catalyst/docs/source/whatsnew/1.0.2.txt

Release 1.0.2
-------------

:Release: 1.0.2
:Date: TBD

Enhancements
~~~~~~~~~~~~

- Adds forward fill checkpoint tables for the blaze core loader. This allow the
  loader to more efficiently forward fill the data by capping the lower date it
  must search for when querying data. The checkpoints should have novel deltas
  applied (:issue:`1276`).

- Updated VagrantFile to include all dev requirements and use a newer image
  (:issue:`1310`).

- Allow correlations and regressions to be computed between two 2D factors by
  doing computations asset-wise (:issue:`1307`).

- Filters have been made window_safe by default. Now they can be passed in as
  arguments to other Filters, Factors and Classifiers (:issue:`1338`).

- Added an optional ``groupby`` parameter to
  :meth:`~zipline.pipeline.factors.Factor.rank`,
  :meth:`~zipline.pipeline.factors.Factor.top`, and
  :meth:`~zipline.pipeline.factors.Factor.bottom`. (:issue:`1349`).

- Added new pipeline filters, :class:`~zipline.pipeline.filters.All` and
  :class:`~zipline.pipeline.filters.Any`, which takes another filter and
  returns True if an asset produced a True for any/all days in the previous
  ``window_length`` days (:issue:`1358`).

- Added new pipeline filter :class:`~zipline.pipeline.filters.AtLeastN`,
  which takes another filter and an int N and returns True if an asset
  produced a True on N or more days in the previous ``window_length``
  days (:issue:`1367`).

Bug Fixes
~~~~~~~~~

- Changes :class:`~zipline.pipeline.factors.AverageDollarVolume` built-in
  factor to treat missing close or volume values as 0. Previously, NaNs were
  simply discarded before averaging, giving the remaining values too much
  weight (:issue:`1309`).

Documentation
~~~~~~~~~~~~~

None