diff --git a/docs/source/development-guidelines.rst b/docs/source/development-guidelines.rst index d643090d6d..0f2cbe4874 100644 --- a/docs/source/development-guidelines.rst +++ b/docs/source/development-guidelines.rst @@ -208,3 +208,8 @@ When adding or editing docstrings for classes, functions, etc, we use `numpy`__ __ https://github.com/numpy/numpy/blob/master/doc/HOWTO_DOCUMENT.rst.txt +Updating the Whatsnew +--------------------- + +We have a set of `whatsnew `__ files that are used for documenting changes that have occurred between different versions of Zipline. +Once you've made a change to Zipline, in your Pull Request, please update the most recent ``whatsnew`` file with a comment about what you changed. You can find examples in previous ``whatsnew`` files. diff --git a/docs/source/releases.rst b/docs/source/releases.rst index 32349a0e5f..f6ce7b5251 100644 --- a/docs/source/releases.rst +++ b/docs/source/releases.rst @@ -2,6 +2,8 @@ Release Notes ============= +.. include:: whatsnew/1.2.0.txt + .. include:: whatsnew/1.1.2.txt .. include:: whatsnew/1.1.1.txt diff --git a/docs/source/whatsnew/1.1.2.txt b/docs/source/whatsnew/1.1.2.txt deleted file mode 100644 index a66b12c6c3..0000000000 --- a/docs/source/whatsnew/1.1.2.txt +++ /dev/null @@ -1,71 +0,0 @@ -Development ------------ - -:Release: 1.1.2 -:Date: TBD - -.. warning:: - This release is still under active development. All changes listed are - subject to change at any time. - - -Highlights -~~~~~~~~~~ - -Extensible Risk and Performance Metrics (:issue:`2081`) -``````````````````````````````````````````````````````` - -The risk and performance metrics are summarizing values calculated by Zipline -when running a simulation, for example: returns or Sharpe ratio. 1.1.2 -introduces a new API for registering custom risk and performance metrics defined -by the user. We have also made it possible to run a backtest without computing -any metrics to improve the feedback cycle when debugging an algorithm. - -For more information, see :ref:`metrics`. - - -Enhancements -~~~~~~~~~~~~ - -None - -Experimental Features -~~~~~~~~~~~~~~~~~~~~~ - -.. warning:: - - Experimental features are subject to change. - -None - -Bug Fixes -~~~~~~~~~ - -- ``history`` calls with a frequency of ``1d`` now work when using a Panel as - the minute data source. (:issue:`1920`) - -Performance -~~~~~~~~~~~ - -- Change algorithm account validation from happening every minute in - ``handle_data`` to only occurring once at the end of each day (:issue:`1884`) - -Maintenance and Refactorings -~~~~~~~~~~~~~~~~~~~~~~~~~~~~ - -None - -Build -~~~~~ - -None - -Documentation -~~~~~~~~~~~~~ - -- Documented the new risk and performance metrics API (:issue:`2081`). - -Miscellaneous -~~~~~~~~~~~~~ - -None diff --git a/docs/source/whatsnew/1.2.0.txt b/docs/source/whatsnew/1.2.0.txt new file mode 100644 index 0000000000..e209f48e4d --- /dev/null +++ b/docs/source/whatsnew/1.2.0.txt @@ -0,0 +1,115 @@ +Release 1.2.0 +------------- + +:Release: 1.2.0 +:Date: TBD + +Extensible Risk and Performance Metrics (:issue:`2081`) +``````````````````````````````````````````````````````` + +The risk and performance metrics are summarizing values calculated by Zipline +when running a simulation, for example: returns or Sharpe ratio. 1.1.2 +introduces a new API for registering custom risk and performance metrics defined +by the user. We have also made it possible to run a backtest without computing +any metrics to improve the feedback cycle when debugging an algorithm. + +For more information, see :ref:`metrics`. + +Docs, Trading Calendars, and Benchmarks +``````````````````````````````````````` +Zipline now defaults to using the ``quandl`` bundle, which you'll need an API Key for, and can find information about in the Data Bundles documentation. + +We've added many Tutorial & Documentations updates, including information on how to create your own ``TradingCalendar``, pass it to your algorithm via