358,7 +358,7 @@ class BcolzMinuteBarWriter(object):
rootdir : string
Path to the root directory into which to write the metadata and
bcolz subdirectories.
calendar : zipline.utils.calendars.trading_calendar.TradingCalendar
calendar : catalyst.utils.calendars.trading_calendar.TradingCalendar
The trading calendar on which to base the minute bars. Used to
get the market opens used as a starting point for each periodic
span of minutes in the index, and the market closes that
@@ -436,7 +436,7 @@ class BcolzMinuteBarWriter(object):
See Also
--------
zipline.data.minute_bars.BcolzMinuteBarReader
catalyst.data.minute_bars.BcolzMinuteBarReader
"""
COL_NAMES = ('open', 'high', 'low', 'close', 'volume')
@@ -895,7 +895,7 @@ class BcolzMinuteBarReader(MinuteBarReader):
See Also
--------
zipline.data.minute_bars.BcolzMinuteBarWriter
catalyst.data.minute_bars.BcolzMinuteBarWriter
"""
FIELDS = ('open', 'high', 'low', 'close', 'volume')
zipline/data/resample.py → catalyst/data/resample.py
+7 -7
View File
@@ -18,17 +18,17 @@ import numpy as np
import pandas as pd
from six import with_metaclass
from zipline.data._resample import (
from catalyst.data._resample import (
_minute_to_session_open,
_minute_to_session_high,
_minute_to_session_low,
_minute_to_session_close,
_minute_to_session_volume,
)
from zipline.data.bar_reader import NoDataOnDate
from zipline.data.minute_bars import MinuteBarReader
from zipline.data.session_bars import SessionBarReader
from zipline.utils.memoize import lazyval
from catalyst.data.bar_reader import NoDataOnDate
from catalyst.data.minute_bars import MinuteBarReader
from catalyst.data.session_bars import SessionBarReader
from catalyst.utils.memoize import lazyval
_MINUTE_TO_SESSION_OHCLV_HOW = OrderedDict((
('open', 'first'),
@@ -50,7 +50,7 @@ def minute_frame_to_session_frame(minute_frame, calendar):
minute_frame : pd.DataFrame
A DataFrame with the columns `open`, `high`, `low`, `close`, `volume`,
and `dt` (minute dts)
calendar : zipline.utils.calendars.trading_calendar.TradingCalendar
calendar : catalyst.utils.calendars.trading_calendar.TradingCalendar
A TradingCalendar on which session labels to resample from minute
to session.
@@ -610,7 +610,7 @@ class ReindexBarReader(with_metaclass(ABCMeta)):
Parameters
----------
- trading_calendar : zipline.utils.trading_calendar.TradingCalendar
- trading_calendar : catalyst.utils.trading_calendar.TradingCalendar
The calendar to use when indexing results from the reader.
- reader : MinuteBarReader|SessionBarReader
The reader which has a calendar that is a subset of the desired
zipline/data/session_bars.py → catalyst/data/session_bars.py
+1 -1
View File
@@ -13,7 +13,7 @@
# limitations under the License.
from abc import abstractproperty
from zipline.data.bar_reader import BarReader
from catalyst.data.bar_reader import BarReader
class SessionBarReader(BarReader):
zipline/data/treasuries.py → catalyst/data/treasuries.py
View File
zipline/data/treasuries_can.py → catalyst/data/treasuries_can.py
View File
zipline/data/us_equity_pricing.py → catalyst/data/us_equity_pricing.py
+16 -16
View File
@@ -53,23 +53,23 @@ from six import (
)
from toolz import compose
from zipline.data.session_bars import SessionBarReader
from zipline.data.bar_reader import (
from catalyst.data.session_bars import SessionBarReader
from catalyst.data.bar_reader import (
NoDataAfterDate,
NoDataBeforeDate,
NoDataOnDate,
)
from zipline.utils.calendars import get_calendar
from zipline.utils.functional import apply
from zipline.utils.preprocess import call
from zipline.utils.input_validation import (
from catalyst.utils.calendars import get_calendar
from catalyst.utils.functional import apply
from catalyst.utils.preprocess import call
from catalyst.utils.input_validation import (
expect_element,
preprocess,
verify_indices_all_unique,
)
from zipline.utils.sqlite_utils import group_into_chunks, coerce_string_to_conn
from zipline.utils.memoize import lazyval
from zipline.utils.cli import maybe_show_progress
from catalyst.utils.sqlite_utils import group_into_chunks, coerce_string_to_conn
from catalyst.utils.memoize import lazyval
from catalyst.utils.cli import maybe_show_progress
from ._equities import _compute_row_slices, _read_bcolz_data
from ._adjustments import load_adjustments_from_sqlite
@@ -173,7 +173,7 @@ class BcolzDailyBarWriter(object):
----------
filename : str
The location at which we should write our output.
calendar : zipline.utils.calendar.trading_calendar
calendar : catalyst.utils.calendar.trading_calendar
Calendar to use to compute asset calendar offsets.
start_session: pd.Timestamp
Midnight UTC session label.
