saymrwulf/zipline
1
0
Fork 0
mirror of https://github.com/saymrwulf/zipline.git synced 2026-05-16 21:10:11 +00:00
Code Issues Projects Releases Packages Wiki Activity Actions
zipline/docs/source/appendix.rst

511 lines
12 KiB
ReStructuredText
Raw Normal View History

DOC: Many docs improvements. - Generate links to sourcecode via the Sphinx `viewcode` extension. - Generate reference docs for Asset/Equity/Future, AssetFinder, and AssetDBWriter. - Generate reference docs for Pipeline API classes. - Fix broken links and formatting issues in the 0.8.4 whatsnew. - Use embedsignature in _assets.pyx so that the signatures of Asset subclasses are inspectable.
2015-11-19 04:58:59 +00:00
API Reference
-------------
DOC: use sphinx docs
2015-11-04 23:32:34 +00:00
ENH: Updates the cli, data bundles and extensions. Adds the data bundle concept which makes it easy for users to register loading functions to build out minute and daily data along with an assets db and adjustments db. By default we have provided a `quandl` bundle which pulls from the public domain WIKI dataset. Users may register new bundles by decorating an ingest function with `zipline.data.bundles.register(<name>)`. This also provides a `yahoo_equities` function for creating an ingestion function that will load a static set of assets from yahoo. The cli is now structured as a couple of subcommands and has been changed to `python -m zipline`. The old behavior of `run_algo.py` has been moved to the `run` subcommand. This is almost entirely the same except that it now takes the name of the data bundle to use, defaulting to `quandl`. The next subcommand is `ingest` which takes the name of a data bundle to ingest. This will run the loading machinery and write the data to a specified location that `run` can find. There is also a `clean` subcommand which deletes the data that was written with `ingest`. Extensions have also been added to zipline. This is an experimental feature where users can provide an extra set of python files to run at the start of the process. These can be used to configure aspects of zipline. Right now the only thing that is supported in an extension file is the registration of a new data bundle.
2016-04-20 18:52:12 +00:00
Running a Backtest
~~~~~~~~~~~~~~~~~~
.. autofunction:: zipline.run_algorithm(...)
DOC: Many docs improvements. - Generate links to sourcecode via the Sphinx `viewcode` extension. - Generate reference docs for Asset/Equity/Future, AssetFinder, and AssetDBWriter. - Generate reference docs for Pipeline API classes. - Fix broken links and formatting issues in the 0.8.4 whatsnew. - Use embedsignature in _assets.pyx so that the signatures of Asset subclasses are inspectable.
2015-11-19 04:58:59 +00:00
Algorithm API
~~~~~~~~~~~~~
The following methods are available for use in the ``initialize``,
STY: Oxford comma.
2015-11-19 05:46:41 +00:00
``handle_data``, and ``before_trading_start`` API functions.
DOC: Many docs improvements. - Generate links to sourcecode via the Sphinx `viewcode` extension. - Generate reference docs for Asset/Equity/Future, AssetFinder, and AssetDBWriter. - Generate reference docs for Pipeline API classes. - Fix broken links and formatting issues in the 0.8.4 whatsnew. - Use embedsignature in _assets.pyx so that the signatures of Asset subclasses are inspectable.
2015-11-19 04:58:59 +00:00
In all listed functions, the ``self`` argument is implicitly the
currently-executing :class:`~zipline.algorithm.TradingAlgorithm` instance.
DOC: use sphinx docs
2015-11-04 23:32:34 +00:00
DOC: Updated whatsnew with Q2 information.
2016-04-27 20:19:13 +00:00
Data Object
```````````
.. autoclass:: zipline.protocol.BarData
:members:
DOC: update docs for api functions
2016-05-05 18:16:30 +00:00
Scheduling Functions
````````````````````
.. autofunction:: zipline.api.schedule_function
.. autoclass:: zipline.api.date_rules
DOC: use sphinx docs
2015-11-04 23:32:34 +00:00
:members:
DOC: update docs for api functions
2016-05-05 18:16:30 +00:00
:undoc-members:
.. autoclass:: zipline.api.time_rules
:members:
Orders
``````
.. autofunction:: zipline.api.order
.. autofunction:: zipline.api.order_value
.. autofunction:: zipline.api.order_percent
.. autofunction:: zipline.api.order_target
.. autofunction:: zipline.api.order_target_value
.. autofunction:: zipline.api.order_target_percent
.. autoclass:: zipline.finance.execution.ExecutionStyle
:members:
.. autoclass:: zipline.finance.execution.MarketOrder
.. autoclass:: zipline.finance.execution.LimitOrder
.. autoclass:: zipline.finance.execution.StopOrder
.. autoclass:: zipline.finance.execution.StopLimitOrder
.. autofunction:: zipline.api.get_order
.. autofunction:: zipline.api.get_open_orders
.. autofunction:: zipline.api.cancel_order
Order Cancellation Policies
'''''''''''''''''''''''''''
.. autofunction:: zipline.api.set_cancel_policy
.. autoclass:: zipline.finance.cancel_policy.CancelPolicy
:members:
.. autofunction:: zipline.api.EODCancel
.. autofunction:: zipline.api.NeverCancel
Assets
``````
.. autofunction:: zipline.api.symbol
.. autofunction:: zipline.api.symbols
.. autofunction:: zipline.api.future_symbol
.. autofunction:: zipline.api.set_symbol_lookup_date
.. autofunction:: zipline.api.sid
Trading Controls
````````````````
Zipline provides trading controls to help ensure that the algorithm is
performing as expected. The functions help protect the algorithm from certian
bugs that could cause undesirable behavior when trading with real money.
.. autofunction:: zipline.api.set_do_not_order_list
.. autofunction:: zipline.api.set_long_only
.. autofunction:: zipline.api.set_max_leverage
.. autofunction:: zipline.api.set_max_order_count
.. autofunction:: zipline.api.set_max_order_size
.. autofunction:: zipline.api.set_max_position_size
Simulation Parameters
`````````````````````
REL: 1.0.1. Update docs, whatsnew, and stub files for the release.
