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190 lines
6.8 KiB
Markdown
190 lines
6.8 KiB
Markdown
# Zipline 0.7.0 Release Notes
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**Highlights**
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* Command line interface to run algorithms directly.
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* IPython Magic %%zipline that runs algorithm defined in an IPython
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notebook cell.
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* API methods for building safeguards against runaway ordering and undesired
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short positions.
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* New history() function to get a moving DataFrame of past market data
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(replaces BatchTransform).
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* A new [beginner tutorial](http://nbviewer.ipython.org/github/quantopian/zipline/blob/master/docs/tutorial.ipynb).
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## Enhancements (ENH)
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* CLI: Adds a CLI and IPython magic for zipline. [PR325](https://github.com/quantopian/zipline/pull/325)
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> Example:
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> ```
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> python run_algo.py -f dual_moving_avg.py --symbols AAPL --start 2011-1-1 --end 2012-1-1 -o dma.pickle
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> ```
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> Grabs the data from yahoo finance, runs the file
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dual_moving_avg.py (and looks for `dual_moving_avg_analyze.py`
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which, if found, will be executed after the algorithm has been run),
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and outputs the perf `DataFrame` to `dma.pickle`.
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* IPython magic command (at the top of an IPython notebook cell). [PR325](https://github.com/quantopian/zipline/pull/325)
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> ```
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> %%zipline --symbols AAPL --start 2011-1-1 --end 2012-1-1 -o perf
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> ```
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> Does the same as above except instead of executing the file looks
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> for the algorithm in the cell and instead of outputting the perf df
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> to a file, creates a variable in the namespace called perf.
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* Adds Trading Controls to the algorithm API. [PR329](https://github.com/quantopian/zipline/pull/329)
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> The following functions are now available on ```TradingAlgorithm``` and for algo scripts:
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> - `set_max_order_size(self, sid=None, max_shares=None, max_notional=None)`
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- Set a limit on the absolute magnitude, in shares and/or total
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dollar value, of any single order placed by this algorithm for a
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given sid. If `sid` is None, then the rule is applied to any order
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placed by the algorithm.
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- Example:
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def initialize(context):
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# Algorithm will raise an exception if we attempt to place an
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# order which would cause us to hold more than 10 shares
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# or 1000 dollars worth of sid(24).
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set_max_order_size(sid(24), max_shares=10, max_notional=1000.0)
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> - `set_max_position_size(self, sid=None, max_shares=None, max_notional=None)`
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- Set a limit on the absolute magnitude, in either shares or dollar
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value, of any position held by the algorithm for a given sid. If `sid`
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is None, then the rule is applied to any position held by the
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algorithm.
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- Example:
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def initialize(context):
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# Algorithm will raise an exception if we attempt to order more than
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# 10 shares or 1000 dollars worth of sid(24) in a single order.
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set_max_order_size(sid(24), max_shares=10, max_notional=1000.0)
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> - `set_max_order_count(self, max_count)`
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- Set a limit on the number of orders that can be placed by the
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algorithm in a single trading day.
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- Example:
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def initialize(context):
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# Algorithm will raise an exception if more than 50 orders are placed in a day.
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set_max_order_count(50)
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> - `set_long_only(self)`
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- Set a rule specifying that the algorithm may not hold short positions.
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- Example:
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def initialize(context):
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# Algorithm will raise an exception if it attempts to place
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# an order that would cause it to hold a short position.
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set_long_only()
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* Adds an `all_api_methods` classmethod on `TradingAlgorithm` that returns a
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list of all `TradingAlgorithm` API methods. [PR333](https://github.com/quantopian/zipline/pull/333)
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* Expanded record() functionality for dynamic naming. [PR325](https://github.com/quantopian/zipline/pull/355)
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> The record() function can now take positional args before the kwargs.
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> All original usage and functionality is the same, but now these
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> extra usages will work:
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>
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name = 'Dynamically_Generated_String'
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record( name, value, ... )
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record( name, value1, 'name2', value2, name3=value3, name4=value4 )
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> The requirements are simply that the poritional args occur only before the
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> kwargs.
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* history() has been ported from Quantopian to Zipline and provides moving window of market data. [PR345](https://github.com/quantopian/zipline/pull/345) and [PR357](https://github.com/quantopian/zipline/pull/357)
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> history() replaces BatchTransform. It is faster, works for minute level data and has a superior interface.
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> To use it, call `add_history()` inside of `initialize()` and then receive a pandas `DataFrame` by calling
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> history() from inside `handle_data()`. Check out the [tutorial](http://nbviewer.ipython.org/github/quantopian/zipline/blob/master/docs/tutorial.ipynb) and an [example](https://github.com/quantopian/zipline/blob/master/zipline/examples/dual_moving_average.py).
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* history() now supports `1m` window lengths [PR345](https://github.com/quantopian/zipline/pull/345)
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## Bug Fixes (BUG)
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* Fix alignment of trading days and open and closes in trading environment.
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[PR331](https://github.com/quantopian/zipline/pull/331)
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* RollingPanel fix when adding/dropping new fields [PR349](https://github.com/quantopian/zipline/pull/349)
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## Performance (PERF)
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## Maintenance and Refactorings (MAINT)
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* Removed undocumented and untested HDF5 and CSV data sources. [PR267](https://github.com/quantopian/zipline/issues/267)
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* Refactor sim_params [PR352](https://github.com/quantopian/zipline/pull/352)
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* Refactoring of history [PR340](https://github.com/quantopian/zipline/pull/340)
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## Build (BLD)
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* The following dependencies have been updated (zipline might work with other versions too):
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```diff
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-pytz==2013.9
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-numpy==1.8.0
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+pytz==2014.4
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+numpy==1.8.1
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+scipy==0.12.0
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+patsy==0.2.1
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+statsmodels==0.5.0
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-six==1.5.2
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+six==1.6.1
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-Cython==0.20
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-TA-Lib==0.4.8
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+Cython==0.20.1
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+Cython==0.20.1
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+--allow-external TA-Lib --allow-unverified TA-Lib TA-Lib==0.4.8
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-requests==2.2.0
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+requests==2.3.0
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-nose==1.3.0
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+nose==1.3.3
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-xlrd==0.9.2
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+xlrd==0.9.3
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-pep8==1.4.6
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-pyflakes==0.7.3
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-pip-tools==0.3.4
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+pep8==1.5.7
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+pyflakes==0.8.1
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-scipy==0.13.2
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-tornado==3.2
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-pyparsing==2.0.1
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-patsy==0.2.1
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-statsmodels==0.4.3
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+tornado==3.2.1
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+pyparsing==2.0.2
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q-Markdown==2.3.1
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+Markdown==2.4.1
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```
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# Contributors
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38 Scott Sanderson
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29 Thomas Wiecki
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26 Eddie Hebert
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6 Delaney Granizo-Mackenzie
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3 David Edwards
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3 Richard Frank
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2 Jonathan Kamens
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1 Pankaj Garg
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1 Tony Lambiris
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1 fawce
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