Zipline 1.1.1: Futures Support and Backtesting Infrastructure Changes
Summary
This release note describes Zipline changes relevant to building and running quantitative backtests. The main development is broader futures support alongside equities, including futures slippage and commission models, configurable continuous-futures adjustments, and improved handling of futures calendars and price precision. It also adds pipeline capabilities such as chunked execution, static asset filters, and relabelable classifiers.
The release documents a benchmark-data provider change after Yahoo altered its API, with Google Finance references replacing deprecated Yahoo code. It also lists fixes for minute-bar arithmetic, timestamp ordering, cost basis, and forward-filled close-price performance. These are software and data-pipeline improvements rather than evidence about trading-strategy profitability. The notes give no comparative benchmarks or strategy results, and the futures support is described as preliminary in some areas; users should treat the release as a summary of implementation changes, not an evaluation of trading performance.
Key ideas
- Zipline 1.1.1 expands support for futures alongside equities.
- Futures trading simulations gain slippage and commission models, with some support identified as preliminary.
- Pipeline processing gains chunked runs, static asset filters, and classifier relabeling.
- Benchmark data references move from Yahoo to Google Finance after Yahoo changed its API.
- The release lists data, calendar, rounding, and performance fixes but provides no strategy-performance evidence.
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Full text
# 1.1.1 Release 1.1.1 ------------- :Release: 1.1.1 :Date: July 5, 2017 Highlights ~~~~~~~~~~ Zipline now has broad support for futures, in addition to equities. It's also being tested and packaged for Python 3.5. We also saw breaking changes occur from Yahoo changing their API endpoint, thus preventing users from downloading benchmark data needed for backtests. Since that change, we have swapped out Yahoo-related benchmarking code with references to Google Finance and have removed all deprecated Yahoo code, including the usage of custom Yahoo bundles. Enhancements ~~~~~~~~~~~~ - Adds a property for BarData to know about current session's minutes (:issue:`1713`) - Adds a better error message for non-existent root symbols (:issue:`1715:`) - Adds ``StaticSids`` Pipeline Filter (:issue:`1717`) - Allows ``zipline.data.data_portal.DataPortal.get_spot_value`` to accept multiple assets (:issue:`1719`) - Adds ``ContinuousFuture`` to ``lookup_generic`` (:issue:`1718`) - Adds CFE Adhoc Holidays to ``exchange_calendar_cfe`` (:issue:`1698`) - Allows overriding of order amount rounding (:issue:`1722`) - Makes continuous future adjustment style an argument (:issue:`1726`) - Adds preliminary support for Futures slippage and commission models (:issue:`1738`) - Fix a bug in cost basis calculation and change all mentions of ``sid`` to ``asset`` (:issue:`1757`) - Add slippage and commission models for futures (:issue:`1748`) - Use Python 3.5 in our Dockerfile (:issue:`1806`) - Allow pipelines to be run in chunks (:issue:`1811`) - Adds `get_range` to `BenchmarkSource` (:issue:`1815`) - Adds support for relabeling classifiers in Pipeline (:issue:`1833`) Experimental Features ~~~~~~~~~~~~~~~~~~~~~ .. warning:: Experimental features are subject to change. None Bug Fixes ~~~~~~~~~ - Fixes a floating point division issue in ``zipline.data.minute_bars`` by using integer divison instead (:issue:`1683`) - Sorts data in ``zipline.pipeline.loaders.blaze.core`` on ``asof_date`` to resolve timestamp conflicts (:issue:`1710`) - Swapped out Yahoo for Google Finance benchmark data (:issue:`1812`) - Gold and silver futures contracts only traded during certain months (:issue:`1779`) - Fixes bug in TradingCalendar initialization when we use tzaware datetimes (:issue:`1802`) - Fixes precision issues on futures prices when rounding (:issue:`1788`) Performance ~~~~~~~~~~~ - Avoid repeated recursive calls when getting forward-filled close price (:issue:`1735`) Maintenance and Refactorings ~~~~~~~~~~~~~~~~~~~~~~~~~~~~ - Adds linter recommendations to adjustments module (:issue:`1712`) - Clears up naming and logic in resample close (:issue:`1728`) - Use March quarterly cycle for several continuous futures (:issue:`1762`) - Use better repr for Transaction objects (:issue:`1746`) - Shorten repr for Asset objects (:issue:`1786`) - Removes usage of empyrical's information ratio (:issue:`1854`) Build ~~~~~ - Adds Python 3.5 packages (:issue:`1701`) - Swap conda-build arguments so we don't build packages on every CI build (:issue:`1813`) Documentation ~~~~~~~~~~~~~ - Adds Zipline Development Guidelines, for people to read about how to contribute to zipline (:issue:`1820`) - Show exchange as required for equities (:issue:`1731`) - Updates the Zipline Beginner Tutorial notebook (:issue:`1707`) - Includes PipelineEngine, pipeline Term, Factors, and other pipeline things to docs (:issue:`1826`) Miscellaneous ~~~~~~~~~~~~~ - Use csv market data with ``run_algorithm`` so we don't try to download data for tests (:issue:`1793`) - Updates Dockerfile to use Python 3.5
Shown in full with attribution under the source's licence. Licence: Apache-2.0
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.