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10 Commits
0.5.2 .. 0.5.3
Author SHA1 Message Date
Frederic Fortier 49b6792399 Merge branch 'develop' 2018-02-09 12:01:57 -05:00
Frederic Fortier 6b1982274e DOC: updated release notes for 0.5.3 2018-02-09 02:44:45 -05:00
Frederic Fortier bc58640a3a Merge remote-tracking branch 'origin/develop' into develop 2018-02-09 02:41:08 -05:00
Frederic Fortier 511af7946e BUG: for issue #219, created another unit test which compares current price against last candle 2018-02-09 02:40:53 -05:00
Victor Grau Serrat dcdb3d9d7a MAINT: removing many warnings from building docs 2018-02-09 00:07:38 -07:00
Frederic Fortier 5c77cfc68d BUG: for issue #219, fixed a resampling issue 2018-02-09 01:38:22 -05:00
Frederic Fortier 11f8e36ff0 Merge remote-tracking branch 'origin/develop' into develop 2018-02-09 00:56:45 -05:00
Frederic Fortier 44e4e66f5c BLD: adding more log messages 2018-02-09 00:56:35 -05:00
Victor Grau Serrat 3c4c6c3dfd DOC: small edits, eliminating sphinx warnings 2018-02-08 22:10:57 -07:00
Victor Grau Serrat bebebc46dc DOC: small edits, eliminating sphinx warnings 2018-02-08 22:07:58 -07:00
19 changed files with 364 additions and 252 deletions
Expand all files Collapse all files
README.rst
+1 -3
View File
@@ -17,9 +17,7 @@ insights regarding a particular strategy's performance. Catalyst also supports
live-trading of crypto-assets starting with three exchanges (Bitfinex, Bittrex, live-trading of crypto-assets starting with three exchanges (Bitfinex, Bittrex,
and Poloniex) with more being added over time. Catalyst empowers users to share and Poloniex) with more being added over time. Catalyst empowers users to share
and curate data and build profitable, data-driven investment strategies. Please and curate data and build profitable, data-driven investment strategies. Please
visit `enigma.co <https://www.enigma.co>`_ to learn more about Catalyst, or visit `enigma.co <https://www.enigma.co>`_ to learn more about Catalyst.
refer to the `whitepaper <https://www.enigma.co/enigma_catalyst.pdf>`_ for
further technical details.
Catalyst builds on top of the well-established Catalyst builds on top of the well-established
`Zipline <https://github.com/quantopian/zipline>`_ project. We did our best to `Zipline <https://github.com/quantopian/zipline>`_ project. We did our best to
catalyst/algorithm.py
+5 -5
View File
@@ -939,7 +939,7 @@ class TradingAlgorithm(object):
The field to query. The options have the following meanings: The field to query. The options have the following meanings:
arena : str arena : str
The arena from the simulation parameters. This will normally The arena from the simulation parameters. This will normally
be ``'backtest'`` but some systems may use this distinguish be ``backtest`` but some systems may use this distinguish
live trading from backtesting. live trading from backtesting.
data_frequency : {'daily', 'minute'} data_frequency : {'daily', 'minute'}
data_frequency tells the algorithm if it is running with data_frequency tells the algorithm if it is running with
@@ -954,7 +954,7 @@ class TradingAlgorithm(object):
The platform that the code is running on. By default this The platform that the code is running on. By default this
will be the string 'catalyst'. 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. know if they are running on the Quantopian platform instead.
* : dict[str -> any] \* : dict[str -> any]
Returns all of the fields in a dictionary. Returns all of the fields in a dictionary.
Returns Returns
@@ -1032,7 +1032,7 @@ class TradingAlgorithm(object):
argument is the name of the column in the preprocessed dataframe argument is the name of the column in the preprocessed dataframe
containing the symbols. This will be used along with the date containing the symbols. This will be used along with the date
information to map the sids in the asset finder. information to map the sids in the asset finder.
**kwargs \*\*kwargs
Forwarded to :func:`pandas.read_csv`. Forwarded to :func:`pandas.read_csv`.
Returns Returns
@@ -1156,7 +1156,7 @@ class TradingAlgorithm(object):
Parameters Parameters
---------- ----------
**kwargs \*\*kwargs
The names and values to record. The names and values to record.
Notes Notes
@@ -1273,7 +1273,7 @@ class TradingAlgorithm(object):
Parameters Parameters
---------- ----------
*args : iterable[str] \*args : iterable[str]
The ticker symbols to lookup. The ticker symbols to lookup.
