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changelog.txt
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1.9.63.122
- Add optimization callbacks when running with 1 Core
- Correct sell_bracket by removing old append code
- Correct typo in store.py
- Pass period from RateOfChange100 to underlying ROC
1.9.62.122
- Correct PSAR acceleration capping
- Enable PandasData line extension without the need to extend datafields
1.9.61.122
- Add `_skipnan` to plotlines to allow joining two points with a line
- buy_bracket/sell_bracket allow suppressing stop/limit orders
- Add stop-loss approaches sample
- Correct codes for minutes compression
1.9.60.122
- Remove unused files
- README update, Docstring corrections, documentation corrections
- Update travis settings
1.9.58.122
- Provide default fundmode methods for all brokers
- Correct order notification if positions exist when starting the broker
and will be simulated
- Correct csv values output if object has no length
1.9.57.122
- PR #326 Fix set_fundmode in bbroker
- Synchronize fund history mode with master clock
- Allow relocation of legend in plotting charts
- Adapt broker observer to fund mode
1.9.56.122
- Handle volume as string null in YahooFinanceData
- Corrections/Improvements to order history support
- Add fund history support
- Increase plotting margin of trade observers
1.9.55.122
- Add addorder_history support to replay history of orders
- Add swapcloses to YahooFinanceXXX family to allow end users to control what
the adjusted price actually is
- Some docs and samples updates
- Change default for _nextforce to False as it should be for most indicators
1.9.54.122
- Add haDelta indicator
- Allow indicators to disable runonce
- Add Renko bricks
- Rework ix -> iloc pull request and autodetection algorithm in PandasData
1.9.53.121
- Fix #323 by providing default properties/methods for fundvalue/fundshares
for all brokers
1.9.52.121
- Redownload the YahooFinance sample data yhoo-1996-2015
- Add unstable exception for TALIB SAR
- Add notes about usage of Hurst exponent and lag_start/lag_end parameters
to override default lag values
- Fix #321 by correcting typo in Writer.writelines
- Add _start/start methods to Observers
- Add fund tracking mode to the observers
- Add new observers FundValue/FundShares
- Adapt observers to fundmode: Value, TimeReturn, LogReturns, DrawDown,
Benchmark
- Adapt analyzers to fundmode: DrawDown, Leverage, LogReturnsRolling,
PeriodStats, LogReturns, Sharpe, TimeReturn, VWR
- PR #319 for Pandas .ix deprecation (rewritten)
1.9.51.121
- Fix PSAR calculations for resampled/replayed streams
- Sample for psar with intraday resampling 5 -> 15 minutes
- Set the environment of a backfill_from data in master ibdata
- Add dnames to the strategy documentation
- Allow plotmaster to point to itself
- Add plotylimited option to control vertical scaling locking on data plots
- Add (semi)logarithmic plotlog control to plotinfo
- Simplify live status detection for IB to allow optimization
- Keep the observer cycles always synchronized with the strategy cycles
regardless of running mode
- Correct arguments for top level cerebro callback for data notifications
- Add HeikinAshi candles indicator (plotted as lines)
- Add HeikinAshi as filter to directly modify the data
- Plot only last close value if lineonclose is plotted and correct high
printout
- Add PR #320 with indicators AwesomeOscillator,
AccelerationDecelerationOscillator, RelativeMomentumIndex
- Doc corrections and additions, including PR #319
- PR #315 with rewrite to generalize setting the backend
1.9.50.117
- Add TrueStrengthIndicator
- Port YahooDownload tool to v7 API
- rewrite tool py3 bytes/str compatibility during write
- Support internal re-fetching of linetokens in csv based datas
- Support Yahoo skipping of lines with null values
- New adaptations to Yahoo new format for adjusted prices
- Update of data samples in Yahoo format
- Update of documents and samples to make use of YahooFinanceCSVData
consistent with chosen data sample
1.9.49.116
- Add support for new Yahoo v7 api
- Quandl: Allow dataset specification, apikey correction and cosmetics
1.9.48.116
- Quandl Data Feed Online/Offline (at least for WIKI EOD)
- Online: bt.feeds.Quandl
- Offline: bt.feeds.QuandlCSV
- Add studies category for indicators that draw in the past
(study events in past price movements)
- PR #307 Fractal study added to studies/contributions
- PR #304 Timer corrections for weekdays filter
- Docs corrections and typos
1.9.47.116
- Add PR #303 with hook support for btrun
- Fix regression introduced with trading calendars for replaying
- Avoid a DivisionByZeroError in SharpeRatio if not enough returns for the
calculation
1.9.46.116
- Finish timers implementation and documentation