2016-05-27 20:41:47 +00:00
.. autofunction:: zipline.api.set_benchmark
Commission Models
'''''''''''''''''
DOC: update docs for api functions
2016-05-05 18:16:30 +00:00
.. autofunction:: zipline.api.set_commission
REL: 1.0.1. Update docs, whatsnew, and stub files for the release.
2016-05-27 20:41:47 +00:00
.. autoclass:: zipline.finance.commission.CommissionModel
:members:
DOC: update docs for api functions
2016-05-05 18:16:30 +00:00
.. autoclass:: zipline.finance.commission.PerShare
.. autoclass:: zipline.finance.commission.PerTrade
.. autoclass:: zipline.finance.commission.PerDollar
REL: 1.0.1. Update docs, whatsnew, and stub files for the release.
2016-05-27 20:41:47 +00:00
Slippage Models
'''''''''''''''
DOC: update docs for api functions
2016-05-05 18:16:30 +00:00
.. autofunction:: zipline.api.set_slippage
.. autoclass:: zipline.finance.slippage.SlippageModel
:members:
.. autoclass:: zipline.finance.slippage.FixedSlippage
.. autoclass:: zipline.finance.slippage.VolumeShareSlippage
Pipeline
````````
For more information, see :ref:`pipeline-api`
.. autofunction:: zipline.api.attach_pipeline
.. autofunction:: zipline.api.pipeline_output
Miscellaneous
`````````````
.. autofunction:: zipline.api.record
.. autofunction:: zipline.api.get_environment
.. autofunction:: zipline.api.fetch_csv
DOC: Update docs.
2018-07-16 02:01:57 +00:00
Blotters
~~~~~~~~
DOC: More doc updates.
2018-07-16 03:36:24 +00:00
.. autoclass:: zipline.finance.blotter.blotter.Blotter
DOC: Update docs.
2018-07-16 02:01:57 +00:00
:members:
.. autoclass:: zipline.finance.blotter.SimulationBlotter
:members:
DOC: Many docs improvements. - Generate links to sourcecode via the Sphinx `viewcode` extension. - Generate reference docs for Asset/Equity/Future, AssetFinder, and AssetDBWriter. - Generate reference docs for Pipeline API classes. - Fix broken links and formatting issues in the 0.8.4 whatsnew. - Use embedsignature in _assets.pyx so that the signatures of Asset subclasses are inspectable.
2015-11-19 04:58:59 +00:00
DOC: update docs for api functions
2016-05-05 18:16:30 +00:00
.. _pipeline-api:
DOC: Many docs improvements. - Generate links to sourcecode via the Sphinx `viewcode` extension. - Generate reference docs for Asset/Equity/Future, AssetFinder, and AssetDBWriter. - Generate reference docs for Pipeline API classes. - Fix broken links and formatting issues in the 0.8.4 whatsnew. - Use embedsignature in _assets.pyx so that the signatures of Asset subclasses are inspectable.
2015-11-19 04:58:59 +00:00
Pipeline API
~~~~~~~~~~~~
.. autoclass:: zipline.pipeline.Pipeline
:members:
:member-order: groupwise
.. autoclass:: zipline.pipeline.CustomFactor
:members:
:member-order: groupwise
DOC: Documentation tweaks.
2019-07-15 00:55:19 +00:00
.. autoclass:: zipline.pipeline.Filter
DOC: document new factors and methods
2020-07-22 21:27:13 +00:00
:members: __and__, __or__, if_else
DOC: Include pipeline Term in documentations
2017-06-05 20:11:19 +00:00
:exclude-members: dtype
DOC: Documentation tweaks.
2019-07-15 00:55:19 +00:00
.. autoclass:: zipline.pipeline.Factor
DOC: Include all Factor methods in documentation
2017-06-05 20:10:47 +00:00
:members: bottom, deciles, demean, linear_regression, pearsonr,
percentile_between, quantiles, quartiles, quintiles, rank,
spearmanr, top, winsorize, zscore, isnan, notnan, isfinite, eq,
__add__, __sub__, __mul__, __div__, __mod__, __pow__, __lt__,
DOC: document new factors and methods
2020-07-22 21:27:13 +00:00
__le__, __ne__, __ge__, __gt__, clip, fillna, mean, stddev, max,
min, median, sum, clip
DOC: Many docs improvements. - Generate links to sourcecode via the Sphinx `viewcode` extension. - Generate reference docs for Asset/Equity/Future, AssetFinder, and AssetDBWriter. - Generate reference docs for Pipeline API classes. - Fix broken links and formatting issues in the 0.8.4 whatsnew. - Use embedsignature in _assets.pyx so that the signatures of Asset subclasses are inspectable.
2015-11-19 04:58:59 +00:00
:exclude-members: dtype
:member-order: bysource
DOC: Documentation tweaks.
2019-07-15 00:55:19 +00:00
.. autoclass:: zipline.pipeline.Term
DOC: Include pipeline Term in documentations
2017-06-05 20:11:19 +00:00
:members:
:exclude-members: compute_extra_rows, dependencies, inputs, mask, windowed
Add the built-in factors to the API docs for zipline.io, so that I can link to the Returns factor from the release notes.
2015-12-01 20:54:19 +00:00
DOC: Add docs entry for pipeline datasets.
2018-07-16 02:07:03 +00:00
.. autoclass:: zipline.pipeline.data.DataSet
:members:
DOC: document new factors and methods
2020-07-22 21:27:13 +00:00
.. autoclass:: zipline.pipeline.data.Column
:members:
.. autoclass:: zipline.pipeline.data.BoundColumn
:members:
.. autoclass:: zipline.pipeline.data.DataSetFamily
:members:
DOC: Documentation tweaks.
2019-07-15 00:55:19 +00:00
.. autoclass:: zipline.pipeline.data.EquityPricing
DOC: Create built in factors subheading, organize them alphabetically
2017-06-05 20:00:09 +00:00
:members: open, high, low, close, volume
:undoc-members:
Add the built-in factors to the API docs for zipline.io, so that I can link to the Returns factor from the release notes.
