For example, to prevent `alpha` from internally calling
`beta` a second time, pass the previously-calculated
`beta` value in.
Requires empyrical 0.1.10 from pypi
Previously, on the dt of a capital change, we use the un-updated
prices to find the ending performance of the previous subperiod and
then got the new prices to determine the portfolio value used to
calculate the delta, without actually updating the performance
before applying the capital change. This logic is confusing and
unintuitive. Instead, save the ending performance as we do previously,
but have temp values for the starting current subperiod value.
Update those temp values after processing the capital change
AlgorithmSimulator will no longer check for capital changes.
Instead, TradingAlgorithm find and calculate the changes, and
PerformanceTracker will apply the changes
Instead of having separate ExchangeCalendar and TradingSchedule objects, we
now just have TradingCalendar. The TradingCalendar keeps track of each
session (defined as a contiguous set of minutes between an open and a close).
It's also responsible for handling the grouping logic of any given minute
to its containing session, or the next/previous session if it's not a market
minute for the given calendar.
Refactor AlgorithmSimulator so that DAY_END is emitted for both
minute and daily emission, and that handling of end-of-minute
and end-of-day are separated
Previously, whenever we try to access a missing value on the Positions
dict, we return a default Position and save it to the dict. Instead,
just return the Position
Changes BcolzDailyBarWriter to not be an abc, data is passed as an
iterator of (sid, dataframe) pairs to the write method.
Changes the AssetsDBWriter to be a single class which accepts an engine
at construction time and has a `write` method for writing dataframes for
the various tables. We no longer support writing the various other data
types, callers should coerce their data into a dataframe themselves. See
zipline.assets.synthetic for some helpers to do this.
Adds many new fixtures and updates some existing fixtures to use the new
ones:
WithDefaultDateBounds
A fixture that provides the suite a START_DATE and END_DATE. This is
meant to make it easy for other fixtures to synchronize their date
ranges without depending on eachother in strange ways. For example,
WithBcolzMinuteBarReader and WithBcolzDailyBarReader by default should
both have data for the same dates, so they may use depend on
WithDefaultDates without forcing a dependency between them.
WithTmpDir, WithInstanceTmpDir
Provides the suite or individual test case a temporary directory.
WithBcolzDailyBarReader
Provides the suite a BcolzDailyBarReader which reads from bcolz data
written to a temporary directory. The data will be read from
dataframes and then converted to bcolz files with
BcolzDailyBarWriter.write
WithBcolzDailyBarReaderFromCSVs
Provides the suite a BcolzDailyBarReader which reads from bcolz data
written to a temporary directory. The data will be read from a
collection of CSV files and then converted into the bcolz data through
BcolzDailyBarWriter.write_csvs
WithBcolzMinuteBarReader
Provides the suite a BcolzMinuteBarReader which reads from bcolz data
written to a temporary directory. The data will be read from
dataframes and then converted to bcolz files with
BcolzMinuteBarWriter.write
WithAdjustmentReader
Provides the suite a SQLiteAdjustmentReader which reads from an in
memory sqlite database. The data will be read from dataframes and then
converted into sqlite with SQLiteAdjustmentWriter.write
WithDataPortal
Provides each test case a DataPortal object with data from temporary
resources.
Previously, we have assumed that the `amounts` and `last_sale_prices`
lists have the same order as the `value_multipliers`. This is not
correct, since to populate the `amounts` and `last_sale_prices` lists
we iterate over a `dict` (self.positions). The order of this `dict`
can change in arbitrary ways when it is updated, which occurs when
we call `update_positions`. Our `value_multipliers` however are stored
in an `OrderedDict`, meaning the order of existing key/value pairs
is not changed when they are updated.
To address this issue, we make sure that `self.positions` subclasses
`OrderedDict`.
Allow creation of TradingEnvironment to specify a minimum date, so that
trading days, market opens, etc. can trimmed to a range more relevant to
the backtest.
This changes is with an eye towards storing all market minutes in the
trading environment, where storing values for much more than the
simulation range starts to become more costly.
Scott Sanderson