Returns Returns
catalyst/exchange/exchange_bundle.py
+16 -25
View File
@@ -458,7 +458,7 @@ class ExchangeBundle:
last_entry = None last_entry = None
if start is None or \ if start is None or \
(earliest_trade is not None and earliest_trade > start): (earliest_trade is not None and earliest_trade > start):
start = earliest_trade start = earliest_trade
if last_entry is not None and (end is None or end > last_entry): if last_entry is not None and (end is None or end > last_entry):
@@ -600,14 +600,14 @@ class ExchangeBundle:
if show_breakdown: if show_breakdown:
for asset in chunks: for asset in chunks:
with maybe_show_progress( with maybe_show_progress(
chunks[asset], chunks[asset],
show_progress, show_progress,
label='Ingesting {frequency} price data for ' label='Ingesting {frequency} price data for '
'{symbol} on {exchange}'.format( '{symbol} on {exchange}'.format(
exchange=self.exchange_name, exchange=self.exchange_name,
frequency=data_frequency, frequency=data_frequency,
symbol=asset.symbol symbol=asset.symbol
)) as it: )) as it:
for chunk in it: for chunk in it:
problems += self.ingest_ctable( problems += self.ingest_ctable(
asset=chunk['asset'], asset=chunk['asset'],
@@ -625,13 +625,13 @@ class ExchangeBundle:
key=lambda chunk: pd.to_datetime(chunk['period']) key=lambda chunk: pd.to_datetime(chunk['period'])
) )
with maybe_show_progress( with maybe_show_progress(
all_chunks, all_chunks,
show_progress, show_progress,
label='Ingesting {frequency} price data on ' label='Ingesting {frequency} price data on '
'{exchange}'.format( '{exchange}'.format(
exchange=self.exchange_name, exchange=self.exchange_name,
frequency=data_frequency, frequency=data_frequency,
)) as it: )) as it:
for chunk in it: for chunk in it:
problems += self.ingest_ctable( problems += self.ingest_ctable(
asset=chunk['asset'], asset=chunk['asset'],
@@ -830,7 +830,6 @@ class ExchangeBundle:
field, field,
data_frequency, data_frequency,
algo_end_dt=None, algo_end_dt=None,
trailing_bar_count=None,
force_auto_ingest=False force_auto_ingest=False
): ):
""" """
@@ -858,7 +857,6 @@ class ExchangeBundle:
bar_count=bar_count, bar_count=bar_count,
field=field, field=field,
data_frequency=data_frequency, data_frequency=data_frequency,
trailing_bar_count=trailing_bar_count,
) )
return pd.DataFrame(series) return pd.DataFrame(series)
@@ -887,7 +885,6 @@ class ExchangeBundle:
field=field, field=field,
data_frequency=data_frequency, data_frequency=data_frequency,
reset_reader=True, reset_reader=True,
trailing_bar_count=trailing_bar_count,
) )
return series return series
@@ -898,7 +895,6 @@ class ExchangeBundle:
bar_count=bar_count, bar_count=bar_count,
field=field, field=field,
data_frequency=data_frequency, data_frequency=data_frequency,
trailing_bar_count=trailing_bar_count,
) )
return pd.DataFrame(series) return pd.DataFrame(series)
@@ -962,12 +958,7 @@ class ExchangeBundle:
bar_count, bar_count,
field, field,
data_frequency, data_frequency,
trailing_bar_count=None,
reset_reader=False): reset_reader=False):
if trailing_bar_count:
delta = get_delta(trailing_bar_count, data_frequency)
end_dt += delta
start_dt = get_start_dt(end_dt, bar_count, data_frequency, False) start_dt = get_start_dt(end_dt, bar_count, data_frequency, False)
start_dt, _ = self.get_adj_dates( start_dt, _ = self.get_adj_dates(
start_dt, end_dt, assets, data_frequency start_dt, end_dt, assets, data_frequency
catalyst/exchange/exchange_data_portal.py
-2
View File
@@ -298,7 +298,6 @@ class DataPortalExchangeBacktest(DataPortalExchangeBase):
frequency, data_frequency frequency, data_frequency
) )
adj_bar_count = candle_size * bar_count adj_bar_count = candle_size * bar_count
trailing_bar_count = candle_size - 1
if data_frequency == 'minute' and adj_data_frequency == 'daily': if data_frequency == 'minute' and adj_data_frequency == 'daily':
end_dt = end_dt.floor('1D') end_dt = end_dt.floor('1D')
@@ -310,7 +309,6 @@ class DataPortalExchangeBacktest(DataPortalExchangeBase):
field=field, field=field,
data_frequency=adj_data_frequency, data_frequency=adj_data_frequency,
algo_end_dt=self._last_available_session, algo_end_dt=self._last_available_session,
trailing_bar_count=trailing_bar_count,
) )
df = resample_history_df(pd.DataFrame(series), freq, field) df = resample_history_df(pd.DataFrame(series), freq, field)
catalyst/exchange/utils/exchange_utils.py
+1 -1
View File
@@ -540,7 +540,7 @@ def resample_history_df(df, freq, field):
else: else:
raise ValueError('Invalid field.') raise ValueError('Invalid field.')
resampled_df = df.resample(freq).agg(agg) resampled_df = df.resample(freq, closed='left', label='left').agg(agg)
return resampled_df return resampled_df
catalyst/utils/run_algo.py
+6 -8
View File
@@ -55,6 +55,7 @@ class _RunAlgoError(click.ClickException, ValueError):
---------- ----------
pyfunc_msg : str pyfunc_msg : str
The message that will be shown when called as a python function. The message that will be shown when called as a python function.
cmdline_msg : str cmdline_msg : str
The message that will be shown on the command line. The message that will be shown on the command line.
""" """
@@ -416,7 +417,8 @@ def run_algorithm(initialize,
auth_aliases=None, auth_aliases=None,
stats_output=None, stats_output=None,
output=os.devnull): output=os.devnull):
"""Run a trading algorithm. """
Run a trading algorithm.
Parameters Parameters
---------- ----------
@@ -458,7 +460,7 @@ def run_algorithm(initialize,
This argument is mutually exclusive with ``data``. This argument is mutually exclusive with ``data``.
default_extension : bool, optional default_extension : bool, optional
Should the default catalyst extension be loaded. This is found at Should the default catalyst extension be loaded. This is found at
``$ZIPLINE_ROOT/extension.py`` ``$CATALYST_ROOT/extension.py``
extensions : iterable[str], optional extensions : iterable[str], optional
The names of any other extensions to load. Each element may either be The names of any other extensions to load. Each element may either be
a dotted module path like ``a.b.c`` or a path to a python file ending a dotted module path like ``a.b.c`` or a path to a python file ending
@@ -469,12 +471,8 @@ def run_algorithm(initialize,
environ : mapping[str -> str], optional environ : mapping[str -> str], optional
The os environment to use. Many extensions use this to get parameters. The os environment to use. Many extensions use this to get parameters.
