Where communities thrive


  • Join over 1.5M+ people
  • Join over 100K+ communities
  • Free without limits
  • Create your own community
People
Repo info
Activity
  • 01:08
    x777 commented #2480
  • 00:42
    x777 commented #2480
  • 00:40
    x777 commented #2480
  • Apr 08 18:20
    CodeMonkeysGottaCode commented #2675
  • Apr 08 17:01
    CodeMonkeysGottaCode commented #2675
  • Apr 08 14:23
    CodeMonkeysGottaCode commented #2675
  • Apr 08 14:22

    ssanderson on master

    ENH: Add `mask` argument to Fac… Merge pull request #2676 from q… (compare)

  • Apr 08 14:22
    ssanderson closed #2676
  • Apr 07 18:32
    life-elixir commented #1579
  • Apr 07 16:48
    ssanderson synchronize #2654
  • Apr 07 16:48

    ssanderson on gh-actions-ci-contd

    TRMP (compare)

  • Apr 07 16:41
    ssanderson synchronize #2654
  • Apr 07 16:41

    ssanderson on gh-actions-ci-contd

    MAINT: Try with older toolset. TMP (compare)

  • Apr 07 16:10
    ssanderson synchronize #2654
  • Apr 07 16:10

    ssanderson on gh-actions-ci-contd

    TYPO (compare)

  • Apr 07 16:09
    ssanderson synchronize #2654
  • Apr 07 16:09

    ssanderson on gh-actions-ci-contd

    TMP (compare)

  • Apr 07 16:03
    ssanderson synchronize #2654
  • Apr 07 16:03

    ssanderson on gh-actions-ci-contd

    MAINT: Set up windows build env. TMP (compare)

