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1886 lines
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<div role="main" class="document">
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<div class="section" id="release-notes">
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<h1>Release Notes<a class="headerlink" href="#release-notes" title="Permalink to this headline">¶</a></h1>
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<div class="section" id="development">
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<h2>Development<a class="headerlink" href="#development" title="Permalink to this headline">¶</a></h2>
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<table class="docutils field-list" frame="void" rules="none">
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<col class="field-name" />
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<col class="field-body" />
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<tbody valign="top">
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<tr class="field-odd field"><th class="field-name">Release:</th><td class="field-body">1.1.1</td>
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</tr>
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<tr class="field-even field"><th class="field-name">Date:</th><td class="field-body">TBD</td>
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</tr>
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</tbody>
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</table>
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<div class="admonition warning">
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<p class="first admonition-title">Warning</p>
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<p class="last">This release is still under active development. All changes listed are
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subject to change at any time.</p>
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</div>
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<div class="section" id="highlights">
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<h3>Highlights<a class="headerlink" href="#highlights" title="Permalink to this headline">¶</a></h3>
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<p>None</p>
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</div>
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<div class="section" id="enhancements">
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<h3>Enhancements<a class="headerlink" href="#enhancements" title="Permalink to this headline">¶</a></h3>
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<p>None</p>
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</div>
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<div class="section" id="experimental-features">
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<h3>Experimental Features<a class="headerlink" href="#experimental-features" title="Permalink to this headline">¶</a></h3>
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<div class="admonition warning">
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<p class="first admonition-title">Warning</p>
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<p class="last">Experimental features are subject to change.</p>
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</div>
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<p>None</p>
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</div>
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<div class="section" id="bug-fixes">
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<h3>Bug Fixes<a class="headerlink" href="#bug-fixes" title="Permalink to this headline">¶</a></h3>
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<p>None</p>
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</div>
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<div class="section" id="performance">
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<h3>Performance<a class="headerlink" href="#performance" title="Permalink to this headline">¶</a></h3>
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<p>None</p>
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</div>
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<div class="section" id="maintenance-and-refactorings">
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<h3>Maintenance and Refactorings<a class="headerlink" href="#maintenance-and-refactorings" title="Permalink to this headline">¶</a></h3>
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<p>None</p>
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</div>
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<div class="section" id="build">
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<h3>Build<a class="headerlink" href="#build" title="Permalink to this headline">¶</a></h3>
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<p>None</p>
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</div>
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<div class="section" id="documentation">
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<h3>Documentation<a class="headerlink" href="#documentation" title="Permalink to this headline">¶</a></h3>
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<p>None</p>
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</div>
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<div class="section" id="miscellaneous">
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<h3>Miscellaneous<a class="headerlink" href="#miscellaneous" title="Permalink to this headline">¶</a></h3>
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<p>None</p>
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</div>
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</div>
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<div class="section" id="release-1-1-0">
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<h2>Release 1.1.0<a class="headerlink" href="#release-1-1-0" title="Permalink to this headline">¶</a></h2>
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<table class="docutils field-list" frame="void" rules="none">
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<col class="field-name" />
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<col class="field-body" />
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<tbody valign="top">
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<tr class="field-odd field"><th class="field-name">Release:</th><td class="field-body">1.1.0</td>
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</tr>
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<tr class="field-even field"><th class="field-name">Date:</th><td class="field-body">March 10, 2017</td>
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</tr>
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</tbody>
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</table>
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<p>This release is meant to provide zipline support for pandas 0.18, as well as several bug fixes, API changes, and many
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performance changes.</p>
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<div class="section" id="id1">
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<h3>Enhancements<a class="headerlink" href="#id1" title="Permalink to this headline">¶</a></h3>
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<ul class="simple">
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<li>Makes the minute bar read catch NoDataOnDate exceptions if dates are not in the calendar.
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Before, the minute bar reader was forward filling, but now it returns nan for OHLC and 0 for V. (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1488">#1488</a>)</li>
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<li>Adds <code class="docutils literal"><span class="pre">truncate</span></code> method to <code class="xref py py-class docutils literal"><span class="pre">BcolzMinuteBarWriter</span></code> (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1499">#1499</a>)</li>
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<li>Bumps up to pandas 0.18.1 and numpy 1.11.1 (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1339">#1339</a>)</li>
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<li>Adds an earnings estimates quarter loader for Pipeline (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1396">#1396</a>)</li>
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<li>Creates a restricted list manager that takes in information about restricted sids
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and stores in memory upon instantiation (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1487">#1487</a>)</li>
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<li>Adds <code class="docutils literal"><span class="pre">last_available{session,</span> <span class="pre">minute}</span></code> args to <code class="docutils literal"><span class="pre">DataPortal</span></code> (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1528">#1528</a>)</li>
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<li>Adds <code class="docutils literal"><span class="pre">SpecificAssets</span></code> filter (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1530">#1530</a>)</li>
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<li>Adds the ability for an algorithm to request the current contract for a future chain (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1529">#1529</a>)</li>
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<li>Adds <code class="docutils literal"><span class="pre">chain</span></code> field to current and supporting methods
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in <code class="xref py py-class docutils literal"><span class="pre">DataPortal</span></code> and <code class="xref py py-class docutils literal"><span class="pre">OrderedContracts</span></code> (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1538">#1538</a>)</li>
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<li>Adds history for continuous futures (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1539">#1539</a>)</li>
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<li>Adds adjusted history for continuous future (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1548">#1548</a>)</li>
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<li>Adds roll style which takes the volume of a future contract into account,
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specifically for continuous futures (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1556">#1556</a>)</li>
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<li>Adds better error message when calling Zipline API functions outside of a running simulation (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1593">#1593</a>)</li>
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<li>Adds
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<code class="xref py py-meth docutils literal"><span class="pre">MACDSignal()</span></code>,
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<code class="xref py py-meth docutils literal"><span class="pre">MovingAverageConvergenceDivergenceSignal()</span></code>, and
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<code class="xref py py-meth docutils literal"><span class="pre">AnnualizedVolatility()</span></code> as built-in factors.
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(<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1588">#1588</a>)</li>
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<li>Allows running pipelines with custom date chunks in <code class="docutils literal"><span class="pre">attach_pipeline</span></code> (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1617">#1617</a>)</li>
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<li>Adds <code class="docutils literal"><span class="pre">order_batch</span></code> to the trade blotter (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1596">#1596</a>)</li>
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<li>Adds vectorized lookup_symbol (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1627">#1627</a>)</li>
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<li>Solidifies equality comparisons for SlippageModel classes (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1657">#1657</a>)</li>
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<li>Adds a factor for winsorized results (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1696">#1696</a>)</li>
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</ul>
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</div>
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<div class="section" id="id2">
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<h3>Bug Fixes<a class="headerlink" href="#id2" title="Permalink to this headline">¶</a></h3>
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<ul class="simple">
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<li>Changes str to string_types to avoid errors when type checking unicode and not str type. (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1315">#1315</a>)</li>
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<li>Algorithms default to quantopian-quandl bundle when no data source is specified (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1479">#1479</a>) (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1374">#1374</a>)</li>
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<li>Catches all missing data exceptions when computing dividend ratios (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1507">#1507</a>)</li>
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<li>Creates adjustments based on ordered assets instead of a set. Before, adjustments were created for estimates
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based on where assets happened to fall in a set rather than using ordered assets (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1547">#1547</a>)</li>
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<li>Fixes blaze pipeline queries for when users query for the <code class="docutils literal"><span class="pre">asof_date</span></code> column (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1608">#1608</a>)</li>
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<li>Datetimes should be converted in utc. DataFrames being returned were creating US/Eastern timestamps out of the ints,
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potentially changing the date returned to be the date before (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1635">#1635</a>)</li>
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<li>Fixes default inputs for <code class="xref py py-class docutils literal"><span class="pre">IchimokuKinkoHyo</span></code> factor (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1638">#1638</a>)</li>
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</ul>
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</div>
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<div class="section" id="id3">
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<h3>Performance<a class="headerlink" href="#id3" title="Permalink to this headline">¶</a></h3>
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<ul class="simple">
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<li>Removes invocations of <code class="docutils literal"><span class="pre">get_calendar('NYSE')</span></code> which cuts down zipline import time
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and makes the CLI more responsive and use less memory. (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1471">#1471</a>)</li>
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<li>Refcounts and releases pipeline terms when they are no longer needed (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1484">#1484</a>)</li>
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<li>Saves up to 75% of calls to minute_to_session_label (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1492">#1492</a>)</li>
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<li>Speeds up counting of number of minutes across contiguous session (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1497">#1497</a>)</li>
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<li>Removes/defers calls to get_loc on large indices (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1504">#1504</a>) (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1503">#1503</a>)</li>
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<li>Replaces <code class="docutils literal"><span class="pre">get_loc</span></code> calls in <code class="docutils literal"><span class="pre">calc_dividend_ratios</span></code> with <code class="docutils literal"><span class="pre">get_indexer</span></code> (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1510">#1510</a>)</li>
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<li>Speeds up minute to session sampling (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1549">#1549</a>)</li>
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<li>Adds some micro optimizations in <code class="docutils literal"><span class="pre">data.current</span></code> (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1561">#1561</a>)</li>
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<li>Adds optimization for initial workspace for pipelines (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1521">#1521</a>)</li>
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<li>More memory savings (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1599">#1599</a>)</li>
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</ul>
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</div>
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<div class="section" id="id4">
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<h3>Maintenance and Refactorings<a class="headerlink" href="#id4" title="Permalink to this headline">¶</a></h3>
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<ul class="simple">
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<li>Updates leveraged ETF list (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/747">#747</a>) (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1434">#1434</a>)</li>
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<li>Adds additional fields to <code class="docutils literal"><span class="pre">__getitem__</span></code> for Order class (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1483">#1483</a>)</li>
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<li>Adds <code class="docutils literal"><span class="pre">BarReader</span></code> base class for minute and session readers (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1486">#1486</a>)</li>
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<li>Removes <code class="docutils literal"><span class="pre">future_chain</span></code> API method, to be replaced by <code class="docutils literal"><span class="pre">data.current_chain</span></code> (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1502">#1502</a>)</li>
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<li>Puts zipline back on blaze master (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1505">#1505</a>)</li>
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<li>Adds Tini and sets version range for numpy, pandas, and scipy in Dockerfile (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1514">#1514</a>)</li>
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<li>Deprecates <code class="docutils literal"><span class="pre">set_do_not_order_list</span></code> (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1487">#1487</a>)</li>
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<li>Uses <code class="docutils literal"><span class="pre">Timedelta</span></code> instead of <code class="docutils literal"><span class="pre">DateOffset</span></code> (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1487">#1487</a>)</li>
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<li>Update and pin more dev requirements (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1642">#1642</a>)</li>
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</ul>
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</div>
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<div class="section" id="id5">
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<h3>Build<a class="headerlink" href="#id5" title="Permalink to this headline">¶</a></h3>
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<ul class="simple">
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<li>Adds binary dependency on numpy for empyrical</li>
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<li>Removes old numpy/pandas versions from Travis (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1339">#1339</a>)</li>
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<li>Updates appveyor.yml for new numpy and pandas (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1339">#1339</a>)</li>
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<li>Downgrades to scipy 0.17 (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1339">#1339</a>)</li>
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<li>Bumps empyrical to 0.2.2</li>
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</ul>
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</div>
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<div class="section" id="id6">
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<h3>Documentation<a class="headerlink" href="#id6" title="Permalink to this headline">¶</a></h3>
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<ul class="simple">
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<li>Updated example notebook for latest zipline cell magic</li>
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<li>Adds ANACONDA_TOKEN directions (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1589">#1589</a>)</li>
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</ul>
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</div>
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<div class="section" id="id7">
|
|
<h3>Miscellaneous<a class="headerlink" href="#id7" title="Permalink to this headline">¶</a></h3>
|
|
<ul class="simple">
|
|
<li>Changed the short-opt for <code class="docutils literal"><span class="pre">--before</span></code> in the <code class="docutils literal"><span class="pre">zipline</span> <span class="pre">clean</span></code>
|
|
entrypoint. The new argument is <code class="docutils literal"><span class="pre">-e</span></code>. The old argument, <code class="docutils literal"><span class="pre">-b</span></code>, conflicted
|
|
with the <code class="docutils literal"><span class="pre">--bundle</span></code> short-opt (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1625">#1625</a>).</li>
|
|
</ul>
|
|
</div>
|
|
</div>
|
|
<div class="section" id="release-1-0-2">
|
|
<h2>Release 1.0.2<a class="headerlink" href="#release-1-0-2" title="Permalink to this headline">¶</a></h2>
|
|
<table class="docutils field-list" frame="void" rules="none">
|
|
<col class="field-name" />
|
|
<col class="field-body" />
|
|
<tbody valign="top">
|
|
<tr class="field-odd field"><th class="field-name">Release:</th><td class="field-body">1.0.2</td>
|
|
</tr>
|
|
<tr class="field-even field"><th class="field-name">Date:</th><td class="field-body">September 8, 2016</td>
|
|
</tr>
|
|
</tbody>
|
|
</table>
|
|
<div class="section" id="id8">
|
|
<h3>Enhancements<a class="headerlink" href="#id8" title="Permalink to this headline">¶</a></h3>
|
|
<ul class="simple">
|
|
<li>Adds forward fill checkpoint tables for the blaze core loader. This allow the
|
|
loader to more efficiently forward fill the data by capping the lower date it
|
|
must search for when querying data. The checkpoints should have novel deltas
|
|
applied (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1276">#1276</a>).</li>
|
|
<li>Updated VagrantFile to include all dev requirements and use a newer image
|
|
(<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1310">#1310</a>).</li>
|
|
<li>Allow correlations and regressions to be computed between two 2D factors by
|
|
doing computations asset-wise (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1307">#1307</a>).</li>
|
|
<li>Filters have been made window_safe by default. Now they can be passed in as
|
|
arguments to other Filters, Factors and Classifiers (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1338">#1338</a>).</li>
|
|
<li>Added an optional <code class="docutils literal"><span class="pre">groupby</span></code> parameter to
|
|
<code class="xref py py-meth docutils literal"><span class="pre">rank()</span></code>,
|
|
<code class="xref py py-meth docutils literal"><span class="pre">top()</span></code>, and
|
|
<code class="xref py py-meth docutils literal"><span class="pre">bottom()</span></code>. (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1349">#1349</a>).</li>
|
|
<li>Added new pipeline filters, <code class="xref py py-class docutils literal"><span class="pre">All</span></code> and
|
|
<code class="xref py py-class docutils literal"><span class="pre">Any</span></code>, which takes another filter and
|
|
returns True if an asset produced a True for any/all days in the previous
|
|
<code class="docutils literal"><span class="pre">window_length</span></code> days (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1358">#1358</a>).</li>
|
|
<li>Added new pipeline filter <code class="xref py py-class docutils literal"><span class="pre">AtLeastN</span></code>,
|
|
which takes another filter and an int N and returns True if an asset
|
|
produced a True on N or more days in the previous <code class="docutils literal"><span class="pre">window_length</span></code>
|
|
days (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1367">#1367</a>).</li>
|
|
<li>Use external library empyrical for risk calculations. Empyrical unifies risk
|
|
metric calculations between pyfolio and zipline. Empyrical adds custom
|
|
annualization options for returns of custom frequencies. (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/855">#855</a>)</li>
|
|
<li>Add Aroon factor. (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1258">#1258</a>)</li>
|
|
<li>Add fast stochastic oscillator factor. (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1255">#1255</a>)</li>
|
|
<li>Add a Dockerfile. (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1254">#1254</a>)</li>
|
|
<li>New trading calendar which supports sessions which span across midnights, e.g.
|
|
24 hour 6:01PM-6:00PM sessions for futures trading.
