Remove the lists of DailyReturn objects in favor of using pd.Series
to store the return values.
Should make it easier to inspect the values when stepping through,
make the windowing of data to a certain range more facile by using,
and have some performance increases due to removing object creation
and member access.
To support mulitple sids the TALib transforms now return a dict,
instead of a float. Accordingly, the TALib example script now needs
to index into the transform result.
The new example is almost identical to the dual_moving_average one.
However, instead of our in-house mavg transform it uses the new
talib exponential moving average (EMA).
Fix crash due to 'delay' was no longer supported.
But removing SlippageModel override, since current configs
should be functionally equivalent to FixedSlippage.
Uses a method called 'record' that provides a key value,
instead of providing keys to extract from context.
The variables are stored internally to the algorithm in a dictionary,
and not just stared as a property of the algorithm.
Main intent behind this change is to make the API more user friendly,
since the previous recorded_variables relies on the value to be set
in the algorithms context/self, the hope is that only having to use
the `record` method means less moving pieces and a more understandable
API.
i.e., instead of:
```
def initialize(self):
recorded_variables('foo', bar')
def handle_data(self, data):
self.foo = 1
self.bar = 2
```
The API is now:
```
def initialize(self):
pass
def handle_data(self, data):
self.record(foo=1, bar=2)
```
Jonathan Kamens