mirror of
https://github.com/wassname/catalyst.git
synced 2026-06-28 14:47:08 +08:00
Scott Sanderson
ef4f642e62
This patch lays the groundwork for a compute engine designed to facilitate construction of factor-based universe screening and portfolio allocation. It contains: A new module, `zipline.modelling`, containing entities that can be used to express computations as dependency graphs. Each node in such a graph is an instance of the base `Term` class, defined in `zipline.modelling.term`. Dependency graphs are executed by instances of `FFCEngine`, defined in `zipline.modelling.engine`. A new module, `zipline.data.ffc`, containing loaders and dataset definitions for inputs to the modelling API. New `TradingAlgorithm` api methods: `add_factor`, and `add_filter`. These methods can only be called from `initialize`, and are used to inform the algorithm that each day it should compute the given terms. Computed factor results are made available through a new attribute of the `data` object in `before_trading_start` and `handle_data`. Computed filter results control which assets are available in the factor matrix on each day.
129 lines
8.0 KiB
CSV
129 lines
8.0 KiB
CSV
day,open,high,low,close,volume
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2014-03-03,37.919998,38.130001,37.490002000000004,37.779999,29717500
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2014-03-04,38.200001,38.48,38.07,38.41,26802400
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2014-03-05,38.25,38.27,37.93,38.110001000000004,20520100
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2014-03-06,38.139998999999996,38.240002000000004,37.889998999999996,38.150002,23582200
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2014-03-07,38.279999,38.360001000000004,37.689999,37.900002,26591600
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2014-03-10,37.990002000000004,38.009997999999996,37.720001,37.82,19006600
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2014-03-11,37.869999,38.23,37.720001,38.02,25216400
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2014-03-12,37.799999,38.43,37.790001000000004,38.27,30494100
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2014-03-13,38.419998,38.450001,37.639998999999996,37.889998999999996,32169700
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2014-03-14,37.650002,38.139998999999996,37.509997999999996,37.700001,27195600
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2014-03-17,37.900002,38.41,37.790001000000004,38.049999,20479600
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2014-03-18,38.259997999999996,39.900002,38.220001,39.549999,64063900
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2014-03-19,39.470001,39.549999,38.91,39.27,35597200
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2014-03-20,39.25,40.650002,39.240002000000004,40.330002,59269800
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2014-03-21,40.720001,40.939999,40.009997999999996,40.16,80721800
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2014-03-24,40.34,40.639998999999996,39.860001000000004,40.5,46098400
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2014-03-25,40.66,40.990002000000004,39.959998999999996,40.34,43193100
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2014-03-26,40.48,40.709998999999996,39.599998,39.790001000000004,41977500
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2014-03-27,39.740002000000004,39.970001,39.34,39.360001000000004,35369200
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2014-03-28,39.790001000000004,40.639998999999996,39.68,40.299999,43472700
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2014-03-31,40.43,41.5,40.400002,40.990002000000004,46886300
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2014-04-01,41.150002,41.59,41.07,41.419998,32605000
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2014-04-02,41.439999,41.66,41.169998,41.349998,28666700
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2014-04-03,41.290001000000004,41.290001000000004,40.709998999999996,41.009997999999996,30139600
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2014-04-04,41.25,41.389998999999996,39.639998999999996,39.869999,51409600
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2014-04-07,39.959998999999996,40.27,39.740002000000004,39.799999,37559600
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2014-04-08,39.75,39.93,39.200001,39.82,35918600
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2014-04-09,39.93,40.549999,39.880001,40.470001,27398700
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2014-04-10,40.439999,40.689999,39.09,39.360001000000004,45960800
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2014-04-11,39.0,39.790001000000004,39.0,39.209998999999996,34330200
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2014-04-14,39.110001000000004,39.41,38.900002,39.18,32006600
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2014-04-15,39.34,39.959998999999996,39.049999,39.75,33968700
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2014-04-16,40.060001,40.419998,39.91,40.400002,30615800
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2014-04-17,40.009997999999996,40.200001,39.509997999999996,40.009997999999996,36689400
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2014-04-21,40.130001,40.150002,39.790001000000004,39.939999,22221200