- Add timers samples and cheat-on-open sample
- Add a List class to check for containment with __contains__ rather than
standard list is or __eq__
1.9.45.116
- Fix #302 to plot resampled data with non aligned end of sessions
- PR #297 to save figures to files (refactored to save multiple strategies
and multiple figures)
- Ensure a data feed has always a non-empty _name if possible
- Alias getcash/getvalue to get_cash/get_value in broker subclasses if the
latter are missing
- PR #300 Set tools as executables
- PR #301 Metatrader4 csv format
- Documentation updates
1.9.44.116
- Timer calls implementation
- Broker support for cheat-on-open
- Add cheat_on_open to cerebro to allow next_open
- Finish trading calendar resampling for weeks
- Support Yahoo download over proxies
- Doc corrections/additions
- Support quick broker notifications
1.9.43.116
- Oanda support for bracket orders
- Oanda support for stop trailing order
- Filling in plotting support numeric values and control of alpha blending
- Documentation updates (filling, addobservermulti)
- Fix wrong calling of sizer with fixed isbuy=True after refactoring for
mixing of buy/sell and order_target_xxx
1.9.42.116
- Add tradingcalendar
- Add tz support for strategies
- Docs updates
- Add multi/tradingcalendar samples
- Add div/floordiv operations to lines
- Return data references in all cerebro methods adding data stream
1.9.41.116
- Keep processing orders after create in OandaStore after change to process
new messages
- Manage CFDs also as cash data in rqtMktData
1.9.40.116
- Fix #295 by only managing tf and cp if resample/replay have been specified
- Correct expire and cancel in OandaStore
- Correct BollingerBands to use the chosen movav for the StdDev calcs
- Ensure parameters wit plotinfo and no plotname get a name granted
1.9.39.116
- Fix #294 which break plotting by plotting with no indicators/observers
1.9.38.116
- Plotting control options for last value in legend and right hand side
tag
- Documentation improvements
- Support numeric timestamps in CSVGenericData
1.9.37.116
- Add new samples (OCO, StopTrail/Limit, LRSI, partial-plot, psar,
future-spot)
- Add Bracket order support
- Bracket order for IB and adapted sample
- Correct cancel order message reception in OandaStore
- Cosmectic changes to quickstart examples
- Document bracket, stoptrail/limit, oco, partial-plotting, same axis
plotting, future-vs-spot
1.9.36.116
- StopTrail/StopTrailLimit/Oco for Interactive Brokers
- PR #290 for child OCO orders
- Oco and other generic parameters passed transparently from any order
generating method (ex: order_target_size) down to buy and sell
- Correct pricelimit parameter in ib
- Use strategy datetime instead of data0 and ensure a complete header in
Positions analyzer
1.9.35.116
- Catch limit/stop order creation earlier in Oanda Store
- StopTrail/StopTrailLimit orders for backtesting
1.9.34.116
- Docs updates
- OCO implementation for backtesting
1.9.33.116
- Make sure sizer is only used if size is not None (default)
- Doc corrections
- Improve legend presentation in sameaxis mode
1.9.32.116
- Added Calmar, TimeDrawDown and PeriodStats analyzers
- Reach data by names as dict or dot notation
- Allow one asset to compensate the positions of another
- Add more python versions to Travis PR #276
- Support plotting datas on same y-axis
- Update sample in contrib pair trading PR #273
- PR #274 number of tranches to FixedSize Sizer and add FixedSizeTarget
- Close #280 exception when get pyfolio analyzer agaist multiple data
- Close #277 (inc PR #277) by entering re-calculation of xstart and xend
plotting indices
1.9.31.116
- Add Indicator HurstExponent (requires numpy)
- Allow plotting specific date ranges with start and end named arguments
to plot
- Address #269 missing last bar backfill_from
- Fix typo (#271) in frompackages import for InfluxDB feed
- Add OLS_Slope_InterceptN, OLS_BetaN, OLS_TransformationN and Coint
- Ensure broker has prices even if tick_xxx is not defined
1.9.30.111
- Add LaguerreRSI PR #265
- Add LaguerreFilter PR #267
- Doc maintenance (also PR #266)
- Add ParabolicSAR
- Add InfluxDB Data feed (PR #257) and Import Tool (#PR268)
- Add auto-pytz code from IBData to generic feeds to allow passing strings
Address #262
- Add support for packages and frompackages
- Finish import of new sizers
- Fix #263 - Refresh resample-tickdata to specify timeframe
- Store module name and not module in talib autogenerated wrapper class
- pyfolio api change note
1.9.29.108
- Correct csvgeneric import
1.9.28.108
- Set eos time from param.sessionend in csv timeframes
- Improve support for timeframe/compression in btrun
- Add ApplyN indicator (and base for it and variants BaseApplyN)
- Add PercentSizer and AllInSizer
- Add DV2 Indicator
- Add PercentRank Indicator
