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CHANGELOG
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CHANGELOG
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<-------------------------------- PyTradeLib ---------------------------------->
Version 0.0.1
- [CHANGE] Switch from camelCasedAPIs to pythonic_lower_cased_apis
- [CHANGE] Switch from Apache License v2.0 to LGPL v3.0 for all new PyTradeLib code
- [CHANGE] Drop homegrown indicators in favor of using talib directly
<-------------------------------- PyAlgoTrade --------------------------------->
Version 0.10 (11/Jan/2013)
. [NEW] Sharpe Ratio analysis (pyalgotrade.stratanalyzer.sharpe.SharpeRatio).
. [NEW] Max. drawdown and max. drawdown duration analysis (pyalgotrade.stratanalyzer.drawdown.DrawDown). Thanks Sedov Anton for reporting a bug in the early implementation.
. [NEW] Returns analysis (pyalgotrade.stratanalyzer.returns.Returns).
. [NEW] Trades analysis (pyalgotrade.stratanalyzer.trades.Trades).
. [NEW] Support for bar timezones (pyalgotrade.marketsession).
. [NEW] Support for sequence like operations in dataseries (__getitem__ and __len__. get_value and get_value_absolute will soon get deprecated).
. [NEW] Support for mapping like operations in bar feeds (__getitem__ and __contains__).
. [NEW] Support for mapping like operations in bar.Bars (__getitem__ and __contains__).
. [NEW] Google App Engine: Added support for re-executing strategies.
. [CHANGE] broker.backtesting.Broker.get_value no longer needs the bars as a parameter. It will take those out of the feed.
. [FIX] broker.backtesting.get_active_orders was not returning all orders during event dispatching.
. [FIX] Fixed returns calculations for short positions. Thanks John Fawcett for explaining this.
. [FIX] Fixed a bug in the Strategy class and the backtesting broker when dealing with multiple symbols. Was not handling absence of bars appropriately. Thanks Fabian Braennstroem for reporting this.
. [FIX] Additional dataseries added to the portfolio subplot were not showing. Thanks Sedov Anton for reporting this.
. [FIX] Additional subplots (those created using getOrCreateSubplot) are now ordered as created. Thanks Sedov Anton for reporting this and suggesting the fix.
Version 0.9 (1/Sep/2012)
. [NEW] Added a method to the strategy class to get notified when an order gets updated (on_order_updated). This is only called if the order was placed using the broker interface directly.
. [FIX] A KeyError exception was raised in the strategy class when placing orders using the broker interface directly. Thanks 'Femto Trader' for reporting this.
Version 0.8 (28/Aug/2012)
. [NEW] StrategyPlotter now plots each symbol in a separate subplot. getMainSubplot was replaced by getIntrumentSubplot.
. [NEW] Strategy.exit_position allows setting the exit order as GTC or not, or matching the entry order (default).
. [FIX] Was hitting an AssertionError in the strategy class when overwritting exit orders with new ones.
. [FIX] Set exit-on-session-close orders as GTC.
Version 0.7 (22/Aug/2012)
. [NEW] Backtesting broker allows customizing of order filling strategies.
. [NEW] Added support Stop orders. Thanks Tibor Kiss for adding this.
. [NEW] Added support StopLimit orders. Thanks Tibor Kiss for adding this.
. [NEW] TA-Lib integration (pyalgotrade.talibext.indicator).
. [NEW] Official support for NinjaTrader generated CSV files (pyalgotrade.barfeed.ninjatraderfeed.Feed). csvfeed.NinjaTraderRowParser was removed.
. [CHANGE] pyalgotrade.barfeed.csvfeed.YahooFeed was moved to pyalgotrade.barfeed.yahoofeed.Feed. pyalgotrade.barfeed.csvfeed.YahooFeed still works but it will be removed soon.
. [CHANGE] Major changes to the broker interface to support other broker types. These changes are not backwards compatible. Thanks Tibor Kiss for adding this.
. [FIX] Was not honoring the GTC attribute when submiting exit orders from inside the position classes.
. [FIX] Was not getting better prices (when available) for Limit orders. Thanks Tibor Kiss for reporting this.
Version 0.6 (26/Jun/2012)
. [NEW] Initial support for NinjaTrader export format (csvfeed.NinjaTraderRowParser).
. [NEW] pyalgotrade.optimizer.server.serve now returns the best results found.
. [FIX] Fixes to the optimizer.local module when running on Windows.
. [FIX] The marker style used by plotter.py was not supported in some matplotlib versions. Thanks Tibor Kiss for fixing this.
. [FIX] Socket used to find a random port to listen on was not being closed (optimizer.local.find_port). Thanks Tibor Kiss for fixing this.
Version 0.5 (21/Jun/2012)
. [NEW] StrategyPlotter supports plotting a range.
. [NEW] Stochastic oscillator supports using adjusted values.
. [NEW] Added support for optimizing strategies inside Google App Engine.
. [NEW] Improved optimizer module to distribute strategy executions in chunks.
Version 0.4 (8/May/2012)
. [NEW] Rate of change technical indicator.
. [NEW] Stochastic oscillator technical indicator.
. [FIX] Added error checking to yahoofinance.get_daily_csv.
. [FIX] Normalized some method names in StrategyPlotter.
Version 0.3 (22/Apr/2012)
. [NEW] Support for plotting strategies (StrategyPlotter).
Version 0.2 (14/Apr/2012)
. [NEW] CrossAbove and CrossBelow technical indicators.
. [NEW] Limit order support.
. [FIX] Fixed a bug when a position was set to exit on session close but the entry was not filled.
Version 0.1 (27/Mar/2012)