mirror of
https://github.com/wassname/catalyst.git
synced 2026-08-07 11:20:19 +08:00
65 lines
2.0 KiB
Markdown
65 lines
2.0 KiB
Markdown
# Zipline 0.7.1 Release Notes
|
|
|
|
## Bug Fixes (BUG)
|
|
|
|
* Fix a bug where the reported returns could sharply dip for random periods of
|
|
time. [PR378](https://github.com/quantopian/zipline/pull/378)
|
|
|
|
## Enhancements (ENH)
|
|
|
|
* Account object: Adds an account object to conext to track information about
|
|
the trading account. [PR396](https://github.com/quantopian/zipline/pull/396)
|
|
|
|
> Example:
|
|
|
|
> ```
|
|
> context.account.settled_cash
|
|
> ```
|
|
|
|
> Returns the settled cash value that is stored on the account object. This
|
|
> value is updated accordingly as the algorithm is run.
|
|
|
|
* HistoryContainer can now grow
|
|
dynamically. [PR412](https://github.com/quantopian/zipline/pull/412)
|
|
|
|
> Calls to `history` will now be able to increase the size or change the shape
|
|
> of the history container to be able to service the call. `add_history` now
|
|
> acts as a preformance hint to pre-allocate sufficient space in the
|
|
> container. This change is backwards compatible with `history`, all existing
|
|
> algorithms should continue to work as intended.
|
|
|
|
* Simple transforms ported from quantopian and use history.
|
|
[PR429](https://github.com/quantopian/zipline/pull/429)
|
|
|
|
> SIDData now has methods for:
|
|
|
|
> - `stddev`
|
|
> - `mavg`
|
|
> - `vwap`
|
|
> - `returns`
|
|
|
|
> These methods, except for `returns`, 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. `returns` takes no parameters and will
|
|
> return the daily returns of the given security.
|
|
|
|
> Example:
|
|
> ```
|
|
> # The standard deviation of the price in the last 3 days.
|
|
> data[security].stdev(3)
|
|
> ```
|
|
|
|
* New fields in Performance Period
|
|
[PR464](https://github.com/quantopian/zipline/pull/464)
|
|
|
|
> Performance Period has new fields accessible in return value of to_dict:
|
|
|
|
> - gross leverage
|
|
> - net leverage
|
|
> - short exposure
|
|
> - long exposure
|
|
> - shorts count
|
|
> - longs count
|
|
|