@@ -182,7 +182,7 @@ class BcolzDailyBarWriter(object):
See Also
--------
zipline.data.us_equity_pricing.BcolzDailyBarReader
catalyst.data.us_equity_pricing.BcolzDailyBarReader
"""
_csv_dtypes = {
'open': float64,
@@ -492,7 +492,7 @@ class BcolzDailyBarReader(SessionBarReader):
See Also
--------
zipline.data.us_equity_pricing.BcolzDailyBarWriter
catalyst.data.us_equity_pricing.BcolzDailyBarWriter
"""
def __init__(self, table, read_all_threshold=3000):
self._maybe_table_rootdir = table
@@ -847,7 +847,7 @@ class PanelBarReader(SessionBarReader):
"""
Parameters
----------
asset : zipline.asset.Asset
asset : catalyst.asset.Asset
The asset identifier.
dt : datetime64-like
Midnight of the day for which data is requested.
@@ -883,7 +883,7 @@ class SQLiteAdjustmentWriter(object):
See Also
--------
zipline.data.us_equity_pricing.SQLiteAdjustmentReader
catalyst.data.us_equity_pricing.SQLiteAdjustmentReader
"""
def __init__(self,
@@ -1197,7 +1197,7 @@ class SQLiteAdjustmentWriter(object):
See Also
--------
zipline.data.us_equity_pricing.SQLiteAdjustmentReader
catalyst.data.us_equity_pricing.SQLiteAdjustmentReader
"""
self.write_frame('splits', splits)
self.write_frame('mergers', mergers)
@@ -1277,7 +1277,7 @@ class SQLiteAdjustmentReader(object):
See Also
--------
:class:`zipline.data.us_equity_pricing.SQLiteAdjustmentWriter`
:class:`catalyst.data.us_equity_pricing.SQLiteAdjustmentWriter`
"""
@preprocess(conn=coerce_string_to_conn)
zipline/dispatch.py → catalyst/dispatch.py
View File
zipline/errors.py → catalyst/errors.py
+2 -2
View File
@@ -14,7 +14,7 @@
# limitations under the License.
from textwrap import dedent
from zipline.utils.memoize import lazyval
from catalyst.utils.memoize import lazyval
class ZiplineError(Exception):
@@ -782,7 +782,7 @@ class UnsupportedPipelineOutput(ZiplineError):
class NonSliceableTerm(ZiplineError):
"""
Raised when attempting to index into a non-sliceable term, e.g. instances
of `zipline.pipeline.term.LoadableTerm`.
of `catalyst.pipeline.term.LoadableTerm`.
"""
msg = "Taking slices of {term} is not currently supported."
zipline/examples/__init__.py → catalyst/examples/__init__.py
+3 -3
View File
@@ -3,11 +3,11 @@ import os
from toolz import merge
from zipline import run_algorithm
from catalyst import run_algorithm
# These are used by test_examples.py to discover the examples to run.
from zipline.utils.calendars import register_calendar, get_calendar
from catalyst.utils.calendars import register_calendar, get_calendar
EXAMPLE_MODULES = {}
for f in os.listdir(os.path.dirname(__file__)):
@@ -64,7 +64,7 @@ _cols_to_check = [
def run_example(example_name, environ):
"""
Run an example module from zipline.examples.
Run an example module from catalyst.examples.
"""
mod = EXAMPLE_MODULES[example_name]
zipline/examples/buy_and_hold.py → catalyst/examples/buy_and_hold.py
+2 -2
View File
@@ -13,7 +13,7 @@
# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
# See the License for the specific language governing permissions and
# limitations under the License.
from zipline.api import order, symbol
from catalyst.api import order, symbol
stocks = ['AAPL', 'MSFT']
@@ -31,7 +31,7 @@ def handle_data(context, data):
def _test_args():
"""Extra arguments to use when zipline's automated tests run this example.
"""Extra arguments to use when catalyst's automated tests run this example.