|
|
<cite>zipline.utils.tradingcalendar</cite> is now deprecated. (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1138">#1138</a>) (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1312">#1312</a>)</li>
|
|
<li>Allow slicing a single column out of a Factor/Filter/Classifier. (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1267">#1267</a>)</li>
|
|
<li>Provide Ichimoku Cloud factor (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1263">#1263</a>)</li>
|
|
<li>Allow default parameters on Pipeline terms. (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1263">#1263</a>)</li>
|
|
<li>Provide rate of change percentage factor. (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1324">#1324</a>)</li>
|
|
<li>Provide linear weighted moving average factor. (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1325">#1325</a>)</li>
|
|
<li>Add <code class="docutils literal"><span class="pre">NotNullFilter</span></code>. (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1345">#1345</a>)</li>
|
|
<li>Allow capital changes to be defined by a target value. (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1337">#1337</a>)</li>
|
|
<li>Add <code class="docutils literal"><span class="pre">TrueRange</span></code> factor. (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1348">#1348</a>)</li>
|
|
<li>Add point in time lookups to <code class="docutils literal"><span class="pre">assets.db</span></code>. (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1361">#1361</a>)</li>
|
|
<li>Make <code class="docutils literal"><span class="pre">can_trade</span></code> aware of the asset’s exchange . (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1346">#1346</a>)</li>
|
|
<li>Add <code class="docutils literal"><span class="pre">downsample</span></code> method to all computable terms. (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1394">#1394</a>)</li>
|
|
<li>Add <cite>QuantopianUSFuturesCalendar</cite>. (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1414">#1414</a>)</li>
|
|
<li>Enable publishing of old <code class="docutils literal"><span class="pre">assets.db</span></code> versions. (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1430">#1430</a>)</li>
|
|
<li>Enable <code class="docutils literal"><span class="pre">schedule_function</span></code> for Futures trading calendar. (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1442">#1442</a>)</li>
|
|
<li>Disallow regressions of length 1. (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1466">#1466</a>)</li>
|
|
</ul>
|
|
</div>
|
|
<div class="section" id="experimental">
|
|
<h3>Experimental<a class="headerlink" href="#experimental" title="Permalink to this headline">¶</a></h3>
|
|
<ul class="simple">
|
|
<li>Add support for comingled Future and Equity history windows, and enable other
|
|
Future data access via data portal. (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1435">#1435</a>) (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1432">#1432</a>)</li>
|
|
</ul>
|
|
</div>
|
|
<div class="section" id="id9">
|
|
<h3>Bug Fixes<a class="headerlink" href="#id9" title="Permalink to this headline">¶</a></h3>
|
|
<ul class="simple">
|
|
<li>Changes <code class="xref py py-class docutils literal"><span class="pre">AverageDollarVolume</span></code> built-in
|
|
factor to treat missing close or volume values as 0. Previously, NaNs were
|
|
simply discarded before averaging, giving the remaining values too much
|
|
weight (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1309">#1309</a>).</li>
|
|
<li>Remove risk-free rate from sharpe ratio calculation. The ratio is now the
|
|
average of risk adjusted returns over violatility of adjusted
|
|
returns. (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/853">#853</a>)</li>
|
|
<li>Sortino ratio will return calculation instead of np.nan when required returns
|
|
are equal to zero. The ratio now returns the average of risk adjusted returns
|
|
over downside risk. Fixed mislabeled API by converting <cite>mar</cite> to
|
|
<cite>downside_risk</cite>. (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/747">#747</a>)</li>
|
|
<li>Downside risk now returns the square root of the mean of downside
|
|
difference squares. (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/747">#747</a>)</li>
|
|
<li>Information ratio updated to return mean of risk adjusted returns over
|
|
standard deviation of risk adjusted returns. (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1322">#1322</a>)</li>
|
|
<li>Alpha and sharpe ratio are now annualized. (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1322">#1322</a>)</li>
|
|
<li>Fix units during reading and writing of daily bar <code class="docutils literal"><span class="pre">first_trading_day</span></code>
|
|
attribute. (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1245">#1245</a>)</li>
|
|
<li>Optional dispatch modules, when missing, no longer cause a <cite>NameError</cite>.
|
|
(<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1246">#1246</a>)</li>
|
|
<li>Treat <code class="docutils literal"><span class="pre">schedule_function</span></code> argument as a time rule when a time rule, but no
|
|
date rule is supplied. (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1221">#1221</a>)</li>
|
|
<li>Protect against boundary conditions at beginning and end trading day in
|
|
schedule function. (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1226">#1226</a>)</li>
|
|
<li>Apply adjustments to previous day when using history with a frequency of <cite>1d</cite>.
|
|
(<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1256">#1256</a>)</li>
|
|
<li>Fail fast on invalid pipeline columns, instead of attempting to access the nonexistent column.
|
|
(<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1280">#1280</a>)</li>
|
|
<li>Fix <code class="docutils literal"><span class="pre">AverageDollarVolume</span></code> NaN handling. (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1309">#1309</a>)</li>
|
|
</ul>
|
|
</div>
|
|
<div class="section" id="id10">
|
|
<h3>Performance<a class="headerlink" href="#id10" title="Permalink to this headline">¶</a></h3>
|
|
<ul class="simple">
|
|
<li>Performance improvements to blaze core loader. (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1227">#1227</a>)</li>
|
|
<li>Allow concurrent blaze queries. (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1323">#1323</a>)</li>
|
|
<li>Prevent missing leading bcolz minute data from doing repeated unnecessary lookups. (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1451">#1451</a>)</li>
|
|
<li>Cache future chain lookups. (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1455">#1455</a>)</li>
|
|
</ul>
|
|
</div>
|
|
<div class="section" id="id11">
|
|
<h3>Maintenance and Refactorings<a class="headerlink" href="#id11" title="Permalink to this headline">¶</a></h3>
|
|
<ul class="simple">
|
|
<li>Removed remaining mentions of <code class="docutils literal"><span class="pre">add_history</span></code>. (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1287">#1287</a>)</li>
|
|
</ul>
|
|
</div>
|
|
<div class="section" id="id12">
|
|
<h3>Documentation<a class="headerlink" href="#id12" title="Permalink to this headline">¶</a></h3>
|
|
</div>
|
|
<div class="section" id="testing">
|
|
<h3>Testing<a class="headerlink" href="#testing" title="Permalink to this headline">¶</a></h3>
|
|
<ul class="simple">
|
|
<li>Add test fixture which sources daily pricing data from minute pricing data
|
|
fixtures. (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1243">#1243</a>)</li>
|
|
</ul>
|
|
</div>
|
|
<div class="section" id="data-format-changes">
|
|
<h3>Data Format Changes<a class="headerlink" href="#data-format-changes" title="Permalink to this headline">¶</a></h3>
|
|
<ul class="simple">
|
|
<li><code class="docutils literal"><span class="pre">BcolzDailyBarReader</span></code> and <code class="docutils literal"><span class="pre">BcolzDailyBarWriter</span></code> use trading calendar instance,
|
|
instead of trading days serialized to <code class="docutils literal"><span class="pre">JSON</span></code>. (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1330">#1330</a>)</li>
|
|
<li>Change format of <code class="docutils literal"><span class="pre">assets.db</span></code> to support point in time lookups. (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1361">#1361</a>)</li>
|
|
<li>Change <code class="docutils literal"><span class="pre">BcolzMinuteBarReader``and</span> <span class="pre">``BcolzMinuteBarWriter</span></code> to support varying tick sizes. (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1428">#1428</a>)</li>
|
|
</ul>
|
|
</div>
|
|
</div>
|
|
<div class="section" id="release-1-0-1">
|
|
<h2>Release 1.0.1<a class="headerlink" href="#release-1-0-1" title="Permalink to this headline">¶</a></h2>
|
|
<table class="docutils field-list" frame="void" rules="none">
|
|
<col class="field-name" />
|
|
<col class="field-body" />
|
|
<tbody valign="top">
|
|
<tr class="field-odd field"><th class="field-name">Release:</th><td class="field-body">1.0.1</td>
|
|
</tr>
|
|
<tr class="field-even field"><th class="field-name">Date:</th><td class="field-body">May 27, 2016</td>
|
|
</tr>
|
|
</tbody>
|
|
</table>
|
|
<p>This is a minor bug-fix release from 1.0.0 and includes a small number of bug
|
|
fixes and documentation improvements.</p>
|
|
<div class="section" id="id13">
|
|
<h3>Enhancements<a class="headerlink" href="#id13" title="Permalink to this headline">¶</a></h3>
|
|
<ul class="simple">
|
|
<li>Added support for user-defined commission models. See the
|
|
<code class="xref py py-class docutils literal"><span class="pre">zipline.finance.commission.CommissionModel</span></code> class for more details on
|
|
implementing a commision model. (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1213">#1213</a>)</li>
|
|
<li>Added support for non-float columns to Blaze-backed Pipeline
|
|
datasets (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1201">#1201</a>).</li>
|
|
<li>Added <code class="xref py py-class docutils literal"><span class="pre">zipline.pipeline.slice.Slice</span></code>, a new pipeline term designed to
|
|
extract a single column from another term. Slices can be created by indexing
|
|
into a term, keyed by asset. (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1267">#1267</a>)</li>
|
|
</ul>
|
|
</div>
|
|
<div class="section" id="id14">
|
|
<h3>Bug Fixes<a class="headerlink" href="#id14" title="Permalink to this headline">¶</a></h3>
|
|
<ul>
|
|
<li><p class="first">Fixed a bug where Pipeline loaders were not properly initialized by
|
|
<code class="xref py py-func docutils literal"><span class="pre">zipline.run_algorithm()</span></code>. This also affected invocations of <code class="docutils literal"><span class="pre">zipline</span>
|
|
<span class="pre">run</span></code> from the CLI.</p>
|
|
</li>
|
|
<li><p class="first">Fixed a bug that caused the <code class="docutils literal"><span class="pre">%%zipline</span></code> IPython cell magic to fail
|
|
(<a class="reference external" href="https://github.com/enigmampc/catalyst/commit/533233fae43c7ff74abfb0044f046978817cb4e4">533233fae43c7ff74abfb0044f046978817cb4e4</a>).</p>
|
|
</li>
|
|
<li><p class="first">Fixed a bug in the <code class="xref py py-class docutils literal"><span class="pre">PerTrade</span></code> commission
|
|
model where commissions were incorrectly applied to each partial-fill of an
|
|
order rather than on the order itself, resulting in algorithms being charged
|
|
too much in commissions when placing large orders.</p>
|
|
<p><code class="xref py py-class docutils literal"><span class="pre">PerTrade</span></code> now correctly applies
|
|
commissions on a per-order basis (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1213">#1213</a>).</p>
|
|
</li>
|
|
<li><p class="first">Attribute accesses on <code class="xref py py-class docutils literal"><span class="pre">CustomFactors</span></code>
|
|
defining multiple outputs will now correctly return an output slice when the
|
|
output is also the name of a <code class="xref py py-class docutils literal"><span class="pre">Factor</span></code> method
|
|
(<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1214">#1214</a>).</p>
|
|
</li>
|
|
<li><p class="first">Replaced deprecated usage of <code class="docutils literal"><span class="pre">pandas.io.data</span></code> with <code class="docutils literal"><span class="pre">pandas_datareader</span></code>
|
|
(<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1218">#1218</a>).</p>
|
|
</li>
|
|
<li><p class="first">Fixed an issue where <code class="docutils literal"><span class="pre">.pyi</span></code> stub files for <code class="xref py py-mod docutils literal"><span class="pre">zipline.api</span></code> were
|
|
accidentally excluded from the PyPI source distribution. Conda users should
|
|
be unaffected (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1230">#1230</a>).</p>
|
|
</li>
|
|
</ul>
|
|
</div>
|
|
<div class="section" id="id15">
|
|
<h3>Documentation<a class="headerlink" href="#id15" title="Permalink to this headline">¶</a></h3>
|
|
<ul class="simple">
|
|
<li>Added a new example, <code class="xref py py-mod docutils literal"><span class="pre">zipline.examples.momentum_pipeline</span></code>, which
|
|
exercises the Pipeline API (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1230">#1230</a>).</li>
|
|
</ul>
|
|
</div>
|
|
</div>
|
|
<div class="section" id="release-1-0-0">
|
|
<h2>Release 1.0.0<a class="headerlink" href="#release-1-0-0" title="Permalink to this headline">¶</a></h2>
|
|
<table class="docutils field-list" frame="void" rules="none">
|
|
<col class="field-name" />
|
|
<col class="field-body" />
|
|
<tbody valign="top">
|
|
<tr class="field-odd field"><th class="field-name">Release:</th><td class="field-body">1.0.0</td>
|
|
</tr>
|
|
<tr class="field-even field"><th class="field-name">Date:</th><td class="field-body">May 19, 2016</td>
|
|
</tr>
|
|
</tbody>
|
|
</table>
|
|
<div class="section" id="id16">
|
|
<h3>Highlights<a class="headerlink" href="#id16" title="Permalink to this headline">¶</a></h3>
|
|
<div class="section" id="zipline-1-0-rewrite-1105">
|
|
<h4>Zipline 1.0 Rewrite (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1105">#1105</a>)<a class="headerlink" href="#zipline-1-0-rewrite-1105" title="Permalink to this headline">¶</a></h4>
|
|
<p>We have rewritten a lot of Zipline and its basic concepts in order to improve
|
|
runtime performance. At the same time, we’ve introduced several new APIs.</p>
|
|
<p>At a high level, earlier versions of Zipline simulations pulled from a
|
|
multiplexed stream of data sources, which were merged via heapq. This stream was
|
|
fed to the main simulation loop, driving the clock forward. This strong
|
|
dependency on reading all the data made it difficult to optimize simulation
|
|
performance because there was no connection between the amount of data we
|
|
fetched and the amount of data actually used by the algorithm.</p>
|
|
<p>Now, we only fetch data when the algorithm needs it. A new class,
|
|
<code class="xref py py-class docutils literal"><span class="pre">DataPortal</span></code>, dispatches data requests to
|
|
various data sources and returns the requested values. This makes the runtime of
|
|
a simulation scale much more closely with the complexity of the algorithm,
|
|
rather than with the number of assets provided by the data sources.</p>
|
|
<p>Instead of the data stream driving the clock, now simulations iterate through a
|
|
pre-calculated set of day or minute timestamps. The timestamps are emitted by
|
|
<code class="xref py py-class docutils literal"><span class="pre">MinuteSimulationClock</span></code> and
|
|
<code class="xref py py-class docutils literal"><span class="pre">DailySimulationClock</span></code>, and consumed by the main
|
|
loop in <code class="xref py py-meth docutils literal"><span class="pre">transform()</span></code>.</p>
|
|
<p>We’ve retired the <code class="docutils literal"><span class="pre">data[sid(N)]</span></code> and <code class="docutils literal"><span class="pre">history</span></code> APIs, replacing them with
|
|
several methods on the <code class="xref py py-class docutils literal"><span class="pre">BarData</span></code> object:
|
|
<code class="xref py py-meth docutils literal"><span class="pre">current()</span></code>,
|
|
<code class="xref py py-meth docutils literal"><span class="pre">history()</span></code>,
|
|
<code class="xref py py-meth docutils literal"><span class="pre">can_trade()</span></code>, and
|
|
<code class="xref py py-meth docutils literal"><span class="pre">is_stale()</span></code>. Old APIs will continue to work for
|
|
now, but will issue deprecation warnings.</p>
|
|
<p>You can now pass in an adjustments source to the
|
|
<code class="xref py py-class docutils literal"><span class="pre">DataPortal</span></code>, and we will apply adjustments to
|
|
the pricing data when looking backwards at data. Prices and volumes for
|
|
execution and presented to the algorithm in data.current are the as-traded value
|
|
of the asset.</p>
|
|
</div>
|
|
<div class="section" id="new-entry-points-1173-and-1178">
|
|
<h4>New Entry Points (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1173">#1173</a> and <a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1178">#1178</a>)<a class="headerlink" href="#new-entry-points-1173-and-1178" title="Permalink to this headline">¶</a></h4>
|
|
<p>In order to make it easier to use zipline we have updated the entry points for
|
|
a backtest. The three supported ways to run a backtest are now:</p>
|
|
<ol class="arabic simple">
|
|
<li><code class="xref py py-func docutils literal"><span class="pre">zipline.run_algo()</span></code></li>
|
|
<li><code class="docutils literal"><span class="pre">$</span> <span class="pre">zipline</span> <span class="pre">run</span></code></li>
|
|
<li><code class="docutils literal"><span class="pre">%zipline</span></code> (IPython magic)</li>
|
|
</ol>
|
|
</div>
|
|
<div class="section" id="data-bundles-1173-and-1178">
|
|
<h4>Data Bundles (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1173">#1173</a> and <a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1178">#1178</a>)<a class="headerlink" href="#data-bundles-1173-and-1178" title="Permalink to this headline">¶</a></h4>
|
|
<p>1.0.0 introduces data bundles. Data bundles are groups of data that should be
|
|
preloaded and used to run backtests later. This allows users to not need to to
|
|
specify which tickers they are interested in each time they run an
|
|
algorithm. This also allows us to cache the data between runs.</p>
|
|
<p>By default, the <code class="docutils literal"><span class="pre">quantopian-quandl</span></code> bundle will be used which pulls data from
|
|
Quantopian’s mirror of the quandl <a class="reference external" href="https://www.quandl.com/data/WIKI">WIKI dataset</a>. New bundles may be registered with
|
|
<code class="xref py py-func docutils literal"><span class="pre">zipline.data.bundles.register()</span></code> like:</p>
|
|
<div class="highlight-python"><div class="highlight"><pre><span class="nd">@zipline.data.bundles.register</span><span class="p">(</span><span class="s">'my-new-bundle'</span><span class="p">)</span>
|
|
<span class="k">def</span> <span class="nf">my_new_bundle_ingest</span><span class="p">(</span><span class="n">environ</span><span class="p">,</span>
|
|
<span class="n">asset_db_writer</span><span class="p">,</span>
|
|
<span class="n">minute_bar_writer</span><span class="p">,</span>
|
|
<span class="n">daily_bar_writer</span><span class="p">,</span>
|
|
<span class="n">adjustment_writer</span><span class="p">,</span>
|
|
<span class="n">calendar</span><span class="p">,</span>
|
|
<span class="n">cache</span><span class="p">,</span>
|
|
<span class="n">show_progress</span><span class="p">):</span>
|
|
<span class="o">...</span>
|
|
</pre></div>
|
|
</div>
|
|
<p>This function should retrieve the data it needs and then use the writers that
|
|
have been passed to write that data to disc in a location that zipline can find
|
|
later.</p>
|
|
<p>This data can be used in backtests by passing the name as the <code class="docutils literal"><span class="pre">-b</span> <span class="pre">/</span> <span class="pre">--bundle</span></code>
|
|
argument to <code class="docutils literal"><span class="pre">$</span> <span class="pre">zipline</span> <span class="pre">run</span></code> or as the <code class="docutils literal"><span class="pre">bundle</span></code> argument to
|
|
<code class="xref py py-func docutils literal"><span class="pre">zipline.run_algorithm()</span></code>.</p>
|
|
<p>For more information see <a class="reference internal" href="bundles.html#data-bundles"><span>Data Bundles</span></a> for more information.</p>
|
|
</div>
|
|
<div class="section" id="string-support-in-pipeline-1174">
|
|
<h4>String Support in Pipeline (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1174">#1174</a>)<a class="headerlink" href="#string-support-in-pipeline-1174" title="Permalink to this headline">¶</a></h4>
|
|
<p>Added support for string data in Pipeline.
