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zipline/docs/source/appendix.rst
Scott Sanderson e491ebef53 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.
2018-09-10 10:05:39 -05:00

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API Reference
-------------
Running a Backtest
~~~~~~~~~~~~~~~~~~
.. autofunction:: zipline.run_algorithm(...)
Algorithm API
~~~~~~~~~~~~~
The following methods are available for use in the ``initialize``,
``handle_data``, and ``before_trading_start`` API functions.
In all listed functions, the ``self`` argument is implicitly the
currently-executing :class:`~zipline.algorithm.TradingAlgorithm` instance.
Data Object
```````````
.. autoclass:: zipline.protocol.BarData
:members:
Scheduling Functions
````````````````````
.. autofunction:: zipline.api.schedule_function
.. autoclass:: zipline.api.date_rules
:members:
: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
`````````````````````
.. autofunction:: zipline.api.set_benchmark
Commission Models
'''''''''''''''''
.. autofunction:: zipline.api.set_commission
.. autoclass:: zipline.finance.commission.CommissionModel
:members:
.. autoclass:: zipline.finance.commission.PerShare
.. autoclass:: zipline.finance.commission.PerTrade
.. autoclass:: zipline.finance.commission.PerDollar
Slippage Models
'''''''''''''''
.. 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
Blotters
~~~~~~~~
.. autoclass:: zipline.finance.blotter.blotter.Blotter
:members:
.. autoclass:: zipline.finance.blotter.SimulationBlotter
:members:
.. _pipeline-api:
Pipeline API
~~~~~~~~~~~~
.. autoclass:: zipline.pipeline.Pipeline
:members:
:member-order: groupwise
.. autoclass:: zipline.pipeline.CustomFactor
:members:
:member-order: groupwise
.. autoclass:: zipline.pipeline.filters.Filter
:members: __and__, __or__
:exclude-members: dtype
.. autoclass:: zipline.pipeline.factors.Factor
: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__,
__le__, __ne__, __ge__, __gt__
:exclude-members: dtype
:member-order: bysource
.. autoclass:: zipline.pipeline.term.Term
:members:
:exclude-members: compute_extra_rows, dependencies, inputs, mask, windowed
.. autoclass:: zipline.pipeline.data.DataSet
:members:
.. autoclass:: zipline.pipeline.data.USEquityPricing
:members: open, high, low, close, volume
:undoc-members:
Built-in Factors
````````````````
.. autoclass:: zipline.pipeline.factors.AverageDollarVolume
:members:
.. autoclass:: zipline.pipeline.factors.BollingerBands
:members:
.. autoclass:: zipline.pipeline.factors.BusinessDaysSincePreviousEvent
:members:
.. autoclass:: zipline.pipeline.factors.BusinessDaysUntilNextEvent
:members:
.. autoclass:: zipline.pipeline.factors.DailyReturns
:members:
.. autoclass:: zipline.pipeline.factors.ExponentialWeightedMovingAverage
:members:
.. autoclass:: zipline.pipeline.factors.ExponentialWeightedMovingStdDev
:members:
.. autoclass:: zipline.pipeline.factors.Latest
:members:
.. autoclass:: zipline.pipeline.factors.MACDSignal
:members:
.. autoclass:: zipline.pipeline.factors.MaxDrawdown
:members:
.. autoclass:: zipline.pipeline.factors.Returns
:members:
.. autoclass:: zipline.pipeline.factors.RollingLinearRegressionOfReturns
:members:
.. autoclass:: zipline.pipeline.factors.RollingPearsonOfReturns
:members:
.. autoclass:: zipline.pipeline.factors.RollingSpearmanOfReturns
:members:
.. autoclass:: zipline.pipeline.factors.SimpleBeta
:members:
.. autoclass:: zipline.pipeline.factors.RSI
:members:
.. autoclass:: zipline.pipeline.factors.SimpleMovingAverage
:members:
.. autoclass:: zipline.pipeline.factors.VWAP
:members:
.. autoclass:: zipline.pipeline.factors.WeightedAverageValue
:members:
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:
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
Asset Metadata
~~~~~~~~~~~~~~
.. autoclass:: zipline.assets.Asset
:members:
.. autoclass:: zipline.assets.Equity
:members:
.. autoclass:: zipline.assets.Future
:members:
.. autoclass:: zipline.assets.AssetConvertible
:members:
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
Data API
~~~~~~~~
Writers
```````
.. autoclass:: zipline.data.minute_bars.BcolzMinuteBarWriter
:members:
.. autoclass:: zipline.data.bcolz_daily_bars.BcolzDailyBarWriter
:members:
.. autoclass:: zipline.data.adjustments.SQLiteAdjustmentWriter
:members:
.. autoclass:: zipline.assets.AssetDBWriter
:members:
Readers
```````
.. autoclass:: zipline.data.minute_bars.BcolzMinuteBarReader
:members:
.. autoclass:: zipline.data.bcolz_daily_bars.BcolzDailyBarReader
:members:
.. autoclass:: zipline.data.adjustments.SQLiteAdjustmentReader
:members:
.. autoclass:: zipline.assets.AssetFinder
:members:
.. autoclass:: zipline.data.data_portal.DataPortal
:members:
.. autoclass:: zipline.sources.benchmark_source.BenchmarkSource
:members:
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
data. This mapping is immutable and may only be updated through
:func:`~zipline.data.bundles.register` or
:func:`~zipline.data.bundles.unregister`.
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`.
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
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