mirror of
https://github.com/wassname/catalyst.git
synced 2026-06-28 03:33:01 +08:00
Andrew Daniels
440806ad60
* MAINT: Use TradingCalendar objects for bundles Instead of trading days, opens, and closes, register now takes a TradingCalendar object, along with a start_session and end_session. The ingest function is now passed these values instead as well. * Accept calendar name in addition to the actual object * Updates bundles documentation for changes * Fix typo in docs * Use class formatting * Force start_session and end_session within the bounds of the calendar * Use UTC timestamps in test_core * Document Trading Calendar API in appendix.rst
359 lines
7.8 KiB
ReStructuredText
359 lines
7.8 KiB
ReStructuredText
API Reference
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-------------
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Running a Backtest
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~~~~~~~~~~~~~~~~~~
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.. autofunction:: zipline.run_algorithm(...)
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Algorithm API
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~~~~~~~~~~~~~
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The following methods are available for use in the ``initialize``,
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``handle_data``, and ``before_trading_start`` API functions.
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In all listed functions, the ``self`` argument is implicitly the
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currently-executing :class:`~zipline.algorithm.TradingAlgorithm` instance.
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Data Object
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```````````
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.. autoclass:: zipline.protocol.BarData
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:members:
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Scheduling Functions
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````````````````````
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.. autofunction:: zipline.api.schedule_function
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.. autoclass:: zipline.api.date_rules
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:members:
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:undoc-members:
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.. autoclass:: zipline.api.time_rules
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:members:
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Orders
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``````
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.. autofunction:: zipline.api.order
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.. autofunction:: zipline.api.order_value
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.. autofunction:: zipline.api.order_percent
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.. autofunction:: zipline.api.order_target
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.. autofunction:: zipline.api.order_target_value
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.. autofunction:: zipline.api.order_target_percent
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.. autoclass:: zipline.finance.execution.ExecutionStyle
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:members:
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.. autoclass:: zipline.finance.execution.MarketOrder
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.. autoclass:: zipline.finance.execution.LimitOrder
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.. autoclass:: zipline.finance.execution.StopOrder
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.. autoclass:: zipline.finance.execution.StopLimitOrder
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.. autofunction:: zipline.api.get_order
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.. autofunction:: zipline.api.get_open_orders
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.. autofunction:: zipline.api.cancel_order
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Order Cancellation Policies
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'''''''''''''''''''''''''''
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.. autofunction:: zipline.api.set_cancel_policy
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.. autoclass:: zipline.finance.cancel_policy.CancelPolicy
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:members:
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.. autofunction:: zipline.api.EODCancel
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.. autofunction:: zipline.api.NeverCancel
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Assets
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``````
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.. autofunction:: zipline.api.symbol
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.. autofunction:: zipline.api.symbols
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.. autofunction:: zipline.api.future_symbol
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.. autofunction:: zipline.api.future_chain
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.. autofunction:: zipline.api.set_symbol_lookup_date
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.. autofunction:: zipline.api.sid
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Trading Controls
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````````````````
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Zipline provides trading controls to help ensure that the algorithm is
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performing as expected. The functions help protect the algorithm from certian
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bugs that could cause undesirable behavior when trading with real money.
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.. autofunction:: zipline.api.set_do_not_order_list
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.. autofunction:: zipline.api.set_long_only
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.. autofunction:: zipline.api.set_max_leverage
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.. autofunction:: zipline.api.set_max_order_count
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.. autofunction:: zipline.api.set_max_order_size
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.. autofunction:: zipline.api.set_max_position_size
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Simulation Parameters
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`````````````````````
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.. autofunction:: zipline.api.set_benchmark
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Commission Models
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'''''''''''''''''
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.. autofunction:: zipline.api.set_commission
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.. autoclass:: zipline.finance.commission.CommissionModel
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:members:
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.. autoclass:: zipline.finance.commission.PerShare
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.. autoclass:: zipline.finance.commission.PerTrade
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.. autoclass:: zipline.finance.commission.PerDollar
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Slippage Models
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'''''''''''''''
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.. autofunction:: zipline.api.set_slippage
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.. autoclass:: zipline.finance.slippage.SlippageModel
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:members:
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.. autoclass:: zipline.finance.slippage.FixedSlippage
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.. autoclass:: zipline.finance.slippage.VolumeShareSlippage
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Pipeline
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````````
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For more information, see :ref:`pipeline-api`
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.. autofunction:: zipline.api.attach_pipeline
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.. autofunction:: zipline.api.pipeline_output
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Miscellaneous
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`````````````
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.. autofunction:: zipline.api.record
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.. autofunction:: zipline.api.get_environment
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.. autofunction:: zipline.api.fetch_csv
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.. _pipeline-api:
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Pipeline API
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~~~~~~~~~~~~
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.. autoclass:: zipline.pipeline.Pipeline
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:members:
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:member-order: groupwise
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.. autoclass:: zipline.pipeline.CustomFactor
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:members:
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:member-order: groupwise
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.. autoclass:: zipline.pipeline.factors.Factor
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:members: top, bottom, rank, percentile_between, isnan, notnan, isfinite,