1.9.27.105
- Patch CST timezone name to CST6CDT
- Support automatic argument wrapping as line objects in CrossOver
- Initialize attributes before rejection can happen in OandaData
- Stop considering clones to decide if live feeds have to wait or not to
avoid cpu hogging
- Use _mindatas to decide how many from the parent datas to pass if none
is specified by the user
- Some doc corrections
1.9.26.105
- Adapt order_target_value to short cash semantics in broker
- Several refinements to resampling to deliver synchronized bars on end of
session
- Add exceptions and strategy skip exception
- IBData - Deactivate code for faster downloads during absence of live data
to avoid breaking reconnection code
- Allow selective order based skipping of coc
1.9.25.105
- Close #244 by giving feeds the chance to finish initialization by
themselves, ensuring proper initialization and allowing early data
download (merged and refactored PR #245)
- Add support for live data detection and dynamic queue check
timeouts to avoid pausing on historical traversal when other feeds
are live
- Add PR #242 DrawDown length observer
- Assimilate PR #240 into cash asset
- Fixes #239 by providing empty values if the data or indicator has
not produced a value yet
- New DrawDown Analyzer and refactoring of DrawDown observer
- Closes #235 by updating PivotPoint Family to make plotting work under new
sync scheme and automate self-coupling
- Some usual documentation updates / typo corrections
- Minor corrections/improvements
- Address #243 by sorting (timeframe, compression) data feeds internally to
avoid forcing users to pass smaller timeframes first
- Add end-of-session calculation, including adding end-of-session to daily
data from IB
1.9.24.105
- Complete TimeFrameAnalyzerBase with a call to _nextstart and children
- Improve 1st comparison point of benchmark
- Documentation updates / samples clean-up
- IBData feed timezone and backfill gap corrections
- Initial support for CFD products (untested) to request BID and not TRADES
- Ensure initialization of backfill_from data feeds
1.9.23.105
- Benchmark observer will observer after the strategy has reached its
minimum period
- Refactoring of TimeFrameAnalyzerBase
- Ensure NoTimeFrame name is always returned rightly
- Documentation updates
- btrun will only load data feeds if they can be imported
1.9.22.105
- Improve unleveraged value by not unleveraging profit and loss
- Doc edits from PR #223, #224
- Correct refactoring leftover for backfill_from for IBData and OandaData
- Extend btfd sample with logs
- Add ZeroDivisionError to SharpeRatio
- Add automargin to commission info schemes
1.9.21.105
- Closes #230 by closing the pool on completion rather than waiting for
garbage collection
- Default to show unleveraged value and allow retrieval of leveraged
value
- Update btfd sample to updated leveraged value
- Improve order value reporting with leverage
- Correct dataseries TimeFrame name presentation in writers
- Doc updates
1.9.20.105
- Added pair-trading sample from @remroc: PR #223, #224, #225
- Some documentation updates
- Leverage support
- Closes #227 numfigs type=int in arg parsing
- Correct no-plotting of datas
- Correct pandasdata integer addressing issue
- Correct time comparison when running with runonce=True
- Update SessionFiller to more stringent standards in modern versions
1.9.19.105
- Add time comparison for single line operations
- Correct plotting error calculations with volume and improve data on data
- Remove cosmetic comma
1.9.18.105
- PR #221 Correct onda candleFormat parameter
- Allow data on data plotting and no data plotting
- Remove double labeling on indicators
- Analyzer LogReturnsRolling
- Observer LogReturns
- Improved order management of input for validity
- Set default end date for online downloads in Yahoo if not set
- Gold vs SP500 Sample
1.9.17.105
- PR #195 make runstrats iterable to allow callbacks
- Fixes #189 by adding callback during optimization
- Fixes #205 to avoid errors during unnamed argument usage in strategy
- Regression correction for no short-cashing
1.9.16.105:
- PR #212 added Vortex indicator
- Closed #215 writer opens file in binary mode
- Closed #210 missing comma in status definitions lists in feed
- PR #203 python3 compatiblity for ib (long)
- Added shortcash parameter to broker to control cash increase/decrease
1.9.15.104:
- PR #202 to fix import in ibdata
- PR #196, #198 - doc updates
- PR #199 delegate notifications in Chainer Data Feed
- PercentChange indicator request from #192
- %B BollingerBands from #190
- Check bar time before market type execution #190
1.9.14.102:
- Pull Request #187 to improve SQN and test
- Update some samples
- Refactor new KST - Closes #183
- Closes #163 adding interest as commission to correct calculate PNL
