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quantopian/zipline | zipline/data/benchmarks.py | get_benchmark_returns | def get_benchmark_returns(symbol):
"""
Get a Series of benchmark returns from IEX associated with `symbol`.
Default is `SPY`.
Parameters
----------
symbol : str
Benchmark symbol for which we're getting the returns.
The data is provided by IEX (https://iextrading.com/), and we can
... | python | def get_benchmark_returns(symbol):
"""
Get a Series of benchmark returns from IEX associated with `symbol`.
Default is `SPY`.
Parameters
----------
symbol : str
Benchmark symbol for which we're getting the returns.
The data is provided by IEX (https://iextrading.com/), and we can
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quantopian/zipline | zipline/pipeline/visualize.py | delimit | def delimit(delimiters, content):
"""
Surround `content` with the first and last characters of `delimiters`.
>>> delimit('[]', "foo") # doctest: +SKIP
'[foo]'
>>> delimit('""', "foo") # doctest: +SKIP
'"foo"'
"""
if len(delimiters) != 2:
raise ValueError(
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"""
Surround `content` with the first and last characters of `delimiters`.
>>> delimit('[]', "foo") # doctest: +SKIP
'[foo]'
>>> delimit('""', "foo") # doctest: +SKIP
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"""
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quantopian/zipline | zipline/pipeline/visualize.py | roots | def roots(g):
"Get nodes from graph G with indegree 0"
return set(n for n, d in iteritems(g.in_degree()) if d == 0) | python | def roots(g):
"Get nodes from graph G with indegree 0"
return set(n for n, d in iteritems(g.in_degree()) if d == 0) | [
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quantopian/zipline | zipline/pipeline/visualize.py | _render | def _render(g, out, format_, include_asset_exists=False):
"""
Draw `g` as a graph to `out`, in format `format`.
Parameters
----------
g : zipline.pipeline.graph.TermGraph
Graph to render.
out : file-like object
format_ : str {'png', 'svg'}
Output format.
include_asset_ex... | python | def _render(g, out, format_, include_asset_exists=False):
"""
Draw `g` as a graph to `out`, in format `format`.
Parameters
----------
g : zipline.pipeline.graph.TermGraph
Graph to render.
out : file-like object
format_ : str {'png', 'svg'}
Output format.
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quantopian/zipline | zipline/pipeline/visualize.py | display_graph | def display_graph(g, format='svg', include_asset_exists=False):
"""
Display a TermGraph interactively from within IPython.
"""
try:
import IPython.display as display
except ImportError:
raise NoIPython("IPython is not installed. Can't display graph.")
if format == 'svg':
... | python | def display_graph(g, format='svg', include_asset_exists=False):
"""
Display a TermGraph interactively from within IPython.
"""
try:
import IPython.display as display
except ImportError:
raise NoIPython("IPython is not installed. Can't display graph.")
if format == 'svg':
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quantopian/zipline | zipline/pipeline/visualize.py | format_attrs | def format_attrs(attrs):
"""
Format key, value pairs from attrs into graphviz attrs format
Examples
--------
>>> format_attrs({'key1': 'value1', 'key2': 'value2'}) # doctest: +SKIP
'[key1=value1, key2=value2]'
"""
if not attrs:
return ''
entries = ['='.join((key, value)) fo... | python | def format_attrs(attrs):
"""
Format key, value pairs from attrs into graphviz attrs format
Examples
--------
>>> format_attrs({'key1': 'value1', 'key2': 'value2'}) # doctest: +SKIP
'[key1=value1, key2=value2]'
"""
if not attrs:
return ''
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quantopian/zipline | zipline/utils/pool.py | SequentialPool.apply_async | def apply_async(f, args=(), kwargs=None, callback=None):
"""Apply a function but emulate the API of an asynchronous call.
Parameters
----------
f : callable
The function to call.
args : tuple, optional
The positional arguments.
kwargs : dict, opti... | python | def apply_async(f, args=(), kwargs=None, callback=None):
"""Apply a function but emulate the API of an asynchronous call.
Parameters
----------
f : callable
The function to call.
args : tuple, optional
The positional arguments.
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quantopian/zipline | zipline/utils/cli.py | maybe_show_progress | def maybe_show_progress(it, show_progress, **kwargs):
"""Optionally show a progress bar for the given iterator.
Parameters
----------
it : iterable
The underlying iterator.
show_progress : bool
Should progress be shown.