"""
import pandas as pd
zipline/examples/buyapple.ipynb → catalyst/examples/buyapple.ipynb
+3 -3
View File
@@ -9,7 +9,7 @@
"outputs": [],
"source": [
"%matplotlib inline\n",
"%load_ext zipline"
"%load_ext catalyst"
]
},
{
@@ -2170,9 +2170,9 @@
}
],
"source": [
"%%zipline --start=2011-1-1 --end=2013-1-1\n",
"%%catalyst --start=2011-1-1 --end=2013-1-1\n",
"\n",
"from zipline.api import order, record, symbol\n",
"from catalyst.api import order, record, symbol\n",
"import matplotlib.pyplot as plt\n",
"\n",
"def initialize(context):\n",
zipline/examples/buyapple.py → catalyst/examples/buyapple.py
+2 -2
View File
@@ -14,7 +14,7 @@
# See the License for the specific language governing permissions and
# limitations under the License.
from zipline.api import order, record, symbol
from catalyst.api import order, record, symbol
def initialize(context):
@@ -44,7 +44,7 @@ def analyze(context=None, results=None):
def _test_args():
"""Extra arguments to use when zipline's automated tests run this example.
"""Extra arguments to use when catalyst's automated tests run this example.
"""
import pandas as pd
zipline/examples/dual_ema_talib.py → catalyst/examples/dual_ema_talib.py
+2 -2
View File
@@ -24,7 +24,7 @@ momentum).
"""
from zipline.api import order, record, symbol
from catalyst.api import order, record, symbol
# Import exponential moving average from talib wrapper
from talib import EMA
@@ -99,7 +99,7 @@ def analyze(context=None, results=None):
def _test_args():
"""Extra arguments to use when zipline's automated tests run this example.
"""Extra arguments to use when catalyst's automated tests run this example.
"""
import pandas as pd
zipline/examples/dual_moving_average.py → catalyst/examples/dual_moving_average.py
+2 -2
View File
@@ -22,7 +22,7 @@ its shares once the averages cross again (indicating downwards
momentum).
"""
from zipline.api import order_target, record, symbol
from catalyst.api import order_target, record, symbol
def initialize(context):
@@ -98,7 +98,7 @@ def analyze(context=None, results=None):
def _test_args():
"""Extra arguments to use when zipline's automated tests run this example.
"""Extra arguments to use when catalyst's automated tests run this example.
"""
import pandas as pd
zipline/examples/momentum_pipeline.py → catalyst/examples/momentum_pipeline.py
+5 -5
View File
@@ -3,7 +3,7 @@ A simple Pipeline algorithm that longs the top 3 stocks by RSI and shorts
the bottom 3 each day.
"""
from six import viewkeys
from zipline.api import (
from catalyst.api import (
attach_pipeline,
date_rules,
order_target_percent,
@@ -11,9 +11,9 @@ from zipline.api import (
record,
schedule_function,
)
from zipline.pipeline import Pipeline
from zipline.pipeline.factors.crypto import RSI as cRSI
from zipline.pipeline.factors.equity import RSI as eRSI
from catalyst.pipeline import Pipeline
from catalyst.pipeline.factors.crypto import RSI as cRSI
from catalyst.pipeline.factors.equity import RSI as eRSI
def make_pipeline():
@@ -73,7 +73,7 @@ def before_trading_start(context, data):
def _test_args():
"""
Extra arguments to use when zipline's automated tests run this example.
Extra arguments to use when catalyst's automated tests run this example.
Notes for testers:
zipline/examples/olmar.py → catalyst/examples/olmar.py
+4 -4
View File
@@ -2,14 +2,14 @@ import sys
import logbook
import numpy as np
from zipline.finance import commission
from catalyst.finance import commission
zipline_logging = logbook.NestedSetup([
catalyst_logging = logbook.NestedSetup([
logbook.NullHandler(),
logbook.StreamHandler(sys.stdout, level=logbook.INFO),
logbook.StreamHandler(sys.stderr, level=logbook.ERROR),
])
zipline_logging.push_application()
catalyst_logging.push_application()
STOCKS = ['AMD', 'CERN', 'COST', 'DELL', 'GPS', 'INTC', 'MMM']
@@ -157,7 +157,7 @@ def analyze(context=None, results=None):
def _test_args():
"""Extra arguments to use when zipline's automated tests run this example.
"""Extra arguments to use when catalyst's automated tests run this example.
