appendix.rst

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

.. autoclass:: zipline.pipeline.Pipeline
   :members:
   :member-order: groupwise

.. autoclass:: zipline.pipeline.CustomFactor
   :members:
   :member-order: groupwise

.. autoclass:: zipline.pipeline.Filter
   :members: __and__, __or__, if_else
   :exclude-members: dtype

.. autoclass:: zipline.pipeline.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__, clip, fillna, mean, stddev, max,
             min, median, sum, clip
   :exclude-members: dtype
   :member-order: bysource

.. autoclass:: zipline.pipeline.Term
   :members:
   :exclude-members: compute_extra_rows, dependencies, inputs, mask, windowed

.. autoclass:: zipline.pipeline.data.DataSet
   :members:

.. autoclass:: zipline.pipeline.data.Column
   :members:

.. autoclass:: zipline.pipeline.data.BoundColumn
   :members:

.. autoclass:: zipline.pipeline.data.DataSetFamily
   :members:

.. autoclass:: zipline.pipeline.data.EquityPricing
   :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.RollingPearson
   :members:

.. autoclass:: zipline.pipeline.factors.RollingSpearman
   :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:

.. autoclass:: zipline.pipeline.factors.PercentChange
   :members:

.. autoclass:: zipline.pipeline.factors.PeerCount
   :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