This defaults to ``os.environ``. This defaults to ``os.environ``.
live: execute live trading live : bool, optional
exchange_conn: The exchange connection parameters Execute algorithm in live trading mode.
Supported Exchanges
-------------------
bitfinex
Returns Returns
------- -------
docs/source/appendix.rst
+173 -179
View File
@@ -4,7 +4,7 @@ API Reference
Running a Backtest Running a Backtest
~~~~~~~~~~~~~~~~~~ ~~~~~~~~~~~~~~~~~~
.. autofunction:: zipline.run_algorithm(...) .. autofunction:: catalyst.run_algorithm(...)
Algorithm API Algorithm API
~~~~~~~~~~~~~ ~~~~~~~~~~~~~
@@ -18,341 +18,335 @@ currently-executing :class:`~zipline.algorithm.TradingAlgorithm` instance.
Data Object Data Object
``````````` ```````````
.. autoclass:: zipline.protocol.BarData .. autoclass:: catalyst.protocol.BarData
:members: :members:
Scheduling Functions Scheduling Functions
```````````````````` ````````````````````
.. autofunction:: zipline.api.schedule_function .. autofunction:: catalyst.api.schedule_function
.. autoclass:: zipline.api.date_rules .. autoclass:: catalyst.api.date_rules
:members: :members:
:undoc-members: :undoc-members:
.. autoclass:: zipline.api.time_rules .. autoclass:: catalyst.api.time_rules
:members: :members:
Orders Orders
`````` ``````
.. autofunction:: zipline.api.order .. autofunction:: catalyst.api.order
.. autofunction:: zipline.api.order_value .. autofunction:: catalyst.api.order_value
.. autofunction:: zipline.api.order_percent .. autofunction:: catalyst.api.order_percent
.. autofunction:: zipline.api.order_target .. autofunction:: catalyst.api.order_target
.. autofunction:: zipline.api.order_target_value .. autofunction:: catalyst.api.order_target_value
.. autofunction:: zipline.api.order_target_percent .. autofunction:: catalyst.api.order_target_percent
.. autoclass:: zipline.finance.execution.ExecutionStyle .. autoclass:: catalyst.finance.execution.ExecutionStyle
:members: :members:
.. autoclass:: zipline.finance.execution.MarketOrder .. autoclass:: catalyst.finance.execution.MarketOrder
.. autoclass:: zipline.finance.execution.LimitOrder .. autoclass:: catalyst.finance.execution.LimitOrder
.. autoclass:: zipline.finance.execution.StopOrder .. autoclass:: catalyst.finance.execution.StopOrder
.. autoclass:: zipline.finance.execution.StopLimitOrder .. autoclass:: catalyst.finance.execution.StopLimitOrder
.. autofunction:: zipline.api.get_order .. autofunction:: catalyst.api.get_order
.. autofunction:: zipline.api.get_open_orders .. autofunction:: catalyst.api.get_open_orders
.. autofunction:: zipline.api.cancel_order .. autofunction:: catalyst.api.cancel_order
Order Cancellation Policies Order Cancellation Policies
''''''''''''''''''''''''''' '''''''''''''''''''''''''''
.. autofunction:: zipline.api.set_cancel_policy .. autofunction:: catalyst.api.set_cancel_policy
.. autoclass:: zipline.finance.cancel_policy.CancelPolicy .. autoclass:: catalyst.finance.cancel_policy.CancelPolicy
:members: :members:
.. autofunction:: zipline.api.EODCancel .. autofunction:: catalyst.api.EODCancel
.. autofunction:: zipline.api.NeverCancel .. autofunction:: catalyst.api.NeverCancel
Assets Assets
`````` ``````
.. autofunction:: zipline.api.symbol .. autofunction:: catalyst.api.symbol
.. autofunction:: zipline.api.symbols .. autofunction:: catalyst.api.symbols
.. autofunction:: zipline.api.future_symbol .. autofunction:: catalyst.api.set_symbol_lookup_date
.. autofunction:: zipline.api.set_symbol_lookup_date .. autofunction:: catalyst.api.sid
.. autofunction:: zipline.api.sid
Trading Controls Trading Controls
```````````````` ````````````````
Zipline provides trading controls to help ensure that the algorithm is zipline provides trading controls to help ensure that the algorithm is
performing as expected. The functions help protect the algorithm from certian performing as expected. The functions help protect the algorithm from certian
bugs that could cause undesirable behavior when trading with real money. bugs that could cause undesirable behavior when trading with real money.
.. autofunction:: zipline.api.set_do_not_order_list .. autofunction:: catalyst.api.set_do_not_order_list
.. autofunction:: zipline.api.set_long_only .. autofunction:: catalyst.api.set_long_only
.. autofunction:: zipline.api.set_max_leverage .. autofunction:: catalyst.api.set_max_leverage
.. autofunction:: zipline.api.set_max_order_count .. autofunction:: catalyst.api.set_max_order_count
.. autofunction:: zipline.api.set_max_order_size .. autofunction:: catalyst.api.set_max_order_size
.. autofunction:: zipline.api.set_max_position_size .. autofunction:: catalyst.api.set_max_position_size
Simulation Parameters Simulation Parameters
````````````````````` `````````````````````
.. autofunction:: zipline.api.set_benchmark .. autofunction:: catalyst.api.set_benchmark
Commission Models Commission Models
''''''''''''''''' '''''''''''''''''
.. autofunction:: zipline.api.set_commission .. autofunction:: catalyst.api.set_commission
.. autoclass:: zipline.finance.commission.CommissionModel .. autoclass:: catalyst.finance.commission.CommissionModel
:members: :members:
.. autoclass:: zipline.finance.commission.PerShare .. autoclass:: catalyst.finance.commission.PerShare
.. autoclass:: zipline.finance.commission.PerTrade .. autoclass:: catalyst.finance.commission.PerTrade
.. autoclass:: zipline.finance.commission.PerDollar .. autoclass:: catalyst.finance.commission.PerDollar
Slippage Models Slippage Models
''''''''''''''' '''''''''''''''
.. autofunction:: zipline.api.set_slippage .. autofunction:: catalyst.api.set_slippage
.. autoclass:: zipline.finance.slippage.SlippageModel .. autoclass:: catalyst.finance.slippage.SlippageModel
:members: :members:
.. autoclass:: zipline.finance.slippage.FixedSlippage .. autoclass:: catalyst.finance.slippage.FixedSlippage
.. autoclass:: zipline.finance.slippage.VolumeShareSlippage .. autoclass:: catalyst.finance.slippage.VolumeShareSlippage
Pipeline Pipeline
```````` ````````
For more information, see :ref:`pipeline-api` Not supported yet.
