saymrwulf/zipline
1
0
Fork 0
mirror of https://github.com/saymrwulf/zipline.git synced 2026-05-15 21:01:32 +00:00
Code Issues Projects Releases Packages Wiki Activity Actions

DOC: whatsnew

Browse source
This commit is contained in:
Joe Jevnik 2020-07-22 11:52:44 -04:00 committed by Joe Jevnik
parent 7a24a85ec5
commit 0da1704854
1 changed files with 19 additions and 2 deletions
Show stats Download patch file Download diff file Expand all files Collapse all files

21
docs/source/whatsnew/1.4.0.txt
View file

@ -108,6 +108,10 @@ New Built In Factors
``(new - old) / abs(old)``. (:issue:`2506`)
- ``PeerCount``: gives the number of occurrences of each distinct
category in a classifier (:issue:`2509`)
- :class:`~zipline.pipeline.mixins.ConstantMixin`: A mixin for creating a Pipeline term with a constant value. (:issue:`2697`)
- :meth:`~zipline.pipeline.filters.Filter.if_else`: Allows users to create expressions that conditionally draw from the outputs of one of two terms. (:issue:`2697`)
- :meth:`~zipline.pipeline.term.ComputableTerm.fillna`: Allows users to fill missing data with either a constant value, or values from another term. (:issue:`2697`)
- :meth:`~zipline.pipeline.factors.Factor.clip`: Allows users to constrain a factor's values to a given range. (:issue:`2708`)
Enhancements
~~~~~~~~~~~~
@ -122,25 +126,38 @@ Enhancements
- ``BoundColumn`` comparisons will now result in an error. This prevents
writing ``EquityPricing.volume > 1000`` (silently returning bad data)
insteads of ``EquityPricing.volume.latest > 1000``. (:issue:`2537`)
- Added currency conversion support to Pipeline. (:issue:`2586`)
- Added ``--benchmark-file`` and ``--benchmark-symbol`` command line arguments to make it easier to provide benchmark data. (:issue:`2642`)
- Added support for Python 3.6 (:issue:`2643`)
- Added ``mask`` argument to Factor.peer_count. (:issue:`2676`)
- Added :meth:`~zipline.pipeline.filters.Filter.if_else` and :meth:`~zipline.pipeline.term.ComputableTerm.fillna` for allowing conditional logic in Pipelines. (:issue:`2691`)
- Added daily summary methods to Factor for collecting summary statistics for the entire universe. (:issue:`2697`)
- Added :meth:`~zipline.pipeline.factors.Factor.clip` method for clipping values to a range. (:issue:`2708`)
- Added support for Pipeline term arithmetic with more than 32 terms. (:issue:`2727`)
Bug Fixes
~~~~~~~~~
- Fixed support for non unique sid->exchange mappings. (:issue:`2289`)
- Fixed crash on dividend warning (:issue:`2323`)
- Fixed `week_start` when Monday precedes the New Year. (:issue:`2394`)
- Fixed ``week_start`` when Monday precedes the New Year. (:issue:`2394`)
- Ensured correct dtypes when unpacking empty dataframes. (:issue:`2444`)
- Fixed a bug where a pipeline term with ``window_length=0`` would not copy the input before calling ``compute()`` which could cause incorrect results if the input was reused in the Pipeline. (:issue:`2723`)
Performance
~~~~~~~~~~~
- Added :class:`zipline.data.hdf5_daily_bars.HDF5DailyBarWriter`, which writes daily pricing in a new format as an HDF5 file. Each OHLCV field is stored as a 2D array in a chunked HDF5 dataset, with a row per sid and a column per day. The file also supports multiple countries. Added :class:`zipline.data.hdf5_daily_bars.HDF5DailyBarReader`, which implements the BarReader interface and can read files written by HDF5DailyBarWriter. (:issue:`2295`)
- Vectorized dividend ratio calculation (:issue:`2298`)
- Improved performance of the :class:`zipline.pipeline.factors.RollingPearson` and
:class:`zipline.pipeline.factors.RollingPearsonOfReturns` pipeline factors. (:issue:`2071`)
Maintenance and Refactorings
~~~~~~~~~~~~~~~~~~~~~~~~~~~~
- Made `parameter_space` reset instance fixtures between runs (:issue:`2433`)
- Made ``parameter_space`` reset instance fixtures between runs (:issue:`2433`)
- Removed unused treasury curves data handling. (:issue:`2626`)
Build
~~~~~