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eq, __add__, __sub__, __mul__, __div__, __mod__, __pow__, __lt__,
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__le__, __ne__, __ge__, __gt__
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:exclude-members: dtype
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:member-order: bysource
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.. autoclass:: zipline.pipeline.factors.Latest
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:members:
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.. autoclass:: zipline.pipeline.factors.MaxDrawdown
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:members:
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.. autoclass:: zipline.pipeline.factors.Returns
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:members:
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.. autoclass:: zipline.pipeline.factors.RSI
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:members:
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.. autoclass:: zipline.pipeline.factors.BusinessDaysUntilNextEarnings
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:members:
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.. autoclass:: zipline.pipeline.factors.BusinessDaysSincePreviousEarnings
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:members:
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.. autoclass:: zipline.pipeline.factors.SimpleMovingAverage
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:members:
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.. autoclass:: zipline.pipeline.factors.VWAP
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:members:
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.. autoclass:: zipline.pipeline.factors.WeightedAverageValue
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:members:
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.. autoclass:: zipline.pipeline.factors.ExponentialWeightedMovingAverage
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:members:
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.. autoclass:: zipline.pipeline.factors.ExponentialWeightedMovingStdDev
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:members:
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.. autoclass:: zipline.pipeline.factors.AverageDollarVolume
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:members:
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.. autoclass:: zipline.pipeline.factors.BollingerBands
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:members:
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.. autoclass:: zipline.pipeline.factors.RollingPearsonOfReturns
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:members:
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.. autoclass:: zipline.pipeline.factors.RollingSpearmanOfReturns
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:members:
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.. autoclass:: zipline.pipeline.factors.RollingLinearRegressionOfReturns
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:members:
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.. autoclass:: zipline.pipeline.filters.Filter
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:members: __and__, __or__
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:exclude-members: dtype
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.. autoclass:: zipline.pipeline.data.EarningsCalendar
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:members: next_announcement, previous_announcement
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:undoc-members:
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.. autoclass:: zipline.pipeline.data.USEquityPricing
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:members: open, high, low, close, volume
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:undoc-members:
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Asset Metadata
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~~~~~~~~~~~~~~
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.. autoclass:: zipline.assets.Asset
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:members:
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.. autoclass:: zipline.assets.Equity
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:members:
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.. autoclass:: zipline.assets.Future
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:members:
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.. autoclass:: zipline.assets.AssetConvertible
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:members:
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Trading Calendar API
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~~~~~~~~~~~~~~~~~~~~
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.. autofunction:: zipline.utils.calendars.get_calendar
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.. autoclass:: zipline.utils.calendars.TradingCalendar
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:members:
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.. autofunction:: zipline.utils.calendars.register_calendar
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.. autofunction:: zipline.utils.calendars.register_calendar_type
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.. autofunction:: zipline.utils.calendars.deregister_calendar
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.. autofunction:: zipline.utils.calendars.clear_calendars
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Data API
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~~~~~~~~
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Writers
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```````
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.. autoclass:: zipline.data.minute_bars.BcolzMinuteBarWriter
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:members:
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.. autoclass:: zipline.data.us_equity_pricing.BcolzDailyBarWriter
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:members:
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.. autoclass:: zipline.data.us_equity_pricing.SQLiteAdjustmentWriter
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:members:
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.. autoclass:: zipline.assets.AssetDBWriter
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:members:
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Readers
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```````
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.. autoclass:: zipline.data.minute_bars.BcolzMinuteBarReader
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:members:
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.. autoclass:: zipline.data.us_equity_pricing.BcolzDailyBarReader
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:members:
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.. autoclass:: zipline.data.us_equity_pricing.SQLiteAdjustmentReader
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:members:
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.. autoclass:: zipline.assets.AssetFinder
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:members:
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.. autoclass:: zipline.assets.AssetFinderCachedEquities
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:members:
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.. autoclass:: zipline.data.data_portal.DataPortal
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:members:
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Bundles
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```````
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.. autofunction:: zipline.data.bundles.register
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.. autofunction:: zipline.data.bundles.ingest(name, environ=os.environ, date=None, show_progress=True)
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.. autofunction:: zipline.data.bundles.load(name, environ=os.environ, date=None)
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.. autofunction:: zipline.data.bundles.unregister
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.. data:: zipline.data.bundles.bundles
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The bundles that have been registered as a mapping from bundle name to bundle
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data. This mapping is immutable and should only be updated through
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:func:`~zipline.data.bundles.register` or
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:func:`~zipline.data.bundles.unregister`.
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.. autofunction:: zipline.data.bundles.yahoo_equities
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Utilities
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~~~~~~~~~
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Caching
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```````
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.. autoclass:: zipline.utils.cache.CachedObject
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.. autoclass:: zipline.utils.cache.ExpiringCache
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.. autoclass:: zipline.utils.cache.dataframe_cache
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.. autoclass:: zipline.utils.cache.working_file
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.. autoclass:: zipline.utils.cache.working_dir
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Command Line
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````````````
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.. autofunction:: zipline.utils.cli.maybe_show_progress
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