.. autofunction:: zipline.api.attach_pipeline .. For more information, see :ref:`pipeline-api`
.. autofunction:: zipline.api.pipeline_output .. .. autofunction:: catalyst.api.attach_pipeline
.. .. autofunction:: catalyst.api.pipeline_output
Miscellaneous Miscellaneous
````````````` `````````````
.. autofunction:: zipline.api.record .. autofunction:: catalyst.api.record
.. autofunction:: zipline.api.get_environment .. autofunction:: catalyst.api.get_environment
.. autofunction:: zipline.api.fetch_csv .. autofunction:: catalyst.api.fetch_csv
.. _pipeline-api: .. _pipeline-api:
Pipeline API .. Pipeline API
~~~~~~~~~~~~ .. ~~~~~~~~~~~~
.. autoclass:: zipline.pipeline.Pipeline .. .. autoclass:: zipline.pipeline.Pipeline
:members: .. :members:
:member-order: groupwise .. :member-order: groupwise
.. autoclass:: zipline.pipeline.CustomFactor .. .. autoclass:: zipline.pipeline.CustomFactor
:members: .. :members:
:member-order: groupwise .. :member-order: groupwise
.. autoclass:: zipline.pipeline.filters.Filter .. .. autoclass:: zipline.pipeline.filters.Filter
:members: __and__, __or__ .. :members: __and__, __or__
:exclude-members: dtype .. :exclude-members: dtype
.. autoclass:: zipline.pipeline.factors.Factor .. .. autoclass:: zipline.pipeline.factors.Factor
:members: bottom, deciles, demean, linear_regression, pearsonr, .. :members: bottom, deciles, demean, linear_regression, pearsonr,
percentile_between, quantiles, quartiles, quintiles, rank, .. percentile_between, quantiles, quartiles, quintiles, rank,
spearmanr, top, winsorize, zscore, isnan, notnan, isfinite, eq, .. spearmanr, top, winsorize, zscore, isnan, notnan, isfinite, eq,
__add__, __sub__, __mul__, __div__, __mod__, __pow__, __lt__, .. \__add__, \__sub__, \__mul__, \__div__, \__mod__, \__pow__,
__le__, __ne__, __ge__, __gt__ .. \__lt__, \__le__, \__ne__, \__ge__, \__gt__
:exclude-members: dtype .. :exclude-members: dtype
:member-order: bysource .. :member-order: bysource
.. autoclass:: zipline.pipeline.term.Term .. .. autoclass:: zipline.pipeline.term.Term
:members: .. :members:
:exclude-members: compute_extra_rows, dependencies, inputs, mask, windowed .. :exclude-members: compute_extra_rows, dependencies, inputs, mask, windowed
.. autoclass:: zipline.pipeline.data.USEquityPricing .. .. autoclass:: zipline.pipeline.data.USEquityPricing
:members: open, high, low, close, volume .. :members: open, high, low, close, volume
:undoc-members: .. :undoc-members:
Built-in Factors .. Built-in Factors
```````````````` .. ````````````````
.. autoclass:: zipline.pipeline.factors.AverageDollarVolume .. .. autoclass:: zipline.pipeline.factors.AverageDollarVolume
:members: .. :members:
.. autoclass:: zipline.pipeline.factors.BollingerBands .. .. autoclass:: zipline.pipeline.factors.BollingerBands
:members: .. :members:
.. autoclass:: zipline.pipeline.factors.BusinessDaysSincePreviousEvent .. .. autoclass:: zipline.pipeline.factors.BusinessDaysSincePreviousEvent
:members: .. :members:
.. autoclass:: zipline.pipeline.factors.BusinessDaysUntilNextEvent .. .. autoclass:: zipline.pipeline.factors.BusinessDaysUntilNextEvent
:members: .. :members:
.. autoclass:: zipline.pipeline.factors.ExponentialWeightedMovingAverage .. .. autoclass:: zipline.pipeline.factors.ExponentialWeightedMovingAverage
:members: .. :members:
.. autoclass:: zipline.pipeline.factors.ExponentialWeightedMovingStdDev .. .. autoclass:: zipline.pipeline.factors.ExponentialWeightedMovingStdDev
:members: .. :members:
.. autoclass:: zipline.pipeline.factors.Latest .. .. autoclass:: zipline.pipeline.factors.Latest
:members: .. :members:
.. autoclass:: zipline.pipeline.factors.MaxDrawdown .. .. autoclass:: zipline.pipeline.factors.MaxDrawdown
:members: .. :members:
.. autoclass:: zipline.pipeline.factors.Returns .. .. autoclass:: zipline.pipeline.factors.Returns
:members: .. :members:
.. autoclass:: zipline.pipeline.factors.RollingLinearRegressionOfReturns .. .. autoclass:: zipline.pipeline.factors.RollingLinearRegressionOfReturns
:members: .. :members:
.. autoclass:: zipline.pipeline.factors.RollingPearsonOfReturns .. .. autoclass:: zipline.pipeline.factors.RollingPearsonOfReturns
:members: .. :members:
.. autoclass:: zipline.pipeline.factors.RollingSpearmanOfReturns .. .. autoclass:: zipline.pipeline.factors.RollingSpearmanOfReturns
:members: .. :members:
.. autoclass:: zipline.pipeline.factors.RSI .. .. autoclass:: zipline.pipeline.factors.RSI
:members: .. :members:
.. autoclass:: zipline.pipeline.factors.SimpleMovingAverage .. .. autoclass:: zipline.pipeline.factors.SimpleMovingAverage
:members: .. :members:
.. autoclass:: zipline.pipeline.factors.VWAP .. .. autoclass:: zipline.pipeline.factors.VWAP
:members: .. :members:
.. autoclass:: zipline.pipeline.factors.WeightedAverageValue .. .. autoclass:: zipline.pipeline.factors.WeightedAverageValue
:members: .. :members:
Pipeline Engine .. Pipeline Engine