2015-12-01 20:54:19 +00:00
DOC: Create built in factors subheading, organize them alphabetically
2017-06-05 20:00:09 +00:00
Built-in Factors
````````````````
.. autoclass:: zipline.pipeline.factors.AverageDollarVolume
Add the built-in factors to the API docs for zipline.io, so that I can link to the Returns factor from the release notes.
2015-12-01 20:54:19 +00:00
:members:
DOC: Create built in factors subheading, organize them alphabetically
2017-06-05 20:00:09 +00:00
.. autoclass:: zipline.pipeline.factors.BollingerBands
DOC: Update whatsnew.
2015-12-11 18:46:21 +00:00
:members:
DOC: Create built in factors subheading, organize them alphabetically
2017-06-05 20:00:09 +00:00
.. autoclass:: zipline.pipeline.factors.BusinessDaysSincePreviousEvent
DOC: Update whatsnew.
2015-12-11 18:46:21 +00:00
:members:
DOC: Create built in factors subheading, organize them alphabetically
2017-06-05 20:00:09 +00:00
.. autoclass:: zipline.pipeline.factors.BusinessDaysUntilNextEvent
Add the built-in factors to the API docs for zipline.io, so that I can link to the Returns factor from the release notes.
2015-12-01 20:54:19 +00:00
:members:
DOC: Update docs.
2018-07-16 02:01:57 +00:00
.. autoclass:: zipline.pipeline.factors.DailyReturns
:members:
DOC: Create built in factors subheading, organize them alphabetically
2017-06-05 20:00:09 +00:00
.. autoclass:: zipline.pipeline.factors.ExponentialWeightedMovingAverage
Add the built-in factors to the API docs for zipline.io, so that I can link to the Returns factor from the release notes.
2015-12-01 20:54:19 +00:00
:members:
DOC: Create built in factors subheading, organize them alphabetically
2017-06-05 20:00:09 +00:00
.. autoclass:: zipline.pipeline.factors.ExponentialWeightedMovingStdDev
Add the built-in factors to the API docs for zipline.io, so that I can link to the Returns factor from the release notes.
2015-12-01 20:54:19 +00:00
:members:
DOC: Create built in factors subheading, organize them alphabetically
2017-06-05 20:00:09 +00:00
.. autoclass:: zipline.pipeline.factors.Latest
DOC: Miscellaneous docs updates.
2015-12-12 03:28:42 +00:00
:members:
DOC: Include MACDSignal in zipline.io documentation
2017-06-06 17:46:06 +00:00
.. autoclass:: zipline.pipeline.factors.MACDSignal
:members:
DOC: Create built in factors subheading, organize them alphabetically
2017-06-05 20:00:09 +00:00
.. autoclass:: zipline.pipeline.factors.MaxDrawdown
DOC: Miscellaneous docs updates.
2015-12-12 03:28:42 +00:00
:members:
DOC: Create built in factors subheading, organize them alphabetically
2017-06-05 20:00:09 +00:00
.. autoclass:: zipline.pipeline.factors.Returns
ENH: Change DollarVolume to AverageDollarVolume.
2015-12-21 17:14:01 +00:00
:members:
DOC: Miscellaneous docs updates.
2015-12-12 03:28:42 +00:00
DOC: document new factors and methods
2020-07-22 21:27:13 +00:00
.. autoclass:: zipline.pipeline.factors.RollingPearson
:members:
.. autoclass:: zipline.pipeline.factors.RollingSpearman
:members:
DOC: Create built in factors subheading, organize them alphabetically
2017-06-05 20:00:09 +00:00
.. autoclass:: zipline.pipeline.factors.RollingLinearRegressionOfReturns
ENH: Adds BollingerBands factor.
2016-05-12 01:37:46 +00:00
:members:
ENH: Add builtin factors for correlation and regression
2016-04-15 17:00:53 +00:00
.. autoclass:: zipline.pipeline.factors.RollingPearsonOfReturns
:members:
.. autoclass:: zipline.pipeline.factors.RollingSpearmanOfReturns
:members:
DOC: Update docs.
2018-07-16 02:01:57 +00:00
.. autoclass:: zipline.pipeline.factors.SimpleBeta
:members:
DOC: Create built in factors subheading, organize them alphabetically
2017-06-05 20:00:09 +00:00
.. autoclass:: zipline.pipeline.factors.RSI
ENH: Add builtin factors for correlation and regression
2016-04-15 17:00:53 +00:00
:members:
DOC: Create built in factors subheading, organize them alphabetically
2017-06-05 20:00:09 +00:00
.. autoclass:: zipline.pipeline.factors.SimpleMovingAverage
:members:
DOC: Many docs improvements. - Generate links to sourcecode via the Sphinx `viewcode` extension. - Generate reference docs for Asset/Equity/Future, AssetFinder, and AssetDBWriter. - Generate reference docs for Pipeline API classes. - Fix broken links and formatting issues in the 0.8.4 whatsnew. - Use embedsignature in _assets.pyx so that the signatures of Asset subclasses are inspectable.
2015-11-19 04:58:59 +00:00
DOC: Create built in factors subheading, organize them alphabetically
2017-06-05 20:00:09 +00:00
.. autoclass:: zipline.pipeline.factors.VWAP
:members:
DOC: Update whatsnew.
2015-12-11 18:46:21 +00:00
DOC: Create built in factors subheading, organize them alphabetically
2017-06-05 20:00:09 +00:00
.. autoclass:: zipline.pipeline.factors.WeightedAverageValue
:members:
DOC: Update whatsnew.