|
|
<code class="xref py py-class docutils literal"><span class="pre">zipline.pipeline.data.Column</span></code> now accepts <code class="docutils literal"><span class="pre">object</span></code> as a dtype, which
|
|
signifies that loaders for that column should emit windowed iterators over the
|
|
experimental new <code class="xref py py-class docutils literal"><span class="pre">LabelArray</span></code> class.</p>
|
|
<p>Several new <code class="xref py py-class docutils literal"><span class="pre">Classifier</span></code> methods have also been added
|
|
for constructing <code class="xref py py-class docutils literal"><span class="pre">Filter</span></code> instances based on string
|
|
operations. The new methods are:</p>
|
|
<blockquote>
|
|
<div><ul class="simple">
|
|
<li><code class="xref py py-meth docutils literal"><span class="pre">element_of()</span></code></li>
|
|
<li><code class="xref py py-meth docutils literal"><span class="pre">startswith()</span></code></li>
|
|
<li><code class="xref py py-meth docutils literal"><span class="pre">endswith()</span></code></li>
|
|
<li><code class="xref py py-meth docutils literal"><span class="pre">has_substring()</span></code></li>
|
|
<li><code class="xref py py-meth docutils literal"><span class="pre">matches()</span></code></li>
|
|
</ul>
|
|
<p><code class="docutils literal"><span class="pre">element_of</span></code> is defined for all classifiers. The remaining methods are
|
|
only defined for string-dtype classifiers.</p>
|
|
</div></blockquote>
|
|
</div>
|
|
</div>
|
|
<div class="section" id="id17">
|
|
<h3>Enhancements<a class="headerlink" href="#id17" title="Permalink to this headline">¶</a></h3>
|
|
<ul>
|
|
<li><p class="first">Made the data loading classes have more consistent interfaces. This includes
|
|
the equity bar writers, adjustment writer, and asset db writer. The new
|
|
interface is that the resource to be written to is passed at construction time
|
|
and the data to write is provided later to the <cite>write</cite> method as
|
|
dataframes or some iterator of dataframes. This model allows us to pass these
|
|
writer objects around as a resource for other classes and functions to
|
|
consume (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1109">#1109</a> and <a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1149">#1149</a>).</p>
|
|
</li>
|
|
<li><p class="first">Added masking to <code class="xref py py-class docutils literal"><span class="pre">zipline.pipeline.CustomFactor</span></code>.
|
|
Custom factors can now be passed a Filter upon instantiation. This tells the
|
|
factor to only compute over stocks for which the filter returns True, rather
|
|
than always computing over the entire universe of stocks. (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1095">#1095</a>)</p>
|
|
</li>
|
|
<li><p class="first">Added <code class="xref py py-class docutils literal"><span class="pre">zipline.utils.cache.ExpiringCache</span></code>.
|
|
A cache which wraps entries in a <code class="xref py py-class docutils literal"><span class="pre">zipline.utils.cache.CachedObject</span></code>,
|
|
which manages expiration of entries based on the <cite>dt</cite> supplied to the <cite>get</cite>
|
|
method. (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1130">#1130</a>)</p>
|
|
</li>
|
|
<li><p class="first">Implemented <code class="xref py py-class docutils literal"><span class="pre">zipline.pipeline.factors.RecarrayField</span></code>, a new pipeline
|
|
term designed to be the output type of a CustomFactor with multiple outputs.
|
|
(<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1119">#1119</a>)</p>
|
|
</li>
|
|
<li><p class="first">Added optional <cite>outputs</cite> parameter to <code class="xref py py-class docutils literal"><span class="pre">zipline.pipeline.CustomFactor</span></code>.
|
|
Custom factors are now capable of computing and returning multiple outputs,
|
|
each of which are themselves a Factor. (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1119">#1119</a>)</p>
|
|
</li>
|
|
<li><p class="first">Added support for string-dtype pipeline columns. Loaders for thse columns
|
|
should produce instances of <code class="xref py py-class docutils literal"><span class="pre">zipline.lib.labelarray.LabelArray</span></code> when
|
|
traversed. <code class="xref py py-meth docutils literal"><span class="pre">latest()</span></code> on string
|
|
columns produces a string-dtype
|
|
<code class="xref py py-class docutils literal"><span class="pre">zipline.pipeline.Classifier</span></code>. (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1174">#1174</a>)</p>
|
|
</li>
|
|
<li><p class="first">Added several methods for converting Classifiers into Filters.</p>
|
|
<p>The new methods are:
|
|
- <code class="xref py py-meth docutils literal"><span class="pre">element_of()</span></code>
|
|
- <code class="xref py py-meth docutils literal"><span class="pre">startswith()</span></code>
|
|
- <code class="xref py py-meth docutils literal"><span class="pre">endswith()</span></code>
|
|
- <code class="xref py py-meth docutils literal"><span class="pre">has_substring()</span></code>
|
|
- <code class="xref py py-meth docutils literal"><span class="pre">matches()</span></code></p>
|
|
<p><code class="docutils literal"><span class="pre">element_of</span></code> is defined for all classifiers. The remaining methods are
|
|
only defined for strings. (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1174">#1174</a>)</p>
|
|
</li>
|
|
<li><p class="first">Added <code class="xref py py-class docutils literal"><span class="pre">BollingerBands</span></code> factor. This factor
|
|
implements the Bollinger Bands technical indicator:
|
|
<a class="reference external" href="https://en.wikipedia.org/wiki/Bollinger_Bands">https://en.wikipedia.org/wiki/Bollinger_Bands</a> (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1199">#1199</a>).</p>
|
|
</li>
|
|
<li><p class="first">Fetcher has been moved from Quantopian internal code into Zipline
|
|
(<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1105">#1105</a>).</p>
|
|
</li>
|
|
<li><p class="first">Added new built-in factors,
|
|
<code class="xref py py-class docutils literal"><span class="pre">RollingPearsonOfReturns</span></code>,
|
|
<code class="xref py py-class docutils literal"><span class="pre">RollingSpearmanOfReturns</span></code> and
|
|
<code class="xref py py-class docutils literal"><span class="pre">RollingLinearRegressionOfReturns</span></code>
|
|
(<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1154">#1154</a>)</p>
|
|
</li>
|
|
</ul>
|
|
</div>
|
|
<div class="section" id="id18">
|
|
<h3>Experimental Features<a class="headerlink" href="#id18" title="Permalink to this headline">¶</a></h3>
|
|
<div class="admonition warning">
|
|
<p class="first admonition-title">Warning</p>
|
|
<p class="last">Experimental features are subject to change.</p>
|
|
</div>
|
|
<ul class="simple">
|
|
<li>Added a new <code class="xref py py-class docutils literal"><span class="pre">zipline.lib.labelarray.LabelArray</span></code> class for efficiently
|
|
representing and computing on string data with numpy. This class is
|
|
conceptually similar to <a class="reference external" href="http://pandas.pydata.org/pandas-docs/stable/generated/pandas.Categorical.html#pandas.Categorical" title="(in pandas v0.20.3)"><code class="xref py py-class docutils literal"><span class="pre">pandas.Categorical</span></code></a>, in that it represents
|
|
string arrays as arrays of indices into a (smaller) array of unique string
|
|
values. (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1174">#1174</a>)</li>
|
|
</ul>
|
|
</div>
|
|
<div class="section" id="id19">
|
|
<h3>Bug Fixes<a class="headerlink" href="#id19" title="Permalink to this headline">¶</a></h3>
|
|
<p>None</p>
|
|
</div>
|
|
<div class="section" id="id20">
|
|
<h3>Performance<a class="headerlink" href="#id20" title="Permalink to this headline">¶</a></h3>
|
|
<p>None</p>
|
|
</div>
|
|
<div class="section" id="id21">
|
|
<h3>Maintenance and Refactorings<a class="headerlink" href="#id21" title="Permalink to this headline">¶</a></h3>
|
|
<p>None</p>
|
|
</div>
|
|
<div class="section" id="id22">
|
|
<h3>Build<a class="headerlink" href="#id22" title="Permalink to this headline">¶</a></h3>
|
|
<p>None</p>
|
|
</div>
|
|
<div class="section" id="id23">
|
|
<h3>Documentation<a class="headerlink" href="#id23" title="Permalink to this headline">¶</a></h3>
|
|
<ul class="simple">
|
|
<li>Updated documentation for the API methods (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1188">#1188</a>).</li>
|
|
<li>Updated release process to mention that docs should be built with python 3
|
|
(<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1188">#1188</a>).</li>
|
|
</ul>
|
|
</div>
|
|
<div class="section" id="id24">
|
|
<h3>Miscellaneous<a class="headerlink" href="#id24" title="Permalink to this headline">¶</a></h3>
|
|
<ul class="simple">
|
|
<li>Zipline now provides a <a class="reference external" href="https://www.python.org/dev/peps/pep-0484/#stub-files">stub file</a> for the
|
|
<code class="docutils literal"><span class="pre">zipline.api</span></code> module. This module is normally dynamically created so the
|
|
stub file provides some static information for utilities that can consume it,
|
|
for example PyCharm (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1208">#1208</a>).</li>
|
|
</ul>
|
|
</div>
|
|
</div>
|
|
<div class="section" id="release-0-9-0">
|
|
<h2>Release 0.9.0<a class="headerlink" href="#release-0-9-0" title="Permalink to this headline">¶</a></h2>
|
|
<table class="docutils field-list" frame="void" rules="none">
|
|
<col class="field-name" />
|
|
<col class="field-body" />
|
|
<tbody valign="top">
|
|
<tr class="field-odd field"><th class="field-name">Release:</th><td class="field-body">0.9.0</td>
|
|
</tr>
|
|
<tr class="field-even field"><th class="field-name">Date:</th><td class="field-body">March 29, 2016</td>
|
|
</tr>
|
|
</tbody>
|
|
</table>
|
|
<div class="section" id="id25">
|
|
<h3>Highlights<a class="headerlink" href="#id25" title="Permalink to this headline">¶</a></h3>
|
|
<ul class="simple">
|
|
<li>Added classifiers and normalization methods to pipeline, along with new
|
|
datasets and factors.</li>
|
|
<li>Added support for Windows with continuous integration on AppVeyor.</li>
|
|
</ul>
|
|
</div>
|
|
<div class="section" id="id26">
|
|
<h3>Enhancements<a class="headerlink" href="#id26" title="Permalink to this headline">¶</a></h3>
|
|
<ul class="simple">
|
|
<li>Added new datasets
|
|
<code class="xref py py-class docutils literal"><span class="pre">CashBuybackAuthorizations</span></code>
|
|
and <code class="xref py py-class docutils literal"><span class="pre">ShareBuybackAuthorizations</span></code>
|
|
for use in the Pipeline API. These datasets provide an abstract interface for
|
|
adding cash and share buyback authorizations data, respectively, to a new
|
|
algorithm. pandas-based reference implementations for these datasets can be
|
|
found in <code class="xref py py-mod docutils literal"><span class="pre">zipline.pipeline.loaders.buyback_auth</span></code>, and experimental
|
|
blaze-based implementations can be found in
|
|
<code class="xref py py-mod docutils literal"><span class="pre">zipline.pipeline.loaders.blaze.buyback_auth</span></code>. (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1022">#1022</a>).</li>
|
|
<li>Added new datasets
|
|
<code class="xref py py-class docutils literal"><span class="pre">DividendsByExDate</span></code>,
|
|
<code class="xref py py-class docutils literal"><span class="pre">DividendsByPayDate</span></code>, and
|
|
<code class="xref py py-class docutils literal"><span class="pre">DividendsByAnnouncementDate</span></code>
|
|
for use in the Pipeline API. These datasets provide an abstract interface for
|
|
adding dividends data organized by ex date, pay date, and announcement date,
|
|
respectively, to a new algorithm. pandas-based reference implementations for
|
|
these datasets can be found in <code class="xref py py-mod docutils literal"><span class="pre">zipline.pipeline.loaders.dividends</span></code>, and
|
|
experimental blaze-based implementations can be found in
|
|
<code class="xref py py-mod docutils literal"><span class="pre">zipline.pipeline.loaders.blaze.dividends</span></code>. (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1093">#1093</a>).</li>
|
|
<li>Added new built-in factors,
|
|
<code class="xref py py-class docutils literal"><span class="pre">zipline.pipeline.factors.BusinessDaysSinceCashBuybackAuth</span></code> and
|
|
<code class="xref py py-class docutils literal"><span class="pre">zipline.pipeline.factors.BusinessDaysSinceShareBuybackAuth</span></code>. These
|
|
factors use the new <code class="docutils literal"><span class="pre">CashBuybackAuthorizations</span></code> and
|
|
<code class="docutils literal"><span class="pre">ShareBuybackAuthorizations</span></code> datasets, respectively. (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1022">#1022</a>).</li>
|
|
<li>Added new built-in factors,
|
|
<code class="xref py py-class docutils literal"><span class="pre">zipline.pipeline.factors.BusinessDaysSinceDividendAnnouncement</span></code>,
|
|
<code class="xref py py-class docutils literal"><span class="pre">zipline.pipeline.factors.BusinessDaysUntilNextExDate</span></code>, and
|
|
<code class="xref py py-class docutils literal"><span class="pre">zipline.pipeline.factors.BusinessDaysSincePreviousExDate</span></code>. These
|
|
factors use the new <code class="docutils literal"><span class="pre">DividendsByAnnouncementDate`</span> <span class="pre">and</span> <span class="pre">``DividendsByExDate</span></code>
|
|
datasets, respectively. (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1093">#1093</a>).</li>
|
|
<li>Implemented <code class="xref py py-class docutils literal"><span class="pre">zipline.pipeline.Classifier</span></code>, a new core pipeline API
|
|
term representing grouping keys. Classifiers are primarily used by passing
|
|
them as the <code class="docutils literal"><span class="pre">groupby</span></code> parameter to factor normalization methods.