``````````````` .. ```````````````
.. autoclass:: zipline.pipeline.engine.PipelineEngine .. .. autoclass:: zipline.pipeline.engine.PipelineEngine
:members: run_pipeline, run_chunked_pipeline .. :members: run_pipeline, run_chunked_pipeline
:member-order: bysource .. :member-order: bysource
.. autoclass:: zipline.pipeline.engine.SimplePipelineEngine .. .. autoclass:: zipline.pipeline.engine.SimplePipelineEngine
:members: __init__, run_pipeline, run_chunked_pipeline .. :members: __init__, run_pipeline, run_chunked_pipeline
:member-order: bysource .. :member-order: bysource
.. autofunction:: zipline.pipeline.engine.default_populate_initial_workspace .. .. autofunction:: zipline.pipeline.engine.default_populate_initial_workspace
Data Loaders .. Data Loaders
```````````` .. ````````````
.. autoclass:: zipline.pipeline.loaders.equity_pricing_loader.USEquityPricingLoader .. .. autoclass:: zipline.pipeline.loaders.equity_pricing_loader.USEquityPricingLoader
:members: __init__, from_files, load_adjusted_array .. :members: __init__, from_files, load_adjusted_array
:member-order: bysource .. :member-order: bysource
Asset Metadata Asset Metadata
~~~~~~~~~~~~~~ ~~~~~~~~~~~~~~
.. autoclass:: zipline.assets.Asset .. autoclass:: catalyst.assets.Asset
:members: :members:
.. autoclass:: zipline.assets.Equity .. autoclass:: catalyst.assets.AssetConvertible
:members:
.. autoclass:: zipline.assets.Future
:members:
.. autoclass:: zipline.assets.AssetConvertible
:members: :members:
Trading Calendar API Trading Calendar API
~~~~~~~~~~~~~~~~~~~~ ~~~~~~~~~~~~~~~~~~~~
.. autofunction:: zipline.utils.calendars.get_calendar .. autofunction:: catalyst.utils.calendars.get_calendar
.. autoclass:: zipline.utils.calendars.TradingCalendar .. autoclass:: catalyst.utils.calendars.TradingCalendar
:members: :members:
.. autofunction:: zipline.utils.calendars.register_calendar .. autofunction:: catalyst.utils.calendars.register_calendar
.. autofunction:: zipline.utils.calendars.register_calendar_type .. autofunction:: catalyst.utils.calendars.register_calendar_type
.. autofunction:: zipline.utils.calendars.deregister_calendar .. autofunction:: catalyst.utils.calendars.deregister_calendar
.. autofunction:: zipline.utils.calendars.clear_calendars .. autofunction:: catalyst.utils.calendars.clear_calendars
Data API Data API
~~~~~~~~ ~~~~~~~~
Writers .. Writers
``````` .. ```````
.. autoclass:: zipline.data.minute_bars.BcolzMinuteBarWriter .. .. autoclass:: zipline.data.minute_bars.BcolzMinuteBarWriter
:members: .. :members:
.. autoclass:: zipline.data.us_equity_pricing.BcolzDailyBarWriter .. .. autoclass:: zipline.data.us_equity_pricing.BcolzDailyBarWriter
:members: .. :members:
.. autoclass:: zipline.data.us_equity_pricing.SQLiteAdjustmentWriter .. .. autoclass:: zipline.data.us_equity_pricing.SQLiteAdjustmentWriter
:members: .. :members:
.. autoclass:: zipline.assets.AssetDBWriter .. .. autoclass:: zipline.assets.AssetDBWriter
:members: .. :members:
Readers .. Readers
``````` .. ```````
.. autoclass:: zipline.data.minute_bars.BcolzMinuteBarReader .. .. autoclass:: zipline.data.minute_bars.BcolzMinuteBarReader
:members: .. :members:
.. autoclass:: zipline.data.us_equity_pricing.BcolzDailyBarReader .. .. autoclass:: zipline.data.us_equity_pricing.BcolzDailyBarReader
:members: .. :members:
.. autoclass:: zipline.data.us_equity_pricing.SQLiteAdjustmentReader .. .. autoclass:: zipline.data.us_equity_pricing.SQLiteAdjustmentReader
:members: .. :members:
.. autoclass:: zipline.assets.AssetFinder .. .. autoclass:: zipline.assets.AssetFinder
:members: .. :members:
.. autoclass:: zipline.data.data_portal.DataPortal .. .. autoclass:: zipline.data.data_portal.DataPortal
:members: .. :members:
Bundles .. Bundles
``````` .. ```````
.. autofunction:: zipline.data.bundles.register .. .. autofunction:: zipline.data.bundles.register
.. autofunction:: zipline.data.bundles.ingest(name, environ=os.environ, date=None, show_progress=True) .. .. autofunction:: zipline.data.bundles.ingest(name, environ=os.environ, date=None, show_progress=True)
.. autofunction:: zipline.data.bundles.load(name, environ=os.environ, date=None) .. .. autofunction:: zipline.data.bundles.load(name, environ=os.environ, date=None)
.. autofunction:: zipline.data.bundles.unregister .. .. autofunction:: zipline.data.bundles.unregister
.. data:: zipline.data.bundles.bundles .. .. data:: zipline.data.bundles.bundles
The bundles that have been registered as a mapping from bundle name to bundle .. The bundles that have been registered as a mapping from bundle name to bundle
data. This mapping is immutable and should only be updated through .. data. This mapping is immutable and should only be updated through
:func:`~zipline.data.bundles.register` or .. :func:`~zipline.data.bundles.register` or
:func:`~zipline.data.bundles.unregister`. .. :func:`~zipline.data.bundles.unregister`.
