catalyst/docs/release-notes/zipline-0.7.0.md

Zipline 0.7.0 Release Notes

Highlights

• Command line interface to run algorithms directly.

• IPython Magic %%zipline that runs algorithm defined in an IPython notebook cell.

• API methods for building safeguards against runaway ordering and undesired short positions.

• New history() function to get a moving DataFrame of past market data (replaces BatchTransform).

• A new beginner tutorial.

Enhancements (ENH)

• CLI: Adds a CLI and IPython magic for zipline. PR325

  Example:

  python run_algo.py -f dual_moving_avg.py --symbols AAPL --start 2011-1-1 --end 2012-1-1 -o dma.pickle
  

  Grabs the data from yahoo finance, runs the file dual_moving_avg.py (and looks for dual_moving_avg_analyze.py which, if found, will be executed after the algorithm has been run), and outputs the perf DataFrame to dma.pickle.

• IPython magic command (at the top of an IPython notebook cell). PR325

  %%zipline --symbols AAPL --start 2011-1-1 --end 2012-1-1 -o perf
  

  Does the same as above except instead of executing the file looks for the algorithm in the cell and instead of outputting the perf df to a file, creates a variable in the namespace called perf.

• Adds Trading Controls to the algorithm API. PR329

  The following functions are now available on TradingAlgorithm and for algo scripts:

  • set_max_order_size(self, sid=None, max_shares=None, max_notional=None) - Set a limit on the absolute magnitude, in shares and/or total dollar value, of any single order placed by this algorithm for a given sid. If sid is None, then the rule is applied to any order placed by the algorithm. - Example:

                 def initialize(context):
                      # Algorithm will raise an exception if we attempt to place an
                      # order which would cause us to hold more than 10 shares
                      # or 1000 dollars worth of sid(24).
                      set_max_order_size(sid(24), max_shares=10, max_notional=1000.0)
  

  • set_max_position_size(self, sid=None, max_shares=None, max_notional=None) - Set a limit on the absolute magnitude, in either shares or dollar value, of any position held by the algorithm for a given sid. If sid is None, then the rule is applied to any position held by the algorithm. - Example:

                 def initialize(context):
                     # Algorithm will raise an exception if we attempt to order more than
                     # 10 shares or 1000 dollars worth of sid(24) in a single order.
                     set_max_order_size(sid(24), max_shares=10, max_notional=1000.0)
  

  • set_max_order_count(self, max_count) - Set a limit on the number of orders that can be placed by the algorithm in a single trading day. - Example:

                 def initialize(context):
                     # Algorithm will raise an exception if more than 50 orders are placed in a day.
                     set_max_order_count(50)
  

  • set_long_only(self) - Set a rule specifying that the algorithm may not hold short positions. - Example:

                 def initialize(context):
                     # Algorithm will raise an exception if it attempts to place
                     # an order that would cause it to hold a short position.
                     set_long_only()
  

• Adds an all_api_methods classmethod on TradingAlgorithm that returns a list of all TradingAlgorithm API methods. PR333

• Expanded record() functionality for dynamic naming. PR325

  The record() function can now take positional args before the kwargs. All original usage and functionality is the same, but now these extra usages will work:

                 name = 'Dynamically_Generated_String'
                 record( name, value, ... )
                 record( name, value1, 'name2', value2, name3=value3, name4=value4 )
  

  The requirements are simply that the poritional args occur only before the kwargs.

• history() has been ported from Quantopian to Zipline and provides moving window of market data. PR345 and PR357

  history() replaces BatchTransform. It is faster, works for minute level data and has a superior interface. To use it, call add_history() inside of initialize() and then receive a pandas DataFrame by calling history() from inside handle_data(). Check out the tutorial and an example.

• history() now supports 1m window lengths PR345

Bug Fixes (BUG)

• Fix alignment of trading days and open and closes in trading environment. PR331

• RollingPanel fix when adding/dropping new fields PR349

Performance (PERF)

Maintenance and Refactorings (MAINT)

• Removed undocumented and untested HDF5 and CSV data sources. PR267

• Refactor sim_params PR352

• Refactoring of history PR340

Build (BLD)

• The following dependencies have been updated (zipline might work with other versions too):

-pytz==2013.9
-numpy==1.8.0
+pytz==2014.4
+numpy==1.8.1

+scipy==0.12.0
+patsy==0.2.1
+statsmodels==0.5.0
-six==1.5.2
+six==1.6.1

-Cython==0.20
-TA-Lib==0.4.8
+Cython==0.20.1
+Cython==0.20.1
+--allow-external TA-Lib --allow-unverified TA-Lib TA-Lib==0.4.8

-requests==2.2.0
+requests==2.3.0

-nose==1.3.0
+nose==1.3.3
-xlrd==0.9.2
+xlrd==0.9.3

-pep8==1.4.6
-pyflakes==0.7.3
-pip-tools==0.3.4
+pep8==1.5.7
+pyflakes==0.8.1

-scipy==0.13.2
-tornado==3.2
-pyparsing==2.0.1
-patsy==0.2.1
-statsmodels==0.4.3
+tornado==3.2.1
+pyparsing==2.0.2

q-Markdown==2.3.1
+Markdown==2.4.1

Contributors

38  Scott Sanderson
29  Thomas Wiecki
26  Eddie Hebert
 6  Delaney Granizo-Mackenzie
 3  David Edwards
 3  Richard Frank
 2  Jonathan Kamens
 1  Pankaj Garg
 1  Tony Lambiris
 1  fawce