|
|
(<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1046">#1046</a>)</li>
|
|
<li>Added factor normalization methods:
|
|
<code class="xref py py-meth docutils literal"><span class="pre">zipline.pipeline.Factor.demean()</span></code> and
|
|
<code class="xref py py-meth docutils literal"><span class="pre">zipline.pipeline.Factor.zscore()</span></code>. (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1046">#1046</a>)</li>
|
|
<li>Added <code class="xref py py-meth docutils literal"><span class="pre">zipline.pipeline.Factor.quantiles()</span></code>, a method for computing a
|
|
Classifier from a Factor by partitioning into equally-sized buckets. Also
|
|
added helpers for common quantile sizes
|
|
(<code class="xref py py-meth docutils literal"><span class="pre">zipline.pipeline.Factor.quartiles()</span></code>,
|
|
<code class="xref py py-meth docutils literal"><span class="pre">zipline.pipeline.Factor.quartiles()</span></code>, and
|
|
<code class="xref py py-meth docutils literal"><span class="pre">zipline.pipeline.Factor.deciles()</span></code>) (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1075">#1075</a>).</li>
|
|
</ul>
|
|
</div>
|
|
<div class="section" id="id27">
|
|
<h3>Experimental Features<a class="headerlink" href="#id27" title="Permalink to this headline">¶</a></h3>
|
|
<div class="admonition warning">
|
|
<p class="first admonition-title">Warning</p>
|
|
<p class="last">Experimental features are subject to change.</p>
|
|
</div>
|
|
<p>None</p>
|
|
</div>
|
|
<div class="section" id="id28">
|
|
<h3>Bug Fixes<a class="headerlink" href="#id28" title="Permalink to this headline">¶</a></h3>
|
|
<ul class="simple">
|
|
<li>Fixed a bug where merging two numerical expressions failed given too many
|
|
inputs. This caused running a pipeline to fail when combining more than ten
|
|
factors or filters. (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1072">#1072</a>)</li>
|
|
</ul>
|
|
</div>
|
|
<div class="section" id="id29">
|
|
<h3>Performance<a class="headerlink" href="#id29" title="Permalink to this headline">¶</a></h3>
|
|
<p>None</p>
|
|
</div>
|
|
<div class="section" id="id30">
|
|
<h3>Maintenance and Refactorings<a class="headerlink" href="#id30" title="Permalink to this headline">¶</a></h3>
|
|
<p>None</p>
|
|
</div>
|
|
<div class="section" id="id31">
|
|
<h3>Build<a class="headerlink" href="#id31" title="Permalink to this headline">¶</a></h3>
|
|
<ul class="simple">
|
|
<li>Added AppVeyor for continuous integration on Windows. Added conda build of
|
|
zipline and its dependencies to AppVeyor and Travis builds, which upload
|
|
their results to anaconda.org labeled with “ci”. (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/981">#981</a>)</li>
|
|
</ul>
|
|
</div>
|
|
<div class="section" id="id32">
|
|
<h3>Documentation<a class="headerlink" href="#id32" title="Permalink to this headline">¶</a></h3>
|
|
<p>None</p>
|
|
</div>
|
|
<div class="section" id="id33">
|
|
<h3>Miscellaneous<a class="headerlink" href="#id33" title="Permalink to this headline">¶</a></h3>
|
|
<ul class="simple">
|
|
<li>Adds <code class="xref py py-class docutils literal"><span class="pre">ZiplineTestCase</span></code> which provides hooks
|
|
to consume test fixtures. Fixtures are things like:
|
|
<code class="xref py py-class docutils literal"><span class="pre">WithAssetFinder</span></code> which will make
|
|
<code class="docutils literal"><span class="pre">self.asset_finder</span></code> available to your test with some mock data
|
|
(<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/1042">#1042</a>).</li>
|
|
</ul>
|
|
</div>
|
|
</div>
|
|
<div class="section" id="release-0-8-4">
|
|
<h2>Release 0.8.4<a class="headerlink" href="#release-0-8-4" title="Permalink to this headline">¶</a></h2>
|
|
<table class="docutils field-list" frame="void" rules="none">
|
|
<col class="field-name" />
|
|
<col class="field-body" />
|
|
<tbody valign="top">
|
|
<tr class="field-odd field"><th class="field-name">Release:</th><td class="field-body">0.8.4</td>
|
|
</tr>
|
|
<tr class="field-even field"><th class="field-name">Date:</th><td class="field-body">February 24, 2016</td>
|
|
</tr>
|
|
</tbody>
|
|
</table>
|
|
<div class="section" id="id34">
|
|
<h3>Highlights<a class="headerlink" href="#id34" title="Permalink to this headline">¶</a></h3>
|
|
<ul class="simple">
|
|
<li>Added a new <code class="xref py py-class docutils literal"><span class="pre">EarningsCalendar</span></code> dataset
|
|
for use in the Pipeline API. (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/905">#905</a>).</li>
|
|
<li><code class="xref py py-class docutils literal"><span class="pre">AssetFinder</span></code> speedups (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/830">#830</a> and
|
|
<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/817">#817</a>).</li>
|
|
<li>Improved support for non-float dtypes in Pipeline. Most notably, we now
|
|
support <code class="docutils literal"><span class="pre">datetime64</span></code> and <code class="docutils literal"><span class="pre">int64</span></code> dtypes for <code class="docutils literal"><span class="pre">Factor</span></code>, and
|
|
<code class="docutils literal"><span class="pre">BoundColumn.latest</span></code> now returns a proper <code class="docutils literal"><span class="pre">Filter</span></code> object when the column
|
|
is of dtype <code class="docutils literal"><span class="pre">bool</span></code>.</li>
|
|
<li>Zipline now supports <code class="docutils literal"><span class="pre">numpy</span></code> 1.10, <code class="docutils literal"><span class="pre">pandas</span></code> 0.17, and <code class="docutils literal"><span class="pre">scipy</span></code> 0.16
|
|
(<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/969">#969</a>).</li>
|
|
<li>Batch transforms have been deprecated and will be removed in a future release.
|
|
Using <code class="docutils literal"><span class="pre">history</span></code> is recommended as an alternative.</li>
|
|
</ul>
|
|
</div>
|
|
<div class="section" id="id35">
|
|
<h3>Enhancements<a class="headerlink" href="#id35" title="Permalink to this headline">¶</a></h3>
|
|
<ul class="simple">
|
|
<li>Adds a way for users to provide a context manager to use when executing the
|
|
scheduled functions (including <code class="docutils literal"><span class="pre">handle_data</span></code>). This context manager will be
|
|
passed the <code class="xref py py-class docutils literal"><span class="pre">BarData</span></code> object for the bar and will
|
|
be used for the duration of all of the functions scheduled to run. This can be
|
|
passed to <code class="xref py py-class docutils literal"><span class="pre">TradingAlgorithm</span></code> by the keyword argument
|
|
<code class="docutils literal"><span class="pre">create_event_context</span></code> (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/828">#828</a>).</li>
|
|
<li>Added support for <code class="xref py py-class docutils literal"><span class="pre">zipline.pipeline.factors.Factor</span></code> instances with
|
|
<code class="docutils literal"><span class="pre">datetime64[ns]</span></code> dtypes. (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/905">#905</a>)</li>
|
|
<li>Added a new <code class="xref py py-class docutils literal"><span class="pre">EarningsCalendar</span></code> dataset
|
|
for use in the Pipeline API. This dataset provides an abstract interface for
|
|
adding earnings announcement data to a new algorithm. A pandas-based
|
|
reference implementation for this dataset can be found in
|
|
<code class="xref py py-mod docutils literal"><span class="pre">zipline.pipeline.loaders.earnings</span></code>, and an experimental blaze-based
|
|
implementation can be found in
|
|
<code class="xref py py-mod docutils literal"><span class="pre">zipline.pipeline.loaders.blaze.earnings</span></code>. (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/905">#905</a>).</li>
|
|
<li>Added new built-in factors,
|
|
<code class="xref py py-class docutils literal"><span class="pre">zipline.pipeline.factors.BusinessDaysUntilNextEarnings</span></code> and
|
|
<code class="xref py py-class docutils literal"><span class="pre">zipline.pipeline.factors.BusinessDaysSincePreviousEarnings</span></code>. These
|
|
factors use the new <code class="docutils literal"><span class="pre">EarningsCalendar</span></code> dataset. (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/905">#905</a>).</li>
|
|
<li>Added <code class="xref py py-meth docutils literal"><span class="pre">isnan()</span></code>,
|
|
<code class="xref py py-meth docutils literal"><span class="pre">notnan()</span></code> and
|
|
<code class="xref py py-meth docutils literal"><span class="pre">isfinite()</span></code> methods to
|
|
<code class="xref py py-class docutils literal"><span class="pre">zipline.pipeline.factors.Factor</span></code> (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/861">#861</a>).</li>
|
|
<li>Added <code class="xref py py-class docutils literal"><span class="pre">zipline.pipeline.factors.Returns</span></code>, a built-in factor which
|
|
calculates the percent change in close price over the given
|
|
window_length. (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/884">#884</a>).</li>
|
|
<li>Added a new built-in factor:
|
|
<code class="xref py py-class docutils literal"><span class="pre">AverageDollarVolume</span></code>. (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/927">#927</a>).</li>
|
|
<li>Added <code class="xref py py-class docutils literal"><span class="pre">ExponentialWeightedMovingAverage</span></code> and
|
|
<code class="xref py py-class docutils literal"><span class="pre">ExponentialWeightedMovingStdDev</span></code>
|
|
factors. (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/910">#910</a>).</li>
|
|
<li>Allow <code class="xref py py-class docutils literal"><span class="pre">DataSet</span></code> classes to be subclassed where
|
|
subclasses inherit all of the columns from the parent. These columns will be
|
|
new sentinels so you can register them a custom loader (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/924">#924</a>).</li>
|
|
<li>Added <code class="xref py py-func docutils literal"><span class="pre">coerce()</span></code> to coerce inputs from one
|
|
type into another before passing them to the function (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/948">#948</a>).</li>
|
|
<li>Added <code class="xref py py-func docutils literal"><span class="pre">optionally()</span></code> to wrap other
|
|
preprocessor functions to explicitly allow <code class="docutils literal"><span class="pre">None</span></code> (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/947">#947</a>).</li>
|
|
<li>Added <code class="xref py py-func docutils literal"><span class="pre">ensure_timezone()</span></code> to allow string
|
|
arguments to get converted into <a class="reference external" href="http://docs.python.org/dev/library/datetime.html#datetime.tzinfo" title="(in Python v3.7)"><code class="xref py py-class docutils literal"><span class="pre">datetime.tzinfo</span></code></a> objects. This also
|
|
allows <code class="docutils literal"><span class="pre">tzinfo</span></code> objects to be passed directly (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/947">#947</a>).</li>
|
|
<li>Added two optional arguments, <code class="docutils literal"><span class="pre">data_query_time</span></code> and <code class="docutils literal"><span class="pre">data_query_tz</span></code> to
|
|
<code class="xref py py-class docutils literal"><span class="pre">BlazeLoader</span></code> and
|
|
<code class="xref py py-class docutils literal"><span class="pre">BlazeEarningsCalendarLoader</span></code>.
|
|
These arguments allow the user to specify some cutoff time for data when
|
|
loading from the resource. For example, if I want to simulate executing my
|
|
<code class="docutils literal"><span class="pre">before_trading_start</span></code> function at <code class="docutils literal"><span class="pre">8:45</span> <span class="pre">US/Eastern</span></code> then I could pass
|
|
<code class="docutils literal"><span class="pre">datetime.time(8,</span> <span class="pre">45)</span></code> and <code class="docutils literal"><span class="pre">'US/Eastern'</span></code> to the loader. This means that
|
|
data that is timestamped on or after <code class="docutils literal"><span class="pre">8:45</span></code> will not seen on that day in the
|
|
simulation. The data will be made available on the next day (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/947">#947</a>).</li>
|
|
<li><code class="docutils literal"><span class="pre">BoundColumn.latest</span></code> now returns a
|
|
<code class="xref py py-class docutils literal"><span class="pre">Filter</span></code> for columns of dtype
|
|
<code class="docutils literal"><span class="pre">bool</span></code> (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/962">#962</a>).</li>
|
|
<li>Added support for <code class="xref py py-class docutils literal"><span class="pre">Factor</span></code> instances with
|
|
<code class="docutils literal"><span class="pre">int64</span></code> dtype. <code class="xref py py-class docutils literal"><span class="pre">Column</span></code> now requires
|
|
a <code class="docutils literal"><span class="pre">missing_value</span></code> when dtype is integral. (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/962">#962</a>)</li>
|
|
<li>It is also now possible to specify custom <code class="docutils literal"><span class="pre">missing_value</span></code> values for
|
|
<code class="docutils literal"><span class="pre">float</span></code>, <code class="docutils literal"><span class="pre">datetime</span></code>, and <code class="docutils literal"><span class="pre">bool</span></code> Pipeline terms. (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/962">#962</a>)</li>
|
|
<li>Added auto-close support for equities. Any positions held in an equity that
|
|
reaches its <code class="docutils literal"><span class="pre">auto_close_date</span></code> will be liquidated for cash according to the
|
|
equity’s last sale price. Furthermore, any open orders for that equity will
|
|
be canceled. Both futures and equities are now auto-closed on the morning of
|
|
their <code class="docutils literal"><span class="pre">auto_close_date</span></code>, immediately prior to <code class="docutils literal"><span class="pre">before_trading_start</span></code>.