**kwargs
Forwarded to the click progress bar.
... | python | def maybe_show_progress(it, show_progress, **kwargs):
"""Optionally show a progress bar for the given iterator.
Parameters
----------
it : iterable
The underlying iterator.
show_progress : bool
Should progress be shown.
**kwargs
Forwarded to the click progress bar.
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quantopian/zipline | zipline/__main__.py | main | def main(extension, strict_extensions, default_extension, x):
"""Top level zipline entry point.
"""
# install a logbook handler before performing any other operations
logbook.StderrHandler().push_application()
create_args(x, zipline.extension_args)
load_extensions(
default_extension,
... | python | def main(extension, strict_extensions, default_extension, x):
"""Top level zipline entry point.
"""
# install a logbook handler before performing any other operations
logbook.StderrHandler().push_application()
create_args(x, zipline.extension_args)
load_extensions(
default_extension,
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quantopian/zipline | zipline/__main__.py | ipython_only | def ipython_only(option):
"""Mark that an option should only be exposed in IPython.
Parameters
----------
option : decorator
A click.option decorator.
Returns
-------
ipython_only_dec : decorator
A decorator that correctly applies the argument even when not
using IP... | python | def ipython_only(option):
"""Mark that an option should only be exposed in IPython.
Parameters
----------
option : decorator
A click.option decorator.
Returns
-------
ipython_only_dec : decorator
A decorator that correctly applies the argument even when not
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quantopian/zipline | zipline/__main__.py | run | def run(ctx,
algofile,
algotext,
define,
data_frequency,
capital_base,
bundle,
bundle_timestamp,
start,
end,
output,
trading_calendar,
print_algo,
metrics_set,
local_namespace,
blotter):
"""Run a ... | python | def run(ctx,
algofile,
algotext,
define,
data_frequency,
capital_base,
bundle,
bundle_timestamp,
start,
end,
output,
trading_calendar,
print_algo,
metrics_set,
local_namespace,
blotter):
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quantopian/zipline | zipline/__main__.py | zipline_magic | def zipline_magic(line, cell=None):
"""The zipline IPython cell magic.
"""
load_extensions(
default=True,
extensions=[],
strict=True,
environ=os.environ,
)
try:
return run.main(
# put our overrides at the start of the parameter list so that
... | python | def zipline_magic(line, cell=None):
"""The zipline IPython cell magic.
"""
load_extensions(
default=True,
extensions=[],
strict=True,
environ=os.environ,
)
try:
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# put our overrides at the start of the parameter list so that
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quantopian/zipline | zipline/__main__.py | ingest | def ingest(bundle, assets_version, show_progress):
"""Ingest the data for the given bundle.
"""
bundles_module.ingest(
bundle,
os.environ,
pd.Timestamp.utcnow(),
assets_version,
show_progress,
) | python | def ingest(bundle, assets_version, show_progress):
"""Ingest the data for the given bundle.
"""
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pd.Timestamp.utcnow(),
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quantopian/zipline | zipline/__main__.py | clean | def clean(bundle, before, after, keep_last):
"""Clean up data downloaded with the ingest command.
"""
bundles_module.clean(
bundle,
before,
after,
keep_last,
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"""Clean up data downloaded with the ingest command.
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quantopian/zipline | zipline/__main__.py | bundles | def bundles():
"""List all of the available data bundles.
"""
for bundle in sorted(bundles_module.bundles.keys()):
if bundle.startswith('.'):
# hide the test data
continue
try:
ingestions = list(
map(text_type, bundles_module.ingestions_for... | python | def bundles():
"""List all of the available data bundles.
"""
for bundle in sorted(bundles_module.bundles.keys()):
if bundle.startswith('.'):
# hide the test data
continue
try:
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quantopian/zipline | zipline/pipeline/filters/filter.py | binary_operator | def binary_operator(op):
"""
Factory function for making binary operator methods on a Filter subclass.
Returns a function "binary_operator" suitable for implementing functions
like __and__ or __or__.
"""
# When combining a Filter with a NumericalExpression, we use this
# attrgetter instance... | python | def binary_operator(op):
"""
Factory function for making binary operator methods on a Filter subclass.
Returns a function "binary_operator" suitable for implementing functions
like __and__ or __or__.
"""
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Factory function for making unary operator methods for Filters.