the Zipline CLI, and how to use custom csv data using the ``csvdir`` bundle. + +Zipline is no longer being tested and packaged for Python 3.4. + +Zipline now requests data for SPY, the default benchmark used for Zipline backtests, using the `IEX Trading `__ API, and no longer uses ``pandas-datareader``. You can run a backtest up to 5 years from the current day using this data. + +Enhancements +~~~~~~~~~~~~ + +- Grow minute file cache to 1550 by default (:issue:`1906`) +- Change default commission to .001 (:issue:`1946`) +- Enable the ability to compute multiple pipelines (:issue:`1974`) +- Allow users to switch between calendars (:issue:`1800`) +- New filter ``NoMissingValues`` (:issue:`1969`) +- Fail better on ``AssetFinder(nonexistent_path)`` (:issue:`2000`) +- Implement csvdir bundle (:issue:`1860`) +- Update quandl_bundle to use Quandl API v3 (:issue:`1990`) +- Add ``FixedBasisPointsSlippage`` slippage model (:issue:`2047`) +- Create MinLeverage control (:issue:`2064`) + +Experimental Features +~~~~~~~~~~~~~~~~~~~~~ + +.. warning:: + + Experimental features are subject to change. + +None + +Bug Fixes +~~~~~~~~~ + +- ``history`` calls with a frequency of ``1d`` now work when using a Panel as the minute data source. (:issue:`1920`) +- Check contract exists when using futures daily bar reader (:issue:`1892`) +- ``NoDataBeforeDate`` edge cases (:issue:`1894`) +- Fix frame column validation in Python 2.7.5 (:issue:`1954`) +- Fix daily history for minute panel data backtest (:issue:`1920`) +- ``get_last_traded_dt`` expects a trading day (:issue:`2087`) +- Daily Adjustment perspective fix (:issue:`2089`) + +Performance +~~~~~~~~~~~ + +- Change algorithm account validation from happening every minute in ``handle_data`` to only occurring once at the end of each day (:issue:`1884`) +- Blaze core loader performance improvements (:issue:`1866`) +- Add a new factor that just computes beta (:issue:`2021`) +- Reduces memory footprint of Quandl WIKI Prices bundle (:issue:`2053`) + +Maintenance and Refactorings +~~~~~~~~~~~~~~~~~~~~~~~~~~~~ + +- Add ``CachedObject.expired()`` (:issue:`1881`) +- Set ``RollingLinearRegressionOfReturns`` factor to be window_safe (:issue:`1902`) +- Set ``RSI`` factor to be window_safe (:issue:`1904`) +- Updates for better docs generation (:issue:`1890`) +- Remove and zero out unused treasury curves (:issue:`1910`) +- Networkx 2 changes the behavior of out_degree (:issue:`1996`) +- Pass calendars to ``DataPortal`` (:issue:`2026`) +- Remove old Yahoo code (:issue:`2032`) +- Sync and fill benchmarks through latest trading day (:issue:`2044`) +- Provides better error message when QUANDL_API_KEY is missing (:issue:`2078`) +- Improve the error message for misaligned dates in Pipeline engine (:issue:`2131`) + +Build +~~~~~ + +- Update the conda tools we're using to fix our packaging (:issue:`1942`) +- Upgrade empyrical to 0.3.2 (:issue:`1983`) +- Update conda tooling and remove Python 3.4 builds (:issue:`2009`) +- Upgrade empyrical to 0.3.3 (:issue:`2014`) +- Upgrade empyrical to 0.3.4 (:issue:`2098`) +- Upgrade empyrical to 0.4.2 (:issue:`2125) + +Documentation +~~~~~~~~~~~~~ + +- Include ``MACDSignal`` in zipline.io documentation (:issue:`1828`) +- Remove mentions of Yahoo from the Beginner Tutorial (:issue:`1845`) +- Add contributing & questions section to the README (:issue:`1889`) +- Add info about using a conda envs for installs (:issue:`1922`) +- Fix Beginner Tutorial link (:issue:`1932`) +- Add clean docs (:issue:`1943`) +- Add distinct warnings for benchmark and treasury fetchers (:issue:`1971`) +- Add CONTRIBUTING.rst (:issue:`2033`) +- Add tutorial on creating a custom ``TradingCalendar`` (:issue:`2035`) +- Docs & tutorial updates for ingesting, beginners, and csvdir (:issue:`2073`) +- Documented the new risk and performance metrics API (:issue:`2081`). +- Fixed a typo in the description of ``--bundle-timestamp`` (:issue:`2123`) + + +Miscellaneous +~~~~~~~~~~~~~ + +None