.. autofunction:: zipline.data.bundles.yahoo_equities .. .. autofunction:: zipline.data.bundles.yahoo_equities
@@ -362,16 +356,16 @@ Utilities
Caching Caching
``````` ```````
.. autoclass:: zipline.utils.cache.CachedObject .. autoclass:: catalyst.utils.cache.CachedObject
.. autoclass:: zipline.utils.cache.ExpiringCache .. autoclass:: catalyst.utils.cache.ExpiringCache
.. autoclass:: zipline.utils.cache.dataframe_cache .. autoclass:: catalyst.utils.cache.dataframe_cache
.. autoclass:: zipline.utils.cache.working_file .. autoclass:: catalyst.utils.cache.working_file
.. autoclass:: zipline.utils.cache.working_dir .. autoclass:: catalyst.utils.cache.working_dir
Command Line Command Line
```````````` ````````````
.. autofunction:: zipline.utils.cli.maybe_show_progress .. autofunction:: catalyst.utils.cli.maybe_show_progress
docs/source/beginner-tutorial.rst
+7 -5
View File
@@ -168,7 +168,7 @@ We'll start with the CLI, and introduce the ``run_algorithm()`` in the last
example of this tutorial. Some of the :doc:`example algorithms <example-algos>` example of this tutorial. Some of the :doc:`example algorithms <example-algos>`
provide instructions on how to run them both from the CLI, and using the provide instructions on how to run them both from the CLI, and using the
:func:`~catalyst.run_algorithm` function. For the third method, refer to the :func:`~catalyst.run_algorithm` function. For the third method, refer to the
corresponding section on :doc:`Catalyst & Jupyter Notebook <jupyter>` after you corresponding section on :ref:`Catalyst & Jupyter Notebook <jupyter>` after you
have assimilated the contents of this tutorial. have assimilated the contents of this tutorial.
Command line interface Command line interface
@@ -473,6 +473,7 @@ Which we execute by running:
</div> </div>
| |
There is a row for each trading day, starting on the first day of our There is a row for each trading day, starting on the first day of our
simulation Jan 1st, 2016. In the columns you can find various simulation Jan 1st, 2016. In the columns you can find various
information about the state of your algorithm. The column information about the state of your algorithm. The column
@@ -518,7 +519,7 @@ alongside enigma-catalyst (with the exception of the ``Conda`` install, where it
was included by default inside the conda environment we created). If for any was included by default inside the conda environment we created). If for any
reason you don't have it installed, you can add it by running: reason you don't have it installed, you can add it by running:
.. code-block:: python .. code-block:: bash
(catalyst)$ pip install matplotlib (catalyst)$ pip install matplotlib
@@ -806,6 +807,7 @@ the ``scikit-learn`` functions require ``numpy.ndarray``\ s rather than
``pandas.DataFrame``\ s, so you can simply pass the underlying ``pandas.DataFrame``\ s, so you can simply pass the underlying
``ndarray`` of a ``DataFrame`` via ``.values``). ``ndarray`` of a ``DataFrame`` via ``.values``).
.. _jupyter:
Jupyter Notebook Jupyter Notebook
~~~~~~~~~~~~~~~~ ~~~~~~~~~~~~~~~~
@@ -826,13 +828,13 @@ In order to use Jupyter Notebook, you first have to install it inside your
environment. It's available as ``pip`` package, so regardless of how you environment. It's available as ``pip`` package, so regardless of how you
installed Catalyst, go inside your catalyst environemnt and run: installed Catalyst, go inside your catalyst environemnt and run:
.. code:: bash .. code-block:: bash
(catalyst)$ pip install jupyter (catalyst)$ pip install jupyter
Once you have Jupyter Notebook installed, every time you want to use it run: Once you have Jupyter Notebook installed, every time you want to use it run:
.. code:: bash .. code-block:: bash
(catalyst)$ jupyter notebook (catalyst)$ jupyter notebook
@@ -846,7 +848,7 @@ Before running your algorithms inside the Jupyter Notebook, remember to ingest
the data from the command line interface (CLI). In the example below, you would the data from the command line interface (CLI). In the example below, you would
need to run first: need to run first:
.. code:: bash .. code-block:: bash
catalyst ingest-exchange -x bitfinex -i btc_usd catalyst ingest-exchange -x bitfinex -i btc_usd
docs/source/conf.py
+5 -2
View File
@@ -27,8 +27,8 @@ extlinks = {
# -- Docstrings --------------------------------------------------------------- # -- Docstrings ---------------------------------------------------------------
#extensions += ['numpydoc'] extensions += ['numpydoc']
#numpydoc_show_class_members = False numpydoc_show_class_members = False
# Add any paths that contain templates here, relative to this directory. # Add any paths that contain templates here, relative to this directory.
