catalyst/docs/release-notes/zipline-0.6.2.md

Zipline 0.6.2 Release Notes

Highlights

• Command line interface to run algorithms directly.

• IPython Magic %%zipline that runs algorithm defined in an IPython notebook cell.

• API methods for building safeguards against runaway ordering and undesired short positions.

Enhancements (ENH)

• CLI: Adds a CLI and IPython magic for zipline. PR325

  Example:

  python run_algo.py -f dual_moving_avg.py --symbols AAPL --start 2011-1-1 --end 2012-1-1 -o dma.pickle
  

  Grabs the data from yahoo finance, runs the file dual_moving_avg.py (and looks for dual_moving_avg_analyze.py which, if found, will be executed after the algorithm has been run), and outputs the perf DataFrame to dma.pickle.

• IPython magic command (at the top of an IPython notebook cell). PR325

  %%zipline --symbols AAPL --start 2011-1-1 --end 2012-1-1 -o perf
  

  Does the same as above except instead of executing the file looks for the algorithm in the cell and instead of outputting the perf df to a file, creates a variable in the namespace called perf.

• Adds Trading Controls to the algorithm API. PR329

  The following functions are now available on TradingAlgorithm and for algo scripts:

  • set_max_order_size(self, sid=None, max_shares=None, max_notional=None) - Set a limit on the absolute magnitude, in shares and/or total dollar value, of any single order placed by this algorithm for a given sid. If sid is None, then the rule is applied to any order placed by the algorithm. - Example:

                 def initialize(context):
                      # Algorithm will raise an exception if we attempt to place an
                      # order which would cause us to hold more than 10 shares
                      # or 1000 dollars worth of sid(24).
                      set_max_order_size(sid(24), max_shares=10, max_notional=1000.0)
  

  • set_max_position_size(self, sid=None, max_shares=None, max_notional=None) - Set a limit on the absolute magnitude, in either shares or dollar value, of any position held by the algorithm for a given sid. If sid is None, then the rule is applied to any position held by the algorithm. - Example:

                 def initialize(context):
                     # Algorithm will raise an exception if we attempt to order more than
                     # 10 shares or 1000 dollars worth of sid(24) in a single order.
                     set_max_order_size(sid(24), max_shares=10, max_notional=1000.0)
  

  • set_max_order_count(self, max_count) - Set a limit on the number of orders that can be placed by the algorithm in a single trading day. - Example:

                 def initialize(context):
                     # Algorithm will raise an exception if more than 50 orders are placed in a day.
                     set_max_order_count(50)
  

  • set_long_only(self) - Set a rule specifying that the algorithm may not hold short positions. - Example:

                 def initialize(context):
                     # Algorithm will raise an exception if it attempts to place
                     # an order that would cause it to hold a short position.
                     set_long_only()
  

• Adds an all_api_methods classmethod on TradingAlgorithm that returns a list of all TradingAlgorithm API methods. PR333

Bug Fixes (BUG)

• Fix alignment of trading days and open and closes in trading environment. PR331

Performance (PERF)

Maintenance and Refactorings (MAINT)

Build (BLD)

Contributors