|
|
(<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/982">#982</a>)</li>
|
|
</ul>
|
|
</div>
|
|
<div class="section" id="id36">
|
|
<h3>Experimental Features<a class="headerlink" href="#id36" title="Permalink to this headline">¶</a></h3>
|
|
<div class="admonition warning">
|
|
<p class="first admonition-title">Warning</p>
|
|
<p class="last">Experimental features are subject to change.</p>
|
|
</div>
|
|
<ul class="simple">
|
|
<li>Added support for parameterized <code class="docutils literal"><span class="pre">Factor</span></code> subclasses. Factors may specify
|
|
<code class="docutils literal"><span class="pre">params</span></code> as a class-level attribute containing a tuple of parameter names.
|
|
These values are then accepted by the constructor and forwarded by name to
|
|
the factor’s <code class="docutils literal"><span class="pre">compute</span></code> function. This API is experimental, and may change
|
|
in future releases.</li>
|
|
</ul>
|
|
</div>
|
|
<div class="section" id="id37">
|
|
<h3>Bug Fixes<a class="headerlink" href="#id37" title="Permalink to this headline">¶</a></h3>
|
|
<ul class="simple">
|
|
<li>Fixes an issue that would cause the daily/minutely method caching to change
|
|
the <code class="docutils literal"><span class="pre">len</span></code> of a <code class="xref py py-class docutils literal"><span class="pre">SIDData</span></code> object. This would cause
|
|
us to think that the object was not empty even when it was (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/826">#826</a>).</li>
|
|
<li>Fixes an error raised in calculating beta when benchmark data were sparse.
|
|
Instead <code class="xref py py-data docutils literal"><span class="pre">numpy.nan</span></code> is returned (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/859">#859</a>).</li>
|
|
<li>Fixed an issue pickling <code class="xref py py-func docutils literal"><span class="pre">sentinel()</span></code> objects
|
|
(<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/872">#872</a>).</li>
|
|
<li>Fixed spurious warnings on first download of treasury data (:issue <cite>922</cite>).</li>
|
|
<li>Corrected the error messages for <code class="xref py py-func docutils literal"><span class="pre">set_commission()</span></code> and
|
|
<code class="xref py py-func docutils literal"><span class="pre">set_slippage()</span></code> when used outside of the <code class="docutils literal"><span class="pre">initialize</span></code>
|
|
function. These errors called the functions <code class="docutils literal"><span class="pre">override_*</span></code> instead of
|
|
<code class="docutils literal"><span class="pre">set_*</span></code>. This also renamed the exception types raised from
|
|
<code class="docutils literal"><span class="pre">OverrideSlippagePostInit</span></code> and <code class="docutils literal"><span class="pre">OverrideCommissionPostInit</span></code> to
|
|
<code class="xref py py-class docutils literal"><span class="pre">SetSlippagePostInit</span></code> and
|
|
<code class="xref py py-class docutils literal"><span class="pre">SetCommissionPostInit</span></code> (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/923">#923</a>).</li>
|
|
<li>Fixed an issue in the CLI that would cause assets to be added twice.
|
|
This would map the same symbol to two different sids (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/942">#942</a>).</li>
|
|
<li>Fixed an issue where the
|
|
<code class="xref py py-class docutils literal"><span class="pre">PerformancePeriod</span></code> incorrectly
|
|
reported the total_positions_value when creating a
|
|
<code class="xref py py-class docutils literal"><span class="pre">Account</span></code> (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/950">#950</a>).</li>
|
|
<li>Fixed issues around KeyErrors coming from history and BarData on 32-bit
|
|
python, where Assets did not compare properly with int64s (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/959">#959</a>).</li>
|
|
<li>Fixed a bug where boolean operators were not properly implemented on
|
|
<code class="xref py py-class docutils literal"><span class="pre">Filter</span></code> (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/991">#991</a>).</li>
|
|
<li>Installation of zipline no longer downgrades numpy to 1.9.2 silently and
|
|
unconditionally (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/969">#969</a>).</li>
|
|
</ul>
|
|
</div>
|
|
<div class="section" id="id38">
|
|
<h3>Performance<a class="headerlink" href="#id38" title="Permalink to this headline">¶</a></h3>
|
|
<ul class="simple">
|
|
<li>Speeds up <code class="xref py py-meth docutils literal"><span class="pre">lookup_symbol()</span></code> by adding
|
|
an extension, <code class="xref py py-class docutils literal"><span class="pre">AssetFinderCachedEquities</span></code>, that
|
|
loads equities into dictionaries and then directs
|
|
<code class="xref py py-meth docutils literal"><span class="pre">lookup_symbol()</span></code> to these dictionaries
|
|
to find matching equities (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/830">#830</a>).</li>
|
|
<li>Improved performance of
|
|
<code class="xref py py-meth docutils literal"><span class="pre">lookup_symbol()</span></code> by performing
|
|
batched queries. (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/817">#817</a>).</li>
|
|
</ul>
|
|
</div>
|
|
<div class="section" id="id39">
|
|
<h3>Maintenance and Refactorings<a class="headerlink" href="#id39" title="Permalink to this headline">¶</a></h3>
|
|
<ul class="simple">
|
|
<li>Asset databases now contain version information to ensure compatibility
|
|
with current Zipline version (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/815">#815</a>).</li>
|
|
<li>Upgrade <code class="docutils literal"><span class="pre">requests</span></code> version to 2.9.1 (<a class="reference external" href="https://github.com/enigmampc/catalyst/commit/2ee40db">2ee40db</a>)</li>
|
|
<li>Upgrade <code class="docutils literal"><span class="pre">logbook</span></code> version to 0.12.5 (<a class="reference external" href="https://github.com/enigmampc/catalyst/commit/11465d9">11465d9</a>).</li>
|
|
<li>Upgrade <code class="docutils literal"><span class="pre">Cython</span></code> version to 0.23.4 (<a class="reference external" href="https://github.com/enigmampc/catalyst/commit/5f49fa2">5f49fa2</a>).</li>
|
|
</ul>
|
|
</div>
|
|
<div class="section" id="id40">
|
|
<h3>Build<a class="headerlink" href="#id40" title="Permalink to this headline">¶</a></h3>
|
|
<ul class="simple">
|
|
<li>Makes zipline install requirements more flexible (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/825">#825</a>).</li>
|
|
<li>Use <code class="docutils literal"><span class="pre">versioneer</span></code> to manage the project <code class="docutils literal"><span class="pre">__version__</span></code> and setup.py version
|
|
(<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/829">#829</a>).</li>
|
|
<li>Fixed coveralls integration on travis build (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/840">#840</a>).</li>
|
|
<li>Fixed conda build, which now uses git source as its source and reads
|
|
requirements using setup.py, instead of copying them and letting them get out
|
|
of sync (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/937">#937</a>).</li>
|
|
<li>Require <code class="docutils literal"><span class="pre">setuptools</span></code> > 18.0 (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/951">#951</a>).</li>
|
|
</ul>
|
|
</div>
|
|
<div class="section" id="id41">
|
|
<h3>Documentation<a class="headerlink" href="#id41" title="Permalink to this headline">¶</a></h3>
|
|
<ul class="simple">
|
|
<li>Document the release process for developers (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/835">#835</a>).</li>
|
|
<li>Added reference docs for the Pipeline API. (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/864">#864</a>).</li>
|
|
<li>Added reference docs for Asset Metadata APIs. (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/864">#864</a>).</li>
|
|
<li>Generated documentation now includes links to source code for many classes
|
|
and functions. (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/864">#864</a>).</li>
|
|
<li>Added platform-specific documentation describing how to find binary
|
|
dependencies. (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/883">#883</a>).</li>
|
|
</ul>
|
|
</div>
|
|
<div class="section" id="id42">
|
|
<h3>Miscellaneous<a class="headerlink" href="#id42" title="Permalink to this headline">¶</a></h3>
|
|
<ul class="simple">
|
|
<li>Added a <code class="xref py py-meth docutils literal"><span class="pre">show_graph()</span></code> method to render
|
|
a Pipeline as an image (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/836">#836</a>).</li>
|
|
<li>Adds <code class="xref py py-func docutils literal"><span class="pre">subtest()</span></code> decorator for creating subtests
|
|
without <code class="xref py py-func docutils literal"><span class="pre">nose_parameterized.expand()</span></code> which bloats the test output
|
|
(<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/833">#833</a>).</li>
|
|
<li>Limits timer report in test output to 15 longest tests (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/838">#838</a>).</li>
|
|
<li>Treasury and benchmark downloads will now wait up to an hour to download
|
|
again if data returned from a remote source does not extend to the date
|
|
expected. (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/841">#841</a>).</li>
|
|
<li>Added a tool to downgrade the assets db to previous versions (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/941">#941</a>).</li>
|
|
</ul>
|
|
</div>
|
|
</div>
|
|
<div class="section" id="release-0-8-3">
|
|
<h2>Release 0.8.3<a class="headerlink" href="#release-0-8-3" title="Permalink to this headline">¶</a></h2>
|
|
<table class="docutils field-list" frame="void" rules="none">
|
|
<col class="field-name" />
|
|
<col class="field-body" />
|
|
<tbody valign="top">
|
|
<tr class="field-odd field"><th class="field-name">Release:</th><td class="field-body">0.8.3</td>
|
|
</tr>
|
|
<tr class="field-even field"><th class="field-name">Date:</th><td class="field-body">November 6, 2015</td>
|
|
</tr>
|
|
</tbody>
|
|
</table>
|
|
<div class="admonition note">
|
|
<p class="first admonition-title">Note</p>
|
|
<p class="last">We advanced the version to <code class="docutils literal"><span class="pre">0.8.3</span></code> to fix a source distribution issue with
|
|
pypi. There are no code changes in this version.</p>
|
|
</div>
|
|
</div>
|
|
<div class="section" id="release-0-8-0">
|
|
<h2>Release 0.8.0<a class="headerlink" href="#release-0-8-0" title="Permalink to this headline">¶</a></h2>
|
|
<table class="docutils field-list" frame="void" rules="none">
|
|
<col class="field-name" />
|
|
<col class="field-body" />
|
|
<tbody valign="top">
|
|
<tr class="field-odd field"><th class="field-name">Release:</th><td class="field-body">0.8.0</td>
|
|
</tr>
|
|
<tr class="field-even field"><th class="field-name">Date:</th><td class="field-body">November 6, 2015</td>
|
|
</tr>
|
|
</tbody>
|
|
</table>
|
|
<div class="section" id="id43">
|
|
<h3>Highlights<a class="headerlink" href="#id43" title="Permalink to this headline">¶</a></h3>
|
|
<ul class="simple">
|
|
<li>New documentation system with a new website at
|
|
<a class="reference external" href="http://www.zipline.io">zipline.io</a></li>
|
|
<li>Major performance enhancements.</li>
|
|
<li>Dynamic history.</li>
|
|
<li>New user defined method: <code class="docutils literal"><span class="pre">before_trading_start</span></code>.</li>
|
|
<li>New api function: <code class="xref py py-func docutils literal"><span class="pre">schedule_function()</span></code>.</li>
|
|
<li>New api function: <code class="xref py py-func docutils literal"><span class="pre">get_environment()</span></code>.</li>
|
|
<li>New api function: <code class="xref py py-func docutils literal"><span class="pre">set_max_leverage()</span></code>.</li>
|
|
<li>New api function: <code class="xref py py-func docutils literal"><span class="pre">set_do_not_order_list()</span></code>.</li>
|
|
<li>Pipeline API.</li>
|
|
<li>Support for trading futures.</li>
|
|
</ul>
|
|
</div>
|
|
<div class="section" id="id44">
|
|
<h3>Enhancements<a class="headerlink" href="#id44" title="Permalink to this headline">¶</a></h3>
|
|
<ul>
|
|
<li><p class="first">Account object: Adds an account object to context to track information about
|
|
the trading account.
|
|
Example:</p>
|
|
<div class="highlight-python"><div class="highlight"><pre><span class="n">context</span><span class="o">.</span><span class="n">account</span><span class="o">.</span><span class="n">settled_cash</span>
|
|
</pre></div>
|
|
</div>
|
|
<p>Returns the settled cash value that is stored on the account object.
|
|
This value is updated accordingly as the algorithm is run (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/396">#396</a>).</p>
|
|
</li>
|
|
<li><p class="first"><code class="xref py py-class docutils literal"><span class="pre">HistoryContainer</span></code> can now grow
|
|
dynamically. Calls to <code class="xref py py-func docutils literal"><span class="pre">history()</span></code> will now be able to increase
|
|
the size or change the shape of the history container to be able to service the
|
|
call. <code class="xref py py-func docutils literal"><span class="pre">add_history()</span></code> now acts as a preformance hint to
|
|
pre-allocate sufficient space in the container. This change is backwards
|
|
compatible with <code class="docutils literal"><span class="pre">history</span></code>, all existing algorithms should continue to work as
|
|
intended (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/412">#412</a>).</p>
|
|
</li>
|
|
<li><p class="first">Simple transforms ported from quantopian and use history.
|
|
<code class="xref py py-class docutils literal"><span class="pre">SIDData</span></code> now has methods for:</p>
|
|
<ul class="simple">
|
|
<li><code class="docutils literal"><span class="pre">stddev</span></code></li>
|
|
<li><code class="docutils literal"><span class="pre">mavg</span></code></li>
|
|
<li><code class="docutils literal"><span class="pre">vwap</span></code></li>
|
|
<li><code class="docutils literal"><span class="pre">returns</span></code></li>
|
|
</ul>
|
|
<p>These methods, except for <code class="docutils literal"><span class="pre">returns</span></code>, accept a number of days. If
|
|
you are running with minute data, then this will calculate the
|
|
number of minutes in those days, accounting for early closes and the
|
|
current time and apply the transform over the set of minutes.
|
|
<code class="docutils literal"><span class="pre">returns</span></code> takes no parameters and will return the daily returns of
|
|
the given asset.
|
|
Example:</p>
|
|
<div class="code python highlight-python"><div class="highlight"><pre><span class="n">data</span><span class="p">[</span><span class="n">security</span><span class="p">]</span><span class="o">.</span><span class="n">stddev</span><span class="p">(</span><span class="mi">3</span><span class="p">)</span>
|
|
</pre></div>
|
|
</div>
|
|
<p>(<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/429">#429</a>).</p>
|
|
</li>
|
|
<li><p class="first">New fields in Performance Period.
|
|
Performance Period has new fields accessible in return value of
|
|
<code class="docutils literal"><span class="pre">to_dict</span></code>:
|
|
- gross leverage
|
|
- net leverage
|
|
- short exposure
|
|
- long exposure
|
|
- shorts count
|
|
- longs count
|
|
(<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/464">#464</a>).</p>
|
|
</li>
|
|
<li><p class="first">Allow <code class="xref py py-func docutils literal"><span class="pre">order_percent()</span></code> to work with various market values
|
|
(by Jeremiah Lowin).</p>
|
|
<p>Currently, <code class="xref py py-func docutils literal"><span class="pre">order_percent()</span></code> and
|
|
<code class="xref py py-func docutils literal"><span class="pre">order_target_percent()</span></code> both operate as a percentage of
|
|
<code class="docutils literal"><span class="pre">self.portfolio.portfolio_value</span></code>. This PR lets them operate as percentages
|
|
of other important MVs.
|
|
Also adds <code class="docutils literal"><span class="pre">context.get_market_value()</span></code>, which enables this
|
|
functionality.
