Merge pull request #1473 from quantopian/release-1.0.2

REL: Prepare for 1.0.2 release.

docs/source/releases.rst

@@ -2,6 +2,8 @@
 Release Notes
 =============
 
+.. include:: whatsnew/1.0.2.txt
+
 .. include:: whatsnew/1.0.1.txt
 
 .. include:: whatsnew/1.0.0.txt

docs/source/whatsnew/1.0.2.txt

@@ -40,6 +40,52 @@ Enhancements
   metric calculations between pyfolio and zipline. Empyrical adds custom
   annualization options for returns of custom frequencies. (:issue:`855`)
 
+- Add Aroon factor. (:issue:`1258`)
+
+- Add fast stochastic oscillator factor. (:issue:`1255`)
+
+- Add a Dockerfile. (:issue:`1254`)
+
+- New trading calendar which supports sessions which span across midnights, e.g.
+  24 hour 6:01PM-6:00PM sessions for futures trading.
+  `zipline.utils.tradingcalendar` is now deprecated. (:issue:`1138`) (:issue:`1312`)
+
+- Allow slicing a single column out of a Factor/Filter/Classifier. (:issue:`1267`)
+
+- Provide Ichimoku Cloud factor (:issue:`1263`)
+
+- Allow default parameters on Pipeline terms. (:issue:`1263`)
+
+- Provide rate of change percentage factor. (:issue:`1324`)
+
+- Provide linear weighted moving average factor. (:issue:`1325`)
+
+- Add ``NotNullFilter``. (:issue:`1345`)
+
+- Allow capital changes to be defined by a target value. (:issue:`1337`)
+
+- Add ``TrueRange`` factor. (:issue:`1348`)
+
+- Add point in time lookups to ``assets.db``. (:issue:`1361`)
+
+- Make ``can_trade`` aware of the asset's exchange . (:issue:`1346`)
+
+- Add ``downsample`` method to all computable terms. (:issue:`1394`)
+
+- Add `QuantopianUSFuturesCalendar`. (:issue:`1414`)
+
+- Enable publishing of old ``assets.db`` versions. (:issue:`1430`)
+
+- Enable ``schedule_function`` for Futures trading calendar. (:issue:`1442`)
+
+- Disallow regressions of length 1. (:issue:`1466`)
+
+Experimental
+~~~~~~~~~~~
+
+- Add support for comingled Future and Equity history windows, and enable other
+  Future data access via data portal. (:issue:`1435`) (:issue:`1432`)
+
 Bug Fixes
 ~~~~~~~~~
 
@@ -65,7 +111,57 @@ Bug Fixes
 
 - Alpha and sharpe ratio are now annualized. (:issue:`1322`)
 
+- Fix units during reading and writing of daily bar ``first_trading_day ``
+  attribute. (:issue:`1245`)
+
+- Optional dispatch modules, when missing, no longer cause a `NameError`.
+  (:issue:`1246`)
+
+- Treat ``schedule_function`` argument as a time rule when a time rule, but no
+  date rule is supplied. (:issue:`1221`)
+
+- Protect against boundary conditions at beginning and end trading day in
+  schedule function. (:issue:`1226`)
+
+- Apply adjustments to previous day when using history with a frequency of `1d`.
+  (:issue:`1256`)
+
+- Fail fast on invalid pipeline columns, instead of attempting to access the nonexistent column.
+  (:issue:`1280`)
+
+- Fix ``AverageDollarVolume`` NaN handling. (:issue:`1309`)
+
+  Performance
+~~~~~~~~~~~
+
+- Performance improvements to blaze core loader. (:issue:`1227`)
+
+- Allow concurrent blaze queries. (:issue:`1323`)
+
+- Prevent missing leading bcolz minute data from doing repeated unnecessary lookups. (:issue:`1451`)
+
+- Cache future chain lookups. (:issue:`1455`)
+
+Maintenance and Refactorings
+~~~~~~~~~~~~~~~~~~~~~~~~~~~~
+
+- Removed remaining mentions of ``add_history``. (:issue:`1287`)
+
 Documentation
 ~~~~~~~~~~~~~
 
-None
+Testing
+~~~~~~~~~~~
+
+- Add test fixture which sources daily pricing data from minute pricing data
+  fixtures. (:issue:`1243`)
+
+Data Format Changes
+~~~~~~~~~~~~~~~~
+
+- ``BcolzDailyBarReader`` and ``BcolzDailyBarWriter`` use trading calendar instance,
+  instead of trading days serialized to ``JSON``. (:issue:`1330`)
+
+- Change format of ``assets.db`` to support point in time lookups. (:issue:`1361`)
+
+- Change ``BcolzMinuteBarReader``and ``BcolzMinuteBarWriter`` to support varying tick sizes. (:issue:`1428`)

zipline/api.pyi

@@ -83,27 +83,30 @@ def fetch_csv(url, pre_func=None, post_func=None, date_column='date', date_forma
         A requests source that will pull data from the url specified.
     """
 
-def future_chain(root_symbol, as_of_date=None):
-    """Look up a future chain with the specified parameters.
+def future_chain(root_symbol, as_of_date=None, offset=0):
+    """
+Look up a future chain.
 
-    Parameters
-    ----------
-    root_symbol : str
-        The root symbol of a future chain.
-    as_of_date : datetime.datetime or pandas.Timestamp or str, optional
-        Date at which the chain determination is rooted. I.e. the
-        existing contract whose notice date is first after this date is
-        the primary contract, etc.
+Parameters
+----------
+root_symbol : str
+    The root symbol of a future chain.
+as_of_date : datetime.datetime or pandas.Timestamp or str, optional
+    Date at which the chain determination is rooted. If this date is
+    not passed in, the current simulation session (not minute) is used.
+offset: int
+    Number of sessions to shift `as_of_date`.  Positive values shift
+     forward in time.  Negative values shift backward in time.
 
-    Returns
-    -------
-    chain : FutureChain
-        The future chain matching the specified parameters.
+Returns
+-------
+chain : FutureChain
+    The future chain matching the specified parameters.
 
-    Raises
-    ------
-    RootSymbolNotFound
-        If a future chain could not be found for the given root symbol.
+Raises
+------
+RootSymbolNotFound
+    If a future chain could not be found for the given root symbol.
     """
 
 def future_symbol(symbol):
@@ -126,17 +129,18 @@ def future_symbol(symbol):
     """
 
 def get_datetime(tz=None):
-    """Returns the current simulation datetime.
+    """
+Returns the current simulation datetime.
 
-    Parameters
-    ----------
-    tz : tzinfo or str, optional
-        The timezone to return the datetime in. This defaults to utc.
+Parameters
+----------
+tz : tzinfo or str, optional
+    The timezone to return the datetime in. This defaults to utc.
 
-    Returns
-    -------
-    dt : datetime
-        The current simulation datetime converted to ``tz``.
+Returns
+-------
+dt : datetime
+    The current simulation datetime converted to ``tz``.
     """
 
 def get_environment(field='platform'):
@@ -508,7 +512,7 @@ def record(*args, **kwargs):
     :func:`~zipline.run_algorithm`.
     """
 
-def schedule_function(func, date_rule=None, time_rule=None, half_days=True):
+def schedule_function(func, date_rule=None, time_rule=None, half_days=True, calendar=None):
     """Schedules a function to be called according to some timed rules.
 
     Parameters