"""
import pandas as pd
zipline/finance/__init__.py → catalyst/finance/__init__.py
View File
zipline/finance/asset_restrictions.py → catalyst/finance/asset_restrictions.py
+4 -4
View File
@@ -7,9 +7,9 @@ from six import with_metaclass, iteritems
from collections import namedtuple
from toolz import groupby
from zipline.utils.enum import enum
from zipline.utils.numpy_utils import vectorized_is_element
from zipline.assets import Asset
from catalyst.utils.enum import enum
from catalyst.utils.numpy_utils import vectorized_is_element
from catalyst.assets import Asset
Restriction = namedtuple(
@@ -203,7 +203,7 @@ class SecurityListRestrictions(Restrictions):
Parameters
----------
restrictions : zipline.utils.security_list.SecurityList
restrictions : catalyst.utils.security_list.SecurityList
The restrictions defined by a SecurityList
"""
zipline/finance/blotter.py → catalyst/finance/blotter.py
+9 -9
View File
@@ -18,21 +18,21 @@ from copy import copy
from six import iteritems
from zipline.assets import Equity, Future, Asset
from zipline.finance.order import Order
from zipline.finance.slippage import (
from catalyst.assets import Equity, Future, Asset
from catalyst.finance.order import Order
from catalyst.finance.slippage import (
DEFAULT_FUTURE_VOLUME_SLIPPAGE_BAR_LIMIT,
VolatilityVolumeShare,
VolumeShareSlippage,
)
from zipline.finance.commission import (
from catalyst.finance.commission import (
DEFAULT_PER_CONTRACT_COST,
FUTURE_EXCHANGE_FEES_BY_SYMBOL,
PerContract,
PerShare,
)
from zipline.finance.cancel_policy import NeverCancel
from zipline.utils.input_validation import expect_types
from catalyst.finance.cancel_policy import NeverCancel
from catalyst.utils.input_validation import expect_types
log = Logger('Blotter')
warning_logger = Logger('AlgoWarning')
@@ -98,13 +98,13 @@ class Blotter(object):
Parameters
----------
asset : zipline.assets.Asset
asset : catalyst.assets.Asset
The asset that this order is for.
amount : int
The amount of shares to order. If ``amount`` is positive, this is
the number of shares to buy or cover. If ``amount`` is negative,
this is the number of shares to sell or short.
style : zipline.finance.execution.ExecutionStyle
style : catalyst.finance.execution.ExecutionStyle
The execution style for the order.
order_id : str, optional
The unique identifier for this order.
@@ -332,7 +332,7 @@ class Blotter(object):
Parameters
----------
bar_data: zipline._protocol.BarData
bar_data: catalyst._protocol.BarData
Notes
-----
zipline/finance/cancel_policy.py → catalyst/finance/cancel_policy.py
+5 -5
View File
@@ -17,7 +17,7 @@ import abc
from abc import abstractmethod
from six import with_metaclass
from zipline.gens.sim_engine import SESSION_END
from catalyst.gens.sim_engine import SESSION_END
class CancelPolicy(with_metaclass(abc.ABCMeta)):
@@ -32,10 +32,10 @@ class CancelPolicy(with_metaclass(abc.ABCMeta)):
----------
event : enum-value
An event type, one of:
- :data:`zipline.gens.sim_engine.BAR`
- :data:`zipline.gens.sim_engine.DAY_START`
- :data:`zipline.gens.sim_engine.DAY_END`
- :data:`zipline.gens.sim_engine.MINUTE_END`
- :data:`catalyst.gens.sim_engine.BAR`
- :data:`catalyst.gens.sim_engine.DAY_START`
- :data:`catalyst.gens.sim_engine.DAY_END`
- :data:`catalyst.gens.sim_engine.MINUTE_END`
Returns
-------
zipline/finance/commission.py → catalyst/finance/commission.py
+6 -6
View File
@@ -18,10 +18,10 @@ from collections import defaultdict
from six import with_metaclass
from toolz import merge
from zipline.assets import Equity, Future
from zipline.finance.constants import FUTURE_EXCHANGE_FEES_BY_SYMBOL
from zipline.finance.shared import AllowedAssetMarker, FinancialModelMeta
from zipline.utils.dummy import DummyMapping
from catalyst.assets import Equity, Future
from catalyst.finance.constants import FUTURE_EXCHANGE_FEES_BY_SYMBOL
from catalyst.finance.shared import AllowedAssetMarker, FinancialModelMeta
from catalyst.utils.dummy import DummyMapping
DEFAULT_PER_SHARE_COST = 0.0075 # 0.75 cents per share
DEFAULT_PER_CONTRACT_COST = 0.85 # $0.85 per future contract
@@ -50,13 +50,13 @@ class CommissionModel(with_metaclass(FinancialModelMeta)):
Parameters
----------
order : zipline.finance.order.Order
order : catalyst.finance.order.Order
The order being processed.