templates_path = ['.templates'] templates_path = ['.templates']
@@ -97,3 +97,6 @@ intersphinx_mapping = {
doctest_global_setup = "import catalyst" doctest_global_setup = "import catalyst"
todo_include_todos = True todo_include_todos = True
suppress_warnings = ['image.nonlocal_uri']
docs/source/development-guidelines.rst
+7 -17
View File
@@ -36,25 +36,15 @@ Finally, you can build the C extensions by running:
$ python setup.py build_ext --inplace $ python setup.py build_ext --inplace
.. To finish, make sure `tests`__ pass. Development with Docker
-----------------------
.. __ #style-guide-running-tests If you want to work with zipline using a `Docker`__ container, you'll need to
build the ``Dockerfile`` in the Zipline root directory, and then build
``Dockerfile-dev``. Instructions for building both containers can be found in
``Dockerfile`` and ``Dockerfile-dev``, respectively.
.. If you get an error running nosetests after setting up a fresh virtualenv, please try running __ https://docs.docker.com/get-started/
.. code-block
.. # where zipline is the name of your virtualenv
.. $ deactivate zipline
.. $ workon zipline
.. Development with Docker
.. -----------------------
..If you want to work with zipline using a `Docker`__ container, you'll need to build the ``Dockerfile`` in the Zipline root directory, and then build ``Dockerfile-dev``. Instructions for building both containers can be found in ``Dockerfile`` and ``Dockerfile-dev``, respectively.
.. __ https://docs.docker.com/get-started/
Git Branching Structure Git Branching Structure
----------------------- -----------------------
docs/source/example-algos.rst
+1
View File
@@ -1,4 +1,5 @@
| |
Example Algorithms Example Algorithms
================== ==================
docs/source/index.rst
+2
View File
@@ -1,6 +1,8 @@
.. include:: ../../README.rst .. include:: ../../README.rst
| |
| |
Table of Contents Table of Contents
----------------- -----------------
docs/source/install.rst
+2 -1
View File
@@ -298,7 +298,7 @@ Troubleshooting ``pip`` Install
.. _pipenv: .. _pipenv:
Installing with ``pipenv`` Installing with ``pipenv``
------------------------- --------------------------
Installing Catalyst via ``pipenv`` is perhaps easier that installing it via Installing Catalyst via ``pipenv`` is perhaps easier that installing it via
``pip`` itself but you need to install ``pipenv`` first via ``pip``. ``pip`` itself but you need to install ``pipenv`` first via ``pip``.
@@ -476,6 +476,7 @@ mentioned above are as follows:
default you get 0 as the Value Data) default you get 0 as the Value Data)
| |
- **The installer has encountered an unexpected error installing this package. - **The installer has encountered an unexpected error installing this package.
This may indicate a problem with this package. The error code is 2503.** This may indicate a problem with this package. The error code is 2503.**
docs/source/live-trading.rst
+1 -1
View File
@@ -113,7 +113,7 @@ Currency symbols (e.g. btc, eth, ltc) follow the Bittrex convention.
Here are some examples: Here are some examples:
.. code-block:: json .. code:: python
# With Bitfinex # With Bitfinex
bitcoin_usd_asset = symbol('btc_usd') bitcoin_usd_asset = symbol('btc_usd')
docs/source/releases.rst
+8
View File
@@ -2,6 +2,14 @@
Release Notes Release Notes
============= =============
Version 0.5.3
^^^^^^^^^^^^^
**Release Date**: 2018-02-09
Bug Fixes
~~~~~~~~~
- Fixed an issue with last candle in backtesting :issue:`219`
Version 0.5.2 Version 0.5.2
^^^^^^^^^^^^^ ^^^^^^^^^^^^^
**Release Date**: 2018-02-08 **Release Date**: 2018-02-08
docs/source/videos.rst
+5
View File
@@ -11,6 +11,7 @@ Installation: MacOS
| |
| |
Installation: Windows Installation: Windows
--------------------- ---------------------
@@ -21,6 +22,7 @@ Where things go smoothly:
<iframe width="560" height="315" src="https://www.youtube.com/embed/H8HqcEbZmkk" frameborder="0" allowfullscreen></iframe> <iframe width="560" height="315" src="https://www.youtube.com/embed/H8HqcEbZmkk" frameborder="0" allowfullscreen></iframe>
| |
Where things don't: Where things don't:
.. raw:: html .. raw:: html
@@ -29,6 +31,7 @@ Where things don't:
| |
| |
Backtesting a Strategy Backtesting a Strategy
---------------------- ----------------------
@@ -44,6 +47,7 @@ sell. Hopefully, we’ll ride the waves.