2015-12-11 18:46:21 +00:00
DOC: document new factors and methods
2020-07-22 21:27:13 +00:00
.. autoclass:: zipline.pipeline.factors.PercentChange
:members:
.. autoclass:: zipline.pipeline.factors.PeerCount
:members:
EHH: New filter AllPresent with tests DOCS: Include built-in filters section in user documentation
2017-10-02 15:04:53 +00:00
Built-in Filters
````````````````
.. autoclass:: zipline.pipeline.filters.All
:members:
.. autoclass:: zipline.pipeline.filters.AllPresent
:members:
.. autoclass:: zipline.pipeline.filters.Any
:members:
.. autoclass:: zipline.pipeline.filters.AtLeastN
:members:
.. autoclass:: zipline.pipeline.filters.SingleAsset
:members:
.. autoclass:: zipline.pipeline.filters.StaticAssets
:members:
.. autoclass:: zipline.pipeline.filters.StaticSids
:members:
DOC: Include PipelineEngine in documentation
2017-06-05 20:09:36 +00:00
Pipeline Engine
```````````````
.. autoclass:: zipline.pipeline.engine.PipelineEngine
:members: run_pipeline, run_chunked_pipeline
:member-order: bysource
.. autoclass:: zipline.pipeline.engine.SimplePipelineEngine
:members: __init__, run_pipeline, run_chunked_pipeline
:member-order: bysource
.. autofunction:: zipline.pipeline.engine.default_populate_initial_workspace
Data Loaders
````````````
.. autoclass:: zipline.pipeline.loaders.equity_pricing_loader.USEquityPricingLoader
:members: __init__, from_files, load_adjusted_array
:member-order: bysource
DOC: Update whatsnew.
2015-12-11 18:46:21 +00:00
DOC: Many docs improvements. - Generate links to sourcecode via the Sphinx `viewcode` extension. - Generate reference docs for Asset/Equity/Future, AssetFinder, and AssetDBWriter. - Generate reference docs for Pipeline API classes. - Fix broken links and formatting issues in the 0.8.4 whatsnew. - Use embedsignature in _assets.pyx so that the signatures of Asset subclasses are inspectable.
2015-11-19 04:58:59 +00:00
Asset Metadata
~~~~~~~~~~~~~~
ENH: Updates the cli, data bundles and extensions. Adds the data bundle concept which makes it easy for users to register loading functions to build out minute and daily data along with an assets db and adjustments db. By default we have provided a `quandl` bundle which pulls from the public domain WIKI dataset. Users may register new bundles by decorating an ingest function with `zipline.data.bundles.register(<name>)`. This also provides a `yahoo_equities` function for creating an ingestion function that will load a static set of assets from yahoo. The cli is now structured as a couple of subcommands and has been changed to `python -m zipline`. The old behavior of `run_algo.py` has been moved to the `run` subcommand. This is almost entirely the same except that it now takes the name of the data bundle to use, defaulting to `quandl`. The next subcommand is `ingest` which takes the name of a data bundle to ingest. This will run the loading machinery and write the data to a specified location that `run` can find. There is also a `clean` subcommand which deletes the data that was written with `ingest`. Extensions have also been added to zipline. This is an experimental feature where users can provide an extra set of python files to run at the start of the process. These can be used to configure aspects of zipline. Right now the only thing that is supported in an extension file is the registration of a new data bundle.
2016-04-20 18:52:12 +00:00
.. autoclass:: zipline.assets.Asset
DOC: Many docs improvements. - Generate links to sourcecode via the Sphinx `viewcode` extension. - Generate reference docs for Asset/Equity/Future, AssetFinder, and AssetDBWriter. - Generate reference docs for Pipeline API classes. - Fix broken links and formatting issues in the 0.8.4 whatsnew. - Use embedsignature in _assets.pyx so that the signatures of Asset subclasses are inspectable.
2015-11-19 04:58:59 +00:00
:members:
ENH: Updates the cli, data bundles and extensions. Adds the data bundle concept which makes it easy for users to register loading functions to build out minute and daily data along with an assets db and adjustments db. By default we have provided a `quandl` bundle which pulls from the public domain WIKI dataset. Users may register new bundles by decorating an ingest function with `zipline.data.bundles.register(<name>)`. This also provides a `yahoo_equities` function for creating an ingestion function that will load a static set of assets from yahoo. The cli is now structured as a couple of subcommands and has been changed to `python -m zipline`. The old behavior of `run_algo.py` has been moved to the `run` subcommand. This is almost entirely the same except that it now takes the name of the data bundle to use, defaulting to `quandl`. The next subcommand is `ingest` which takes the name of a data bundle to ingest. This will run the loading machinery and write the data to a specified location that `run` can find. There is also a `clean` subcommand which deletes the data that was written with `ingest`. Extensions have also been added to zipline. This is an experimental feature where users can provide an extra set of python files to run at the start of the process. These can be used to configure aspects of zipline. Right now the only thing that is supported in an extension file is the registration of a new data bundle.
2016-04-20 18:52:12 +00:00
.. autoclass:: zipline.assets.Equity
DOC: Many docs improvements. - Generate links to sourcecode via the Sphinx `viewcode` extension. - Generate reference docs for Asset/Equity/Future, AssetFinder, and AssetDBWriter. - Generate reference docs for Pipeline API classes. - Fix broken links and formatting issues in the 0.8.4 whatsnew. - Use embedsignature in _assets.pyx so that the signatures of Asset subclasses are inspectable.
2015-11-19 04:58:59 +00:00
:members:
ENH: Updates the cli, data bundles and extensions. Adds the data bundle concept which makes it easy for users to register loading functions to build out minute and daily data along with an assets db and adjustments db. By default we have provided a `quandl` bundle which pulls from the public domain WIKI dataset. Users may register new bundles by decorating an ingest function with `zipline.data.bundles.register(<name>)`. This also provides a `yahoo_equities` function for creating an ingestion function that will load a static set of assets from yahoo. The cli is now structured as a couple of subcommands and has been changed to `python -m zipline`. The old behavior of `run_algo.py` has been moved to the `run` subcommand. This is almost entirely the same except that it now takes the name of the data bundle to use, defaulting to `quandl`. The next subcommand is `ingest` which takes the name of a data bundle to ingest. This will run the loading machinery and write the data to a specified location that `run` can find. There is also a `clean` subcommand which deletes the data that was written with `ingest`. Extensions have also been added to zipline. This is an experimental feature where users can provide an extra set of python files to run at the start of the process. These can be used to configure aspects of zipline. Right now the only thing that is supported in an extension file is the registration of a new data bundle.
2016-04-20 18:52:12 +00:00
.. autoclass:: zipline.assets.Future
DOC: Many docs improvements. - Generate links to sourcecode via the Sphinx `viewcode` extension. - Generate reference docs for Asset/Equity/Future, AssetFinder, and AssetDBWriter. - Generate reference docs for Pipeline API classes. - Fix broken links and formatting issues in the 0.8.4 whatsnew. - Use embedsignature in _assets.pyx so that the signatures of Asset subclasses are inspectable.
