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.
`future_chain` will be replaced by the as yet to be implemented method,
`data.current_chain`
Also removing `FutureChain` which will be replaced by another version
which only supports indexing and iteration.
* 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
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.
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.
- 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.
