mirror of
https://github.com/wassname/catalyst.git
synced 2026-06-28 15:38:11 +08:00
Eddie Hebert
d5c3b5a15c
Implement a writer for minute data into a format comprised of multiple ctables, one for each individual asset, with a common 'index' shared by all ctables where a given a dt maps to the same array index for all equities and fields. This format is pulled from the lazy-mainline/Q2.0 branch, with some changes to the interface. Add basic retrieval of values at a given dt to reader. Not yet used by Zipline simulations, but added to support unit tests. Also, rename stubbed out us_equity_minutes to minute_bars, since the writer can be agnostic to asset type.
114 lines
2.7 KiB
ReStructuredText
114 lines
2.7 KiB
ReStructuredText
API Reference
|
|
-------------
|
|
|
|
Algorithm API
|
|
~~~~~~~~~~~~~
|
|
|
|
The following methods are available for use in the ``initialize``,
|
|
``handle_data``, and ``before_trading_start`` API functions.
|
|
|
|
In all listed functions, the ``self`` argument is implicitly the
|
|
currently-executing :class:`~zipline.algorithm.TradingAlgorithm` instance.
|
|
|
|
.. automodule:: zipline.api
|
|
:members:
|
|
|
|
.. autoclass:: zipline.algorithm.TradingAlgorithm
|
|
|
|
Pipeline API
|
|
~~~~~~~~~~~~
|
|
|
|
.. autoclass:: zipline.pipeline.Pipeline
|
|
:members:
|
|
:member-order: groupwise
|
|
|
|
.. autoclass:: zipline.pipeline.CustomFactor
|
|
:members:
|
|
:member-order: groupwise
|
|
|
|
.. autoclass:: zipline.pipeline.factors.Factor
|
|
:members: top, bottom, rank, percentile_between, isnan, notnan, isfinite,
|
|
eq, __add__, __sub__, __mul__, __div__, __mod__, __pow__, __lt__,
|
|
__le__, __ne__, __ge__, __gt__
|
|
:exclude-members: dtype
|
|
:member-order: bysource
|
|
|
|
.. autoclass:: zipline.pipeline.factors.Latest
|
|
:members:
|
|
|
|
.. autoclass:: zipline.pipeline.factors.MaxDrawdown
|
|
:members:
|
|
|
|
.. autoclass:: zipline.pipeline.factors.Returns
|
|
:members:
|
|
|
|
.. autoclass:: zipline.pipeline.factors.RSI
|
|
:members:
|
|
|
|
.. autoclass:: zipline.pipeline.factors.BusinessDaysUntilNextEarnings
|
|
:members:
|
|
|
|
.. autoclass:: zipline.pipeline.factors.BusinessDaysSincePreviousEarnings
|
|
:members:
|
|
|
|
.. autoclass:: zipline.pipeline.factors.SimpleMovingAverage
|
|
:members:
|
|
|
|
.. autoclass:: zipline.pipeline.factors.VWAP
|
|
:members:
|
|
|
|
.. autoclass:: zipline.pipeline.factors.WeightedAverageValue
|
|
:members:
|
|
|
|
.. autoclass:: zipline.pipeline.factors.ExponentialWeightedMovingAverage
|
|
:members:
|
|
|
|
.. autoclass:: zipline.pipeline.factors.ExponentialWeightedMovingStdDev
|
|
:members:
|
|
|
|
.. autoclass:: zipline.pipeline.factors.AverageDollarVolume
|
|
:members:
|
|
|
|
.. autoclass:: zipline.pipeline.filters.Filter
|
|
:members: __and__, __or__
|
|
:exclude-members: dtype
|
|
|
|
.. autoclass:: zipline.pipeline.data.EarningsCalendar
|
|
:members: next_announcement, previous_announcement
|
|
:undoc-members:
|
|
|
|
.. autoclass:: zipline.pipeline.data.USEquityPricing
|
|
:members: open, high, low, close, volume
|
|
:undoc-members:
|
|
|
|
|
|
Asset Metadata
|
|
~~~~~~~~~~~~~~
|
|
|
|
.. autoclass:: zipline.assets.assets.Asset
|
|
:members:
|
|
|
|
.. autoclass:: zipline.assets.assets.Equity
|
|
:members:
|
|
|
|
.. autoclass:: zipline.assets.assets.Future
|
|
:members:
|
|
|
|
.. autoclass:: zipline.assets.assets.AssetFinder
|
|
:members:
|
|
|
|
.. autoclass:: zipline.assets.assets.AssetFinderCachedEquities
|
|
:members:
|
|
|
|
.. autoclass:: zipline.assets.asset_writer.AssetDBWriter
|
|
:members:
|
|
|
|
.. autoclass:: zipline.assets.assets.AssetConvertible
|
|
:members:
|
|
|
|
Data API
|
|
~~~~
|
|
|
|
.. autoclass:: zipline.data.minute_bars.BcolzMinuteBarWriter
|
|
:members:
|