QuantRocket

QuantRocket 1.3 Release Notes

release-notes

#1

QuantRocket 1.3 is now available. All users are encouraged to perform a full update of their deployments. See how to update.

Highlights

  • Short sale data. You can collect and query the number of shortable shares and associated borrow fees. See the usage guide
  • internal redesign of historical data collection, providing improved speed and reliability, especially for collecting small bar sizes such as 1-minute bars.
  • addition of QGrid, providing Excel-like sorting and filtering of DataFrames. See the usage guide.
  • minute backtests in Zipline now support making daily history calls (data.history(sid, 'price', 10, '1d') in addition to minute history calls (data.history(sid, 'price', 10, '1m'). This is the same behavior as on Quantopian. Minute bars are rolled up to daily bars during bundle ingestion to support this behavior.
  • supporting for ingesting minute databases into Zipline that don’t fit in memory
  • stability improvements and package updates, see the full release notes for more detail

API deprecations

  • For API endpoints related to data collection, the term “fetch” has been deprecated and replaced by the term “collect”. The purpose is to improve the clarity of the API. The deprecated commands and functions are still available for backwards compatibility but will now print a warning message to remind you to switch over.
  CLI Python API
fundamental fetch-financials -> collect-financials
fetch-estimates -> collect-estimates
fetch_reuters_financials -> collect_reuters_financials
fetch_reuters_estimates -> collect_reuters_estimates
history fetch -> collect fetch_history -> collect_history
cancel_history_requests -> cancel_collections
master fetch-calendar -> collect-calendar fetch_listings -> collect_listings
fetch_option_chains -> collect_option_chains
fetch_calendar -> collect_calendar
  • Not specifying a calendar with quantrocket zipline ingest (which causes the default NYSE calendar to be used) is deprecated and will now print a warning message. Associating data with the wrong calendar leads to confusing error messages; therefore it is best to be explicit.

See the full release notes.


Exception in message dispatch. Handler '_historical_data_handler' for 'historicalData'
Create db with more than one bar size
S3push and s3pull of single DB not working