|
|
For example:</p>
|
|
<div class="highlight-python"><div class="highlight"><pre><span class="c"># this is how it works today (and this still works)</span>
|
|
<span class="c"># put 50% of my portfolio in AAPL</span>
|
|
<span class="n">order_percent</span><span class="p">(</span><span class="s">'AAPL'</span><span class="p">,</span> <span class="mf">0.5</span><span class="p">)</span>
|
|
<span class="c"># note that if this were a fully invested portfolio, it would become 150% levered.</span>
|
|
|
|
<span class="c"># take half of my available cash and buy AAPL</span>
|
|
<span class="n">order_percent</span><span class="p">(</span><span class="s">'AAPL'</span><span class="p">,</span> <span class="mf">0.5</span><span class="p">,</span> <span class="n">percent_of</span><span class="o">=</span><span class="s">'cash'</span><span class="p">)</span>
|
|
|
|
<span class="c"># rebalance my short position, as a percentage of my current short</span>
|
|
<span class="n">book_target_percent</span><span class="p">(</span><span class="s">'MSFT'</span><span class="p">,</span> <span class="mf">0.1</span><span class="p">,</span> <span class="n">percent_of</span><span class="o">=</span><span class="s">'shorts'</span><span class="p">)</span>
|
|
|
|
<span class="c"># rebalance within a custom group of stocks</span>
|
|
<span class="n">tech_stocks</span> <span class="o">=</span> <span class="p">(</span><span class="s">'AAPL'</span><span class="p">,</span> <span class="s">'MSFT'</span><span class="p">,</span> <span class="s">'GOOGL'</span><span class="p">)</span>
|
|
<span class="n">tech_filter</span> <span class="o">=</span> <span class="k">lambda</span> <span class="n">p</span><span class="p">:</span> <span class="n">p</span><span class="o">.</span><span class="n">sid</span> <span class="ow">in</span> <span class="n">tech_stocks</span>
|
|
<span class="k">for</span> <span class="n">stock</span> <span class="ow">in</span> <span class="n">tech_stocks</span><span class="p">:</span>
|
|
<span class="n">order_target_percent</span><span class="p">(</span><span class="n">stock</span><span class="p">,</span> <span class="mi">1</span><span class="o">/</span><span class="mi">3</span><span class="p">,</span> <span class="n">percent_of_fn</span><span class="o">=</span><span class="n">tech_filter</span><span class="p">)</span>
|
|
</pre></div>
|
|
</div>
|
|
<p>(<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/477">#477</a>).</p>
|
|
</li>
|
|
<li><p class="first">Command line option to for printing algo to stdout (by Andrea D’Amore)
|
|
(<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/545">#545</a>).</p>
|
|
</li>
|
|
<li><p class="first">New user defined function <code class="docutils literal"><span class="pre">before_trading_start</span></code>. This function can be
|
|
overridden by the user to be called once before the market opens every
|
|
day (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/389">#389</a>).</p>
|
|
</li>
|
|
<li><p class="first">New api function <code class="xref py py-func docutils literal"><span class="pre">schedule_function()</span></code>. This function allows
|
|
the user to schedule a function to be called based on more complicated rules
|
|
about the date and time. For example, call the function 15 minutes before
|
|
market close respecting early closes (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/411">#411</a>).</p>
|
|
</li>
|
|
<li><p class="first">New api function <code class="xref py py-func docutils literal"><span class="pre">set_do_not_order_list()</span></code>. This function accepts a list
|
|
of assets and adds a trading guard that prevents the algorithm from
|
|
trading them. Adds a list point in time list of leveraged ETFs that people may
|
|
want to mark as ‘do not trade’ (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/478">#478</a>).</p>
|
|
</li>
|
|
<li><p class="first">Adds a class for representing securities. <code class="xref py py-func docutils literal"><span class="pre">order()</span></code> and other
|
|
order functions now require an instance of <code class="docutils literal"><span class="pre">Security</span></code>
|
|
instead of an int or string (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/520">#520</a>).</p>
|
|
</li>
|
|
<li><p class="first">Generalize the <code class="docutils literal"><span class="pre">Security</span></code> class to <code class="xref py py-class docutils literal"><span class="pre">Asset</span></code>. This is
|
|
in preperation of adding support for other asset types (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/535">#535</a>).</p>
|
|
</li>
|
|
<li><p class="first">New api function <code class="xref py py-func docutils literal"><span class="pre">get_environment()</span></code>. This function by
|
|
default returns the string <code class="docutils literal"><span class="pre">'zipline'</span></code>. This is used so that algorithms can
|
|
have different behavior on Quantopian and local zipline (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/384">#384</a>).</p>
|
|
</li>
|
|
<li><p class="first">Extends <code class="xref py py-func docutils literal"><span class="pre">get_environment()</span></code> to expose more of the environment
|
|
to the algorithm. The function now accepts an argument that is the field to
|
|
return. By default, this is <code class="docutils literal"><span class="pre">'platform'</span></code> which returns the old value of
|
|
<code class="docutils literal"><span class="pre">'zipline'</span></code> but the following new fields can be requested:</p>
|
|
<ul class="simple">
|
|
<li><code class="docutils literal"><span class="pre">''arena'</span></code>: Is this live trading or backtesting?</li>
|
|
<li><code class="docutils literal"><span class="pre">'data_frequency'</span></code>: Is this minute mode or daily mode?</li>
|
|
<li><code class="docutils literal"><span class="pre">'start'</span></code>: Simulation start date.</li>
|
|
<li><code class="docutils literal"><span class="pre">'end'</span></code>: Simulation end date.</li>
|
|
<li><code class="docutils literal"><span class="pre">'capital_base'</span></code>: The starting capital for the simulation.</li>
|
|
<li><code class="docutils literal"><span class="pre">'platform'</span></code>: The platform that the algorithm is running on.</li>
|
|
<li><code class="docutils literal"><span class="pre">'*'</span></code>: A dictionary containing all of these fields.</li>
|
|
</ul>
|
|
<p>(<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/449">#449</a>).</p>
|
|
</li>
|
|
<li><p class="first">New api function <code class="xref py py-func docutils literal"><span class="pre">set_max_leveraged()</span></code>. This method adds a
|
|
trading guard that prevents your algorithm from over leveraging itself
|
|
(<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/552">#552</a>).</p>
|
|
</li>
|
|
</ul>
|
|
</div>
|
|
<div class="section" id="id45">
|
|
<h3>Experimental Features<a class="headerlink" href="#id45" title="Permalink to this headline">¶</a></h3>
|
|
<div class="admonition warning">
|
|
<p class="first admonition-title">Warning</p>
|
|
<p class="last">Experimental features are subject to change.</p>
|
|
</div>
|
|
<ul class="simple">
|
|
<li>Adds new Pipeline API. The pipeline API is a high-level declarative API for
|
|
representing trailing window computations on large datasets (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/630">#630</a>).</li>
|
|
<li>Adds support for futures trading (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/637">#637</a>).</li>
|
|
<li>Adds Pipeline loader for blaze expressions. This allows users to pull data
|
|
from any format blaze understands and use it in the Pipeline
|
|
API. (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/775">#775</a>).</li>
|
|
</ul>
|
|
</div>
|
|
<div class="section" id="id46">
|
|
<h3>Bug Fixes<a class="headerlink" href="#id46" title="Permalink to this headline">¶</a></h3>
|
|
<ul class="simple">
|
|
<li>Fix a bug where the reported returns could sharply dip for random periods of
|
|
time (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/378">#378</a>).</li>
|
|
<li>Fix a bug that prevented debuggers from resolving the algorithm file
|
|
(<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/431">#431</a>).</li>
|
|
<li>Properly forward arguments to user defined <code class="docutils literal"><span class="pre">initialize</span></code> function
|
|
(<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/687">#687</a>).</li>
|
|
<li>Fix a bug that would cause treasury data to be redownloaded every backtest
|
|
between midnight EST and the time when the treasury data was available
|
|
(<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/793">#793</a>).</li>
|
|
<li>Fix a bug that would cause the user defined <code class="docutils literal"><span class="pre">analyze</span></code> function to not be
|
|
called if it was passed as a keyword argument to
|
|
<code class="xref py py-class docutils literal"><span class="pre">TradingAlgorithm</span></code> (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/819">#819</a>).</li>
|
|
</ul>
|
|
</div>
|
|
<div class="section" id="id47">
|
|
<h3>Performance<a class="headerlink" href="#id47" title="Permalink to this headline">¶</a></h3>
|
|
<ul class="simple">
|
|
<li>Major performance enhancements to history (by Dale Jung) (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/488">#488</a>).</li>
|
|
</ul>
|
|
</div>
|
|
<div class="section" id="id48">
|
|
<h3>Maintenance and Refactorings<a class="headerlink" href="#id48" title="Permalink to this headline">¶</a></h3>
|
|
<ul class="simple">
|
|
<li>Remove simple transform code. These are available as methods of
|
|
<code class="xref py py-class docutils literal"><span class="pre">SIDData</span></code> (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/550">#550</a>).</li>
|
|
</ul>
|
|
</div>
|
|
<div class="section" id="id49">
|
|
<h3>Build<a class="headerlink" href="#id49" title="Permalink to this headline">¶</a></h3>
|
|
<p>None</p>
|
|
</div>
|
|
<div class="section" id="id50">
|
|
<h3>Documentation<a class="headerlink" href="#id50" title="Permalink to this headline">¶</a></h3>
|
|
<ul class="simple">
|
|
<li>Switched to sphinx for the documentation (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/816">#816</a>).</li>
|
|
</ul>
|
|
</div>
|
|
</div>
|
|
<div class="section" id="release-0-7-0">
|
|
<h2>Release 0.7.0<a class="headerlink" href="#release-0-7-0" title="Permalink to this headline">¶</a></h2>
|
|
<table class="docutils field-list" frame="void" rules="none">
|
|
<col class="field-name" />
|
|
<col class="field-body" />
|
|
<tbody valign="top">
|
|
<tr class="field-odd field"><th class="field-name">Release:</th><td class="field-body">0.7.0</td>
|
|
</tr>
|
|
<tr class="field-even field"><th class="field-name">Date:</th><td class="field-body">July 25, 2014</td>
|
|
</tr>
|
|
</tbody>
|
|
</table>
|
|
<div class="section" id="id51">
|
|
<h3>Highlights<a class="headerlink" href="#id51" title="Permalink to this headline">¶</a></h3>
|
|
<ul class="simple">
|
|
<li>Command line interface to run algorithms directly.</li>
|
|
<li>IPython Magic <code class="docutils literal"><span class="pre">%%zipline</span></code> that runs algorithm defined in an IPython
|
|
notebook cell.</li>
|
|
<li>API methods for building safeguards against runaway ordering and
|
|
undesired short positions.</li>
|
|
<li>New history() function to get a moving DataFrame of past market data
|
|
(replaces BatchTransform).</li>
|
|
<li>A new <a class="reference external" href="http://nbviewer.ipython.org/github/quantopian/zipline/blob/master/docs/tutorial.ipynb">beginner
|
|
tutorial</a>.</li>
|
|
</ul>
|
|
</div>
|
|
<div class="section" id="id52">
|
|
<h3>Enhancements<a class="headerlink" href="#id52" title="Permalink to this headline">¶</a></h3>
|
|
<ul>
|
|
<li><p class="first">CLI: Adds a CLI and IPython magic for zipline.
|
|
Example:</p>
|
|
<div class="highlight-python"><div class="highlight"><pre>python run_algo.py -f dual_moving_avg.py --symbols AAPL --start 2011-1-1 --end 2012-1-1 -o dma.pickle
|
|
</pre></div>
|
|
</div>
|
|
<p>Grabs the data from yahoo finance, runs the file
|
|
dual_moving_avg.py (and looks for <code class="docutils literal"><span class="pre">dual_moving_avg_analyze.py</span></code>
|
|
which, if found, will be executed after the algorithm has been run),
|
|
and outputs the perf <code class="docutils literal"><span class="pre">DataFrame</span></code> to <code class="docutils literal"><span class="pre">dma.pickle</span></code> (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/325">#325</a>).</p>
|
|
</li>
|
|
</ul>
|
|
<ul>
|
|
<li><p class="first">IPython magic command (at the top of an IPython notebook cell).
|
|
Example:</p>
|
|
<div class="highlight-python"><div class="highlight"><pre>%%zipline --symbols AAPL --start 2011-1-1 --end 2012-1-1 -o perf
|
|
</pre></div>
|
|
</div>
|
|
<p>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 (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/325">#325</a>).</p>
|
|
</li>
|
|
</ul>
|
|
<ul>
|
|
<li><p class="first">Adds Trading Controls to the algorithm API.</p>
|
|
<p>The following functions are now available on <code class="docutils literal"><span class="pre">TradingAlgorithm</span></code>
|
|
and for algo scripts:</p>
|
|
<p><code class="docutils literal"><span class="pre">set_max_order_size(self,</span> <span class="pre">sid=None,</span> <span class="pre">max_shares=None,</span> <span class="pre">max_notional=None)</span></code>
|
|
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 <code class="docutils literal"><span class="pre">sid</span></code> is None, then the rule is applied to any order
|
|
placed by the algorithm.
|
|
Example:</p>
|
|
<div class="highlight-python"><div class="highlight"><pre><span class="k">def</span> <span class="nf">initialize</span><span class="p">(</span><span class="n">context</span><span class="p">):</span>
|
|
<span class="c"># Algorithm will raise an exception if we attempt to place an</span>
|
|
<span class="c"># order which would cause us to hold more than 10 shares</span>
|
|
<span class="c"># or 1000 dollars worth of sid(24).</span>
|
|
<span class="n">set_max_order_size</span><span class="p">(</span><span class="n">sid</span><span class="p">(</span><span class="mi">24</span><span class="p">),</span> <span class="n">max_shares</span><span class="o">=</span><span class="mi">10</span><span class="p">,</span> <span class="n">max_notional</span><span class="o">=</span><span class="mf">1000.0</span><span class="p">)</span>
|
|
</pre></div>
|
|
</div>
|
|
<p><code class="docutils literal"><span class="pre">set_max_position_size(self,</span> <span class="pre">sid=None,</span> <span class="pre">max_shares=None,</span> <span class="pre">max_notional=None)</span></code>
|
|
-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 <code class="docutils literal"><span class="pre">sid</span></code> is None, then the rule is applied to any position
|
|
held by the algorithm.
|
|
Example:</p>
|
|
<div class="highlight-python"><div class="highlight"><pre><span class="k">def</span> <span class="nf">initialize</span><span class="p">(</span><span class="n">context</span><span class="p">):</span>
|
|
<span class="c"># Algorithm will raise an exception if we attempt to order more than</span>
|
|
<span class="c"># 10 shares or 1000 dollars worth of sid(24) in a single order.</span>
|
|
<span class="n">set_max_order_size</span><span class="p">(</span><span class="n">sid</span><span class="p">(</span><span class="mi">24</span><span class="p">),</span> <span class="n">max_shares</span><span class="o">=</span><span class="mi">10</span><span class="p">,</span> <span class="n">max_notional</span><span class="o">=</span><span class="mf">1000.0</span><span class="p">)</span>
|
|
|
|
<span class="sb">``</span><span class="n">set_max_order_count</span><span class="p">(</span><span class="bp">self</span><span class="p">,</span> <span class="n">max_count</span><span class="p">)</span><span class="sb">``</span>
|
|
<span class="n">Set</span> <span class="n">a</span> <span class="n">limit</span> <span class="n">on</span> <span class="n">the</span> <span class="n">number</span> <span class="n">of</span> <span class="n">orders</span> <span class="n">that</span> <span class="n">can</span> <span class="n">be</span> <span class="n">placed</span> <span class="n">by</span> <span class="n">the</span> <span class="n">algorithm</span> <span class="ow">in</span>
|
|
<span class="n">a</span> <span class="n">single</span> <span class="n">trading</span> <span class="n">day</span><span class="o">.</span>
|
|
<span class="n">Example</span><span class="p">:</span>
|
|
</pre></div>
|
|
</div>
|
|
<div class="highlight-python"><div class="highlight"><pre><span class="k">def</span> <span class="nf">initialize</span><span class="p">(</span><span class="n">context</span><span class="p">):</span>
|
|
<span class="c"># Algorithm will raise an exception if more than 50 orders are placed in a day.</span>
|
|
<span class="n">set_max_order_count</span><span class="p">(</span><span class="mi">50</span><span class="p">)</span>
|
|
</pre></div>
|
|
</div>
|
|
<p><code class="docutils literal"><span class="pre">set_long_only(self)</span></code>
|
|
Set a rule specifying that the
|
|
algorithm may not hold short positions.