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raise ValueError("Invalid unary operator %s." % op)
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quantopian/zipline | zipline/pipeline/filters/filter.py | NumExprFilter.create | def create(cls, expr, binds):
"""
Helper for creating new NumExprFactors.
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forwards `bool` as the dtype, since Filters can only be of boolean
dtype.
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quantopian/zipline | zipline/pipeline/filters/filter.py | NumExprFilter._compute | def _compute(self, arrays, dates, assets, mask):
"""
Compute our result with numexpr, then re-apply `mask`.
"""
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"""
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quantopian/zipline | zipline/pipeline/filters/filter.py | PercentileFilter._validate | def _validate(self):
"""
Ensure that our percentile bounds are well-formed.
"""
if not 0.0 <= self._min_percentile < self._max_percentile <= 100.0:
raise BadPercentileBounds(
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max_percentile=self._max_percent... | python | def _validate(self):
"""
Ensure that our percentile bounds are well-formed.
"""
if not 0.0 <= self._min_percentile < self._max_percentile <= 100.0:
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quantopian/zipline | zipline/pipeline/filters/filter.py | PercentileFilter._compute | def _compute(self, arrays, dates, assets, mask):
"""
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"""
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quantopian/zipline | zipline/data/treasuries.py | parse_treasury_csv_column | def parse_treasury_csv_column(column):
"""
Parse a treasury CSV column into a more human-readable format.
Columns start with 'RIFLGFC', followed by Y or M (year or month), followed
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"""
Parse a treasury CSV column into a more human-readable format.
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quantopian/zipline | zipline/data/treasuries.py | get_daily_10yr_treasury_data | def get_daily_10yr_treasury_data():
"""Download daily 10 year treasury rates from the Federal Reserve and
return a pandas.Series."""
url = "https://www.federalreserve.gov/datadownload/Output.aspx?rel=H15" \
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"""Download daily 10 year treasury rates from the Federal Reserve and
return a pandas.Series."""
url = "https://www.federalreserve.gov/datadownload/Output.aspx?rel=H15" \
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quantopian/zipline | zipline/data/minute_bars.py | _sid_subdir_path | def _sid_subdir_path(sid):
"""
Format subdir path to limit the number directories in any given
subdirectory to 100.
The number in each directory is designed to support at least 100000
equities.
Parameters
----------
sid : int
Asset identifier.
Returns
-------
out :... | python | def _sid_subdir_path(sid):
"""
Format subdir path to limit the number directories in any given
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The number in each directory is designed to support at least 100000
equities.
Parameters
----------
sid : int
Asset identifier.
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quantopian/zipline | zipline/data/minute_bars.py | convert_cols | def convert_cols(cols, scale_factor, sid, invalid_data_behavior):
"""Adapt OHLCV columns into uint32 columns.
Parameters
----------
cols : dict
A dict mapping each column name (open, high, low, close, volume)
to a float column to convert to uint32.
scale_factor : int
Factor ... | python | def convert_cols(cols, scale_factor, sid, invalid_data_behavior):
"""Adapt OHLCV columns into uint32 columns.
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----------
cols : dict
A dict mapping each column name (open, high, low, close, volume)
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quantopian/zipline | zipline/data/minute_bars.py | BcolzMinuteBarMetadata.write | def write(self, rootdir):
"""
Write the metadata to a JSON file in the rootdir.
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The value of FORMAT_VERSION of this class.
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Write the metadata to a JSON file in the rootdir.
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quantopian/zipline | zipline/data/minute_bars.py | BcolzMinuteBarWriter.open | def open(cls, rootdir, end_session=None):
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Open an existing ``rootdir`` for writing.
Parameters
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end_session : Timestamp (optional)
When appending, the intended new ``end_session``.
"""
metadata = BcolzMinuteBarMetadata.read(rootdir)
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Open an existing ``rootdir`` for writing.
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end_session : Timestamp (optional)
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quantopian/zipline | zipline/data/minute_bars.py | BcolzMinuteBarWriter.sidpath | def sidpath(self, sid):
"""
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----------
sid : int
Asset identifier.
Returns
-------
out : string
Full path to the bcolz rootdir for the given sid.
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Parameters
----------
sid : int
Asset identifier.
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out : string
Full path to the bcolz rootdir for the given sid.
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quantopian/zipline | zipline/data/minute_bars.py | BcolzMinuteBarWriter.last_date_in_output_for_sid | def last_date_in_output_for_sid(self, sid):
"""
Parameters
----------
sid : int
Asset identifier.