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2014-04-22,39.959998999999996,40.139998999999996,39.830002,39.990002000000004,27056700
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2014-04-23,39.990002000000004,39.990002000000004,39.470001,39.689999,24602800
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2014-04-24,39.740002000000004,39.970001,39.299999,39.860001000000004,42381600
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2014-04-25,40.290001000000004,40.68,39.75,39.91,56876800
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2014-04-28,40.139998999999996,41.290001000000004,40.09,40.869999,50610200
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2014-04-29,41.099998,41.189999,40.389998999999996,40.509997999999996,29636200
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2014-04-30,40.400002,40.5,40.169998,40.400002,35458700
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2014-05-01,40.240002000000004,40.360001000000004,39.950001,40.0,28787400
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2014-05-02,40.310001,40.34,39.66,39.689999,43416600
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2014-05-05,39.52,39.639998999999996,39.299999,39.43,22460900
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2014-05-06,39.290001000000004,39.349998,38.950001,39.060001,27112400
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2014-05-07,39.220001,39.509997999999996,38.509997999999996,39.419998,41744500
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2014-05-08,39.34,39.900002,38.970001,39.639998999999996,32120400
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2014-05-09,39.540001000000004,39.849998,39.369999,39.540001000000004,29647600
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2014-05-12,39.740002000000004,40.02,39.650002,39.970001,22782600
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2014-05-13,39.919998,40.5,39.849998,40.419998,27004800
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2014-05-14,40.299999,40.450001,40.049999,40.240002000000004,18818700
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2014-05-15,40.09,40.400002,39.509997999999996,39.599998,37793200
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2014-05-16,39.669998,39.84,39.27,39.830002,29867100
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2014-05-19,39.610001000000004,39.82,39.459998999999996,39.75,24537400
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2014-05-20,39.68,39.939999,39.459998999999996,39.68,21320900
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2014-05-21,39.799999,40.349998,39.740002000000004,40.349998,22398700
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2014-05-22,40.290001000000004,40.349998,39.849998,40.099998,20201800
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2014-05-23,40.369999,40.369999,40.0,40.119999,18020000
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2014-05-27,40.259997999999996,40.259997999999996,39.810001,40.189999,26160600
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2014-05-28,40.139998999999996,40.189999,39.82,40.009997999999996,25711500
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2014-05-29,40.150002,40.349998,39.91,40.34,19888200
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2014-05-30,40.450001,40.970001,40.25,40.939999,34567600
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2014-06-02,40.950001,41.09,40.68,40.790001000000004,18504300
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2014-06-03,40.599998,40.68,40.25,40.290001000000004,18068900
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2014-06-04,40.209998999999996,40.369999,39.860001000000004,40.32,23209000
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2014-06-05,40.59,41.25,40.400002,41.209998999999996,31865200
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2014-06-06,41.48,41.66,41.240002000000004,41.48,24060500
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2014-06-09,41.389998999999996,41.48,41.02,41.27,15019200
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2014-06-10,41.029999,41.16,40.860001000000004,41.110001000000004,15117700
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2014-06-11,40.93,41.07,40.77,40.860001000000004,18040000
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2014-06-12,40.810001,40.880001,40.290001000000004,40.580002,29818900
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2014-06-13,41.099998,41.57,40.860001000000004,41.23,26310000
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2014-06-16,41.040001000000004,41.610001000000004,41.040001000000004,41.5,24205300
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2014-06-17,41.290001000000004,41.91,40.34,41.68,22518600
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2014-06-18,41.610001000000004,41.740002000000004,41.18,41.650002,27097000
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2014-06-19,41.57,41.77,41.330002,41.509997999999996,19828200
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2014-06-20,41.450001,41.830002,41.380001,41.68,47764900
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2014-06-23,41.73,42.0,41.689999,41.990002000000004,18743900
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2014-06-24,41.830002,41.939999,41.560001,41.75,26509100
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2014-06-25,41.700001,42.049999,41.459998999999996,42.029999,20049100
