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https://github.com/wassname/catalyst.git
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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.
19 lines
281 B
Python
19 lines
281 B
Python
from numpy import (
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float64,
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uint32,
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)
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from zipline.data.dataset import (
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Column,
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DataSet,
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)
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class USEquityPricing(DataSet):
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open = Column(float64)
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high = Column(float64)
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low = Column(float64)
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close = Column(float64)
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volume = Column(uint32)
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