Returns
-------
out : pd.Timestamp
The midnight of the last date written in to the output for the
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"""
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sid : int
Asset identifier.
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-------
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quantopian/zipline | zipline/data/minute_bars.py | BcolzMinuteBarWriter._init_ctable | def _init_ctable(self, path):
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path : string
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# Only create the containing subdir on creation.
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quantopian/zipline | zipline/data/minute_bars.py | BcolzMinuteBarWriter._ensure_ctable | def _ensure_ctable(self, sid):
"""Ensure that a ctable exists for ``sid``, then return it."""
sidpath = self.sidpath(sid)
if not os.path.exists(sidpath):
return self._init_ctable(sidpath)
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"""Ensure that a ctable exists for ``sid``, then return it."""
sidpath = self.sidpath(sid)
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quantopian/zipline | zipline/data/minute_bars.py | BcolzMinuteBarWriter.pad | def pad(self, sid, date):
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Fill sid container with empty data through the specified date.
If the last recorded trade is not at the close, then that day will be
padded with zeros until its close. Any day after that (up to and
including the specified date) will be padded with `... | python | def pad(self, sid, date):
"""
Fill sid container with empty data through the specified date.
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quantopian/zipline | zipline/data/minute_bars.py | BcolzMinuteBarWriter.set_sid_attrs | def set_sid_attrs(self, sid, **kwargs):
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"""
table = self._ensure_ctable(sid)
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table.attrs[k] = v | python | def set_sid_attrs(self, sid, **kwargs):
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quantopian/zipline | zipline/data/minute_bars.py | BcolzMinuteBarWriter.write | def write(self, data, show_progress=False, invalid_data_behavior='warn'):
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"""
day_ix = self._session_labels.get_loc(day)
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"""
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quantopian/zipline | zipline/data/minute_bars.py | BcolzMinuteBarWriter.truncate | def truncate(self, date):
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glob_path = os.path.join(self._rootdir, "*", "*", "*.bcolz")
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file_name = os... | python | def truncate(self, date):
"""Truncate data beyond this date in all ctables."""
truncate_slice_end = self.data_len_for_day(date)
glob_path = os.path.join(self._rootdir, "*", "*", "*.bcolz")
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quantopian/zipline | zipline/data/minute_bars.py | BcolzMinuteBarReader._minutes_to_exclude | def _minutes_to_exclude(self):
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-------
... | python | def _minutes_to_exclude(self):
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quantopian/zipline | zipline/data/minute_bars.py | BcolzMinuteBarReader._exclusion_indices_for_range | def _exclusion_indices_for_range(self, start_idx, end_idx):
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quantopian/zipline | zipline/data/minute_bars.py | BcolzMinuteBarReader.get_value | def get_value(self, sid, dt, field):
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Parameters
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sid : int
Asset identifier.
dt : datetime-like
The datetime at which the trade occurred.
field : string
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"""
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sid : int
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quantopian/zipline | zipline/data/minute_bars.py | BcolzMinuteBarReader._find_position_of_minute | def _find_position_of_minute(self, minute_dt):
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quantopian/zipline | zipline/data/minute_bars.py | BcolzMinuteBarReader.load_raw_arrays | def load_raw_arrays(self, fields, start_dt, end_dt, sids):
"""
Parameters
----------
fields : list of str
'open', 'high', 'low', 'close', or 'volume'
start_dt: Timestamp
Beginning of the window range.
end_dt: Timestamp
End of the window ra... | python | def load_raw_arrays(self, fields, start_dt, end_dt, sids):
"""
Parameters
----------
fields : list of str
'open', 'high', 'low', 'close', or 'volume'
start_dt: Timestamp
Beginning of the window range.