- Improve SignalStrategy overriden methods to avoid impacting user subclasses
- Closes #168 - Fetching open orders
- #173 short-circuit calculation sqn in case of no trades
- strategy selection sample
1.9.13.102:
- Closes #179 Ichimoku indicator
- Plotting allows now filling areas and showing the indicator name even with
plotlinelabels active
- Use _minperiod in linebuffer.qbuffer for maxlen rather than default 1
- Closes #169 - Correct DaySteps filter
- Add ROC100 indicator
- Add KnowSureThing indicator
1.9.12.99:
- Improve cheat-on-close to provide exact match price even during replay
- Allow offsetting resampling bar set by timeframe/compression units
1.9.11.99:
- Separate resampling from replaying for synchronization purposes
- Modernize sample to better check #169
1.9.10.99
- Further use cases coverage for new synchronizatio method and
resample/replay
- PR #173 - SharpeRatio returns None if it cannot be calculated
- PR #173 - SQN returns 0 (instead of raising exception) if no trades have
been made
- Cover replay case for cheat-on-close
- Extra analyzers in VWR Sample and modernized PivotPoint sample
- Reworked of plotting for datas of different length by matching date indexes
- Removed old mlen accounting for plotting different timeframes
- #172 cover extra unwinding of linebuffer and add extra size to qbuffer
1.9.9.99
- Correct RSI_EMA, RSI_SMA subclassing
- Add cheat-on-close to the broker
- Correct own operation bug directly on lines (was fine on line
actions/operations)
- Add support for __neg__ operator (-) to lines
- Adresses #170 by forcing a bool as return
- Extend signal trigger detection to inverse and any values
- Support for embedding in a line non-line types
- Closes #171. Make safepow the default
- Use DataTrades only if several datas are in place
1.9.8.99
- Workaround IbPy not converting bytes by passing strings in Python3
- safepow parameter for StandardDeviation
1.9.7.99
- Closes #156 by adding LinePlotterIndicator
- Closes #154 by providing hollow candlesticks
- Ensure unique name for analyzers to get all printed out by writers
- Fix installation instructions for plotting
1.9.6.99:
- Allow defining the datetime format string for the x axis and data points.
Closes #148
- Rework plotting to account for datas with different lengths and work with
auto locators/formatters
- Improve signals to handle multiple datas and wrap LineIterators (Indicators)
- Use excess returns for the standard deviation in Sharpe Ratio
1.9.5.99
- Improve data synchronization behavior
- Make new DataTrades synchronize to strategy
- Correct TimeFrameAnalyzerBase to synchronize with strategy
1.9.4.99
- Add DataTrades Observer to plot the trades of multiple datas independently
- Make this observer the default in cerebro (old behavior via oldtrades=True)
1.9.3.99:
- copyas method in data feeds to let a clone data be seen differently in the
broker
- Count trades on strategy basis and not main data basis
- Add RQAlpha link
- Fixes #153 by closing file descriptors after preloading
1.9.2.99:
- Correct plotting for multi strategy approach
- Make Crossover plot like any other indicator
1.9.1.99:
- Automatic inline plotting if running inside a notebook
- Correct new plotting code for Python 3
1.8.14.99:
- README Updates
- Improvements to generic Store management and VChartfile
- Addresses time underflow/overflow in #143
1.8.13.99:
- Set annualization factor for days to 252 in SharpeRatio to match the value
most used in the literature
- Add Returns analyzer
- Closes #137 Added VWR (VariabilityWeightedReturn) analyzer
- Fixes #141. optreturn must only be applied when optimizing
- Correct getting default value for ptfimeframe in pyfolio2 sample. Fixes #142
1.8.12.99:
- Rework SharpeRatio, add annualization and add SharpeRatio_A with default
annualization
- Improve data / results message passing during optimization
- Some documentation improvements/corrections
1.8.11.99:
- Add rounding control to YahooFinanceCSVData and update docs. Closes #138
- Sharpe Ratio external testing sample. Addresses #137
- order_target_api, sample and cos. Closes #134
1.8.10.99:
- Added Any, All, Reduce, function replacements
- Added AnyN, AllN, ReduceN indicators
- Aliased Highest -> MaxN, Lowest -> MinN
- Added VChartfile Store and Feed improving over existing feed
implementing the store pattern and fetching the basepath location
from the registry if possible
- Some docs improvements/corrections
- Add a generic Store to let stores subclass
- Add a Chainer, RollOver data feed and sample
- Add shortcuts for some subpackages: indicators -> ind, observers -> obs
strategies -> strats, commissions -> comms
- Add framework for analyzer testing and tests for 2 analyzers: SQN,
TimeReturn
1.8.9.96:
- Finalize Oanda integration