2015-11-19 04:58:59 +00:00
:members:
ENH: Updates the cli, data bundles and extensions. Adds the data bundle concept which makes it easy for users to register loading functions to build out minute and daily data along with an assets db and adjustments db. By default we have provided a `quandl` bundle which pulls from the public domain WIKI dataset. Users may register new bundles by decorating an ingest function with `zipline.data.bundles.register(<name>)`. This also provides a `yahoo_equities` function for creating an ingestion function that will load a static set of assets from yahoo. The cli is now structured as a couple of subcommands and has been changed to `python -m zipline`. The old behavior of `run_algo.py` has been moved to the `run` subcommand. This is almost entirely the same except that it now takes the name of the data bundle to use, defaulting to `quandl`. The next subcommand is `ingest` which takes the name of a data bundle to ingest. This will run the loading machinery and write the data to a specified location that `run` can find. There is also a `clean` subcommand which deletes the data that was written with `ingest`. Extensions have also been added to zipline. This is an experimental feature where users can provide an extra set of python files to run at the start of the process. These can be used to configure aspects of zipline. Right now the only thing that is supported in an extension file is the registration of a new data bundle.
2016-04-20 18:52:12 +00:00
.. autoclass:: zipline.assets.AssetConvertible
DOC: Many docs improvements. - Generate links to sourcecode via the Sphinx `viewcode` extension. - Generate reference docs for Asset/Equity/Future, AssetFinder, and AssetDBWriter. - Generate reference docs for Pipeline API classes. - Fix broken links and formatting issues in the 0.8.4 whatsnew. - Use embedsignature in _assets.pyx so that the signatures of Asset subclasses are inspectable.
2015-11-19 04:58:59 +00:00
:members:
MAINT: Use TradingCalendar objects for bundles (#1397) * MAINT: Use TradingCalendar objects for bundles Instead of trading days, opens, and closes, register now takes a TradingCalendar object, along with a start_session and end_session. The ingest function is now passed these values instead as well. * Accept calendar name in addition to the actual object * Updates bundles documentation for changes * Fix typo in docs * Use class formatting * Force start_session and end_session within the bounds of the calendar * Use UTC timestamps in test_core * Document Trading Calendar API in appendix.rst
2016-08-17 17:37:07 +00:00
Trading Calendar API
~~~~~~~~~~~~~~~~~~~~
.. autofunction:: zipline.utils.calendars.get_calendar
.. autoclass:: zipline.utils.calendars.TradingCalendar
:members:
.. autofunction:: zipline.utils.calendars.register_calendar
.. autofunction:: zipline.utils.calendars.register_calendar_type
.. autofunction:: zipline.utils.calendars.deregister_calendar
.. autofunction:: zipline.utils.calendars.clear_calendars
ENH: Updates the cli, data bundles and extensions. Adds the data bundle concept which makes it easy for users to register loading functions to build out minute and daily data along with an assets db and adjustments db. By default we have provided a `quandl` bundle which pulls from the public domain WIKI dataset. Users may register new bundles by decorating an ingest function with `zipline.data.bundles.register(<name>)`. This also provides a `yahoo_equities` function for creating an ingestion function that will load a static set of assets from yahoo. The cli is now structured as a couple of subcommands and has been changed to `python -m zipline`. The old behavior of `run_algo.py` has been moved to the `run` subcommand. This is almost entirely the same except that it now takes the name of the data bundle to use, defaulting to `quandl`. The next subcommand is `ingest` which takes the name of a data bundle to ingest. This will run the loading machinery and write the data to a specified location that `run` can find. There is also a `clean` subcommand which deletes the data that was written with `ingest`. Extensions have also been added to zipline. This is an experimental feature where users can provide an extra set of python files to run at the start of the process. These can be used to configure aspects of zipline. Right now the only thing that is supported in an extension file is the registration of a new data bundle.
2016-04-20 18:52:12 +00:00
Data API
~~~~~~~~
Writers
```````
.. autoclass:: zipline.data.minute_bars.BcolzMinuteBarWriter
DOC: Many docs improvements. - Generate links to sourcecode via the Sphinx `viewcode` extension. - Generate reference docs for Asset/Equity/Future, AssetFinder, and AssetDBWriter. - Generate reference docs for Pipeline API classes. - Fix broken links and formatting issues in the 0.8.4 whatsnew. - Use embedsignature in _assets.pyx so that the signatures of Asset subclasses are inspectable.
2015-11-19 04:58:59 +00:00
:members:
ENH: Initial support for international pipelines. This commit adds initial support for international markets in the Pipeline API via addition of the concept of "domains". Significant changes on this branch include: - Added `zipline.pipeline.domain` and the `Domain` interface. - Added several canonical domain definitions: - GENERIC - US_EQUITIES - CA_EQUITIES - GB_EQUITIES - Added `zipline.country` as a place to define canonical country code names. - Made `PipelineLoader` an interface and added new `domain` parameter to signature of `load_adjusted_array`. - Added a new system for "generic" and "specialized" DataSet and BoundColumn objects. - Added a new system for inferring a domain from a pipeline that contains a mix of generic and non-generic terms. - Reworked the built-in pricing dataset. USEquityPricing dataset is now a specialized version of a generic EquityPricing dataset, and most built-in factors are now implemented in terms of EquityPricing rather than USEquityPricing. - Removed `zipline.data.us_equity_pricing`. - Moved BcolzDailyBar{Reader,Writer} to `zipline.data.bcolz_daily_bars`. - Moved SQLiteAdjustment{Reader,Writer} to `zipline.data.adjustments`. New dependencies added as part of this work: - iso3166 (for canonical country code definitions) - python-interface (for strict interface definitions). See https://github.com/quantopian/zipline/issues/2265 for a full description of the design for domains.