|
|
Example:</p>
|
|
<div class="highlight-python"><div class="highlight"><pre><span class="k">def</span> <span class="nf">initialize</span><span class="p">(</span><span class="n">context</span><span class="p">):</span>
|
|
<span class="c"># Algorithm will raise an exception if it attempts to place</span>
|
|
<span class="c"># an order that would cause it to hold a short position.</span>
|
|
<span class="n">set_long_only</span><span class="p">()</span>
|
|
</pre></div>
|
|
</div>
|
|
<p>(<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/329">#329</a>).</p>
|
|
</li>
|
|
<li><p class="first">Adds an <code class="docutils literal"><span class="pre">all_api_methods</span></code> classmethod on <code class="docutils literal"><span class="pre">TradingAlgorithm</span></code> that
|
|
returns a list of all <code class="docutils literal"><span class="pre">TradingAlgorithm</span></code> API methods (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/333">#333</a>).</p>
|
|
</li>
|
|
<li><p class="first">Expanded record() functionality for dynamic naming.
|
|
The record() function can now take positional args before the
|
|
kwargs. All original usage and functionality is the same, but now
|
|
these extra usages will work:</p>
|
|
<div class="highlight-python"><div class="highlight"><pre><span class="n">name</span> <span class="o">=</span> <span class="s">'Dynamically_Generated_String'</span>
|
|
<span class="n">record</span><span class="p">(</span> <span class="n">name</span><span class="p">,</span> <span class="n">value</span><span class="p">,</span> <span class="o">...</span> <span class="p">)</span>
|
|
<span class="n">record</span><span class="p">(</span> <span class="n">name</span><span class="p">,</span> <span class="n">value1</span><span class="p">,</span> <span class="s">'name2'</span><span class="p">,</span> <span class="n">value2</span><span class="p">,</span> <span class="n">name3</span><span class="o">=</span><span class="n">value3</span><span class="p">,</span> <span class="n">name4</span><span class="o">=</span><span class="n">value4</span> <span class="p">)</span>
|
|
</pre></div>
|
|
</div>
|
|
<p>The requirements are simply that the poritional args occur only
|
|
before the kwargs (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/355">#355</a>).</p>
|
|
</li>
|
|
<li><p class="first">history() has been ported from Quantopian to Zipline and provides
|
|
moving window of market data.
|
|
history() replaces BatchTransform. It is faster, works for minute level data
|
|
and has a superior interface. To use it, call <code class="docutils literal"><span class="pre">add_history()</span></code> inside of
|
|
<code class="docutils literal"><span class="pre">initialize()</span></code> and then receive a pandas <code class="docutils literal"><span class="pre">DataFrame</span></code> by calling history()
|
|
from inside <code class="docutils literal"><span class="pre">handle_data()</span></code>. Check out the <a class="reference external" href="http://nbviewer.ipython.org/github/quantopian/zipline/blob/master/docs/tutorial.ipynb">tutorial</a>
|
|
and an <a class="reference external" href="https://github.com/quantopian/zipline/blob/master/zipline/examples/dual_moving_average.py">example</a>.
|
|
(<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/345">#345</a> and <a class="reference external" href="https://github.com/enigmampc/catalyst/issues/357">#357</a>).</p>
|
|
</li>
|
|
<li><p class="first">history() now supports <code class="docutils literal"><span class="pre">1m</span></code> window lengths (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/345">#345</a>).</p>
|
|
</li>
|
|
</ul>
|
|
</div>
|
|
<div class="section" id="id53">
|
|
<h3>Bug Fixes<a class="headerlink" href="#id53" title="Permalink to this headline">¶</a></h3>
|
|
<ul class="simple">
|
|
<li>Fix alignment of trading days and open and closes in trading
|
|
environment (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/331">#331</a>).</li>
|
|
<li>RollingPanel fix when adding/dropping new fields (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/349">#349</a>).</li>
|
|
</ul>
|
|
</div>
|
|
<div class="section" id="id54">
|
|
<h3>Performance<a class="headerlink" href="#id54" title="Permalink to this headline">¶</a></h3>
|
|
<p>None</p>
|
|
</div>
|
|
<div class="section" id="id55">
|
|
<h3>Maintenance and Refactorings<a class="headerlink" href="#id55" title="Permalink to this headline">¶</a></h3>
|
|
<ul class="simple">
|
|
<li>Removed undocumented and untested HDF5 and CSV data sources (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/267">#267</a>).</li>
|
|
<li>Refactor sim_params (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/352">#352</a>).</li>
|
|
<li>Refactoring of history (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/340">#340</a>).</li>
|
|
</ul>
|
|
</div>
|
|
<div class="section" id="id56">
|
|
<h3>Build<a class="headerlink" href="#id56" title="Permalink to this headline">¶</a></h3>
|
|
<ul>
|
|
<li><p class="first">The following dependencies have been updated (zipline might work with
|
|
other versions too):</p>
|
|
<div class="highlight-diff"><div class="highlight"><pre><span class="gd">-pytz==2013.9</span>
|
|
<span class="gi">+pytz==2014.4</span>
|
|
<span class="gi">+numpy==1.8.1</span>
|
|
<span class="gd">-numpy==1.8.0</span>
|
|
<span class="gi">+scipy==0.12.0</span>
|
|
<span class="gi">+patsy==0.2.1</span>
|
|
<span class="gi">+statsmodels==0.5.0</span>
|
|
<span class="gd">-six==1.5.2</span>
|
|
<span class="gi">+six==1.6.1</span>
|
|
<span class="gd">-Cython==0.20</span>
|
|
<span class="gi">+Cython==0.20.1</span>
|
|
<span class="gd">-TA-Lib==0.4.8</span>
|
|
<span class="gi">+--allow-external TA-Lib --allow-unverified TA-Lib TA-Lib==0.4.8</span>
|
|
<span class="gd">-requests==2.2.0</span>
|
|
<span class="gi">+requests==2.3.0</span>
|
|
<span class="gd">-nose==1.3.0</span>
|
|
<span class="gi">+nose==1.3.3</span>
|
|
<span class="gd">-xlrd==0.9.2</span>
|
|
<span class="gi">+xlrd==0.9.3</span>
|
|
<span class="gd">-pep8==1.4.6</span>
|
|
<span class="gi">+pep8==1.5.7</span>
|
|
<span class="gd">-pyflakes==0.7.3</span>
|
|
<span class="gd">-pip-tools==0.3.4</span>
|
|
<span class="gi">+pyflakes==0.8.1`</span>
|
|
<span class="gd">-scipy==0.13.2</span>
|
|
<span class="gd">-tornado==3.2</span>
|
|
<span class="gd">-pyparsing==2.0.1</span>
|
|
<span class="gd">-patsy==0.2.1</span>
|
|
<span class="gd">-statsmodels==0.4.3</span>
|
|
<span class="gi">+tornado==3.2.1</span>
|
|
<span class="gi">+pyparsing==2.0.2</span>
|
|
<span class="gd">-Markdown==2.3.1</span>
|
|
<span class="gi">+Markdown==2.4.1</span>
|
|
</pre></div>
|
|
</div>
|
|
</li>
|
|
</ul>
|
|
</div>
|
|
<div class="section" id="contributors">
|
|
<h3>Contributors<a class="headerlink" href="#contributors" title="Permalink to this headline">¶</a></h3>
|
|
<p>The following people have contributed to this release, ordered by
|
|
numbers of commit:</p>
|
|
<div class="highlight-python"><div class="highlight"><pre>38 Scott Sanderson
|
|
29 Thomas Wiecki
|
|
26 Eddie Hebert
|
|
6 Delaney Granizo-Mackenzie
|
|
3 David Edwards
|
|
3 Richard Frank
|
|
2 Jonathan Kamens
|
|
1 Pankaj Garg
|
|
1 Tony Lambiris
|
|
1 fawce
|
|
</pre></div>
|
|
</div>
|
|
</div>
|
|
</div>
|
|
<div class="section" id="release-0-6-1">
|
|
<h2>Release 0.6.1<a class="headerlink" href="#release-0-6-1" title="Permalink to this headline">¶</a></h2>
|
|
<table class="docutils field-list" frame="void" rules="none">
|
|
<col class="field-name" />
|
|
<col class="field-body" />
|
|
<tbody valign="top">
|
|
<tr class="field-odd field"><th class="field-name">Release:</th><td class="field-body">0.6.1</td>
|
|
</tr>
|
|
<tr class="field-even field"><th class="field-name">Date:</th><td class="field-body">April 23, 2014</td>
|
|
</tr>
|
|
</tbody>
|
|
</table>
|
|
<div class="section" id="id57">
|
|
<h3>Highlights<a class="headerlink" href="#id57" title="Permalink to this headline">¶</a></h3>
|
|
<ul class="simple">
|
|
<li>Major fixes to risk calculations, see Bug Fixes section.</li>
|
|
<li>Port of <code class="docutils literal"><span class="pre">history()</span></code> function, see Enhancements section</li>
|
|
<li>Start of support for Quantopian algorithm script-syntax, see ENH
|
|
section.</li>
|
|
<li>conda package manager support, see Build section.</li>
|
|
</ul>
|
|
</div>
|
|
<div class="section" id="id58">
|
|
<h3>Enhancements<a class="headerlink" href="#id58" title="Permalink to this headline">¶</a></h3>
|
|
<ul>
|
|
<li><p class="first">Always process new orders
|
|
i.e. on bars where <code class="docutils literal"><span class="pre">handle_data</span></code> isn’t called, but there is ‘clock’
|
|
data e.g. a consistent benchmark, process orders.</p>
|
|
</li>
|
|
<li><p class="first">Empty positions are now filtered from the portfolio container.
|
|
To help prevent algorithms from operating on positions that are not in
|
|
the existing universe of stocks.
|
|
Formerly, iterating over positions would return positions for stocks
|
|
which had zero shares held. (Where an explicit check in algorithm code
|
|
for <code class="docutils literal"><span class="pre">pos.amount</span> <span class="pre">!=</span> <span class="pre">0</span></code> could prevent from using a non-existent
|
|
position.)</p>
|
|
</li>
|
|
<li><p class="first">Add trading calendar for BMF&Bovespa.</p>
|
|
</li>
|
|
<li><p class="first">Add beginning of algo script support.</p>
|
|
</li>
|
|
<li><p class="first">Starts on the path of parity with the script syntax in Quantopian’s IDE
|
|
on <a class="reference external" href="https://quantopian.com">https://quantopian.com</a>
|
|
Example:</p>
|
|
<div class="highlight-python"><div class="highlight"><pre><span class="kn">from</span> <span class="nn">datetime</span> <span class="kn">import</span> <span class="n">datetime</span> <span class="kn">import</span> <span class="nn">pytz</span>
|
|
<span class="kn">from</span> <span class="nn">zipline</span> <span class="kn">import</span> <span class="n">TradingAlgorithm</span>
|
|
<span class="kn">from</span> <span class="nn">zipline.utils.factory</span> <span class="kn">import</span> <span class="n">load_from_yahoo</span>
|
|
|
|
<span class="kn">from</span> <span class="nn">zipline.api</span> <span class="kn">import</span> <span class="n">order</span>
|
|
|
|
<span class="k">def</span> <span class="nf">initialize</span><span class="p">(</span><span class="n">context</span><span class="p">):</span>
|
|
<span class="n">context</span><span class="o">.</span><span class="n">test</span> <span class="o">=</span> <span class="mi">10</span>
|
|
|
|
<span class="k">def</span> <span class="nf">handle_date</span><span class="p">(</span><span class="n">context</span><span class="p">,</span> <span class="n">data</span><span class="p">):</span>
|
|
<span class="n">order</span><span class="p">(</span><span class="s">'AAPL'</span><span class="p">,</span> <span class="mi">10</span><span class="p">)</span>
|
|
<span class="k">print</span><span class="p">(</span><span class="n">context</span><span class="o">.</span><span class="n">test</span><span class="p">)</span>
|
|
|
|
<span class="k">if</span> <span class="n">__name__</span> <span class="o">==</span> <span class="s">'__main__'</span><span class="p">:</span>
|
|
<span class="kn">import</span> <span class="nn">pylab</span> <span class="kn">as</span> <span class="nn">pl</span>
|
|
<span class="n">start</span> <span class="o">=</span> <span class="n">datetime</span><span class="p">(</span><span class="mi">2008</span><span class="p">,</span> <span class="mi">1</span><span class="p">,</span> <span class="mi">1</span><span class="p">,</span> <span class="mi">0</span><span class="p">,</span> <span class="mi">0</span><span class="p">,</span> <span class="mi">0</span><span class="p">,</span> <span class="mi">0</span><span class="p">,</span> <span class="n">pytz</span><span class="o">.</span><span class="n">utc</span><span class="p">)</span>
|
|
<span class="n">end</span> <span class="o">=</span> <span class="n">datetime</span><span class="p">(</span><span class="mi">2010</span><span class="p">,</span> <span class="mi">1</span><span class="p">,</span> <span class="mi">1</span><span class="p">,</span> <span class="mi">0</span><span class="p">,</span> <span class="mi">0</span><span class="p">,</span> <span class="mi">0</span><span class="p">,</span> <span class="mi">0</span><span class="p">,</span> <span class="n">pytz</span><span class="o">.</span><span class="n">utc</span><span class="p">)</span>
|
|
<span class="n">data</span> <span class="o">=</span> <span class="n">load_from_yahoo</span><span class="p">(</span>
|
|
<span class="n">stocks</span><span class="o">=</span><span class="p">[</span><span class="s">'AAPL'</span><span class="p">],</span>
|
|
<span class="n">indexes</span><span class="o">=</span><span class="p">{},</span>
|
|
<span class="n">start</span><span class="o">=</span><span class="n">start</span><span class="p">,</span>
|
|
<span class="n">end</span><span class="o">=</span><span class="n">end</span><span class="p">)</span>
|
|
<span class="n">data</span> <span class="o">=</span> <span class="n">data</span><span class="o">.</span><span class="n">dropna</span><span class="p">()</span>
|
|
<span class="n">algo</span> <span class="o">=</span> <span class="n">TradingAlgorithm</span><span class="p">(</span>
|
|
<span class="n">initialize</span><span class="o">=</span><span class="n">initialize</span><span class="p">,</span>
|
|
<span class="n">handle_data</span><span class="o">=</span><span class="n">handle_date</span><span class="p">)</span>
|
|
<span class="n">results</span> <span class="o">=</span> <span class="n">algo</span><span class="o">.</span><span class="n">run</span><span class="p">(</span><span class="n">data</span><span class="p">)</span>
|
|
<span class="n">results</span><span class="o">.</span><span class="n">portfolio_value</span><span class="o">.</span><span class="n">plot</span><span class="p">()</span>
|
|
<span class="n">pl</span><span class="o">.</span><span class="n">show</span><span class="p">()</span>
|
|
</pre></div>
|
|
</div>
|
|
</li>
|
|
<li><p class="first">Add HDF5 and CSV sources.</p>
|
|
</li>
|
|
<li><p class="first">Limit <code class="docutils literal"><span class="pre">handle_data</span></code> to times with market data.
|
|
To prevent cases where custom data types had unaligned timestamps, only
|
|
call <code class="docutils literal"><span class="pre">handle_data</span></code> when market data passes through.