- Allow simulated orders (meant to fetch initial positions from live brokers)
1.8.8.96:
- Add support for credit interest rate (#125), with update of docs, sample,
support in broker and btrun
- urlencode tickers for yahoo downloads (feed and tool)
1.8.7.96:
- Added indicators (3): Hull MA, ZeroLag Indicator, Dickson MA
- Added control of object cache to cerebro (default deactivated)
- Refactored the support for "next" only indicators
- Typos and Docs updates (also from pull-requests)
1.8.6.93:
- Refactor bt.signals to bt.signal (keeping compatibility for prev uses)
- Improve writer to write non-string lists and fetch headers after anylzers
- Add base bt.Signal strategy class for easier subclassing
- Update btrun to support signals/slippage/flushing, update feeds and minors
- Correct writer collections of analyzers parameters
- Correct reverse overloaded operations in stage2
- Some docs/docstrings corrections
1.8.5.93:
- Slippage implementation in broker, documented and with sample
- Refactoring/File Reordering of broker and volume fillers
- Documentation updates/corrections/cleanup
- Merge #120
1.8.4.93:
- Filters documentation and reference
- Add pinkfish ohl + o filter
- Some filter refactoring
- README Updates
1.8.3.93:
- Refactoring of pyfolio and children analyzers following #116 to try to
support future intraday support in *pyfolio*
- Allow adding a specific signal strategy subclass to cerebro
- Refactor SignalStrategy to ease up subclassing
1.8.2.93:
- #106 Oanda Data Feed
- Adding _dataname to always be able to identify a data by symbol, including
*resampled/replayed*
- Address #115 resampling of same ibdata which was losing timezone information
in cloning
- Display raw datetime information in ibtest. For same data resample topic
in #115
1.8.1.93:
- Addresses #115 - improvement in ib multiple data handling
- Improvements in vcdata multiple data handling
1.8.0.93:
- Added signals api
- Correct value calculation for shorted stocks
- Add a symbolic margin to commissioninfo if not specified
- Remove line amonst marker in Trades observers
1.7.2.93:
- Added getsize to CommissionInfo API to allow, for example, a sizer to
calculate the size of a trade using percentages
- Add __btversion__ which is a tuple of ints for easy version comparison
- Add macd-settings sample
1.7.1.93:
- Pinkfish challange sample
- Add stash to feeds to allow filtered output to be resent to filters
- Restore deprecated setsizing method in FixedSize sizer for old quickstart
guide
- Rework quickstart tutorial and samples to use addsizer and deprecate
setsizing
- Allow BuySell observer to plot above / below high / low for clarity,
especially when plotting ohlc/candles bars
- Add support for observer orders during replay
- Improve Close order execution logic
- Fix microsecond precision errors in end of session calculations in order
and feed
- Docstrings cosmetic changes
1.7.0.93:
- Changes to support separate auto-documentation for a branch of an object
hierarchy
- ta-lib integration: Closes #53
- ta-lib documentation
- Improve sizers internal interface by having a strategy attribute, which
can be used before resorting to the broker
- observer and benchmarking documentation update
1.6.4.93:
- Reworked and published sizers interface (addresses #104) with changes
in cerebro and Strategy
- Observers documentation
- Refactor timereturn analyzer logic for better readability
1.6.3.93:
- Correct lastvalue update in TimeReturn
- Closes #111 by annualizing the returns if the rate is not downgraded
1.6.2.93:
- Closes #89 by adding benchmarking to TimeReturn and new observers
TimeReturn/Benchmark (sample included)
- Analyzers can be embedded in observers to share functionality
- Added TimeFrame.NoTimeFrame
- ibpy imported in readthedocs for IBStore/IBBroker/IBData doc generation
1.6.1.93:
- Closes #108 - Plotting documentation
- Some updates to analyzer docs
- Further refactoring/improvements/corrections to the analyzers
1.6.0.93:
- Pyfolio integration
- Refactoring/reorganization of analyzers
1.5.3.93:
- Correct filler implementation in the broker to consider order side for the
value returned from a filler
- Extend volumefilling sample to cover sell and repetition scenarios
1.5.2.93
- Added support for volume filling strategies in the broker
- Added 3 volume fillers: FixedSize, FixedBarPerc, BarPointPerc
- Added broker and fillers to the docs
- Added TimeReturn to the Analyzers reference
- Added DaySteps filter and sample to downsample a day bar in open + rest
1.5.1.93
- UltimateOscillator added. Requested with ticket #103
- VisualChart Live Data Feed/Trading integration
- Add YahooFinanceData (online) to formats supported by btrun
1.5.0.92
- InteractiveBroker Live Data Feed/Broker
- Rework of many internals to support live feeds