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2014-06-26,41.93,41.939999,41.43,41.720001,23604400
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2014-06-27,41.610001000000004,42.290001000000004,41.509997999999996,42.25,74640000
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2014-06-30,42.169998,42.209998999999996,41.700001,41.700001,30805500
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2014-07-01,41.860001000000004,42.150002,41.689999,41.869999,26917000
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2014-07-02,41.73,41.900002,41.529999,41.900002,20208100
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2014-07-03,41.91,41.990002000000004,41.560001,41.799999,15969300
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2014-07-07,41.75,42.119999,41.709998999999996,41.990002000000004,21952400
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2014-07-08,41.869999,42.0,41.610001000000004,41.779999,31218200
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2014-07-09,41.98,41.990002000000004,41.529999,41.669998,18445900
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2014-07-10,41.369999,42.0,41.049999,41.689999,21854700
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2014-07-11,41.700001,42.09,41.48,42.09,24083000
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2014-07-14,42.220001,42.450001,42.040001000000004,42.139998999999996,21881100
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2014-07-15,42.330002,42.470001,42.029999,42.450001,28748700
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2014-07-16,42.509997999999996,44.310001,42.48,44.080002,63318000
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2014-07-17,45.450001,45.709998999999996,44.25,44.529999,82180300
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2014-07-18,44.650002,44.84,44.25,44.689999,43407500
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2014-07-21,44.560001,45.16,44.220001,44.84,37604400
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2014-07-22,45.0,45.150002,44.59,44.830002,43095800
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2014-07-23,45.450001,45.450001,44.619999,44.869999,52362900
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2014-07-24,44.93,45.0,44.32,44.400002,30725300
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2014-07-25,44.299999,44.66,44.299999,44.5,26737700
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2014-07-28,44.360001000000004,44.509997999999996,43.93,43.970001,29684200
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2014-07-29,43.91,44.09,43.639998999999996,43.889998999999996,27763100
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2014-07-30,44.07,44.099998,43.290001000000004,43.580002,31921400
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2014-07-31,43.380001,43.689999,43.080002,43.16,31537500
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2014-08-01,43.209998999999996,43.25,42.599998,42.860001000000004,31170300
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2014-08-04,42.970001,43.470001,42.810001,43.369999,34277400
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2014-08-05,43.310001,43.459998999999996,42.830002,43.080002,26266400
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2014-08-06,42.740002000000004,43.169998,42.209998999999996,42.740002000000004,24634000
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2014-08-07,42.84,43.450001,42.650002,43.23,30314900
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2014-08-08,43.23,43.32,42.91,43.200001,28942700
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2014-08-11,43.259997999999996,43.450001,43.02,43.200001,20351600
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2014-08-12,43.040001000000004,43.59,43.0,43.52,21431100
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2014-08-13,43.68,44.18,43.52,44.080002,22889500
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2014-08-14,44.080002,44.419998,44.009997999999996,44.27,19313200
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2014-08-15,44.580002,44.900002,44.400002,44.790001000000004,41611300
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2014-08-18,44.939999,45.110001000000004,44.68,45.110001000000004,26891100
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2014-08-19,44.970001,45.34,44.830002,45.330002,28139500
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2014-08-20,45.34,45.400002,44.900002,44.950001,24770500
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2014-08-21,44.84,45.25,44.830002,45.220001,22285500
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2014-08-22,45.349998,45.470001,45.07,45.150002,18294500
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2014-08-25,45.400002,45.439999,45.040001000000004,45.169998,16910000
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2014-08-26,45.310001,45.400002,44.939999,45.009997999999996,14873100
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2014-08-27,44.900002,45.0,44.759997999999996,44.869999,21287900
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2014-08-28,44.75,44.98,44.610001000000004,44.880001,17657600
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2014-08-29,45.09,45.439999,44.860001000000004,45.43,21607600
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