Zipline APIs for Backtesting, Orders, Controls, and Pipeline Factors

# api reference


.. _api-reference:

API
===

Running a Backtest
------------------

The function :func:`~zipline.run_algorithm` creates an instance of
:class:`~zipline.algorithm.TradingAlgorithm` that represents a
trading strategy and parameters to execute the strategy.

.. autofunction:: zipline.run_algorithm(...)

Trading 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 refers to 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 ensure that the algorithm
performs as expected. The functions help protect the algorithm from
undesirable consequences of unintended behavior,
especially 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
--------

A `blotter <https://www.investopedia.com/terms/b/blotter.asp>`_ documents trades and their details over a period of time, typically one trading day. Trade details include
such things as the time, price, order size, and whether it was a buy or sell order. It is is usually created by a
trading software that records the trades made through a data feed.

.. autoclass:: zipline.finance.blotter.blotter.Blotter
   :members:

.. autoclass:: zipline.finance.blotter.SimulationBlotter
   :members:

.. _pipeline-api:

Pipeline API
------------

A :class:`~zipline.pipeline.Pipeline` enables faster and more memory-efficient execution by optimizing the computation
of factors during a backtest.

.. 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
````````````````

Factors aim to transform the input data in a way that extracts a signal on which the algorithm can trade.

.. 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
```````````````

Computation engines for executing a :class:`~zipline.pipeline.Pipeline` define the core computation algorithms.

The primary entrypoint is SimplePipelineEngine.run_pipeline, which
implements the following algorithm for executing pipelines:

1. Determine the domain of the pipeline.

2. Build a dependency graph of all terms in `pipeline`, with
   information about how many extra rows each term needs from its
   inputs.

3. Combine the domain computed in (2) with our AssetFinder to produce
   a "lifetimes matrix". The lifetimes matrix is a DataFrame of
   booleans whose labels are dates x assets. Each entry corresponds
   to a (date, asset) pair and indicates whether the asset in
   question was tradable on the date in question.

4. Produce a "workspace" dictionary with cached or otherwise pre-computed
   terms.

5. Topologically sort the graph constructed in (1) to produce an
   execution order for any terms that were not pre-populated.

6. Iterate over the terms in the order computed in (5). For each term:

   a. Fetch the term's inputs from the workspace.

   b. Compute each term and store the results in the workspace.

   c. Remove the results from the workspace if their are no longer needed to reduce memory use during execution.

7. Extract the pipeline's outputs from the workspace and convert them
   into "narrow" format, with output labels dictated by the Pipeline's
   screen.

.. 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
````````````

There are several loaders to feed data to a :class:`~zipline.pipeline.Pipeline` that need to implement the interface
defined by the :class:`~zipline.pipeline.loaders.base.PipelineLoader`.

.. autoclass:: zipline.pipeline.loaders.base.PipelineLoader
   :members: __init__, load_adjusted_array, currency_aware
   :member-order: bysource

.. autoclass:: zipline.pipeline.loaders.frame.DataFrameLoader
   :members: __init__, format_adjustments, load_adjusted_array
   :member-order: bysource

.. autoclass:: zipline.pipeline.loaders.equity_pricing_loader.EquityPricingLoader
   :members: __init__, load_adjusted_array
   :member-order: bysource

.. autoclass:: zipline.pipeline.loaders.equity_pricing_loader.USEquityPricingLoader

.. autoclass:: zipline.pipeline.loaders.events.EventsLoader
   :members: __init__

.. autoclass:: zipline.pipeline.loaders.earnings_estimates.EarningsEstimatesLoader
   :members: __init__


Exchange and Asset Metadata
---------------------------

.. autoclass:: zipline.assets.ExchangeInfo
   :members:

.. autoclass:: zipline.assets.Asset
   :members:

.. autoclass:: zipline.assets.Equity
   :members:

.. autoclass:: zipline.assets.Future
   :members:

.. autoclass:: zipline.assets.AssetConvertible
   :members:


Trading Calendar API
--------------------

The events that generate the timeline of the algorithm execution adhere to a
given :class:`~zipline.utils.calendars.TradingCalendar`.

.. 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