mirror of
https://github.com/wassname/catalyst.git
synced 2026-06-29 07:56:38 +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.
22 lines
381 B
Python
22 lines
381 B
Python
"""
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Base class for FFC data loaders.
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"""
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from abc import (
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ABCMeta,
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abstractmethod,
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)
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from six import with_metaclass
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class FFCLoader(with_metaclass(ABCMeta)):
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"""
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ABC for classes that can load data for use with zipline.modelling pipeline.
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TODO: DOCUMENT THIS MORE!
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"""
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@abstractmethod
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def load_adjusted_array(self, columns, mask):
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pass
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