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216 lines
6.3 KiB
Plaintext
216 lines
6.3 KiB
Plaintext
Release 0.7.0
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-------------
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:Release: 0.7.0
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:Date: July 25, 2014
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Highlights
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~~~~~~~~~~
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* Command line interface to run algorithms directly.
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* IPython Magic ``%%zipline`` that runs algorithm defined in an IPython
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notebook cell.
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* API methods for building safeguards against runaway ordering and
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undesired short positions.
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* New history() function to get a moving DataFrame of past market data
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(replaces BatchTransform).
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* A new `beginner
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tutorial <http://nbviewer.ipython.org/github/quantopian/zipline/blob/master/docs/tutorial.ipynb>`__.
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Enhancements
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~~~~~~~~~~~~
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* CLI: Adds a CLI and IPython magic for zipline.
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Example:
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::
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python run_algo.py -f dual_moving_avg.py --symbols AAPL --start 2011-1-1 --end 2012-1-1 -o dma.pickle
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Grabs the data from yahoo finance, runs the file
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dual\_moving\_avg.py (and looks for ``dual_moving_avg_analyze.py``
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which, if found, will be executed after the algorithm has been run),
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and outputs the perf ``DataFrame`` to ``dma.pickle`` (:issue:`325`).
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- IPython magic command (at the top of an IPython notebook cell).
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Example:
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::
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%%zipline --symbols AAPL --start 2011-1-1 --end 2012-1-1 -o perf
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Does the same as above except instead of executing the file looks
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for the algorithm in the cell and instead of outputting the perf df
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to a file, creates a variable in the namespace called perf (:issue:`325`).
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* Adds Trading Controls to the algorithm API.
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The following functions are now available on ``TradingAlgorithm``
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and for algo scripts:
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``set_max_order_size(self, sid=None, max_shares=None, max_notional=None)``
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Set a limit on the absolute magnitude, in shares and/or total
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dollar value, of any single order placed by this algorithm for a
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given sid. If ``sid`` is None, then the rule is applied to any order
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placed by the algorithm.
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Example:
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.. code-block:: python
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def initialize(context):
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# Algorithm will raise an exception if we attempt to place an
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# order which would cause us to hold more than 10 shares
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# or 1000 dollars worth of sid(24).
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set_max_order_size(sid(24), max_shares=10, max_notional=1000.0)
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``set_max_position_size(self, sid=None, max_shares=None, max_notional=None)``
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-Set a limit on the absolute magnitude, in either shares or
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dollar value, of any position held by the algorithm for a given
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sid. If ``sid`` is None, then the rule is applied to any position
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held by the algorithm.
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Example:
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.. code-block:: python
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def initialize(context):
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# Algorithm will raise an exception if we attempt to order more than
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# 10 shares or 1000 dollars worth of sid(24) in a single order.
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set_max_order_size(sid(24), max_shares=10, max_notional=1000.0)
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``set_max_order_count(self, max_count)``
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Set a limit on the number of orders that can be placed by the algorithm in
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a single trading day.
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Example:
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.. code-block:: python
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def initialize(context):
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# Algorithm will raise an exception if more than 50 orders are placed in a day.
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set_max_order_count(50)
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``set_long_only(self)``
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Set a rule specifying that the
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algorithm may not hold short positions.
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Example:
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.. code-block:: python
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def initialize(context):
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# Algorithm will raise an exception if it attempts to place
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# an order that would cause it to hold a short position.
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set_long_only()
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(:issue:`329`).
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* Adds an ``all_api_methods`` classmethod on ``TradingAlgorithm`` that
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returns a list of all ``TradingAlgorithm`` API methods (:issue:`333`).
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* Expanded record() functionality for dynamic naming.
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The record() function can now take positional args before the
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kwargs. All original usage and functionality is the same, but now
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these extra usages will work:
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.. code-block:: python
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name = 'Dynamically_Generated_String'
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record( name, value, ... )
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record( name, value1, 'name2', value2, name3=value3, name4=value4 )
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The requirements are simply that the poritional args occur only
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before the kwargs (:issue:`355`).
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* history() has been ported from Quantopian to Zipline and provides
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moving window of market data.
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history() replaces BatchTransform. It is faster, works for minute level data
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and has a superior interface. To use it, call ``add_history()`` inside of
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``initialize()`` and then receive a pandas ``DataFrame`` by calling history()
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from inside ``handle_data()``. Check out the `tutorial
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<http://nbviewer.ipython.org/github/quantopian/zipline/blob/master/docs/tutorial.ipynb>`__
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and an `example
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<https://github.com/quantopian/zipline/blob/master/zipline/examples/dual_moving_average.py>`__.
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(:issue:`345` and :issue:`357`).
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* history() now supports ``1m`` window lengths (:issue:`345`).
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Bug Fixes
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~~~~~~~~~
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* Fix alignment of trading days and open and closes in trading
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environment (:issue:`331`).
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* RollingPanel fix when adding/dropping new fields (:issue:`349`).
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Performance
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~~~~~~~~~~~
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None
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Maintenance and Refactorings
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~~~~~~~~~~~~~~~~~~~~~~~~~~~~
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* Removed undocumented and untested HDF5 and CSV data sources (:issue:`267`).
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* Refactor sim\_params (:issue:`352`).
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* Refactoring of history (:issue:`340`).
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Build
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~~~~~
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* The following dependencies have been updated (zipline might work with
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other versions too):
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.. code-block:: diff
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-pytz==2013.9
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+pytz==2014.4
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+numpy==1.8.1
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-numpy==1.8.0
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+scipy==0.12.0
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+patsy==0.2.1
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+statsmodels==0.5.0
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-six==1.5.2
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+six==1.6.1
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-Cython==0.20
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+Cython==0.20.1
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-TA-Lib==0.4.8
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+--allow-external TA-Lib --allow-unverified TA-Lib TA-Lib==0.4.8
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-requests==2.2.0
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+requests==2.3.0
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-nose==1.3.0
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+nose==1.3.3
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-xlrd==0.9.2
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+xlrd==0.9.3
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-pep8==1.4.6
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+pep8==1.5.7
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-pyflakes==0.7.3
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-pip-tools==0.3.4
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+pyflakes==0.8.1`
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-scipy==0.13.2
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-tornado==3.2
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-pyparsing==2.0.1
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-patsy==0.2.1
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-statsmodels==0.4.3
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+tornado==3.2.1
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+pyparsing==2.0.2
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-Markdown==2.3.1
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+Markdown==2.4.1
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Contributors
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~~~~~~~~~~~~
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The following people have contributed to this release, ordered by
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numbers of commit:
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::
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38 Scott Sanderson
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29 Thomas Wiecki
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26 Eddie Hebert
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6 Delaney Granizo-Mackenzie
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3 David Edwards
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3 Richard Frank
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2 Jonathan Kamens
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1 Pankaj Garg
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1 Tony Lambiris
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1 fawce
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