The ``commission`` field of ``order`` is a float indicating the
amount of commission already charged on this order.
transaction : zipline.finance.transaction.Transaction
transaction : catalyst.finance.transaction.Transaction
The transaction being processed. A single order may generate
multiple transactions if there isn't enough volume in a given bar
to fill the full amount requested in the order.
zipline/finance/constants.py → catalyst/finance/constants.py
+1 -1
View File
@@ -100,7 +100,7 @@ FUTURE_EXCHANGE_FEES_BY_SYMBOL = {
'YS': 0.75, # Silver e-mini
}
# See `zipline.finance.slippage.VolatilityVolumeShare` for more information on
# See `catalyst.finance.slippage.VolatilityVolumeShare` for more information on
# how these constants are used.
DEFAULT_ETA = 0.049018143225019836
ROOT_SYMBOL_TO_ETA = {
zipline/finance/controls.py → catalyst/finance/controls.py
+2 -2
View File
@@ -19,7 +19,7 @@ import pandas as pd
from six import with_metaclass
from zipline.errors import (
from catalyst.errors import (
AccountControlViolation,
TradingControlViolation,
)
@@ -137,7 +137,7 @@ class RestrictedListOrder(TradingControl):
Parameters
----------
restrictions : zipline.finance.asset_restrictions.Restrictions
restrictions : catalyst.finance.asset_restrictions.Restrictions
Object representing restrictions of a group of assets.
"""
zipline/finance/execution.py → catalyst/finance/execution.py
+2 -2
View File
@@ -19,11 +19,11 @@ from sys import float_info
from six import with_metaclass
import zipline.utils.math_utils as zp_math
import catalyst.utils.math_utils as zp_math
from numpy import isfinite
from zipline.errors import BadOrderParameters
from catalyst.errors import BadOrderParameters
class ExecutionStyle(with_metaclass(abc.ABCMeta)):
zipline/finance/order.py → catalyst/finance/order.py
+4 -4
View File
@@ -17,10 +17,10 @@ import uuid
from six import text_type
import zipline.protocol as zp
from zipline.assets import Asset
from zipline.utils.enum import enum
from zipline.utils.input_validation import expect_types
import catalyst.protocol as zp
from catalyst.assets import Asset
from catalyst.utils.enum import enum
from catalyst.utils.input_validation import expect_types
ORDER_STATUS = enum(
'OPEN',
zipline/finance/performance/__init__.py → catalyst/finance/performance/__init__.py
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zipline/finance/performance/period.py → catalyst/finance/performance/period.py
+2 -2
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@@ -76,7 +76,7 @@ import logbook
import numpy as np
from collections import namedtuple
from zipline.assets import Future
from catalyst.assets import Future
try:
# optional cython based OrderedDict
@@ -86,7 +86,7 @@ except ImportError:
from six import itervalues, iteritems
import zipline.protocol as zp
import catalyst.protocol as zp
log = logbook.Logger('Performance')
TRADE_TYPE = zp.DATASOURCE_TYPE.TRADE
zipline/finance/performance/position.py → catalyst/finance/performance/position.py
+4 -4
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@@ -37,8 +37,8 @@ from collections import OrderedDict
import numpy as np
import logbook
from zipline.assets import Future, Asset
from zipline.utils.input_validation import expect_types
from catalyst.assets import Future, Asset
from catalyst.utils.input_validation import expect_types
log = logbook.Logger('Performance')
@@ -153,11 +153,11 @@ class Position(object):
@expect_types(asset=Asset)
def adjust_commission_cost_basis(self, asset, cost):
"""
A note about cost-basis in zipline: all positions are considered
A note about cost-basis in catalyst: all positions are considered
to share a cost basis, even if they were executed in different
transactions with different commission costs, different prices, etc.
Due to limitations about how zipline handles positions, zipline will
Due to limitations about how catalyst handles positions, catalyst will
currently spread an externally-delivered commission charge across
all shares in a position.
