Zipline, a Pythonic Algorithmic Trading Library
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README.md

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 systems operate. Currently, backtesting is well supported, but the intent is to develop the library for both paper and live trading, so that the same logic used for backtesting can be applied to the market.

Zipline is currently used in production as the backtesting engine powering Quantopian (https://www.quantopian.com) -- a free, community-centered platform that allows development and real-time backtesting of trading algorithms in the web browser.

Want to contribute? See our open requests and our general guidelines below.

Discussion and Help

Discussion of the project is held at the Google Group, zipline@googlegroups.com, https://groups.google.com/forum/#!forum/zipline.

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 of Anaconda 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)
  • 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 Distribution includes most of the necessary dependencies. On OSX, the Scipy Superpack works very well.

Dependencies

  • Python (>= 2.7.2)
  • numpy (>= 1.6.0)
  • pandas (>= 0.9.0)
  • pytz
  • Logbook
  • requests
  • python-dateutil (>= 2.1)

Quickstart

The following code implements a simple dual moving average algorithm.

from zipline.api import order_target, record, symbol
from collections import deque as moving_window
import numpy as np


def initialize(context):
    # Add 2 windows, one with a long window, one
    # with a short window.
    # Note that this is bound to change soon and will be easier.
    context.short_window = moving_window(maxlen=100)
    context.long_window = moving_window(maxlen=300)


def handle_data(context, data):
    # Save price to window
    context.short_window.append(data[symbol('AAPL')].price)
    context.long_window.append(data[symbol('AAPL')].price)

    # Compute averages
    short_mavg = np.mean(context.short_window)
    long_mavg = np.mean(context.long_window)

    # Trading logic
    if short_mavg > long_mavg:
        order_target(symbol('AAPL'), 100)
    elif short_mavg < long_mavg:
        order_target(symbol('AAPL'), 0)

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

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

python run_algo.py -f dual_moving_avg.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

Credits

Thank you for all the help so far!

  • @rday for sortino ratio, information ratio, and exponential moving average transform
  • @snth
  • @yinhm for integrating zipline with @yinhm/datafeed
  • Jeremiah Lowin for teaching us the nuances of Sharpe and Sortino Ratios, and for implementing new order methods.
  • Brian Cappello
  • @verdverm (Tony Worm), Order types (stop, limit)
  • @benmccann for benchmarking contributions
  • @jkp and @bencpeters for bugfixes to benchmark.
  • @dstephens for adding Canadian treasury curves.
  • @mtrovo for adding BMF&Bovespa calendars.
  • @sdrdis for bugfixes.
  • @humdings for refactoring the order methods.
  • Quantopian Team

(alert us if we've inadvertantly missed listing you here!)

Development Environment

The following guide assumes your system has virtualenvwrapper and pip already installed.

You'll need to install some C library dependencies:

sudo apt-get install libopenblas-dev liblapack-dev gfortran

wget http://prdownloads.sourceforge.net/ta-lib/ta-lib-0.4.0-src.tar.gz
tar -xvzf ta-lib-0.4.0-src.tar.gz
cd ta-lib/
./configure --prefix=/usr
make
sudo make install

Suggested installation of Python library dependencies used for development:

mkvirtualenv zipline
./etc/ordered_pip.sh ./etc/requirements.txt
pip install -r ./etc/requirements_dev.txt

Finally, install zipline in develop mode (from the zipline source root dir):

python setup.py develop

Style Guide

To ensure that changes and patches are focused on behavior changes, the zipline codebase adheres to both PEP-8, http://www.python.org/dev/peps/pep-0008/, and pyflakes, https://launchpad.net/pyflakes/.

The maintainers check the code using the flake8 script, https://bitbucket.org/tarek/flake8/wiki/Home, which is included in the requirements_dev.txt.

Before submitting patches or pull requests, please ensure that your changes pass flake8 zipline tests and nosetests

Source

The source for Zipline is hosted at https://github.com/quantopian/zipline.

Documentation

You can compile the documentation using Sphinx:

sudo apt-get install python-sphinx
make html

Contact

For other questions, please contact opensource@quantopian.com.