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quantopian/zipline | zipline/data/minute_bars.py | H5MinuteBarUpdateWriter.write | def write(self, frames):
"""
Write the frames to the target HDF5 file, using the format used by
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Parameters
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frames : iter[(int, DataFrame)] or dict[int -> DataFrame]
An iterable or other mapping of sid to the corresponding OHLCV
... | python | def write(self, frames):
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Write the frames to the target HDF5 file, using the format used by
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quantopian/zipline | zipline/pipeline/loaders/utils.py | next_event_indexer | def next_event_indexer(all_dates,
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all_sids,
event_dates,
event_timestamps,
event_sids):
"""
Construct an index array that, when applied to an array of values, produces
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event_sids):
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quantopian/zipline | zipline/pipeline/loaders/utils.py | previous_event_indexer | def previous_event_indexer(data_query_cutoff_times,
all_sids,
event_dates,
event_timestamps,
event_sids):
"""
Construct an index array that, when applied to an array of values, produces
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quantopian/zipline | zipline/pipeline/loaders/utils.py | last_in_date_group | def last_in_date_group(df,
data_query_cutoff_times,
assets,
reindex=True,
have_sids=True,
extra_groupers=None):
"""
Determine the last piece of information known on each date in the date
index... | python | def last_in_date_group(df,
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assets,
reindex=True,
have_sids=True,
extra_groupers=None):
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Determine the last piece of information known on each date in the date
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quantopian/zipline | zipline/pipeline/loaders/utils.py | ffill_across_cols | def ffill_across_cols(df, columns, name_map):
"""
Forward fill values in a DataFrame with special logic to handle cases
that pd.DataFrame.ffill cannot and cast columns to appropriate types.
Parameters
----------
df : pd.DataFrame
The DataFrame to do forward-filling on.
columns : lis... | python | def ffill_across_cols(df, columns, name_map):
"""
Forward fill values in a DataFrame with special logic to handle cases
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Parameters
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df : pd.DataFrame
The DataFrame to do forward-filling on.
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quantopian/zipline | zipline/pipeline/loaders/utils.py | shift_dates | def shift_dates(dates, start_date, end_date, shift):
"""
Shift dates of a pipeline query back by `shift` days.
load_adjusted_array is called with dates on which the user's algo
will be shown data, which means we need to return the data that would
be known at the start of each date. This is often l... | python | def shift_dates(dates, start_date, end_date, shift):
"""
Shift dates of a pipeline query back by `shift` days.
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quantopian/zipline | zipline/utils/sharedoc.py | format_docstring | def format_docstring(owner_name, docstring, formatters):
"""
Template ``formatters`` into ``docstring``.
Parameters
----------
owner_name : str
The name of the function or class whose docstring is being templated.
Only used for error messages.
docstring : str
The docstri... | python | def format_docstring(owner_name, docstring, formatters):
"""
Template ``formatters`` into ``docstring``.
Parameters
----------
owner_name : str
The name of the function or class whose docstring is being templated.
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quantopian/zipline | zipline/utils/sharedoc.py | templated_docstring | def templated_docstring(**docs):
"""
Decorator allowing the use of templated docstrings.
Examples
--------
>>> @templated_docstring(foo='bar')
... def my_func(self, foo):
... '''{foo}'''
...
>>> my_func.__doc__
'bar'
"""
def decorator(f):
f.__doc__ = format_d... | python | def templated_docstring(**docs):
"""
Decorator allowing the use of templated docstrings.
Examples
--------
>>> @templated_docstring(foo='bar')
... def my_func(self, foo):
... '''{foo}'''
...
>>> my_func.__doc__
'bar'
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quantopian/zipline | zipline/pipeline/pipeline.py | Pipeline.add | def add(self, term, name, overwrite=False):
"""
Add a column.
The results of computing `term` will show up as a column in the
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Parameters
----------
column : zipline.pipeline.Term
A Filter, Factor, or Class... | python | def add(self, term, name, overwrite=False):
"""
Add a column.
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----------
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quantopian/zipline | zipline/pipeline/pipeline.py | Pipeline.set_screen | def set_screen(self, screen, overwrite=False):
"""
Set a screen on this Pipeline.
Parameters
----------
filter : zipline.pipeline.Filter
The filter to apply as a screen.
overwrite : bool
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Set a screen on this Pipeline.
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The filter to apply as a screen.
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quantopian/zipline | zipline/pipeline/pipeline.py | Pipeline.to_execution_plan | def to_execution_plan(self,
domain,
default_screen,
start_date,
end_date):
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Compile into an ExecutionPlan.
Parameters
----------
domain : zipline.pipeline.domain.Domain
... | python | def to_execution_plan(self,
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default_screen,
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end_date):
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Compile into an ExecutionPlan.
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domain : zipline.pipeline.domain.Domain
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quantopian/zipline | zipline/pipeline/pipeline.py | Pipeline._prepare_graph_terms | def _prepare_graph_terms(self, default_screen):
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quantopian/zipline | zipline/pipeline/pipeline.py | Pipeline.show_graph | def show_graph(self, format='svg'):
"""
Render this Pipeline as a DAG.