2018-07-20 20:26:00 +00:00
.. autoclass:: zipline.data.bcolz_daily_bars.BcolzDailyBarWriter
DOC: Many docs improvements. - Generate links to sourcecode via the Sphinx `viewcode` extension. - Generate reference docs for Asset/Equity/Future, AssetFinder, and AssetDBWriter. - Generate reference docs for Pipeline API classes. - Fix broken links and formatting issues in the 0.8.4 whatsnew. - Use embedsignature in _assets.pyx so that the signatures of Asset subclasses are inspectable.
2015-11-19 04:58:59 +00:00
:members:
ENH: Initial support for international pipelines. This commit adds initial support for international markets in the Pipeline API via addition of the concept of "domains". Significant changes on this branch include: - Added `zipline.pipeline.domain` and the `Domain` interface. - Added several canonical domain definitions: - GENERIC - US_EQUITIES - CA_EQUITIES - GB_EQUITIES - Added `zipline.country` as a place to define canonical country code names. - Made `PipelineLoader` an interface and added new `domain` parameter to signature of `load_adjusted_array`. - Added a new system for "generic" and "specialized" DataSet and BoundColumn objects. - Added a new system for inferring a domain from a pipeline that contains a mix of generic and non-generic terms. - Reworked the built-in pricing dataset. USEquityPricing dataset is now a specialized version of a generic EquityPricing dataset, and most built-in factors are now implemented in terms of EquityPricing rather than USEquityPricing. - Removed `zipline.data.us_equity_pricing`. - Moved BcolzDailyBar{Reader,Writer} to `zipline.data.bcolz_daily_bars`. - Moved SQLiteAdjustment{Reader,Writer} to `zipline.data.adjustments`. New dependencies added as part of this work: - iso3166 (for canonical country code definitions) - python-interface (for strict interface definitions). See https://github.com/quantopian/zipline/issues/2265 for a full description of the design for domains.
2018-07-20 20:26:00 +00:00
.. autoclass:: zipline.data.adjustments.SQLiteAdjustmentWriter
DOC: Many docs improvements. - Generate links to sourcecode via the Sphinx `viewcode` extension. - Generate reference docs for Asset/Equity/Future, AssetFinder, and AssetDBWriter. - Generate reference docs for Pipeline API classes. - Fix broken links and formatting issues in the 0.8.4 whatsnew. - Use embedsignature in _assets.pyx so that the signatures of Asset subclasses are inspectable.
2015-11-19 04:58:59 +00:00
:members:
ENH: Add writer for minute bcolz format. Implement a writer for minute data into a format comprised of multiple ctables, one for each individual asset, with a common 'index' shared by all ctables where a given a dt maps to the same array index for all equities and fields. This format is pulled from the lazy-mainline/Q2.0 branch, with some changes to the interface. Add basic retrieval of values at a given dt to reader. Not yet used by Zipline simulations, but added to support unit tests. Also, rename stubbed out us_equity_minutes to minute_bars, since the writer can be agnostic to asset type.
2016-01-11 20:16:40 +00:00
ENH: Updates the cli, data bundles and extensions. Adds the data bundle concept which makes it easy for users to register loading functions to build out minute and daily data along with an assets db and adjustments db. By default we have provided a `quandl` bundle which pulls from the public domain WIKI dataset. Users may register new bundles by decorating an ingest function with `zipline.data.bundles.register(<name>)`. This also provides a `yahoo_equities` function for creating an ingestion function that will load a static set of assets from yahoo. The cli is now structured as a couple of subcommands and has been changed to `python -m zipline`. The old behavior of `run_algo.py` has been moved to the `run` subcommand. This is almost entirely the same except that it now takes the name of the data bundle to use, defaulting to `quandl`. The next subcommand is `ingest` which takes the name of a data bundle to ingest. This will run the loading machinery and write the data to a specified location that `run` can find. There is also a `clean` subcommand which deletes the data that was written with `ingest`. Extensions have also been added to zipline. This is an experimental feature where users can provide an extra set of python files to run at the start of the process. These can be used to configure aspects of zipline. Right now the only thing that is supported in an extension file is the registration of a new data bundle.
2016-04-20 18:52:12 +00:00
.. autoclass:: zipline.assets.AssetDBWriter
:members:
ENH: Add writer for minute bcolz format. Implement a writer for minute data into a format comprised of multiple ctables, one for each individual asset, with a common 'index' shared by all ctables where a given a dt maps to the same array index for all equities and fields. This format is pulled from the lazy-mainline/Q2.0 branch, with some changes to the interface. Add basic retrieval of values at a given dt to reader. Not yet used by Zipline simulations, but added to support unit tests. Also, rename stubbed out us_equity_minutes to minute_bars, since the writer can be agnostic to asset type.
2016-01-11 20:16:40 +00:00
ENH: Updates the cli, data bundles and extensions. Adds the data bundle concept which makes it easy for users to register loading functions to build out minute and daily data along with an assets db and adjustments db. By default we have provided a `quandl` bundle which pulls from the public domain WIKI dataset. Users may register new bundles by decorating an ingest function with `zipline.data.bundles.register(<name>)`. This also provides a `yahoo_equities` function for creating an ingestion function that will load a static set of assets from yahoo. The cli is now structured as a couple of subcommands and has been changed to `python -m zipline`. The old behavior of `run_algo.py` has been moved to the `run` subcommand. This is almost entirely the same except that it now takes the name of the data bundle to use, defaulting to `quandl`. The next subcommand is `ingest` which takes the name of a data bundle to ingest. This will run the loading machinery and write the data to a specified location that `run` can find. There is also a `clean` subcommand which deletes the data that was written with `ingest`. Extensions have also been added to zipline. This is an experimental feature where users can provide an extra set of python files to run at the start of the process. These can be used to configure aspects of zipline. Right now the only thing that is supported in an extension file is the registration of a new data bundle.
