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DOC: use sphinx docs #816

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158 changes: 0 additions & 158 deletions README.md

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181 changes: 181 additions & 0 deletions README.rst
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Zipline
=======

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Zipline is a Pythonic algorithmic trading library. The system is
fundamentally event-driven and a close approximation of how live-trading
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should we still say "aprproximation", it is how our live-trading works

systems operate.

Zipline is currently used in production as the backtesting engine
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should we mention live trading too?

powering `Quantopian Inc. <https://www.quantopian.com>`__ -- a free,
community-centered platform that allows development and real-time
backtesting of trading algorithms in the web browser.

`Join our
community! <https://groups.google.com/forum/#!forum/zipline>`__

Want to contribute? See our `open
requests <https://github.com/quantopian/zipline/wiki/Contribution-Requests>`__
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audit this, we can do this whenever since it is the wiki

and our `general
guidelines <https://github.com/quantopian/zipline#contributions>`__
below.

Features
========

- Ease of use: Zipline tries to get out of your way so that you can
focus on algorithm development. See below for a code example.

- Zipline comes "batteries included" as many common statistics like
moving average and linear regression can be readily accessed from
within a user-written algorithm.

- Input of historical data and output of performance statistics is
based on Pandas DataFrames to integrate nicely into the existing
Python eco-system.

- Statistic and machine learning libraries like matplotlib, scipy,
statsmodels, and sklearn support development, analysis and
visualization of state-of-the-art trading systems.

Installation
============

The easiest way to install Zipline is via ``conda`` which comes as part
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pip is probably easier until we upgrade the conda packages.

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I have moved pip to suggested method

of `Anaconda <http://continuum.io/downloads>`__ or can be installed via
``pip install conda``.

Once set up, you can install Zipline from our Quantopian channel:

::

conda install -c Quantopian zipline

Currently supported platforms include:

- Windows 32-bit (can be 64-bit Windows but has to be 32-bit Anaconda)
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Is this still true?

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I think I am dropping windows for now. We have not tested this so we cannot make any claims


- OSX 64-bit

- Linux 64-bit

PIP
---

Alternatively you can install Zipline via the more traditional ``pip``
command. Since zipline is pure-python code it should be very easy to
install and set up:

::

pip install numpy # Pre-install numpy to handle dependency chain quirk
pip install zipline

If there are problems installing the dependencies or zipline we
recommend installing these packages via some other means. For Windows,
the `Enthought Python
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I don't think anyone we know of uses Enthought successfully with Zipline. We should probably point people on Windows to Anaconda.

Distribution <http://www.enthought.com/products/epd.php>`__ includes
most of the necessary dependencies. On OSX, the `Scipy
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I'm not sure we need OSX-specific instructions.

Superpack <http://fonnesbeck.github.com/ScipySuperpack/>`__ works very
well.

Dependencies
------------

- Python (2.7 or 3.3)
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We have many more dependencies than these now. I'm not sure it's worth listing all of them in the readme.

- numpy (>= 1.6.0)
- pandas (>= 0.9.0)
- pytz
- Logbook
- requests
- `python-dateutil <https://pypi.python.org/pypi/python-dateutil>`__
(>= 2.1)
- ta-lib

Quickstart
==========

See our `getting started
tutorial <http://www.zipline.io/#quickstart>`__.

The following code implements a simple dual moving average algorithm.

.. code:: python

from zipline.api import order_target, record, symbol, history, add_history


def initialize(context):
# Register 2 histories that track daily prices,
# one with a 100 window and one with a 300 day window
add_history(100, '1d', 'price')
add_history(300, '1d', 'price')

context.i = 0


def handle_data(context, data):
# Skip first 300 days to get full windows
context.i += 1
if context.i < 300:
return

# Compute averages
# history() has to be called with the same params
# from above and returns a pandas dataframe.
short_mavg = history(100, '1d', 'price').mean()
long_mavg = history(300, '1d', 'price').mean()

sym = symbol('AAPL')

# Trading logic
if short_mavg[sym] > long_mavg[sym]:
# order_target orders as many shares as needed to
# achieve the desired number of shares.
order_target(sym, 100)
elif short_mavg[sym] < long_mavg[sym]:
order_target(sym, 0)

# Save values for later inspection
record(AAPL=data[sym].price,
short_mavg=short_mavg[sym],
long_mavg=long_mavg[sym])

You can then run this algorithm using the Zipline CLI. From the command
line, run:

.. code:: bash

python run_algo.py -f dual_moving_average.py --symbols AAPL --start 2011-1-1 --end 2012-1-1 -o dma.pickle

This will download the AAPL price data from Yahoo! Finance in the
specified time range and stream it through the algorithm and save the
resulting performance dataframe to dma.pickle which you can then load
and analyze from within python.

You can find other examples in the zipline/examples directory.

Contributions
=============

If you would like to contribute, please see our Contribution Requests:
https://github.com/quantopian/zipline/wiki/Contribution-Requests

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