|
|
Custom data that comes before market data will still update the data
|
|
bar. But the handling of that data will only be done when there is
|
|
actionable market data.</p>
|
|
</li>
|
|
<li><p class="first">Extended commission PerShare method to allow a minimum cost per trade.</p>
|
|
</li>
|
|
<li><p class="first">Add symbol api function
|
|
A <code class="docutils literal"><span class="pre">symbol()</span></code> lookup feature was added to Quantopian. By adding the
|
|
same API function to zipline we can make copy&pasting of a Zipline algo
|
|
to Quantopian easier.</p>
|
|
</li>
|
|
<li><p class="first">Add simulated random trade source.
|
|
Added a new data source that emits events with certain user-specified
|
|
frequency (minute or daily).
|
|
This allows users to backtest and debug an algorithm in minute mode to
|
|
provide a cleaner path towards Quantopian.</p>
|
|
</li>
|
|
<li><p class="first">Remove dependency on benchmark for trading day calendar.
|
|
Instead of the benchmarks’ index, the trading calendar is now used to
|
|
populate the environment’s trading days.
|
|
Remove <code class="docutils literal"><span class="pre">extra_date</span></code> field, since unlike the benchmarks list, the
|
|
trading calendar can generate future dates, so dates for current day
|
|
trading do not need to be appended.
|
|
Motivations:</p>
|
|
<ul class="simple">
|
|
<li>The source for the open and close/early close calendar and the
|
|
trading day calendar is now the same, which should help prevent
|
|
potential issues due to misalignment.</li>
|
|
<li>Allows configurations where the benchmark is provided as a generator
|
|
based data source to need to supply a second benchmark list just to
|
|
populate dates.</li>
|
|
</ul>
|
|
</li>
|
|
<li><p class="first">Port <code class="docutils literal"><span class="pre">history()</span></code> API method from Quantopian.
|
|
Opens the core of the <code class="docutils literal"><span class="pre">history()</span></code> function that was previously only
|
|
available on the Quantopian platform.</p>
|
|
<p>The history method is analoguous to the <code class="docutils literal"><span class="pre">batch_transform</span></code>
|
|
function/decorator, but with a hopefully more precise specification of
|
|
the frequency and period of the previous bar data that is captured.
|
|
Example usage:</p>
|
|
<div class="highlight-python"><div class="highlight"><pre><span class="kn">from</span> <span class="nn">zipline.api</span> <span class="kn">import</span> <span class="n">history</span><span class="p">,</span> <span class="n">add_history</span>
|
|
|
|
<span class="k">def</span> <span class="nf">initialize</span><span class="p">(</span><span class="n">context</span><span class="p">):</span>
|
|
<span class="n">add_history</span><span class="p">(</span><span class="n">bar_count</span><span class="o">=</span><span class="mi">2</span><span class="p">,</span> <span class="n">frequency</span><span class="o">=</span><span class="s">'1d'</span><span class="p">,</span> <span class="n">field</span><span class="o">=</span><span class="s">'price'</span><span class="p">)</span>
|
|
|
|
<span class="k">def</span> <span class="nf">handle_data</span><span class="p">(</span><span class="n">context</span><span class="p">,</span> <span class="n">data</span><span class="p">):</span>
|
|
<span class="n">prices</span> <span class="o">=</span> <span class="n">history</span><span class="p">(</span><span class="n">bar_count</span><span class="o">=</span><span class="mi">2</span><span class="p">,</span> <span class="n">frequency</span><span class="o">=</span><span class="s">'1d'</span><span class="p">,</span> <span class="n">field</span><span class="o">=</span><span class="s">'price'</span><span class="p">)</span>
|
|
<span class="n">context</span><span class="o">.</span><span class="n">last_prices</span> <span class="o">=</span> <span class="n">prices</span>
|
|
</pre></div>
|
|
</div>
|
|
<p>N.B. this version of history lacks the backfilling capability that
|
|
allows the return a full DataFrame on the first bar.</p>
|
|
</li>
|
|
</ul>
|
|
</div>
|
|
<div class="section" id="id59">
|
|
<h3>Bug Fixes<a class="headerlink" href="#id59" title="Permalink to this headline">¶</a></h3>
|
|
<ul>
|
|
<li><p class="first">Adjust benchmark events to match market hours (<a class="reference external" href="https://github.com/enigmampc/catalyst/issues/241">#241</a>).
|
|
Previously benchmark events were emitted at 0:00 on the day the
|
|
benchmark related to: in ‘minute’ emission mode this meant that the
|
|
benchmarks were emitted before any intra-day trades were processed.</p>
|
|
</li>
|
|
<li><p class="first">Ensure perf stats are generated for all days
|
|
When running with minutely emissions the simulator would report to the
|
|
user that it simulated ‘n - 1’ days (where n is the number of days
|
|
specified in the simulation params). Now the correct number of trading
|
|
days are reported as being simulated.</p>
|
|
</li>
|
|
<li><p class="first">Fix repr for cumulative risk metrics.
|
|
The <code class="docutils literal"><span class="pre">__repr__</span></code> for RiskMetricsCumulative was referring to an older
|
|
structure of the class, causing an exception when printed.
|
|
Also, now prints the last values in the metrics DataFrame.</p>
|
|
</li>
|
|
<li><p class="first">Prevent minute emission from crashing at end of available data.
|
|
The next day calculation was causing an error when a minute emission
|
|
algorithm reached the end of available data.
|
|
Instead of a generic exception when available data is reached, raise and
|
|
catch a named exception so that the tradesimulation loop can skip over,
|
|
since the next market close is not needed at the end.</p>
|
|
</li>
|
|
<li><p class="first">Fix pandas indexing in trading calendar. This could alternatively be filed
|
|
under Performance. Index using loc instead of the inefficient index-ing of
|
|
day, then time.</p>
|
|
</li>
|
|
<li><p class="first">Prevent crash in vwap transform due to non-existent member.
|
|
The WrongDataForTransform was referencing a <code class="docutils literal"><span class="pre">self.fields</span></code> member,
|
|
which did not exist.
|
|
Add a self.fields member set to <code class="docutils literal"><span class="pre">price</span></code> and <code class="docutils literal"><span class="pre">volume</span></code> and use it to
|
|
iterate over during the check.</p>
|
|
</li>
|
|
<li><p class="first">Fix max drawdown calculation.
|
|
The input into max drawdown was incorrect, causing the bad results. i.e.
|
|
the <code class="docutils literal"><span class="pre">compounded_log_returns</span></code> were not values representative of the
|
|
algorithms total return at a given time, though
|
|
<code class="docutils literal"><span class="pre">calculate_max_drawdown</span></code> was treating the values as if they were.
|
|
Instead, the <code class="docutils literal"><span class="pre">algorithm_period_returns</span></code> series is now used, which does
|
|
provide the total return.</p>
|
|
</li>
|
|
<li><p class="first">Fix cost basis calculation.
|
|
Cost basis calculation now takes direction of txn into account.
|
|
Closing a long position or covering a short shouldn’t affect the cost
|
|
basis.</p>
|
|
</li>
|
|
<li><p class="first">Fix floating point error in <code class="docutils literal"><span class="pre">order()</span></code>.
|
|
Where order amounts that were near an integer could accidentally be
|
|
floored or ceilinged (depending on being postive or negative) to the
|
|
wrong integer.
|
|
e.g. an amount stored internally as -27.99999 was converted to -27
|
|
instead of -28.</p>
|
|
</li>
|
|
<li><p class="first">Update perf period state when positions are changed by splits.
|
|
Otherwise, <code class="docutils literal"><span class="pre">self._position_amounts</span></code> will be out of sync with
|
|
position.amount, etc.</p>
|
|
</li>
|
|
<li><p class="first">Fix misalignment of downside series calc when using exact dates.
|
|
An oddity that was exposed while working on making the return series
|
|
passed to the risk module more exact, the series comparison between the
|
|
returns and mean returns was unbalanced, because the mean returns were
|
|
not masked down to the downside data points; however, in most, if not
|
|
all cases this was papered over by the call to <code class="docutils literal"><span class="pre">.valid()</span></code> which was
|
|
removed in this change set.</p>
|
|
</li>
|
|
<li><p class="first">Check that self.logger exists before using it.
|
|
<code class="docutils literal"><span class="pre">self.logger</span></code> is initialized as <code class="docutils literal"><span class="pre">None</span></code> and there is no guarantee
|
|
that users have set it, so check that it exists before trying to pass
|
|
messages to it.</p>
|
|
</li>
|
|
<li><p class="first">Prevent out of sync market closes in performance tracker.
|
|
In situations where the performance tracker has been reset or patched to
|
|
handle state juggling with warming up live data, the <code class="docutils literal"><span class="pre">market_close</span></code>
|
|
member of the performance tracker could end up out of sync with the
|
|
current algo time as determined by the performance tracker.
|
|
The symptom was dividends never triggering, because the end of day
|
|
checks would not match the current time.
|
|
Fix by having the tradesimulation loop be responsible, in minute/minute
|
|
mode, for advancing the market close and passing that value to the
|
|
performance tracker, instead of having the market close advanced by the
|
|
performance tracker as well.</p>
|
|
</li>
|
|
<li><p class="first">Fix numerous cumulative and period risk calculations.
|
|
The calculations that are expected to change are:</p>
|
|
<ul class="simple">
|
|
<li><code class="docutils literal"><span class="pre">cumulative.beta</span></code></li>
|
|
<li><code class="docutils literal"><span class="pre">cumulative.alpha</span></code></li>
|
|
<li><code class="docutils literal"><span class="pre">cumulative.information</span></code></li>
|
|
<li><code class="docutils literal"><span class="pre">cumulative.sharpe</span></code></li>
|
|
<li><code class="docutils literal"><span class="pre">period.sortino</span></code></li>
|
|
</ul>
|
|
<p>How Risk Calculations Are Changing
|
|
Risk Fixes for Both Period and Cumulative</p>
|
|
<p>Downside Risk</p>
|
|
<p>Use sample instead of population for standard deviation.</p>
|
|
<p>Add a rounding factor, so that if the two values are close for a given
|
|
dt, that they do not count as a downside value, which would throw off
|
|
the denominator of the standard deviation of the downside diffs.</p>
|
|
<p>Standard Deviation Type</p>
|
|
<p>Across the board the standard deviation has been standardized to using a
|
|
‘sample’ calculation, whereas before cumulative risk was mostly using
|
|
‘population’. Using <code class="docutils literal"><span class="pre">ddof=1</span></code> with <code class="docutils literal"><span class="pre">np.std</span></code> calculates as if the
|
|
values are a sample.</p>
|
|
<p>Cumulative Risk Fixes</p>
|
|
<p>Beta</p>
|
|
<p>Use the daily algorithm returns and benchmarks instead of annualized
|
|
mean returns.</p>
|
|
<p>Volatility</p>
|
|
<p>Use sample instead of population with standard deviation.</p>
|
|
<p>The volatility is an input to other calculations so this change affects
|
|
Sharpe and Information ratio calculations.</p>
|
|
<p>Information Ratio</p>
|
|
<p>The benchmark returns input is changed from annualized benchmark returns
|
|
to the annualized mean returns.</p>
|
|
<p>Alpha</p>
|
|
<p>The benchmark returns input is changed from annualized benchmark returns
|
|
to the annualized mean returns.</p>
|
|
<p>Period Risk Fixes</p>
|
|
<p>Sortino</p>
|
|
<p>Now uses the downside risk of the daily return vs. the mean algorithm
|
|
returns for the minimum acceptable return instead of the treasury
|
|
return.</p>
|
|
<p>The above required adding the calculation of the mean algorithm returns
|
|
for period risk.</p>
|
|
<p>Also, uses <code class="docutils literal"><span class="pre">algorithm_period_returns</span></code> and <code class="docutils literal"><span class="pre">tresaury_period_return</span></code>
|
|
as the cumulative Sortino does, instead of using algorithm returns for
|
|
both inputs into the Sortino calculation.</p>
|
|
</li>
|
|
</ul>
|
|
</div>
|
|
<div class="section" id="id60">
|
|
<h3>Performance<a class="headerlink" href="#id60" title="Permalink to this headline">¶</a></h3>
|
|
<ul class="simple">
|
|
<li>Removed <code class="docutils literal"><span class="pre">alias_dt</span></code> transform in favor of property on SIDData.
|
|
Adding a copy of the Event’s dt field as datetime via the <code class="docutils literal"><span class="pre">alias_dt</span></code>
|
|
generator, so that the API was forgiving and allowed both datetime and
|
|
dt on a SIDData object, was creating noticeable overhead, even on an
|
|
noop algorithms.
|
|
Instead of incurring the cost of copying the datetime value and
|
|
assigning it to the Event object on every event that is passed through
|
|
the system, add a property to SIDData which acts as an alias
|
|
<code class="docutils literal"><span class="pre">datetime</span></code> to <code class="docutils literal"><span class="pre">dt</span></code>.
|
|
Eventually support for <code class="docutils literal"><span class="pre">data['foo'].datetime</span></code> may be removed, and
|
|
could be considered deprecated.</li>
|
|
<li>Remove the drop of ‘null return’ from cumulative returns.
|
|
The check of existence of the null return key, and the drop of said
|
|
return on every single bar was adding unneeded CPU time when an
|
|
algorithm was run with minute emissions.
|
|
Instead, add the 0.0 return with an index of the trading day before the
|
|
start date.
|
|
The removal of the <code class="docutils literal"><span class="pre">null</span> <span class="pre">return</span></code> was mainly in place so that the
|
|
period calculation was not crashing on a non-date index value; with the
|
|
index as a date, the period return can also approximate volatility (even
|
|
though the that volatility has high noise-to-signal strength because it
|
|
uses only two values as an input.)</li>
|
|
</ul>
|
|
</div>
|
|
<div class="section" id="id61">
|
|
<h3>Maintenance and Refactorings<a class="headerlink" href="#id61" title="Permalink to this headline">¶</a></h3>
|
|
<ul>
|
|
<li><p class="first">Allow <code class="docutils literal"><span class="pre">sim_params</span></code> to provide data frequency for the algorithm.
|
|
In the case that <code class="docutils literal"><span class="pre">data_frequency</span></code> of the algorithm is None, allow the
|
|
<code class="docutils literal"><span class="pre">sim_params</span></code> to provide the <code class="docutils literal"><span class="pre">data_frequency</span></code>.</p>
|
|
<p>Also, defer to the algorithms data frequency, if provided.</p>
|
|
</li>
|
|
</ul>
|
|
</div>
|
|
<div class="section" id="id62">
|
|
<h3>Build<a class="headerlink" href="#id62" title="Permalink to this headline">¶</a></h3>
|
|
<ul>
|
|
<li><p class="first">Added support for building and releasing via conda
|
|
For those who prefer building with <a class="reference external" href="http://conda.pydata.org/">http://conda.pydata.org/</a> to compiling
|
|
locally with pip.
|
|
The following should install Zipline on many systems.</p>
|
|
<div class="highlight-python"><div class="highlight"><pre>conda install -c quantopian zipline
|
|
</pre></div>
|
|
</div>
|
|
</li>
|
|
</ul>
|
|
</div>
|
|
<div class="section" id="id63">
|
|
<h3>Contributors<a class="headerlink" href="#id63" title="Permalink to this headline">¶</a></h3>
|
|
<p>The following people have contributed to this release, ordered by
|
|
numbers of commit:</p>
|
|
<div class="highlight-python"><div class="highlight"><pre>49 Eddie Hebert
|
|
28 Thomas Wiecki
|
|
11 Richard Frank
|
|
2 Jamie Kirkpatrick
|
|
2 Jeremiah Lowin
|
|
1 Colin Alexander
|
|
1 Michael Schatzow
|
|
1 Moises Trovo
|
|
1 Suminda Dharmasena
|
|
</pre></div>
|
|
</div>
|
|
</div>
|
|
</div>
|
|
</div>
|
|
|
|
|
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<footer>
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<hr/>
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<div role="contentinfo">
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<p>
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</p>
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