- DateTime Management (timezones) support added
- Extra Rework of Resampler/Replayer to support live feeds and earliest
possible bar delivery
1.3.3.92
- Fixes #99 by conditionally importing ib modules
1.3.2.92
- safediv added to Stochastic from Pull Request #97
- Initial integration fo ib feed/broker. Can operate but it is not yet fully
ocmplete
- Comprehensive ib testing sample
- Added "store" and "data" notifications to cerebro and strategy for the
integration of live feeds
- Internal datetime clarifications
- Fixes #94 removing leftover decode('utf-8') after removing 'b' from 'rb'
when opening csv files
- Fix bug in strategy.close and add plimit support to it
- Some documentation updates
1.3.1.92
- Memory saving schemes (exactbars parameter to cerebro) full implemented
- Add mixing-timeframes to the docs
- Add memory-savings to the docs
- Cosmetic corrections to data-resampling sample
1.3.0.92
- Address #84 #86 by implemting a LinesCoupler lines object which fills longer
timeframe lines with shorter timeframes
- Add sample for LinesCoupler
- New links for readthedocs io domain
- Detection Improvement for objects supported by writers
1.2.9.92
- Add 3 new indicators (from #81): PivotPoint, FibonacciPivotPoint,
DemarkPivotPoint
- Add new function CmpEx
- Change plotinit to the intial stages of plotting
- Add plotinfo information to any LineSeries objects
- Implement LineActions Cache
- Implement Indicator Cache
- Cover resampling across midnight border #81
- Correct error in docs (concepts) #82
- Addresses #82 by only advancing indicators in runonce mode if the clock
has overtaken it
- Addresses #82 by having LinesOperations define and internal clock which
may not be the owner
1.2.8.88
- WeekDaysFiller sample for #76
- Implement new memory saving schemes. Addresses #74
- Additions/Refactoring to the intenal api offered to filters and internal
utils objects and removal of leftover prints
- Refactoring of replay/resample filters
- Some testing refactoring
- Support for cross-plotting across datas of different timeframes
- PivotPoint sample for #81
1.2.7.88
- Correct resampling/replaying behavior for calculating the delivery with
configured compression fator for timeframes ticks and days or larger.
Addresses #47, #77, #78
- Adapt resample/replay tests to improved resampling/replaying code which
delivers the bar 1 tick earlier
- Sample for bidask data to OHLC. Closes #78
1.2.6.88
- Fix broken data-multitimeframe sample
- Address #72 by improving _getsizing method which not also takes data as
parameter
- Fixes #77 by correctly calculating when the current session ends for the
last bar (when next session data is already in)
1.2.5.88
- Fixes #67 by having the Buy Sell Observer be displayed for all datas in the
system
- Improve support of live data feed resampling/replaying. Addresses comments
in #69 and #44
- Support safe division by zero RSI calculations. Closes #68
- Fixes #71. Single Lines (LineOperations in this case) don't get added to
the indicator mix for writers
1.2.4.88
- Improved detection in cerebro.resampledata of existing datas before cloning
- Added detection in cerebro.replaydata of existing datas before cloning
1.2.3.88:
- Add samples following 'Close' order corrections/improvements for
testing. Addresses #62
- Improve 'Close' execution support and correct conflicting behavior
with method checksubmit. Addresses #62
- Correct method close of strategy by using kwargs which was not
taking into account the existence of a plimit parameter in methods
buy/sell and would pass the execution type as plimit
- PandasData extension sample and data supporting discussion in
ticket #65
- If datas have been passed to cerebro, ensure cerebro has a
strategy to run against (which can get indicators, analyzers,
observers and other through the appropriate interface)
- Addresses #64 by auto-cloning datas in resampledata if the data
was already in the system
- Return a list in case cerebro.run is not run due to missing datas
1.2.2.88:
- Update of bidask sample
- SessionFiller correction to avoid moving the evaluated bar too early into
the stack and avoid the previous session to fill into new session
1.2.1.88:
- Remove old DataReplayer/DataResampler and cerebro resampledata_old and
replaydata_old which were using them
- Adapt docs and test to remove DataReplayer/DataResampler and document the
newer interfaces
- Add ``linesoverride`` parameter to enable redefining the lines of an object
at any stage. Allows removing OHLC default support
- Generalized GenericCSV to use the defined line aliases
- Generalized tick assignment to use the defined line aliases
1.1.27.88
- Closes #61 by checking datamaster against None to prevent operator
overloading to evaluate the object as False because line 0, contains a value
of 0 at index 0
