diff --git a/docs/source/whatsnew/1.1.1.txt b/docs/source/whatsnew/1.1.1.txt index 017ac00859..58529609b0 100644 --- a/docs/source/whatsnew/1.1.1.txt +++ b/docs/source/whatsnew/1.1.1.txt @@ -1,23 +1,49 @@ -Development ------------ +Release 1.1.1 +------------- :Release: 1.1.1 -:Date: TBD - -.. warning:: - This release is still under active development. All changes listed are - subject to change at any time. +:Date: July 5, 2017 Highlights ~~~~~~~~~~ -None +Zipline now has broad support for futures, in addition to equities. It's also being tested and packaged for Python 3.5. + +We also saw breaking changes occur from Yahoo changing their API endpoint, thus preventing users from downloading benchmark data needed for backtests. Since that change, we have swapped out Yahoo-related benchmarking code with references to Google Finance and have removed all deprecated Yahoo code, including the usage of custom Yahoo bundles. Enhancements ~~~~~~~~~~~~ -None +- Adds a property for BarData to know about current session's minutes (:issue:`1713`) + +- Adds a better error message for non-existent root symbols (:issue:`1715:`) + +- Adds ``StaticSids`` Pipeline Filter (:issue:`1717`) + +- Allows ``zipline.data.data_portal.DataPortal.get_spot_value`` to accept multiple assets (:issue:`1719`) + +- Adds ``ContinuousFuture`` to ``lookup_generic`` (:issue:`1718`) + +- Adds CFE Adhoc Holidays to ``exchange_calendar_cfe`` (:issue:`1698`) + +- Allows overriding of order amount rounding (:issue:`1722`) + +- Makes continuous future adjustment style an argument (:issue:`1726`) + +- Adds preliminary support for Futures slippage and commission models (:issue:`1738`) + +- Fix a bug in cost basis calculation and change all mentions of ``sid`` to ``asset`` (:issue:`1757`) + +- Add slippage and commission models for futures (:issue:`1748`) + +- Use Python 3.5 in our Dockerfile (:issue:`1806`) + +- Allow pipelines to be run in chunks (:issue:`1811`) + +- Adds `get_range` to `BenchmarkSource` (:issue:`1815`) + +- Adds support for relabeling classifiers in Pipeline (:issue:`1833`) Experimental Features ~~~~~~~~~~~~~~~~~~~~~ @@ -31,29 +57,61 @@ None Bug Fixes ~~~~~~~~~ -None +- Fixes a floating point division issue in ``zipline.data.minute_bars`` by using integer divison instead (:issue:`1683`) + +- Sorts data in ``zipline.pipeline.loaders.blaze.core`` on ``asof_date`` to resolve timestamp conflicts (:issue:`1710`) + +- Swapped out Yahoo for Google Finance benchmark data (:issue:`1812`) + +- Gold and silver futures contracts only traded during certain months (:issue:`1779`) + +- Fixes bug in TradingCalendar initialization when we use tzaware datetimes (:issue:`1802`) + +- Fixes precision issues on futures prices when rounding (:issue:`1788`) Performance ~~~~~~~~~~~ -None +- Avoid repeated recursive calls when getting forward-filled close price (:issue:`1735`) + Maintenance and Refactorings ~~~~~~~~~~~~~~~~~~~~~~~~~~~~ -None +- Adds linter recommendations to adjustments module (:issue:`1712`) + +- Clears up naming and logic in resample close (:issue:`1728`) + +- Use March quarterly cycle for several continuous futures (:issue:`1762`) + +- Use better repr for Transaction objects (:issue:`1746`) + +- Shorten repr for Asset objects (:issue:`1786`) + +- Removes usage of empyrical's information ratio (:issue:`1854`) + Build ~~~~~ -None +- Adds Python 3.5 packages (:issue:`1701`) + +- Swap conda-build arguments so we don't build packages on every CI build (:issue:`1813`) Documentation ~~~~~~~~~~~~~ -None +- Adds Zipline Development Guidelines, for people to read about how to contribute to zipline (:issue:`1820`) + +- Show exchange as required for equities (:issue:`1731`) + +- Updates the Zipline Beginner Tutorial notebook (:issue:`1707`) + +- Includes PipelineEngine, pipeline Term, Factors, and other pipeline things to docs (:issue:`1826`) Miscellaneous ~~~~~~~~~~~~~ -None +- Use csv market data with ``run_algorithm`` so we don't try to download data for tests (:issue:`1793`) + +- Updates Dockerfile to use Python 3.5 diff --git a/zipline/api.pyi b/zipline/api.pyi index 7242979599..4847261f7f 100644 --- a/zipline/api.pyi +++ b/zipline/api.pyi @@ -542,6 +542,8 @@ def schedule_function(func, date_rule=None, time_rule=None, half_days=True, cale The rule for the times to execute this function. half_days : bool, optional Should this rule fire on half days? + calendar : Sentinel, optional + Calendar used to reconcile date and time rules. See Also -------- @@ -590,13 +592,15 @@ def set_cancel_policy(cancel_policy): :class:`zipline.api.NeverCancel` """ -def set_commission(commission): - """Sets the commission model for the simulation. +def set_commission(us_equities=None, us_futures=None): + """Sets the commission models for the simulation. Parameters ---------- - commission : CommissionModel - The commission model to use. + us_equities : EquityCommissionModel + The commission model to use for trading US equities. + us_futures : FutureCommissionModel + The commission model to use for trading US futures. See Also -------- @@ -681,13 +685,15 @@ def set_max_position_size(asset=None, max_shares=None, max_notional=None, on_err The maximum value to hold for an asset. """ -def set_slippage(slippage): - """Set the slippage model for the simulation. +def set_slippage(us_equities=None, us_futures=None): + """Set the slippage models for the simulation. Parameters ---------- - slippage : SlippageModel - The slippage model to use. + us_equities : EquitySlippageModel + The slippage model to use for trading US equities. + us_futures : FutureSlippageModel + The slippage model to use for trading US futures. See Also --------