Global state for the financial simulation environment is accessed through the
zipline.finance.trading module, which now contains a module variable:
environment.
Parameters are passed into an algorithm as a keyword argument, sim_params.
SimulationParameters creates a trading day index for the test period that
can be used to find trading days, calculate distance between trading days,
and other common operations. The sim params index is just selected from the
global state.
================
Details:
- adding delorean to the requirements.
- made index symbol a parameter for loading the benchmark data. changed
messagepack storage to be symbol specific.
- ported risk, performance, algorithm, transforms, batch transforms
and associated tests to use simulation parameters and global environment
- factory and sim factory use global state and sim params
- factory method parameter names now reflect the class expected
Moving to main requirements, since zipline will not run without
the treasury and benchmark data that we requests to fetch.
Upgrade is to keep current with latest release.
To handle, for instance, Columbus Day (Oct 10),
on which there is no treasury data.
We're only forward-filling data now, and
no longer searching both back and forward in time.
The latest flake8 release in now 1.5, which pulls in pep8: 1.3.4a0
The upgrade pep8 has changes to what it picks up as lint.
Making code base compatible, so that new devs can install pep8
from PyPI and not have friction over the version difference.
Currently using these ignores in the config file:
```
[pep8]
ignore = E124,E125,E126
```
Ignoring these since they are difficult to squash while maintaining
an 80 char line length, and appear spurious.
Should address later.
Updates Travis config, README, and pip requirements to reflect change.
Hopefully, this helps ease ramp up time for developing against
market data, without us distributing the data.
We do a check for the data when attempting to read the msgpack
files, if they don't exist the loader makes a web request and
retrieves and serializes the data for the user.
Provides a loader for:
- curves from data.treasury.gov
- benchmarks from Yahoo! Finance
Adds dependency of requests library in dev requirements.
Revert e99ab2e9d07573e24e6d106877ff35eab46cdab1, which was intended to
strip comments from lines fed to pip, but had the unintended side
effect of stripping egg specifiers in URLs. The easiest way to address
this is to simply not put trailing comments in requirements files, so
we'er going to solve the problem that way instead.
The pandas dependency on numpy was causing pandas installation to fail.
Reviving the ordered_pip script in since it helps explicitly install
numpy before pandas.
The current documentation is not currently used actively.
Also, we are working towards not using Jenkins, in favor of
something like travis-ci when zipline is open sourced, so we will
have to be rethinking the documentation maintenance then.
Jonathan Kamens