Parameters
----------
format : {'svg', 'png', 'jpeg'}
Image format to render with. Default is 'svg'.
"""
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... | python | def show_graph(self, format='svg'):
"""
Render this Pipeline as a DAG.
Parameters
----------
format : {'svg', 'png', 'jpeg'}
Image format to render with. Default is 'svg'.
"""
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quantopian/zipline | zipline/pipeline/pipeline.py | Pipeline._output_terms | def _output_terms(self):
"""
A list of terms that are outputs of this pipeline.
Includes all terms registered as data outputs of the pipeline, plus the
screen, if present.
"""
terms = list(six.itervalues(self._columns))
screen = self.screen
if screen is n... | python | def _output_terms(self):
"""
A list of terms that are outputs of this pipeline.
Includes all terms registered as data outputs of the pipeline, plus the
screen, if present.
"""
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quantopian/zipline | zipline/pipeline/pipeline.py | Pipeline.domain | def domain(self, default):
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Get the domain for this pipeline.
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quantopian/zipline | zipline/pipeline/expression.py | _ensure_element | def _ensure_element(tup, elem):
"""
Create a tuple containing all elements of tup, plus elem.
Returns the new tuple and the index of elem in the new tuple.
"""
try:
return tup, tup.index(elem)
except ValueError:
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Create a tuple containing all elements of tup, plus elem.
Returns the new tuple and the index of elem in the new tuple.
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try:
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quantopian/zipline | zipline/pipeline/expression.py | NumericalExpression._validate | def _validate(self):
"""
Ensure that our expression string has variables of the form x_0, x_1,
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"""
variable_names, _unused = getExprNames(self._expr, {})
expr_indices = []
for name in variable_names:
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"""
Ensure that our expression string has variables of the form x_0, x_1,
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"""
variable_names, _unused = getExprNames(self._expr, {})
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quantopian/zipline | zipline/pipeline/expression.py | NumericalExpression._compute | def _compute(self, arrays, dates, assets, mask):
"""
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"""
out = full(mask.shape, self.missing_value, dtype=self.dtype)
# This writes directly into our output buffer.
numexpr.evaluate(
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"""
Compute our stored expression string with numexpr.
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out = full(mask.shape, self.missing_value, dtype=self.dtype)
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quantopian/zipline | zipline/pipeline/expression.py | NumericalExpression._rebind_variables | def _rebind_variables(self, new_inputs):
"""
Return self._expr with all variables rebound to the indices implied by
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"""
expr = self._expr
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quantopian/zipline | zipline/pipeline/expression.py | NumericalExpression._merge_expressions | def _merge_expressions(self, other):
"""
Merge the inputs of two NumericalExpressions into a single input tuple,
rewriting their respective string expressions to make input names
resolve correctly.
Returns a tuple of (new_self_expr, new_other_expr, new_inputs)
"""
... | python | def _merge_expressions(self, other):
"""
Merge the inputs of two NumericalExpressions into a single input tuple,
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Returns a tuple of (new_self_expr, new_other_expr, new_inputs)
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quantopian/zipline | zipline/pipeline/expression.py | NumericalExpression.build_binary_op | def build_binary_op(self, op, other):
"""
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"""
if isinstance(other, NumericalExpression):
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"""
Compute new expression strings and a new inputs tuple for combining
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quantopian/zipline | zipline/pipeline/expression.py | NumericalExpression.graph_repr | def graph_repr(self):
"""Short repr to use when rendering Pipeline graphs."""
# Replace any floating point numbers in the expression
# with their scientific notation
final = re.sub(r"[-+]?\d*\.\d+",
lambda x: format(float(x.group(0)), '.2E'),
... | python | def graph_repr(self):
"""Short repr to use when rendering Pipeline graphs."""
# Replace any floating point numbers in the expression
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quantopian/zipline | zipline/utils/paths.py | last_modified_time | def last_modified_time(path):
"""
Get the last modified time of path as a Timestamp.
"""
return pd.Timestamp(os.path.getmtime(path), unit='s', tz='UTC') | python | def last_modified_time(path):
"""
Get the last modified time of path as a Timestamp.
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quantopian/zipline | zipline/utils/paths.py | zipline_root | def zipline_root(environ=None):
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Get the root directory for all zipline-managed files.
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----------
environ : dict, optional
A dict to interpret as the os environment.