1.1.26.88
- Closes #49 by setting the matplotlib backend to "tkagg" to avoid using other
non-tested backends
- io.StringIO instead of internally imported one from py3
- CSVDataBase unicode/bytes unification and also for YahooFinanceData feed
- yahoodownlaod tool bytes/unicode clarification and urlopen bug correction
1.1.25.88
- Fixes #55 and improves management of CSV subclasses opening a file from
other sources
- Sample which tests yahoo online downloading
1.1.24.88
- Fixes #51 - a trade may reopen a position but close a trade if overlapping
(different tradeid) trades are active
- Address Pull Request #52 by adding Py 2/3 MAXINT compatible "constant" which
is imported into TradeAnalyzer and used instead of sys.maxint
- Fixes #50 by correcting open/popen typo in StopLimit order
1.1.23.88
- Fixes #46 by adding a default of total.total = 0 to indicate that no trades
were executed and therefore no statistics
- Fixes #46 by adding a default of total.total = 0 to indicate that no trades
were executed and therefore no statistics
- CalendarDays filter implementation and added sample
- Removed gitter from README
1.1.22.88
- Filters moved to submodule filters
- Full docstring update for CommInfoBase
- Small improvements to internal AutoDict/AutoOrdereDict
- Implementation of Trade history log (#40)
- Added __bool__, __nonzero__ to Position for position testing
- Orders support miscellaneous information from end-users (#42)
- Trades get unique identifier and datetime for opening/closing time (#42, #43)
- Corrected typo in iteritems (#38)
1.1.21.88
- Addition of keys, values, items to py2/3 compatibility layer
- Add getdatanames to strategy
- Strategy.buy/sell/close take data or name as key for operation
- Close #37 pannotated typo in "atclose" order type in broker
- Close #35 adding getpositionbyname, getpositionsbyname, getpositions and the
associated properties without "get"
1.1.20.88
- #33 correction of typo added during correction of #33
- Added getdatabyname and string_types check in buy/sell/close to retrieve
datas in Strategy
1.1.19.88
- Fixes #33 by properly adjusting the cash for existing open futures (added
long comment to explain the logic)
- TimeReturn analyzer added. Can calculate returns for all timeframes
- SharpeRatio updated to use TimeReturn including automatic adjustment of
the (annual) riskfreerate for timeframes days, weeks, months. It can still
use the legacy AnnualReturn analyzer
- CommInfoBase added as root of all commission schemes to make commission
schemes more flexible by not tying margin to commission type deduction
- Added 4 CommInfoBase derived classes with standard commission schemes
- Extended broker.setcommission call with parameters to work with the new
CommInfoBase
- Implemented the legacy CommissionInfo as a subclass of CommInfoBase, fully
retaining the existing behavior
- Some in-code documentation updates
1.1.18.88
- Fixes #31 - Packaging issue under Python 3.x introduced in 1.1.17.88
1.1.17.88
- #29 extend commissions to support additional schemes
- #27 convert iterable in pandas datasource to list before checking len
- Packaging reordering to suppor introduction of dependencies
1.1.16.88
- Correct missing super in start some Data Feeds. Closes #27
1.1.15.88
- DivByZero function included to perform division without triggering
exceptions
- SessionFiller completed as data filter
- Corrections to WriterStringIO
- Final renaming of data filter API
- Reset of operators to stage1 to be able to run over same data again withoug
re-init
- Update data-replay/resample samples to use new filter API
- Rework of testcaes to use new filter API and run all combinations of
runonce/preload
1.1.14.88
- Comminfo passed down to trades for multitrade profit and loss calculation
for issue #226
- Addition of filters/processors (naming not final) to data sources
- (Re)Implementation of Resampling/Replaying as Processors - Old
Implementation still available
- Changed X axis formatting for Weeks/Months/Years
- DataFilter/DataFiller implemented as DataSources and also as
Filters/Processors
- DataFilter/DataFiller sample
- Time management improvement to address precision issues when isolating time
from coded datetime with new functions in LineBuffer
1.1.13.88
- Further refactoring of resampling (keeping previous parameter names
compatible) killing corner case for last bar still having the sub-bar
timestamp - Close #25
- Added sessionstart parameter to DataBase to complement sessionend
- Some module import refactoring to refer to main module
- Added DataFilter class
- Close #24 by enabling writer to handle Analyzer dictionaries which carry
non-string as keys
- Correct/enhance some of the samples
1.1.12.88:
- Refactoring of minute/seconds/microseconds bar compression scheme to allow
