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https://github.com/wassname/catalyst.git
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Joe Jevnik
228 lines
8.6 KiB
Plaintext
228 lines
8.6 KiB
Plaintext
Release 1.0.0
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-------------
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:Release: 1.0.0
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:Date: May 19, 2016
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Highlights
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~~~~~~~~~~
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Zipline 1.0 Rewrite (:issue:`1105`)
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```````````````````````````````````
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We have rewritten a lot of Zipline and its basic concepts in order to improve
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runtime performance. At the same time, we've introduced several new APIs.
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At a high level, earlier versions of Zipline simulations pulled from a
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multiplexed stream of data sources, which were merged via heapq. This stream was
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fed to the main simulation loop, driving the clock forward. This strong
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dependency on reading all the data made it difficult to optimize simulation
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performance because there was no connection between the amount of data we
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fetched and the amount of data actually used by the algorithm.
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Now, we only fetch data when the algorithm needs it. A new class,
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:class:`~zipline.data.data_portal.DataPortal`, dispatches data requests to
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various data sources and returns the requested values. This makes the runtime of
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a simulation scale much more closely with the complexity of the algorithm,
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rather than with the number of assets provided by the data sources.
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Instead of the data stream driving the clock, now simulations iterate through a
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pre-calculated set of day or minute timestamps. The timestamps are emitted by
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:class:`~zipline.gens.sim_engine.MinuteSimulationClock` and
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:class:`~zipline.gens.sim_engine.DailySimulationClock`, and consumed by the main
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loop in :meth:`~zipline.gens.tradesimulation.AlgorithmSimulator.transform`.
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We've retired the ``data[sid(N)]`` and ``history`` APIs, replacing them with
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several methods on the :class:`~zipline.protocol.BarData` object:
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:meth:`~zipline.protocol.BarData.current`,
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:meth:`~zipline.protocol.BarData.history`,
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:meth:`~zipline.protocol.BarData.can_trade`, and
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:meth:`~zipline.protocol.BarData.is_stale`. Old APIs will continue to work for
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now, but will issue deprecation warnings.
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You can now pass in an adjustments source to the
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:class:`~zipline.data.data_portal.DataPortal`, and we will apply adjustments to
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the pricing data when looking backwards at data. Prices and volumes for
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execution and presented to the algorithm in data.current are the as-traded value
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of the asset.
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New Entry Points (:issue:`1173` and :issue:`1178`)
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``````````````````````````````````````````````````
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In order to make it easier to use zipline we have updated the entry points for
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a backtest. The three supported ways to run a backtest are now:
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1. :func:`zipline.run_algo`
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2. ``$ zipline run``
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3. ``%zipline`` (IPython magic)
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Data Bundles (:issue:`1173` and :issue:`1178`)
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``````````````````````````````````````````````
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1.0.0 introduces data bundles. Data bundles are groups of data that should be
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preloaded and used to run backtests later. This allows users to not need to to
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specify which tickers they are interested in each time they run an
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algorithm. This also allows us to cache the data between runs.
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By default, the ``quantopian-quandl`` bundle will be used which pulls data from
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Quantopian's mirror of the quandl `WIKI dataset
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<https://www.quandl.com/data/WIKI>`_. New bundles may be registered with
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:func:`zipline.data.bundles.register` like:
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.. code-block:: python
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@zipline.data.bundles.register('my-new-bundle')
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def my_new_bundle_ingest(environ,
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asset_db_writer,
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minute_bar_writer,
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daily_bar_writer,
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adjustment_writer,
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calendar,
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cache,
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show_progress):
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...
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This function should retrieve the data it needs and then use the writers that
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have been passed to write that data to disc in a location that zipline can find
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later.
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This data can be used in backtests by passing the name as the ``-b / --bundle``
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argument to ``$ zipline run`` or as the ``bundle`` argument to
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:func:`zipline.run_algorithm`.
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For more information see :ref:`data-bundles` for more information.
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String Support in Pipeline (:issue:`1174`)
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``````````````````````````````````````````
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Added support for string data in Pipeline.
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:class:`zipline.pipeline.data.Column` now accepts ``object`` as a dtype, which
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signifies that loaders for that column should emit windowed iterators over the
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experimental new :class:`~zipline.lib.labelarray.LabelArray` class.