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quantopian/zipline | zipline/pipeline/loaders/frame.py | DataFrameLoader.format_adjustments | def format_adjustments(self, dates, assets):
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quantopian/zipline | zipline/pipeline/loaders/frame.py | DataFrameLoader.load_adjusted_array | def load_adjusted_array(self, domain, columns, dates, sids, mask):
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"""
if len(columns) != 1:
raise ValueError(
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column = columns[0]
self._v... | python | def load_adjusted_array(self, domain, columns, dates, sids, mask):
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"""
if column != self.column and column.unspecialize() != self.column:
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quantopian/zipline | zipline/utils/security_list.py | load_from_directory | def load_from_directory(list_name):
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quantopian/zipline | zipline/utils/memoize.py | _weak_lru_cache | def _weak_lru_cache(maxsize=100):
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Users should only access the lru_cache through its public API:
cache_info, cache_clear
The internals of the lru_cache are encapsulated for thread safety and
to allow the implementation to change.
"""
def decorating_function(
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cache_info, cache_clear
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"""
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quantopian/zipline | zipline/pipeline/data/dataset.py | DataSet.get_column | def get_column(cls, name):
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name : str
Name of the column to look up.
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Column with the given name.
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"""Look up a column by name.
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name : str
Name of the column to look up.
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quantopian/zipline | zipline/pipeline/data/dataset.py | DataSetFamily._make_dataset | def _make_dataset(cls, coords):
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quantopian/zipline | zipline/pipeline/data/dataset.py | DataSetFamily.slice | def slice(cls, *args, **kwargs):
"""Take a slice of a DataSetFamily to produce a dataset
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**kwargs
The coordinates to fix along each extra dimension.
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quantopian/zipline | zipline/pipeline/loaders/synthetic.py | expected_bar_value | def expected_bar_value(asset_id, date, colname):
"""
Check that the raw value for an asset/date/column triple is as
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Used by tests to verify data written by a writer.
"""
from_asset = asset_id * 100000
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"""
Check that the raw value for an asset/date/column triple is as
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Used by tests to verify data written by a writer.
"""
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quantopian/zipline | zipline/pipeline/loaders/synthetic.py | expected_bar_values_2d | def expected_bar_values_2d(dates,
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"""
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quantopian/zipline | zipline/pipeline/loaders/synthetic.py | PrecomputedLoader.load_adjusted_array | def load_adjusted_array(self, domain, columns, dates, sids, mask):
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"""
out = {}
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quantopian/zipline | zipline/pipeline/loaders/synthetic.py | SeededRandomLoader.values | def values(self, dtype, dates, sids):
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quantopian/zipline | zipline/pipeline/loaders/synthetic.py | SeededRandomLoader._datetime_values | def _datetime_values(self, shape):
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return start +... | python | def _datetime_values(self, shape):
"""
Return uniformly-distributed dates in 2014.
"""
start = Timestamp('2014', tz='UTC').asm8
offsets = self.state.randint(
low=0,
high=364,
size=shape,
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return start +... | [
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quantopian/zipline | zipline/lib/quantiles.py | quantiles | def quantiles(data, nbins_or_partition_bounds):
"""
Compute rowwise array quantiles on an input.
"""
return apply_along_axis(
qcut,
1,
data,
q=nbins_or_partition_bounds, labels=False,
) | python | def quantiles(data, nbins_or_partition_bounds):
"""
Compute rowwise array quantiles on an input.
"""
return apply_along_axis(
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quantopian/zipline | zipline/finance/metrics/tracker.py | MetricsTracker.handle_minute_close | def handle_minute_close(self, dt, data_portal):
"""
Handles the close of the given minute in minute emission.
Parameters
----------
dt : Timestamp
The minute that is ending
Returns
-------
A minute perf packet.
"""
self.sync_l... | python | def handle_minute_close(self, dt, data_portal):
"""
Handles the close of the given minute in minute emission.
Parameters
----------
dt : Timestamp
The minute that is ending
Returns
-------
A minute perf packet.
"""
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quantopian/zipline | zipline/finance/metrics/tracker.py | MetricsTracker.handle_market_open | def handle_market_open(self, session_label, data_portal):
"""Handles the start of each session.
Parameters
----------
session_label : Timestamp
The label of the session that is about to begin.
data_portal : DataPortal
The current data portal.
"""
... | python | def handle_market_open(self, session_label, data_portal):
"""Handles the start of each session.