2016-04-20 18:52:12 +00:00
Readers
```````
.. autoclass:: zipline.data.minute_bars.BcolzMinuteBarReader
:members:
ENH: Initial support for international pipelines. This commit adds initial support for international markets in the Pipeline API via addition of the concept of "domains". Significant changes on this branch include: - Added `zipline.pipeline.domain` and the `Domain` interface. - Added several canonical domain definitions: - GENERIC - US_EQUITIES - CA_EQUITIES - GB_EQUITIES - Added `zipline.country` as a place to define canonical country code names. - Made `PipelineLoader` an interface and added new `domain` parameter to signature of `load_adjusted_array`. - Added a new system for "generic" and "specialized" DataSet and BoundColumn objects. - Added a new system for inferring a domain from a pipeline that contains a mix of generic and non-generic terms. - Reworked the built-in pricing dataset. USEquityPricing dataset is now a specialized version of a generic EquityPricing dataset, and most built-in factors are now implemented in terms of EquityPricing rather than USEquityPricing. - Removed `zipline.data.us_equity_pricing`. - Moved BcolzDailyBar{Reader,Writer} to `zipline.data.bcolz_daily_bars`. - Moved SQLiteAdjustment{Reader,Writer} to `zipline.data.adjustments`. New dependencies added as part of this work: - iso3166 (for canonical country code definitions) - python-interface (for strict interface definitions). See https://github.com/quantopian/zipline/issues/2265 for a full description of the design for domains.
2018-07-20 20:26:00 +00:00
.. autoclass:: zipline.data.bcolz_daily_bars.BcolzDailyBarReader
ENH: Updates the cli, data bundles and extensions. Adds the data bundle concept which makes it easy for users to register loading functions to build out minute and daily data along with an assets db and adjustments db. By default we have provided a `quandl` bundle which pulls from the public domain WIKI dataset. Users may register new bundles by decorating an ingest function with `zipline.data.bundles.register(<name>)`. This also provides a `yahoo_equities` function for creating an ingestion function that will load a static set of assets from yahoo. The cli is now structured as a couple of subcommands and has been changed to `python -m zipline`. The old behavior of `run_algo.py` has been moved to the `run` subcommand. This is almost entirely the same except that it now takes the name of the data bundle to use, defaulting to `quandl`. The next subcommand is `ingest` which takes the name of a data bundle to ingest. This will run the loading machinery and write the data to a specified location that `run` can find. There is also a `clean` subcommand which deletes the data that was written with `ingest`. Extensions have also been added to zipline. This is an experimental feature where users can provide an extra set of python files to run at the start of the process. These can be used to configure aspects of zipline. Right now the only thing that is supported in an extension file is the registration of a new data bundle.
2016-04-20 18:52:12 +00:00
:members:
ENH: Initial support for international pipelines. This commit adds initial support for international markets in the Pipeline API via addition of the concept of "domains". Significant changes on this branch include: - Added `zipline.pipeline.domain` and the `Domain` interface. - Added several canonical domain definitions: - GENERIC - US_EQUITIES - CA_EQUITIES - GB_EQUITIES - Added `zipline.country` as a place to define canonical country code names. - Made `PipelineLoader` an interface and added new `domain` parameter to signature of `load_adjusted_array`. - Added a new system for "generic" and "specialized" DataSet and BoundColumn objects. - Added a new system for inferring a domain from a pipeline that contains a mix of generic and non-generic terms. - Reworked the built-in pricing dataset. USEquityPricing dataset is now a specialized version of a generic EquityPricing dataset, and most built-in factors are now implemented in terms of EquityPricing rather than USEquityPricing. - Removed `zipline.data.us_equity_pricing`. - Moved BcolzDailyBar{Reader,Writer} to `zipline.data.bcolz_daily_bars`. - Moved SQLiteAdjustment{Reader,Writer} to `zipline.data.adjustments`. New dependencies added as part of this work: - iso3166 (for canonical country code definitions) - python-interface (for strict interface definitions). See https://github.com/quantopian/zipline/issues/2265 for a full description of the design for domains.
2018-07-20 20:26:00 +00:00
.. autoclass:: zipline.data.adjustments.SQLiteAdjustmentReader
ENH: Updates the cli, data bundles and extensions. Adds the data bundle concept which makes it easy for users to register loading functions to build out minute and daily data along with an assets db and adjustments db. By default we have provided a `quandl` bundle which pulls from the public domain WIKI dataset. Users may register new bundles by decorating an ingest function with `zipline.data.bundles.register(<name>)`. This also provides a `yahoo_equities` function for creating an ingestion function that will load a static set of assets from yahoo. The cli is now structured as a couple of subcommands and has been changed to `python -m zipline`. The old behavior of `run_algo.py` has been moved to the `run` subcommand. This is almost entirely the same except that it now takes the name of the data bundle to use, defaulting to `quandl`. The next subcommand is `ingest` which takes the name of a data bundle to ingest. This will run the loading machinery and write the data to a specified location that `run` can find. There is also a `clean` subcommand which deletes the data that was written with `ingest`. Extensions have also been added to zipline. This is an experimental feature where users can provide an extra set of python files to run at the start of the process. These can be used to configure aspects of zipline. Right now the only thing that is supported in an extension file is the registration of a new data bundle.
2016-04-20 18:52:12 +00:00
:members:
.. autoclass:: zipline.assets.AssetFinder
:members:
DOC: Updated whatsnew with Q2 information.
2016-04-27 20:19:13 +00:00
.. autoclass:: zipline.data.data_portal.DataPortal
:members:
ENH: new risk metrics API
2018-01-06 01:24:50 +00:00
.. autoclass:: zipline.sources.benchmark_source.BenchmarkSource
:members:
ENH: Updates the cli, data bundles and extensions. Adds the data bundle concept which makes it easy for users to register loading functions to build out minute and daily data along with an assets db and adjustments db. By default we have provided a `quandl` bundle which pulls from the public domain WIKI dataset. Users may register new bundles by decorating an ingest function with `zipline.data.bundles.register(<name>)`. This also provides a `yahoo_equities` function for creating an ingestion function that will load a static set of assets from yahoo. The cli is now structured as a couple of subcommands and has been changed to `python -m zipline`. The old behavior of `run_algo.py` has been moved to the `run` subcommand. This is almost entirely the same except that it now takes the name of the data bundle to use, defaulting to `quandl`. The next subcommand is `ingest` which takes the name of a data bundle to ingest. This will run the loading machinery and write the data to a specified location that `run` can find. There is also a `clean` subcommand which deletes the data that was written with `ingest`. Extensions have also been added to zipline. This is an experimental feature where users can provide an extra set of python files to run at the start of the process. These can be used to configure aspects of zipline. Right now the only thing that is supported in an extension file is the registration of a new data bundle.
