diff --git a/docs/source/whatsnew/1.4.0.txt b/docs/source/whatsnew/1.4.0.txt index 08ff5458..d9bbf56c 100644 --- a/docs/source/whatsnew/1.4.0.txt +++ b/docs/source/whatsnew/1.4.0.txt @@ -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 ~~~~~