  • Apr 07 15:47
    ssanderson synchronize #2654
Scott Sanderson
@ssanderson
(the case where that's most likely to happen is if you're trading at minutely frequency, hold a large number of positions, and you access context.portfolio in a handle_data, since that forces us to sync the prices every minute)
we aggressively pre-fetch to amortize the cost of those minutely reads, but they're still the most expensive thing that zipline does at minutely frequency
if you're running in daily mode, I don't have any immediate suggestions
IA-UoK
@IA-UoK
@ssanderson Hello Scott! So I went down a bit of a rabbit hole trying to figure out what was causing all these threads to spin up and fight for the available cores, slowing everything down in the meantime. Does zipline use numpy? In particular, does zipline use numpy and require functions from OpenBLAS?
@FreddieV4 any thoughts on this?
IA-UoK
@IA-UoK
@ssanderson From what I can tell, OpenBLAS does use multiple threads by default, so if that is the case, then perhaps spinning up multiple processes that run TradingAlgorithm, which in turn rely on OpenBLAS somehow, would be the potential culprit behind the behavior I'm seeing. What do you think?
Scott Sanderson
@ssanderson
zipline definitely uses numpy, but mostly just as a data representation
we're certainly not calling into blas anywhere directly, but numpy will call into blas to implement things like np.dot
I can't think of anywhere offhand that zipline itself would be doing that; some of the built-in pipeline factors do some nontrivial computation, but for the most part the core zipline library is basically a big I/O machine that feeds pricing data to your algorithm code
if you suspect blas is the culprit though, you could try setting the OMP_NUM_THREADS environment variable to '1'at the start of the process where you're running zipline
Bryan Yu
@ybryan
@tuorpeZ My guess is that it downloads SPY data for alpha calculations as the benchmark
Bryan Yu
@ybryan
Has anyone come across a pkg_resources.ContextualVersionConflict: (pandas 0.18.1 (/usr/local/lib/python3.5/site-packages), Requirement.parse('pandas>=0.19.2'), {'pandas-datareader'}) when trying to run any of the zipline commands?
Bryan Yu
@ybryan
figured it out. not sure why but pandas-datareader==0.6.0 gets installed instead of pandas-datareader==0.2.1 when pip installing from git master
Bryan Yu
@ybryan
How does zipline handle thinly traded stocks/can it? Tried to ingest a csv with and not successful
Ahmet Can Acar
@acanacar
is there any solution for TypeError: data type "datetime" not understood?
tried to install latest version but it didnt work . my egg is : zipline-1.1.1+246.g4002a03-py3.5.egg-info
Freddie Vargus
@freddiev4
I've seen that here @acanacar quantopian/zipline#2082
Could you open an issue on GitHub with more details?
or even comment on that issue i linked to with more details?
rohitswaroop
@rohitswaroop
@freddiev4 - are we able to ingest fundamental company data which is not in OHLCV format?
Danish A. Alvi
@DanishAAlvi_twitter
Guys is there any way we can use Zipline to plot returns of an algorithmic trader in a matplotlib graph?
IA-UoK
@IA-UoK
@AzadQalamdar_twitter the results that come back from running an algorithm are a dataframe. You can easily plot these using matplotlib
Does zipline support bracket orders?
philschrad
@philschrad
hi all, can anyone point me to some examples of using the zipline pipeline for research? I’ve used the quantopian research environment a bit but things don't seem to transfer easily into zipline. In particular, how can I make and run a pipeline in zipline?
Ric Jenkin
@cncplyr
Hey all, when will zipline 1.2.0 be available?
Freddie Vargus
@freddiev4
Hi @cncplyr I opened a release on GitHub yesterday ; trying to upload to PyPi/Anaconda today
Ric Jenkin
@cncplyr
Awesome, thank you!
Freddie Vargus
@freddiev4
@cncplyr just uploaded to PyPI
next is conda packages
hopefully you should be able to pip install zipline without any issues
Also zipline.io is updated with new docs; see: http://www.zipline.io/releases.html#release-1-2-0
Freddie Vargus
@freddiev4
conda packages are there for Linux & Windows now; need to build macOS packages
Ric Jenkin
@cncplyr
cool!
Ric Jenkin
@cncplyr
I can't seem to update, it complains that empyrical 0.4.2 isn't available?
actually I can only see empyrical up to 0.3.4 available on Quantopian and conda-forge
ah nvm i see it in pypi
Freddie Vargus
@freddiev4
@cncplyr good catch. forgot to add empyrical 0.4.2 to anaconda; just fixed that
Ric Jenkin
@cncplyr
:thumbsup:
David Yang
@yngstr
Can Zipline handle backtests on rates futures?
the p&l calcs are more complicated
Jonathan Larkin
@marketneutral
hi there. do you have a spec for public comment on how you will modify the security master and all other aspects of zipline to accommodate for non-US equities? Thanks.
Ahmet Can Acar
@acanacar
I m getting error while getting daily history data in minute mode
there is some bug issue solved already but i do not know how to benefit from it
not much familiar with github. Is there anyone giving directions about it?
Pius
@Life1Hunt_twitter
Hey guys what wheel version do you use when installing zipline?
cause it always fails cause of wheels
Erik Kastman
@kastman
Hi all, I see the data download for treasuries directly from the federal reserve website in zipeline/data/treasuries.py, but as a relative newcomer I'm not sure how to actually access them in an algorithm from within the context of a data.history() or zipline.api.symbol. Is it possible to point to a public quantopian algorithm or even a few lines here in gitter to grab, say, the current price of a 10year treasury, e.g. from ~/.zipline/data/treasury_curves.csv? Thanks! If I get a good example I can create a PR for the doc.
Erik Kastman
@kastman
For example, I'm familiar with getting a pandas frame out of quandl's treasury dataset ("USTREASURY/YIELD"), but I'm not sure how to add it into an existing bundle (make up an equity sid for it and re-ingest?) I've also seen using ETFs that track the rate, but want to have the rate itself, not the price of the tracking ETF (though, actually I may want both). Does anyone have an example or suggestion?
calmitchell617
@calmitchell617
Hi everyone, I am just getting started with Zipline and wanted to introduce myself. My summer internship will involve lots of Zipline usage, and it would be great to contribute to the community somehow
Erik Kastman
@kastman
@calmitchell617 I'm not sure if this will be enough for you to re-implement it, but the notebook @ssanderson created (post #2) when the optimize API was first introduced explains what they're doing pretty well: https://www.quantopian.com/posts/optimize-api-generally-available