"""
zipline/finance/performance/position_tracker.py → catalyst/finance/performance/position_tracker.py
+5 -5
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@@ -22,11 +22,11 @@ from math import isnan
from six import iteritems, itervalues
from zipline.finance.performance.position import Position
from zipline.finance.transaction import Transaction
from zipline.utils.input_validation import expect_types
import zipline.protocol as zp
from zipline.assets import (
from catalyst.finance.performance.position import Position
from catalyst.finance.transaction import Transaction
from catalyst.utils.input_validation import expect_types
import catalyst.protocol as zp
from catalyst.assets import (
Future,
Asset
)
zipline/finance/performance/tracker.py → catalyst/finance/performance/tracker.py
+4 -4
View File
@@ -52,7 +52,7 @@ Performance Tracking
| _metrics | calculated based on the positions aggregated |
| | through all the events delivered to this tracker. |
| | For details look at the comments for |
| | :py:meth:`zipline.finance.risk.RiskMetrics.to_dict`|
| | :py:meth:`catalyst.finance.risk.RiskMetrics.to_dict`|
+-----------------+----------------------------------------------------+
"""
@@ -64,9 +64,9 @@ import logbook
import pandas as pd
from pandas.tseries.tools import normalize_date
from zipline.finance.performance.period import PerformancePeriod
from zipline.errors import NoFurtherDataError
import zipline.finance.risk as risk
from catalyst.finance.performance.period import PerformancePeriod
from catalyst.errors import NoFurtherDataError
import catalyst.finance.risk as risk
from . position_tracker import PositionTracker
zipline/finance/risk/__init__.py → catalyst/finance/risk/__init__.py
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zipline/finance/risk/cumulative.py → catalyst/finance/risk/cumulative.py
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zipline/finance/risk/period.py → catalyst/finance/risk/period.py
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zipline/finance/risk/report.py → catalyst/finance/risk/report.py
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zipline/finance/risk/risk.py → catalyst/finance/risk/risk.py
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zipline/finance/shared.py → catalyst/finance/shared.py
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zipline/finance/slippage.py → catalyst/finance/slippage.py
+8 -8
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@@ -22,13 +22,13 @@ from pandas import isnull
from six import with_metaclass
from toolz import merge
from zipline.assets import Equity, Future
from zipline.errors import HistoryWindowStartsBeforeData
from zipline.finance.constants import ROOT_SYMBOL_TO_ETA
from zipline.finance.shared import AllowedAssetMarker, FinancialModelMeta
from zipline.finance.transaction import create_transaction
from zipline.utils.cache import ExpiringCache
from zipline.utils.dummy import DummyMapping
from catalyst.assets import Equity, Future
from catalyst.errors import HistoryWindowStartsBeforeData
from catalyst.finance.constants import ROOT_SYMBOL_TO_ETA
from catalyst.finance.shared import AllowedAssetMarker, FinancialModelMeta
from catalyst.finance.transaction import create_transaction
from catalyst.utils.cache import ExpiringCache
from catalyst.utils.dummy import DummyMapping
SELL = 1 << 0
BUY = 1 << 1
@@ -54,7 +54,7 @@ def fill_price_worse_than_limit_price(fill_price, order):
fill_price: float
The price to check.
order: zipline.finance.order.Order
order: catalyst.finance.order.Order
The order whose limit price to check.
Returns
zipline/finance/trading.py → catalyst/finance/trading.py
+7 -7
View File
@@ -20,11 +20,11 @@ from pandas.tslib import normalize_date
from six import string_types
from sqlalchemy import create_engine
from zipline.assets import AssetDBWriter, AssetFinder
from zipline.assets.continuous_futures import CHAIN_PREDICATES
from zipline.data.loader import load_market_data
from zipline.utils.calendars import get_calendar
from zipline.utils.memoize import remember_last
from catalyst.assets import AssetDBWriter, AssetFinder
from catalyst.assets.continuous_futures import CHAIN_PREDICATES
from catalyst.data.loader import load_market_data
from catalyst.utils.calendars import get_calendar
from catalyst.utils.memoize import remember_last
log = logbook.Logger('Trading')
@@ -34,7 +34,7 @@ DEFAULT_CAPITAL_BASE = 1e5
class TradingEnvironment(object):
"""
The financial simulations in zipline depend on information
The financial simulations in catalyst depend on information
about the benchmark index and the risk free rates of return.
The benchmark index defines the benchmark returns used in
the calculation of performance metrics such as alpha/beta. Many
@@ -49,7 +49,7 @@ class TradingEnvironment(object):
ensure proper rollover through daylight savings and so on.
User code will not normally need to use TradingEnvironment
directly. If you are extending zipline's core financial
directly. If you are extending catalyst's core financial
components and need to use the environment, you must import the module and
build a new TradingEnvironment object, then pass that TradingEnvironment as
the 'env' arg to your TradingAlgorithm.
