mirror of
https://github.com/wassname/catalyst.git
synced 2026-06-29 14:37:54 +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.
82 lines
2.4 KiB
Python
82 lines
2.4 KiB
Python
#!/usr/bin/env python
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#
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# Copyright 2014 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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from setuptools import setup, find_packages, Extension
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from Cython.Build import cythonize
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import numpy as np
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ext_modules = [
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Extension(
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'zipline.assets._assets',
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['zipline/assets/_assets.pyx'],
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include_dirs=[np.get_include()],
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),
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Extension(
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'zipline.lib.adjusted_array',
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['zipline/lib/adjusted_array.pyx'],
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include_dirs=[np.get_include()],
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),
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Extension(
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'zipline.lib.adjustment',
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['zipline/lib/adjustment.pyx'],
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include_dirs=[np.get_include()],
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),
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Extension(
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'zipline.data.ffc.loaders._us_equity_pricing',
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['zipline/data/ffc/loaders/_us_equity_pricing.pyx'],
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include_dirs=[np.get_include()],
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),
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]
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setup(
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name='zipline',
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version='0.8.0rc1',
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description='A backtester for financial algorithms.',
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author='Quantopian Inc.',
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author_email='opensource@quantopian.com',
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packages=['zipline'],
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ext_modules=cythonize(ext_modules),
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scripts=['scripts/run_algo.py'],
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include_package_data=True,
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license='Apache 2.0',
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classifiers=[
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'Development Status :: 4 - Beta',
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'License :: OSI Approved :: Apache Software License',
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'Natural Language :: English',
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'Programming Language :: Python',
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'Programming Language :: Python :: 2.7',
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'Programming Language :: Python :: 3.3',
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'Operating System :: OS Independent',
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'Intended Audience :: Science/Research',
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'Topic :: Office/Business :: Financial',
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'Topic :: Scientific/Engineering :: Information Analysis',
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'Topic :: System :: Distributed Computing',
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],
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install_requires=[
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'Logbook',
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'pytz',
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'requests',
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'numpy',
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'pandas',
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'six',
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'Cython',
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],
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extras_require={
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'talib': ["talib"],
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},
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url="http://zipline.io"
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)
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