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149 lines
4.4 KiB
Markdown
149 lines
4.4 KiB
Markdown
# Zipline 0.8.0 Release Notes
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## Bug Fixes (BUG)
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### Fix a bug where the reported returns could sharply dip for random periods of time. [PR378](https://github.com/quantopian/zipline/pull/378)
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## Enhancements (ENH)
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### Account object: Adds an account object to conext to track information about the trading account. [PR396](https://github.com/quantopian/zipline/pull/396)
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> Example:
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> ```
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> context.account.settled_cash
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> ```
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> Returns the settled cash value that is stored on the account object. This
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> value is updated accordingly as the algorithm is run.
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### HistoryContainer can now grow dynamically. [PR412](https://github.com/quantopian/zipline/pull/412)
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> Calls to `history` will now be able to increase the size or change the shape
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> of the history container to be able to service the call. `add_history` now
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> acts as a preformance hint to pre-allocate sufficient space in the
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> container. This change is backwards compatible with `history`, all existing
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> algorithms should continue to work as intended.
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### Simple transforms ported from quantopian and use history. [PR429](https://github.com/quantopian/zipline/pull/429)
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> SIDData now has methods for:
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> - `stddev`
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> - `mavg`
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> - `vwap`
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> - `returns`
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> These methods, except for `returns`, accept a number of days. If you are
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> running with minute data, then this will calculate the number of minutes in
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> those days, accounting for early closes and the current time and apply the
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> transform over the set of minutes. `returns` takes no parameters and will
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> return the daily returns of the given security.
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> Example:
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```python
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# The standard deviation of the price in the last 3 days.
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data[security].stdev(3)
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```
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### New fields in Performance Period [PR464](https://github.com/quantopian/zipline/pull/464)
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> Performance Period has new fields accessible in return value of to_dict:
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> - gross leverage
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> - net leverage
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> - short exposure
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> - long exposure
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> - shorts count
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> - longs count
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### Allow order_percent to work with various market values (by Jeremiah Lowin) [PR477](https://github.com/quantopian/zipline/pull/477)
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> Currently, `order_percent()` and `order_target_percent()` both operate as a percentage of `self.portfolio.portfolio_value`. This PR lets them operate as percentages of other important MVs.
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> Also adds `context.get_market_value()`, which enables this functionality.
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> For example:
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```python
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# this is how it works today (and this still works)
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# put 50% of my portfolio in AAPL
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order_percent('AAPL', 0.5)
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# note that if this were a fully invested portfolio, it would become 150% levered.
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# take half of my available cash and buy AAPL
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order_percent('AAPL', 0.5, percent_of='cash')
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# rebalance my short position, as a percentage of my current short book
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order_target_percent('MSFT', 0.1, percent_of='shorts')
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# rebalance within a custom group of stocks
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tech_stocks = ('AAPL', 'MSFT', 'GOOGL')
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tech_filter = lambda p: p.sid in tech_stocks
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for stock in tech_stocks:
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order_target_percent(stock, 1/3, percent_of_fn=tech_filter)
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```
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### Major performance enhancements to history (by Dale Jung) [PR488](https://github.com/quantopian/zipline/commit/38e8d5214d46f089020703712dc6b3f4f6ee084d)
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## Contributors
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The following people have contributed to this release, ordered by numbers of commit:
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```
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349 Eddie Hebert
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213 Thomas Wiecki
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134 fawce
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119 Jeremiah Lowin
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97 Dale Jung
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52 David Edwards
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45 Joe Jevnik
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45 Scott Sanderson
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32 Delaney Granizo-Mackenzie
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30 Richard Frank
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27 Ryan Day
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22 Ben McCann
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22 Jonathan Kamens
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19 twiecki
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14 Colin Alexander
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11 Tony Worm
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10 John Ricklefs
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8 Brian Cappello
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7 Brian Fink
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7 Moises Trovo
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7 Wes McKinney
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6 David Stephens
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6 Mete Atamel
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5 Elektra58
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5 Seong Lee
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4 Jason Kölker
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4 Mark Dunne
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4 Suminda Dharmasena
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4 Tobias Brandt
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4 llllllllll
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3 Chen Huang
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3 Jamie Kirkpatrick
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3 Jean Bredeche
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3 Luke Schiefelbein
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3 Matti Hanninen
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3 Nicholas Pezolano
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2 Aidan
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2 Martin Dengler
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2 Peter Cawthron
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2 Philipp Kosel
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2 jbredeche
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2 stanh
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1 Aaron Marz
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1 Ben
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1 Corey Farwell
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1 Ian Levesque
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1 Jeremi Joslin
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1 Justin Graves
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1 Michael Schatzow
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1 Pankaj Garg
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1 Stan
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1 Sébastien Drouyer
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1 The Gitter Badger
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1 Tony Lambiris
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1 cowmoo
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```
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