catalyst/docs/source/whatsnew/0.8.4.txt

Development
-----------

:Release: 0.8.4
:Date: TBD

.. warning::
   This release is still under active development.  All changes listed are
   subject to change at any time.

Highlights
~~~~~~~~~~

* Added a new :class:`~zipline.pipeline.data.EarningsCalendar` dataset
  for use in the Pipeline API. (:issue:`905`).

* :class:`~zipline.assets.assets.AssetFinder` speedups (:issue:`830` and
  :issue:`817`).

Enhancements
~~~~~~~~~~~~

* Adds a way for users to provide a context manager to use when executing the
  scheduled functions (including ``handle_data``). This context manager will be
  passed the :class:`~zipline.protocol.BarData` object for the bar and will
  be used for the duration of all of the functions scheduled to run. This can be
  passed to :class:`~zipline.algorithm.TradingAlgorithm` by the keyword argument
  ``create_event_context`` (:issue:`828`).

* Added support for :class:`zipline.pipeline.factors.Factor` instances with
  ``datetime64[ns]`` dtypes. (:issue:`905`)

* Added a new :class:`~zipline.pipeline.data.earnings.EarningsCalendar` 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
  :mod:`zipline.pipeline.loaders.earnings`, and an experimental blaze-based
  implementation can be found in
  :mod:`zipline.pipeline.loaders.blaze.earnings`. (:issue:`905`).

* Added new built-in factors,
  :class:`zipline.pipeline.factors.BusinessDaysUntilNextEarnings` and
  :class:`zipline.pipeline.factors.BusinessDaysSincePreviousEarnings`.  These
  factors use the new ``EarningsCalendar`` dataset. (:issue:`905`).

* Added :meth:`~zipline.pipeline.factors.Factor.isnan`,
  :meth:`~zipline.pipeline.factors.Factor.notnan` and
  :meth:`~zipline.pipeline.factors.Factor.isfinite` methods to
  :class:`zipline.pipeline.factors.Factor` (:issue:`861`).

* Added :class:`zipline.pipeline.factors.Returns`, a built-in factor which
  calculates the percent change in close price over the given
  window_length. (:issue:`884`).

* Added a new built-in factor:
  :class:`~zipline.pipeline.factors.AverageDollarVolume`. (:issue:`927`).

* Added :class:`~zipline.pipeline.factors.ExponentialWeightedMovingAverage` and
  :class:`~zipline.pipeline.factors.ExponentialWeightedMovingStdDev`
  factors. (:issue:`910`).

* Allow :class:`~zipline.pipeline.data.DataSet` 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 (:issue:`924`).

Experimental Features
~~~~~~~~~~~~~~~~~~~~~

.. warning::

   Experimental features are subject to change.

* Added support for parameterized ``Factor`` subclasses.  Factors may specify
  ``params`` 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 ``compute`` function.  This API is experimental, and may change
  in future releases.

Bug Fixes
~~~~~~~~~

* Fixes an issue that would cause the daily/minutely method caching to change
  the ``len`` of a :class:`~zipline.protocol.SIDData` object. This would cause
  us to think that the object was not empty even when it was (:issue:`826`).

* Fixes an error raised in calculating beta when benchmark data were sparse.
  Instead `numpy.nan` is returned (:issue:`859`).

* Fixed an issue pickling :func:`~zipline.utils.sentinel.sentinel` objects
  (:issue:`872`).

* Fixed spurious warnings on first download of treasury data (:issue `922`).

* Corrected the error messages for :func:`~zipline.api.set_commission` and
  :func:`~zipline.api.set_slippage` when used outside of the ``initialize``
  function. These errors called the functions ``override_*`` instead of
  ``set_*``. This also renamed the exception types raised from
  ``OverrideSlippagePostInit`` and ``OverrideCommissionPostInit`` to
  :class:`~zipline.errors.SetSlippagePostInit` and
  :class:`~zipline.errors.SetCommissionPostInit` (:issue:`923`).


Performance
~~~~~~~~~~~

* Speeds up :meth:`~zipline.assets.assets.AssetFinder.lookup_symbol` by adding
  an extension, :class:`~zipline.assets.assets.AssetFinderCachedEquities`, that
  loads equities into dictionaries and then directs
  :meth:`~zipline.assets.assets.AssetFinder.lookup_symbol` to these dictionaries
  to find matching equities (:issue:`830`).

* Improved performance of
  :meth:`~zipline.assets.assets.AssetFinder.lookup_symbol` by performing
  batched queries. (:issue:`817`).

Maintenance and Refactorings
~~~~~~~~~~~~~~~~~~~~~~~~~~~~

* Asset databases now contain version information to ensure compatibility
  with current Zipline version (:issue:`815`).

Build
~~~~~

* Makes zipline install requirements more flexible (:issue:`825`).
* Use ``versioneer`` to manage the project ``__version__`` and setup.py version
  (:issue:`829`).
* Fixed coveralls integration on travis build (:issue:`840`).

Documentation
~~~~~~~~~~~~~

* Document the release process for developers (:issue:`835`).
* Added reference docs for the Pipeline API. (:issue:`864`).
* Added reference docs for Asset Metadata APIs. (:issue:`864`).
* Generated documentation now includes links to source code for many classes
  and functions. (:issue:`864`).
* Added platform-specific documentation describing how to find binary
  dependencies. (:issue:`883`).

Miscellaneous
~~~~~~~~~~~~~

* Added a :meth:`~zipline.pipeline.pipeline.Pipeline.show_graph` method to render
  a Pipeline as an image (:issue:`836`).
* Adds :func:`~zipline.utils.test_utils.subtest` decorator for creating subtests
  without ``nose_parameterized.expand`` which bloats the test output
  (:issue:`833`).
* Limits timer report in test output to 15 longest tests (:issue:`838`).
* 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. (:issue:`841`).