mirror of
https://github.com/wassname/catalyst.git
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Joe Jevnik
59c8e371a2
Adds the data bundle concept which makes it easy for users to register loading functions to build out minute and daily data along with an assets db and adjustments db. By default we have provided a `quandl` bundle which pulls from the public domain WIKI dataset. Users may register new bundles by decorating an ingest function with `zipline.data.bundles.register(<name>)`. This also provides a `yahoo_equities` function for creating an ingestion function that will load a static set of assets from yahoo. The cli is now structured as a couple of subcommands and has been changed to `python -m zipline`. The old behavior of `run_algo.py` has been moved to the `run` subcommand. This is almost entirely the same except that it now takes the name of the data bundle to use, defaulting to `quandl`. The next subcommand is `ingest` which takes the name of a data bundle to ingest. This will run the loading machinery and write the data to a specified location that `run` can find. There is also a `clean` subcommand which deletes the data that was written with `ingest`. Extensions have also been added to zipline. This is an experimental feature where users can provide an extra set of python files to run at the start of the process. These can be used to configure aspects of zipline. Right now the only thing that is supported in an extension file is the registration of a new data bundle.
128 lines
3.6 KiB
Plaintext
128 lines
3.6 KiB
Plaintext
Development
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-----------
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:Release: 1.0.0
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:Date: TBD
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.. warning::
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This release is still under active development. All changes listed are
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subject to change at any time.
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Highlights
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~~~~~~~~~~
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New Entry Points (:issue:`xxxx`)
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````````````````````````````````
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In order to make it easier to use zipline we have updated the entry points for
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a backtest. The three supported ways to run a backtest are now:
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1. :func:`zipline.run_algo`
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2. ``$ python -m zipline run``
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3. ``%zipline`` (IPython magic)
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Data Bundles (:issue:`xxxx`)
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````````````````````````````
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1.0.0 introduces data bundles. Data bundles are groups of data that should be
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preloaded and used to run backtests later. This allows users to not need to to
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specify which tickers they are interested in each time they run an
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algorithm. This also allows us to cache the data between runs.
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By default, the ``quandl`` bundle will be used which pulls data from quandl's
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`WIKI dataset <https://www.quandl.com/data/WIKI>`_. New bundles may be
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registered with :func:`zipline.data.bundles.register` like:
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.. code-block:: python
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@zipline.data.bundles.register('my-new-bundle')
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def my_new_bundle_ingest(environ,
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asset_db_writer,
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minute_bar_writer,
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daily_bar_writer,
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adjustment_writer,
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calendar,
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cache,
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show_progress):
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...
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This function should retrieve the data it needs and then use the writers that
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have been passed to write that data to disc in a location that zipline can find
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later.
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This data can be used in backtests by passing the name as the ``-b / --bundle``
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argument to ``$ python -m zipline run`` or as the ``bundle`` argument to
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:func:`zipline.run_algo`.
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For more information see `Data Bundles`_ for more information.
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Enhancements
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~~~~~~~~~~~~
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* Made the data loading classes have more consistent interfaces. This includes
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the equity bar writers, adjustment writer, and asset db writer. The new
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interface is that the resource to be written to is passed at construction time
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and the data to write is provided later to the `write` method as
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dataframes or some iterator of dataframes. This model allows us to pass these
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writer objects around as a resource for other classes and functions to
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consume (:issue:`1109` and :issue:`1149`).
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* Added masking to :class:`zipline.pipeline.CustomFactor`.
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Custom factors can now be passed a Filter upon instantiation. This tells the
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factor to only compute over stocks for which the filter returns True, rather
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than always computing over the entire universe of stocks. (:issue:`1095`)
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* Added :class:`zipline.utils.cache.ExpiringCache`.
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A cache which wraps entries in a :class:`zipline.utils.cache.CachedObject`,
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which manages expiration of entries based on the `dt` supplied to the `get`
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method. (:issue:`1130`)
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* Implemented :class:`zipline.pipeline.factors.RecarrayField`, a new pipeline
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term designed to be the output type of a CustomFactor with multiple outputs.
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(:issue:`1119`)
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* Added optional `outputs` parameter to :class:`zipline.pipeline.CustomFactor`.
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Custom factors are now capable of computing and returning multiple outputs,
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each of which are themselves a Factor. (:issue:`1119`)
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Experimental Features
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~~~~~~~~~~~~~~~~~~~~~
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.. warning::
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Experimental features are subject to change.
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None
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Bug Fixes
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~~~~~~~~~
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None
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Performance
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~~~~~~~~~~~
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None
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Maintenance and Refactorings
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~~~~~~~~~~~~~~~~~~~~~~~~~~~~
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None
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Build
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~~~~~
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None
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Documentation
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~~~~~~~~~~~~~
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None
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Miscellaneous
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~~~~~~~~~~~~~
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None
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