mirror of
https://github.com/wassname/catalyst.git
synced 2026-06-28 06:13:40 +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.
43 lines
1.1 KiB
Python
43 lines
1.1 KiB
Python
#
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# Copyright 2013 Quantopian, Inc.
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#
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# Licensed under the Apache License, Version 2.0 (the "License");
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# you may not use this file except in compliance with the License.
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# You may obtain a copy of the License at
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#
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# http://www.apache.org/licenses/LICENSE-2.0
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#
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# Unless required by applicable law or agreed to in writing, software
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# distributed under the License is distributed on an "AS IS" BASIS,
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# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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# See the License for the specific language governing permissions and
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# limitations under the License.
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import math
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def tolerant_equals(a, b, atol=10e-7, rtol=10e-7):
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return math.fabs(a - b) <= (atol + rtol * math.fabs(b))
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try:
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# fast versions
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import bottleneck as bn
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nanmean = bn.nanmean
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nanstd = bn.nanstd
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nansum = bn.nansum
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nanmax = bn.nanmax
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nanmin = bn.nanmin
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nanargmax = bn.nanargmax
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nanargmin = bn.nanargmin
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except ImportError:
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# slower numpy
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import numpy as np
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nanmean = np.nanmean
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nanstd = np.nanstd
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nansum = np.nansum
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nanmax = np.nanmax
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nanmin = np.nanmin
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nanargmax = np.nanargmax
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nanargmin = np.nanargmin
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