| |
| |
Live Trading a Strategy Live Trading a Strategy
----------------------- -----------------------
@@ -54,5 +58,6 @@ in the previous video, we now take it to trade live against the Bittrex exchange
.. raw:: html .. raw:: html
<iframe width="560" height="315" src="https://www.youtube.com/embed/NupiE-Xuglw" frameborder="0" allowfullscreen></iframe> <iframe width="560" height="315" src="https://www.youtube.com/embed/NupiE-Xuglw" frameborder="0" allowfullscreen></iframe>
| |
| |
etc/requirements_dev.txt
+1 -1
View File
@@ -16,7 +16,7 @@ babel==1.3
docutils==0.12 docutils==0.12
snowballstemmer==1.2.0 snowballstemmer==1.2.0
sphinx-rtd-theme==0.1.8 sphinx-rtd-theme==0.1.8
sphinx==1.3.4 sphinx==1.6.7
pbr==1.10.0 pbr==1.10.0
mock==2.0.0 mock==2.0.0
etc/requirements_docs.txt
+1 -1
View File
@@ -1,4 +1,4 @@
Sphinx>=1.3.2 Sphinx==1.6.7
numpydoc>=0.5.0 numpydoc>=0.5.0
sphinx-autobuild==0.6.0 sphinx-autobuild==0.6.0
docutils==0.12 docutils==0.12
tests/exchange/test_suites/test_suite_bundle.py
+121
View File
@@ -2,6 +2,7 @@ import random
import os import os
import pandas as pd import pandas as pd
from datetime import timedelta
from logbook import TestHandler from logbook import TestHandler
from pandas.util.testing import assert_frame_equal from pandas.util.testing import assert_frame_equal
@@ -12,6 +13,7 @@ from catalyst.exchange.utils.exchange_utils import get_candles_df
from catalyst.exchange.utils.factory import get_exchange from catalyst.exchange.utils.factory import get_exchange
from catalyst.exchange.utils.test_utils import output_df, \ from catalyst.exchange.utils.test_utils import output_df, \
select_random_assets select_random_assets
from catalyst.exchange.utils.stats_utils import set_print_settings
pd.set_option('display.expand_frame_repr', False) pd.set_option('display.expand_frame_repr', False)
pd.set_option('precision', 8) pd.set_option('precision', 8)
@@ -58,6 +60,12 @@ class TestSuiteBundle:
log_catcher = TestHandler() log_catcher = TestHandler()
with log_catcher: with log_catcher:
symbols = [asset.symbol for asset in assets]
print(
'comparing data for {}/{} with {} timeframe until {}'.format(
exchange.name, symbols, freq, end_dt
)
)
data['bundle'] = data_portal.get_history_window( data['bundle'] = data_portal.get_history_window(
assets=assets, assets=assets,
end_dt=end_dt, end_dt=end_dt,
@@ -66,6 +74,12 @@ class TestSuiteBundle:
field='close', field='close',
data_frequency=data_frequency, data_frequency=data_frequency,
) )
set_print_settings()
print(
'the bundle first / last row:\n{}'.format(
data['bundle'].iloc[[-1, 0]]
)
)
candles = exchange.get_candles( candles = exchange.get_candles(
end_dt=end_dt, end_dt=end_dt,
freq=freq, freq=freq,
@@ -79,6 +93,11 @@ class TestSuiteBundle:
bar_count=bar_count, bar_count=bar_count,
end_dt=end_dt, end_dt=end_dt,
) )
print(
'the exchange first / last row:\n{}'.format(
data['exchange'].iloc[[-1, 0]]
)
)
for source in data: for source in data:
df = data[source] df = data[source]
path, folder = output_df( path, folder = output_df(
@@ -106,6 +125,65 @@ class TestSuiteBundle:
pass pass
def compare_current_with_last_candle(self, exchange, assets, end_dt,
freq, data_frequency, data_portal):
"""
Creates DataFrames from the bundle and exchange for the specified
data set.
Parameters
----------
exchange: Exchange
assets
end_dt
bar_count
freq
data_frequency
data_portal
Returns
-------
"""
data = dict()
assets = sorted(assets, key=lambda a: a.symbol)
log_catcher = TestHandler()
with log_catcher:
symbols = [asset.symbol for asset in assets]
print(
'comparing data for {}/{} with {} timeframe on {}'.format(
exchange.name, symbols, freq, end_dt
)
)
data['candle'] = data_portal.get_history_window(
assets=assets,
end_dt=end_dt,
bar_count=1,
frequency=freq,
field='close',
data_frequency=data_frequency,
)
set_print_settings()
print(
'the bundle first / last row:\n{}'.format(
data['candle'].iloc[[-1]]
)
)
current = data_portal.get_spot_value(
assets=assets,
field='close',
dt=end_dt,
data_frequency=data_frequency,
)
data['current'] = pd.Series(data=current, index=assets)
print(
'the current price:\n{}'.format(
data['current']
)
)
pass
def test_validate_bundles(self): def test_validate_bundles(self):
# exchange_population = 3 # exchange_population = 3
asset_population = 3 asset_population = 3
@@ -139,6 +217,7 @@ class TestSuiteBundle:
if end_dt is None or asset_end_dt < end_dt: if end_dt is None or asset_end_dt < end_dt:
end_dt = asset_end_dt end_dt = asset_end_dt
end_dt = end_dt + timedelta(minutes=3)
dt_range = pd.date_range( dt_range = pd.date_range(
end=end_dt, periods=bar_count, freq=freq end=end_dt, periods=bar_count, freq=freq
) )
@@ -152,3 +231,45 @@ class TestSuiteBundle:
data_portal=data_portal, data_portal=data_portal,
) )
pass pass
def test_validate_last_candle(self):
# exchange_population = 3
asset_population = 3
data_frequency = random.choice(['minute'])
# bundle = 'dailyBundle' if data_frequency
# == 'daily' else 'minuteBundle'
# exchanges = select_random_exchanges(
# population=exchange_population,
# features=[bundle],
# ) # Type: list[Exchange]
exchanges = [get_exchange('poloniex', skip_init=True)]
data_portal = TestSuiteBundle.get_data_portal(exchanges)
for exchange in exchanges:
exchange.init()
frequencies = exchange.get_candle_frequencies(data_frequency)
freq = random.sample(frequencies, 1)[0]
assets = select_random_assets(
exchange.assets, asset_population
)
end_dt = None
for asset in assets:
attribute = 'end_{}'.format(data_frequency)
asset_end_dt = getattr(asset, attribute)
if end_dt is None or asset_end_dt < end_dt:
end_dt = asset_end_dt
end_dt = end_dt + timedelta(minutes=3)
self.compare_current_with_last_candle(
exchange=exchange,
assets=assets,
end_dt=end_dt,
freq=freq,
data_frequency=data_frequency,
data_portal=data_portal,
)
pass