zipline/finance/transaction.py → catalyst/finance/transaction.py
+3 -3
View File
@@ -16,9 +16,9 @@ from __future__ import division
from copy import copy
from zipline.assets import Asset
from zipline.protocol import DATASOURCE_TYPE
from zipline.utils.input_validation import expect_types
from catalyst.assets import Asset
from catalyst.protocol import DATASOURCE_TYPE
from catalyst.utils.input_validation import expect_types
class Transaction(object):
zipline/gens/__init__.py → catalyst/gens/__init__.py
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zipline/gens/composites.py → catalyst/gens/composites.py
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zipline/gens/sim_engine.pyx → catalyst/gens/sim_engine.pyx
View File
zipline/gens/tradesimulation.py → catalyst/gens/tradesimulation.py
+3 -3
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@@ -15,11 +15,11 @@
from contextlib2 import ExitStack
from logbook import Logger, Processor
from pandas.tslib import normalize_date
from zipline.protocol import BarData
from zipline.utils.api_support import ZiplineAPI
from catalyst.protocol import BarData
from catalyst.utils.api_support import ZiplineAPI
from six import viewkeys
from zipline.gens.sim_engine import (
from catalyst.gens.sim_engine import (
BAR,
SESSION_START,
SESSION_END,
zipline/gens/utils.py → catalyst/gens/utils.py
+1 -1
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@@ -19,7 +19,7 @@ import numbers
from hashlib import md5
from datetime import datetime
from zipline.protocol import DATASOURCE_TYPE
from catalyst.protocol import DATASOURCE_TYPE
from six import iteritems, b
zipline/lib/__init__.py → catalyst/lib/__init__.py
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zipline/lib/_factorize.pyx → catalyst/lib/_factorize.pyx
+1 -1
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@@ -5,7 +5,7 @@ from libc.math cimport log
cimport numpy as np
import numpy as np
from zipline.utils.numpy_utils import unsigned_int_dtype_with_size_in_bytes
from catalyst.utils.numpy_utils import unsigned_int_dtype_with_size_in_bytes
np.import_array()
zipline/lib/_float64window.pyx → catalyst/lib/_float64window.pyx
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zipline/lib/_int64window.pyx → catalyst/lib/_int64window.pyx
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zipline/lib/_labelwindow.pyx → catalyst/lib/_labelwindow.pyx
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zipline/lib/_uint8window.pyx → catalyst/lib/_uint8window.pyx
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zipline/lib/_windowtemplate.pxi → catalyst/lib/_windowtemplate.pxi
+3 -3
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@@ -7,9 +7,9 @@ file that's defined a type symbol named `databuffer` that can be used like a
See Also
--------
zipline.lib._floatwindow
zipline.lib._intwindow
zipline.lib._datewindow
catalyst.lib._floatwindow
catalyst.lib._intwindow
catalyst.lib._datewindow
"""
from numpy cimport ndarray
from numpy import asanyarray, dtype, issubdtype
zipline/lib/adjusted_array.py → catalyst/lib/adjusted_array.py
+5 -5
View File
@@ -13,18 +13,18 @@ from numpy import (
uint32,
uint8,
)
from zipline.errors import (
from catalyst.errors import (
WindowLengthNotPositive,
WindowLengthTooLong,
)
from zipline.lib.labelarray import LabelArray
from zipline.utils.numpy_utils import (
from catalyst.lib.labelarray import LabelArray
from catalyst.utils.numpy_utils import (
datetime64ns_dtype,
float64_dtype,
int64_dtype,
uint8_dtype,
)
from zipline.utils.memoize import lazyval
from catalyst.utils.memoize import lazyval
# These class names are all the same because of our bootleg templating system.
from ._float64window import AdjustedArrayWindow as Float64Window
@@ -274,7 +274,7 @@ def ensure_ndarray(ndarray_or_adjusted_array):
Parameters
----------
ndarray_or_adjusted_array : numpy.ndarray | zipline.data.adjusted_array
ndarray_or_adjusted_array : numpy.ndarray | catalyst.data.adjusted_array
Returns
-------
zipline/lib/adjustment.pyx → catalyst/lib/adjustment.pyx
+2 -2
View File
@@ -5,7 +5,7 @@ from pandas import isnull, Timestamp
from numpy cimport float64_t, uint8_t, int64_t
from numpy import asarray, datetime64, float64, int64
from zipline.utils.compat import unicode
from catalyst.utils.compat import unicode
# Purely for readability. There aren't C-level declarations for these types.
ctypedef object Int64Index_t
@@ -786,7 +786,7 @@ cdef class ObjectOverwrite(_ObjectAdjustment):
cpdef mutate(self, object data):