2016-04-20 18:52:12 +00:00
Bundles
```````
.. autofunction:: zipline.data.bundles.register
.. autofunction:: zipline.data.bundles.ingest(name, environ=os.environ, date=None, show_progress=True)
.. autofunction:: zipline.data.bundles.load(name, environ=os.environ, date=None)
.. autofunction:: zipline.data.bundles.unregister
.. data:: zipline.data.bundles.bundles
The bundles that have been registered as a mapping from bundle name to bundle
ENH: new risk metrics API
2018-01-06 01:24:50 +00:00
data. This mapping is immutable and may only be updated through
ENH: Updates the cli, data bundles and extensions. Adds the data bundle concept which makes it easy for users to register loading functions to build out minute and daily data along with an assets db and adjustments db. By default we have provided a `quandl` bundle which pulls from the public domain WIKI dataset. Users may register new bundles by decorating an ingest function with `zipline.data.bundles.register(<name>)`. This also provides a `yahoo_equities` function for creating an ingestion function that will load a static set of assets from yahoo. The cli is now structured as a couple of subcommands and has been changed to `python -m zipline`. The old behavior of `run_algo.py` has been moved to the `run` subcommand. This is almost entirely the same except that it now takes the name of the data bundle to use, defaulting to `quandl`. The next subcommand is `ingest` which takes the name of a data bundle to ingest. This will run the loading machinery and write the data to a specified location that `run` can find. There is also a `clean` subcommand which deletes the data that was written with `ingest`. Extensions have also been added to zipline. This is an experimental feature where users can provide an extra set of python files to run at the start of the process. These can be used to configure aspects of zipline. Right now the only thing that is supported in an extension file is the registration of a new data bundle.
2016-04-20 18:52:12 +00:00
:func:`~zipline.data.bundles.register` or
:func:`~zipline.data.bundles.unregister`.
MAINT: Use TradingCalendar objects for bundles (#1397) * MAINT: Use TradingCalendar objects for bundles Instead of trading days, opens, and closes, register now takes a TradingCalendar object, along with a start_session and end_session. The ingest function is now passed these values instead as well. * Accept calendar name in addition to the actual object * Updates bundles documentation for changes * Fix typo in docs * Use class formatting * Force start_session and end_session within the bounds of the calendar * Use UTC timestamps in test_core * Document Trading Calendar API in appendix.rst
2016-08-17 17:37:07 +00:00
ENH: new risk metrics API
2018-01-06 01:24:50 +00:00
Risk Metrics
~~~~~~~~~~~~
Algorithm State
```````````````
.. autoclass:: zipline.finance.ledger.Ledger
:members:
.. autoclass:: zipline.protocol.Portfolio
:members:
.. autoclass:: zipline.protocol.Account
:members:
.. autoclass:: zipline.finance.ledger.PositionTracker
:members:
.. autoclass:: zipline.finance._finance_ext.PositionStats
Built-in Metrics
````````````````
.. autoclass:: zipline.finance.metrics.metric.SimpleLedgerField
.. autoclass:: zipline.finance.metrics.metric.DailyLedgerField
.. autoclass:: zipline.finance.metrics.metric.StartOfPeriodLedgerField
.. autoclass:: zipline.finance.metrics.metric.StartOfPeriodLedgerField
.. autoclass:: zipline.finance.metrics.metric.Returns
.. autoclass:: zipline.finance.metrics.metric.BenchmarkReturnsAndVolatility
.. autoclass:: zipline.finance.metrics.metric.CashFlow
.. autoclass:: zipline.finance.metrics.metric.Orders
.. autoclass:: zipline.finance.metrics.metric.Transactions
.. autoclass:: zipline.finance.metrics.metric.Positions
.. autoclass:: zipline.finance.metrics.metric.ReturnsStatistic
.. autoclass:: zipline.finance.metrics.metric.AlphaBeta
.. autoclass:: zipline.finance.metrics.metric.MaxLeverage
Metrics Sets
````````````
.. autofunction:: zipline.finance.metrics.register
.. autofunction:: zipline.finance.metrics.load
.. autofunction:: zipline.finance.metrics.unregister
.. data:: zipline.data.finance.metrics.metrics_sets
The metrics sets that have been registered as a mapping from metrics set name
to load function. This mapping is immutable and may only be updated through
:func:`~zipline.finance.metrics.register` or
:func:`~zipline.finance.metrics.unregister`.
ENH: Updates the cli, data bundles and extensions. Adds the data bundle concept which makes it easy for users to register loading functions to build out minute and daily data along with an assets db and adjustments db. By default we have provided a `quandl` bundle which pulls from the public domain WIKI dataset. Users may register new bundles by decorating an ingest function with `zipline.data.bundles.register(<name>)`. This also provides a `yahoo_equities` function for creating an ingestion function that will load a static set of assets from yahoo. The cli is now structured as a couple of subcommands and has been changed to `python -m zipline`. The old behavior of `run_algo.py` has been moved to the `run` subcommand. This is almost entirely the same except that it now takes the name of the data bundle to use, defaulting to `quandl`. The next subcommand is `ingest` which takes the name of a data bundle to ingest. This will run the loading machinery and write the data to a specified location that `run` can find. There is also a `clean` subcommand which deletes the data that was written with `ingest`. Extensions have also been added to zipline. This is an experimental feature where users can provide an extra set of python files to run at the start of the process. These can be used to configure aspects of zipline. Right now the only thing that is supported in an extension file is the registration of a new data bundle.
2016-04-20 18:52:12 +00:00
Utilities
~~~~~~~~~
Caching
```````
.. autoclass:: zipline.utils.cache.CachedObject
.. autoclass:: zipline.utils.cache.ExpiringCache
.. autoclass:: zipline.utils.cache.dataframe_cache
.. autoclass:: zipline.utils.cache.working_file
.. autoclass:: zipline.utils.cache.working_dir
Command Line
````````````
.. autofunction:: zipline.utils.cli.maybe_show_progress
Reference in a new issue Copy permalink