mirror of
https://github.com/wassname/catalyst.git
synced 2026-07-03 01:58:14 +08:00
Scott Sanderson
ef4f642e62
This patch lays the groundwork for a compute engine designed to facilitate construction of factor-based universe screening and portfolio allocation. It contains: A new module, `zipline.modelling`, containing entities that can be used to express computations as dependency graphs. Each node in such a graph is an instance of the base `Term` class, defined in `zipline.modelling.term`. Dependency graphs are executed by instances of `FFCEngine`, defined in `zipline.modelling.engine`. A new module, `zipline.data.ffc`, containing loaders and dataset definitions for inputs to the modelling API. New `TradingAlgorithm` api methods: `add_factor`, and `add_filter`. These methods can only be called from `initialize`, and are used to inform the algorithm that each day it should compute the given terms. Computed factor results are made available through a new attribute of the `data` object in `before_trading_start` and `handle_data`. Computed filter results control which assets are available in the factor matrix on each day.
64 lines
1.2 KiB
Plaintext
64 lines
1.2 KiB
Plaintext
# Testing
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nose==1.3.7
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nose-parameterized==0.5.0
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nose-ignore-docstring==0.2
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xlrd==0.9.4
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# These are required by mock or its dependencies
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MarkupSafe==0.23
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Jinja2==2.7.3
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funcsigs==0.4
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Pygments==2.0.2
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alabaster==0.7.6
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babel==1.3
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docutils==0.12
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snowballstemmer==1.2.0
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sphinx-rtd-theme==0.1.8
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sphinx==1.3.1
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pbr==1.3.0
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mock==1.3.0
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# Temp Directories for testing
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testfixtures==4.1.2
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# Linting
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flake8==2.4.1
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mccabe==0.3.1
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# Note: Old version of pep8 required by flake8 2.4.1
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pep8==1.5.7
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# Note: Old version of pyflakes required by flake8 2.4.1
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pyflakes==0.8.1
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# Documentation Conversion
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pyandoc==0.0.1
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docopt==0.6.2
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numpydoc==0.5
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mistune==0.7
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# Example scripts that are run during unit tests use the following:
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# Required by tornado
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backports.ssl-match-hostname==3.4.0.2;python_version<'3.0'
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certifi==2015.4.28
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# tornado and pyparsing are required by matplotlib
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tornado==4.2.1
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pyparsing==2.0.3
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matplotlib==1.4.3
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Markdown==2.6.2
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# This --allow syntax is for compatibility with pip >= 1.5
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# However, this is backwards incompatible change, since previous
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# versions of pip do not support that flag.
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TA-Lib==0.4.9
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# Checking for old PIP packages
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futures==3.0.3
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requests-futures==0.9.5
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piprot==0.9.1
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