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Several new :class:`~zipline.pipeline.Classifier` methods have also been added
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for constructing :class:`~zipline.pipeline.Filter` instances based on string
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operations. The new methods are:
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- :meth:`~zipline.pipeline.Classifier.element_of`
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- :meth:`~zipline.pipeline.Classifier.startswith`
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- :meth:`~zipline.pipeline.Classifier.endswith`
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- :meth:`~zipline.pipeline.Classifier.has_substring`
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- :meth:`~zipline.pipeline.Classifier.matches`
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``element_of`` is defined for all classifiers. The remaining methods are
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only defined for string-dtype classifiers.
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Enhancements
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~~~~~~~~~~~~
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* Made the data loading classes have more consistent interfaces. This includes
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the equity bar writers, adjustment writer, and asset db writer. The new
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interface is that the resource to be written to is passed at construction time
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and the data to write is provided later to the `write` method as
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dataframes or some iterator of dataframes. This model allows us to pass these
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writer objects around as a resource for other classes and functions to
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consume (:issue:`1109` and :issue:`1149`).
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* Added masking to :class:`zipline.pipeline.CustomFactor`.
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Custom factors can now be passed a Filter upon instantiation. This tells the
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factor to only compute over stocks for which the filter returns True, rather
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than always computing over the entire universe of stocks. (:issue:`1095`)
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* Added :class:`zipline.utils.cache.ExpiringCache`.
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A cache which wraps entries in a :class:`zipline.utils.cache.CachedObject`,
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which manages expiration of entries based on the `dt` supplied to the `get`
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method. (:issue:`1130`)
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* Implemented :class:`zipline.pipeline.factors.RecarrayField`, a new pipeline
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term designed to be the output type of a CustomFactor with multiple outputs.
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(:issue:`1119`)
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* Added optional `outputs` parameter to :class:`zipline.pipeline.CustomFactor`.
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Custom factors are now capable of computing and returning multiple outputs,
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each of which are themselves a Factor. (:issue:`1119`)
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* Added support for string-dtype pipeline columns. Loaders for thse columns
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should produce instances of :class:`zipline.lib.labelarray.LabelArray` when
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traversed. :meth:`~zipline.pipeline.data.BoundColumn.latest` on string
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columns produces a string-dtype
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:class:`zipline.pipeline.Classifier`. (:issue:`1174`)
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* Added several methods for converting Classifiers into Filters.
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The new methods are:
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- :meth:`~zipline.pipeline.Classifier.element_of`
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- :meth:`~zipline.pipeline.Classifier.startswith`
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- :meth:`~zipline.pipeline.Classifier.endswith`
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- :meth:`~zipline.pipeline.Classifier.has_substring`
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- :meth:`~zipline.pipeline.Classifier.matches`
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``element_of`` is defined for all classifiers. The remaining methods are
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only defined for strings. (:issue:`1174`)
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* Added :class:`~zipline.pipeline.factors.BollingerBands` factor. This factor
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implements the Bollinger Bands technical indicator:
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https://en.wikipedia.org/wiki/Bollinger_Bands (:issue:`1199`).
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* Fetcher has been moved from Quantopian internal code into Zipline
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(:issue:`1105`).
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* Added new built-in factors,
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:class:`~zipline.pipeline.factors.RollingPearsonOfReturns`,
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:class:`~zipline.pipeline.factors.RollingSpearmanOfReturns` and
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:class:`~zipline.pipeline.factors.RollingLinearRegressionOfReturns`
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(:issue:`1154`)
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Experimental Features
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~~~~~~~~~~~~~~~~~~~~~
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.. warning::
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Experimental features are subject to change.
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* Added a new :class:`zipline.lib.labelarray.LabelArray` class for efficiently
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representing and computing on string data with numpy. This class is
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conceptually similar to :class:`pandas.Categorical`, in that it represents
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string arrays as arrays of indices into a (smaller) array of unique string
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values. (:issue:`1174`)
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Bug Fixes
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~~~~~~~~~
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None
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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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None
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Build
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~~~~~
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None
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Documentation
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~~~~~~~~~~~~~
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* Updated documentation for the API methods (:issue:`1188`).
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* Updated release process to mention that docs should be built with python 3
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(:issue:`1188`).
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Miscellaneous
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~~~~~~~~~~~~~
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* Zipline now provides a `stub file
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<https://www.python.org/dev/peps/pep-0484/#stub-files>`_ for the
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``zipline.api`` module. This module is normally dynamically created so the
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stub file provides some static information for utilities that can consume it,
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for example PyCharm (:issue:`1208`).
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