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ReStructuredText
169 lines
5.0 KiB
ReStructuredText
Zipline
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=======
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|version status|
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|downloads|
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Zipline is a Pythonic algorithmic trading library. It is an event-driven
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system that supports both backtesting and live-trading.
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Zipline is currently used in production as the backtesting and live-trading
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engine powering `Quantopian <https://www.quantopian.com>`__ -- a free,
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community-centered, hosted platform for building and executing trading
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strategies.
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`Join our
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community! <https://groups.google.com/forum/#!forum/zipline>`__
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Want to contribute? See our `open
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requests <https://github.com/quantopian/zipline/wiki/Contribution-Requests>`__
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and our `general
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guidelines <https://github.com/quantopian/zipline#contributions>`__
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below.
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Features
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========
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- Ease of use: Zipline tries to get out of your way so that you can
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focus on algorithm development. See below for a code example.
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- Zipline comes "batteries included" as many common statistics like
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moving average and linear regression can be readily accessed from
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within a user-written algorithm.
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- Input of historical data and output of performance statistics are
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based on Pandas DataFrames to integrate nicely into the existing
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PyData eco-system.
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- Statistic and machine learning libraries like matplotlib, scipy,
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statsmodels, and sklearn support development, analysis, and
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visualization of state-of-the-art trading systems.
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Installation
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============
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pip
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---
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You can install Zipline via the ``pip`` command:
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::
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$ pip install zipline
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conda
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-----
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Another way to install Zipline is via ``conda`` which comes as part
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of `Anaconda <http://continuum.io/downloads>`__ or can be installed via
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``pip install conda``.
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Once set up, you can install Zipline from our ``Quantopian`` channel:
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::
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conda install -c Quantopian zipline
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Currently supported platforms include:
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- GNU/Linux 64-bit
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- OSX 64-bit
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.. note::
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Windows may work; however, it is currently untested.
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Dependencies
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------------
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See our `requirements file
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<https://github.com/quantopian/zipline/blob/master/etc/requirements.txt>`__
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Quickstart
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==========
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See our `getting started
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tutorial <http://www.zipline.io/#quickstart>`__.
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The following code implements a simple dual moving average algorithm.
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.. code:: python
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from zipline.api import (
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add_history,
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history,
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order_target,
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record,
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symbol,
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)
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def initialize(context):
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# Register 2 histories that track daily prices,
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# one with a 100 window and one with a 300 day window
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add_history(100, '1d', 'price')
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add_history(300, '1d', 'price')
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context.i = 0
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def handle_data(context, data):
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# Skip first 300 days to get full windows
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context.i += 1
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if context.i < 300:
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return
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# Compute averages
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# history() has to be called with the same params
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# from above and returns a pandas dataframe.
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short_mavg = history(100, '1d', 'price').mean()
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long_mavg = history(300, '1d', 'price').mean()
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sym = symbol('AAPL')
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# Trading logic
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if short_mavg[sym] > long_mavg[sym]:
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# order_target orders as many shares as needed to
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# achieve the desired number of shares.
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order_target(sym, 100)
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elif short_mavg[sym] < long_mavg[sym]:
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order_target(sym, 0)
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# Save values for later inspection
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record(AAPL=data[sym].price,
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short_mavg=short_mavg[sym],
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long_mavg=long_mavg[sym])
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You can then run this algorithm using the Zipline CLI. From the command
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line, run:
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.. code:: bash
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python run_algo.py -f dual_moving_average.py --symbols AAPL --start 2011-1-1 --end 2012-1-1 -o dma.pickle
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This will download the AAPL price data from Yahoo! Finance in the
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specified time range and stream it through the algorithm and save the
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resulting performance dataframe to dma.pickle which you can then load
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and analyze from within python.
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You can find other examples in the zipline/examples directory.
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Contributions
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=============
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If you would like to contribute, please see our Contribution Requests:
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https://github.com/quantopian/zipline/wiki/Contribution-Requests
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.. |Gitter| image:: https://badges.gitter.im/Join%20Chat.svg
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:target: https://gitter.im/quantopian/zipline?utm_source=badge&utm_medium=badge&utm_campaign=pr-badge&utm_content=badge
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.. |version status| image:: https://img.shields.io/pypi/pyversions/zipline.svg
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:target: https://pypi.python.org/pypi/zipline
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.. |downloads| image:: https://img.shields.io/pypi/dd/zipline.svg
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:target: https://pypi.python.org/pypi/zipline
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.. |build status| image:: https://travis-ci.org/quantopian/zipline.png?branch=master
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:target: https://travis-ci.org/quantopian/zipline
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.. |Coverage Status| image:: https://coveralls.io/repos/quantopian/zipline/badge.png
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:target: https://coveralls.io/r/quantopian/zipline
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.. |Code quality| image:: https://scrutinizer-ci.com/g/quantopian/zipline/badges/quality-score.png?b=master
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:target: https://scrutinizer-ci.com/g/quantopian/zipline/
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