# data is an object here because this is intended to be used with a
# `zipline.lib.LabelArray`.
# `catalyst.lib.LabelArray`.
# We don't do this in a loop because we only want to look up the label
# code in the array's categories once.
zipline/lib/labelarray.py → catalyst/lib/labelarray.py
+7 -7
View File
@@ -10,22 +10,22 @@ from numpy import ndarray
import pandas as pd
from toolz import compose
from zipline.utils.compat import unicode
from zipline.utils.functional import instance
from zipline.utils.preprocess import preprocess
from zipline.utils.sentinel import sentinel
from zipline.utils.input_validation import (
from catalyst.utils.compat import unicode
from catalyst.utils.functional import instance
from catalyst.utils.preprocess import preprocess
from catalyst.utils.sentinel import sentinel
from catalyst.utils.input_validation import (
coerce,
expect_kinds,
expect_types,
optional,
)
from zipline.utils.numpy_utils import (
from catalyst.utils.numpy_utils import (
bool_dtype,
unsigned_int_dtype_with_size_in_bytes,
is_object,
)
from zipline.utils.pandas_utils import ignore_pandas_nan_categorical_warning
from catalyst.utils.pandas_utils import ignore_pandas_nan_categorical_warning
from ._factorize import (
factorize_strings,
zipline/lib/normalize.py → catalyst/lib/normalize.py
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zipline/lib/quantiles.py → catalyst/lib/quantiles.py
View File
zipline/lib/rank.pyx → catalyst/lib/rank.pyx
+1 -1
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@@ -17,7 +17,7 @@ from numpy cimport (
from numpy import apply_along_axis, float64, isnan, nan
from scipy.stats import rankdata
from zipline.utils.numpy_utils import (
from catalyst.utils.numpy_utils import (
is_missing,
float64_dtype,
int64_dtype,
zipline/pipeline/__init__.py → catalyst/pipeline/__init__.py
+1 -1
View File
@@ -1,5 +1,5 @@
from __future__ import print_function
from zipline.assets import AssetFinder
from catalyst.assets import AssetFinder
from .classifiers import Classifier, CustomClassifier
from .engine import SimplePipelineEngine
zipline/pipeline/api_utils.py → catalyst/pipeline/api_utils.py
+2 -2
View File
@@ -1,7 +1,7 @@
"""
Utilities for creating public APIs (e.g. argument validation decorators).
"""
from zipline.utils.input_validation import preprocess
from catalyst.utils.input_validation import preprocess
def restrict_to_dtype(dtype, message_template):
@@ -10,7 +10,7 @@ def restrict_to_dtype(dtype, message_template):
Terms with a specific dtype.
This is conceptually similar to
zipline.utils.input_validation.expect_dtypes, but provides more flexibility
catalyst.utils.input_validation.expect_dtypes, but provides more flexibility
for providing error messages that are specifically targeting Term methods.
Parameters
zipline/pipeline/classifiers/__init__.py → catalyst/pipeline/classifiers/__init__.py
View File
zipline/pipeline/classifiers/classifier.py → catalyst/pipeline/classifiers/classifier.py
+16 -16
View File
@@ -8,15 +8,15 @@ import re
from numpy import where, isnan, nan, zeros
import pandas as pd
from zipline.lib.labelarray import LabelArray
from zipline.lib.quantiles import quantiles
from zipline.pipeline.api_utils import restrict_to_dtype
from zipline.pipeline.sentinels import NotSpecified
from zipline.pipeline.term import ComputableTerm
from zipline.utils.compat import unicode
from zipline.utils.input_validation import expect_types, expect_dtypes
from zipline.utils.memoize import classlazyval
from zipline.utils.numpy_utils import (
from catalyst.lib.labelarray import LabelArray
from catalyst.lib.quantiles import quantiles
from catalyst.pipeline.api_utils import restrict_to_dtype
from catalyst.pipeline.sentinels import NotSpecified
from catalyst.pipeline.term import ComputableTerm
from catalyst.utils.compat import unicode
from catalyst.utils.input_validation import expect_types, expect_dtypes
from catalyst.utils.memoize import classlazyval
from catalyst.utils.numpy_utils import (
categorical_dtype,
int64_dtype,
vectorized_is_element,
@@ -330,7 +330,7 @@ class Classifier(RestrictedDTypeMixin, ComputableTerm):
Called with the result of a pipeline. This needs to return an object
which can be put into the workspace to continue doing computations.
This is the inverse of :func:`~zipline.pipeline.term.Term.postprocess`.
This is the inverse of :func:`~catalyst.pipeline.term.Term.postprocess`.
"""
if self.dtype == int64_dtype:
return super(Classifier, self).to_workspace_value(result, assets)
@@ -409,7 +409,7 @@ class Relabel(SingleInputMixin, Classifier):
Parameters
----------
arg : zipline.pipeline.Classifier
arg : catalyst.pipeline.Classifier
Term produceing the input to be relabeled.
relabel_func : function(LabelArray) -> LabelArray
Function to apply to the result of `term`.
@@ -455,8 +455,8 @@ class CustomClassifier(PositiveWindowLengthMixin,
See Also
--------
zipline.pipeline.CustomFactor
zipline.pipeline.CustomFilter
catalyst.pipeline.CustomFactor
catalyst.pipeline.CustomFilter
"""
def _allocate_output(self, windows, shape):
"""
@@ -481,9 +481,9 @@ class Latest(LatestMixin, CustomClassifier):
See Also
--------
zipline.pipeline.data.dataset.BoundColumn.latest
zipline.pipeline.factors.factor.Latest
zipline.pipeline.filters.filter.Latest
catalyst.pipeline.data.dataset.BoundColumn.latest
catalyst.pipeline.factors.factor.Latest
catalyst.pipeline.filters.filter.Latest
"""
pass
zipline/pipeline/common.py → catalyst/pipeline/common.py
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