time adjusted bars
- Added tick_last to datas - alias of tick_close
- resampledata and replaydata methods added to cerebro
- Added tick_last to datas - alias of tick_close
- Added multitrade support and sample
- Added helper time2num and num2time to complement date2num and num2date
- RelativeVolumeByBar Sample
- Corrected fromdate being set at the end of session
- Refactor some data feeds to use iterators and discard itertools.count
- Add dm/tm methods to LineBuffer to get numeric parts (int/fraction) of
numeric datetime representation
- Added sample datas with volume
- Corrected _orlogic for "Or" function and bool'ized And and Or
- Refactored starting points in running strategies
- Added queue/Queue to py3 compatibility
- Further rework of minute (and sub-minute) Data Resampling/Replaying
- Added tia/visualize-wealth/QSTK/TradingWithPython to README
- Added tick_last to set of tick variables (open/high/low/close)
- Added resampledata and replaydata to cerebro to avoid having to instantiate
DataReplayer/DataResampler
1.1.11.88:
- Added TimeFrame for Ticks, MicroSeconds and Seconds
- Plot support for new Ticks, MicroSeconds and Seconds TimeFrames
- Removed flushing of sys.stdout on Win32 platforms to avoid interactions with
ipython (fixes #20)
- Reworked Resampling for TimeFrame Minutes (closes #19) and added Resampling
for Seconds, MicroSeconds and TickData
- Sample of plot-on-same-axis added
- Added pypy/pypy3 tests to Travis and added to to documentation
- Added sample which resamples tickdata
1.1.10.88:
- Small documentation updates
- Indicators can be plotted on/over other indicators
- Sample of plot-on-same-axis added
1.1.9.88:
- Doc/Readme additions for 3.5
- Removed dangling py3 in writer from six transition
- Added writer testcase
1.1.8.88:
- Added Python 3.5 to Travis CI
- Removed 2.6 and added 3.5 from setup.py
- Refactored bt-run.py to internal function and added btrun executable to
installation
- Added cerebro parameters and writers support to btrun
- Fixed duplicate writers next call in "next" mode
- Improved LineSeries objects name printing in WriterFile and changed "csv"
to False
- Correct sign of "closed" if a long/short position if a position is reduced:
closes #18
- Removed six dependency through small internal Py2/Py3 module and updated
docs and setup.py
- Removed nose-exclude from test requirements
- Implement current order status in broker
- 0 can be passed as number of maxcpus for optimization (same as None)
- SQN and TradeAnalyzer documented
1.1.7.88:
- Drop Python 2.6 support (also removing internal OrderedDict) after adding
nexbars which needs collections.deque with maxlen (>= 2.7)
- First Writer Implemenatation for CSV Output
- TradeAnalyzer implementation
- SystemQualityNumber (SQN) implementation
1.1.6.88:
- Broker reworked to check margin/cost limits on order submission/execution
- Broker fix to avoid having the wrong sign on short "Trades"
- Rework Trades commission deduction
- Additions to Position, Order to support broker new checks
- Add missing analyzers loop call to "_next"
- Observers loop handled in Strategy now (only object holding them)
- Observers reachable in strategy via new alias "observers" (in addition to
"stats")
- Cosmetic changes to analyer pprint
- Correction to Position.__len__ to work with negative sizes (short positions)
- Crossover defaults to true for plotting just like any other indicator
- "Exactbars" mode added which limits the amounts of bars to those needed by
each indicator. Disables runonce, preloading and plotting. It uses a
ringbuffer method
- Documentation/Samples directory (and hence doc fixes) rework
- Documentationn rework for direct execution of scripts against sample datas
#16
- Multiple Data Strategy added as Sample
- Automatic import of flushfile
- Added LineForward as complement to LineDelay
- Correct double call to Analyzer._next
- Cover case in which a line from a data is directly assigned, avoiding the
binding to kick-in too early
- Correction in Accum indicator (typo line -> lines) and super addition to
WilliamsAD
1.1.5.88:
- Added reversion to stage1 operator behavior when the strategy backtesting is
over
- Refactoring of minimum period calculation in LineIterator
- Refactoring of strategy minimum period calculation to allow indicator
injection
- Cerebro support for addition of indictors to inject into strategies
- bt-run rework to support multiple strategies (o none), observers, indicators
and analyzers with individual kwargs per entry
- bt-run rework of plotting to single argument with kwargs
- Corrected ill behavior when separatin multiple line objects passed as single
argument to an indicator which lead to multi-owner management for the 2nd
line and posterior
- Analyzer defines stubs for print pprint and get_analysis