Parameters
----------
session_label : Timestamp
The label of the session that is about to begin.
data_portal : DataPortal
The current data portal.
"""
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quantopian/zipline | zipline/finance/metrics/tracker.py | MetricsTracker.handle_market_close | def handle_market_close(self, dt, data_portal):
"""Handles the close of the given day.
Parameters
----------
dt : Timestamp
The most recently completed simulation datetime.
data_portal : DataPortal
The current data portal.
Returns
-------... | python | def handle_market_close(self, dt, data_portal):
"""Handles the close of the given day.
Parameters
----------
dt : Timestamp
The most recently completed simulation datetime.
data_portal : DataPortal
The current data portal.
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quantopian/zipline | zipline/finance/metrics/tracker.py | MetricsTracker.handle_simulation_end | def handle_simulation_end(self, data_portal):
"""
When the simulation is complete, run the full period risk report
and send it out on the results socket.
"""
log.info(
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... | python | def handle_simulation_end(self, data_portal):
"""
When the simulation is complete, run the full period risk report
and send it out on the results socket.
"""
log.info(
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quantopian/zipline | zipline/extensions.py | create_args | def create_args(args, root):
"""
Encapsulates a set of custom command line arguments in key=value
or key.namespace=value form into a chain of Namespace objects,
where each next level is an attribute of the Namespace object on the
current level
Parameters
----------
args : list
A... | python | def create_args(args, root):
"""
Encapsulates a set of custom command line arguments in key=value
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where each next level is an attribute of the Namespace object on the
current level
Parameters
----------
args : list
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quantopian/zipline | zipline/extensions.py | parse_extension_arg | def parse_extension_arg(arg, arg_dict):
"""
Converts argument strings in key=value or key.namespace=value form
to dictionary entries
Parameters
----------
arg : str
The argument string to parse, which must be in key=value or
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arg_dict : dict
... | python | def parse_extension_arg(arg, arg_dict):
"""
Converts argument strings in key=value or key.namespace=value form
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----------
arg : str
The argument string to parse, which must be in key=value or
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arg_dict : dict
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quantopian/zipline | zipline/extensions.py | update_namespace | def update_namespace(namespace, path, name):
"""
A recursive function that takes a root element, list of namespaces,
and the value being stored, and assigns namespaces to the root object
via a chain of Namespace objects, connected through attributes
Parameters
----------
namespace : Namespa... | python | def update_namespace(namespace, path, name):
"""
A recursive function that takes a root element, list of namespaces,
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Parameters
----------
namespace : Namespa... | [
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quantopian/zipline | zipline/extensions.py | create_registry | def create_registry(interface):
"""
Create a new registry for an extensible interface.
Parameters
----------
interface : type
The abstract data type for which to create a registry,
which will manage registration of factories for this type.
Returns
-------
interface : ty... | python | def create_registry(interface):
"""
Create a new registry for an extensible interface.
Parameters
----------
interface : type
The abstract data type for which to create a registry,
which will manage registration of factories for this type.
Returns
-------
interface : ty... | [
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quantopian/zipline | zipline/extensions.py | Registry.load | def load(self, name):
"""Construct an object from a registered factory.
Parameters
----------
name : str
Name with which the factory was registered.
"""
try:
return self._factories[name]()
except KeyError:
raise ValueError(
... | python | def load(self, name):
"""Construct an object from a registered factory.
Parameters
----------
name : str
Name with which the factory was registered.
"""
try:
return self._factories[name]()
except KeyError:
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quantopian/zipline | zipline/finance/commission.py | calculate_per_unit_commission | def calculate_per_unit_commission(order,
transaction,
cost_per_unit,
initial_commission,
min_trade_cost):
"""
If there is a minimum commission:
If the order hasn't had ... | python | def calculate_per_unit_commission(order,
transaction,
cost_per_unit,
initial_commission,
min_trade_cost):
"""
If there is a minimum commission:
If the order hasn't had ... | [
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quantopian/zipline | zipline/finance/commission.py | PerDollar.calculate | def calculate(self, order, transaction):
"""
Pay commission based on dollar value of shares.
"""
cost_per_share = transaction.price * self.cost_per_dollar
return abs(transaction.amount) * cost_per_share | python | def calculate(self, order, transaction):
"""
Pay commission based on dollar value of shares.
"""
cost_per_share = transaction.price * self.cost_per_dollar
return abs(transaction.amount) * cost_per_share | [
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