QuantRocket

QuantRocket 1.5.0 Release Notes

release-notes

#1

QuantRocket 1.5.0 is now available. All users are encouraged to update to the latest version. See how to update.

Highlights

  • Moonshot support for intraday strategies that trade throughout the day. See the usage guide.
  • Moonchart improvements including new plots, improved style and formatting, better summary table, and greater flexibility to create your own plots. See example tear sheets, learn more in the Moonshot usage guide, or see the API reference.
  • ability to specify a Moonshot benchmark security located in a separate database. See the usage guide.

API changes

  • Tearsheet.from_moonshot_csv is now a class method and consequently the preferred syntax for constructing a Moonchart tearsheet has changed and is slightly simpler (the old way still works too):
>>> from moonchart import Tearsheet
>>> Tearsheet.from_moonshot_csv("backtest_results.csv")
  • The DB_TIMES_FILTER class attribute for the Moonshot class is now deprecated and will be removed in a future release, please use DB_TIMES instead. This change is to provide a more consistent naming convention with other DB_* Moonshot attributes.
  • User must now specify whether and how to shard an intraday database. Previously the default was to shard by conid and time but this is not always the right choice, therefore the user should decide. See the usage guide.

Documentation

Complete 1.5.0 release notes

quantrocket/account:1.5.0

  • Add exchange rates for additional currencies: BGN, BRL, CNH, CNY, HRK, IDR, ISK, MYR, PHP, PLN, RON, THB, TRY, ZAR

quantrocket/flightlog:1.5.0

  • Add option to filter log file when downloading. See usage guide.

quantrocket/fundamental:1.5.0

  • stability improvements for Reuters fundamental data collection

quantrocket/history:1.5.0

  • add endpoint to wait for historical data collection to finish
  • remove ‘auto’ choice from shard option in create_db endpoint; user must now choose whether and how to shard intraday databases. See the usage guide.
  • stability improvements for IB historical data collection

quantrocket/jupyter:1.5.0

  • update to quantrocket-client 1.5.4
    • New function: quantrocket.moonshot.read_moonshot_csv. See API reference.
    • New function: quantrocket.moonshot.intraday_to_daily. See API reference.
    • New function: quantrocket.utils.segmented_date_range. See API reference.
  • update to moonchart 1.5.6
    • add daily holdings plot to Tearsheet
    • add daily turnover plot to Tearsheet
    • add public DailyPerformance and AggregateDailyPerformance classes. See API reference and usage guide.
    • better axis labeling and plot formatting
    • better summary performance table
    • add trim_outliers parameter to Tearsheet. See API reference.

quantrocket/master:1.5.0

  • consult ib-trading-calendars package in addition to IB API to improve trading calendar accuracy. See the usage guide.
  • improved identification of ETFs. See community post for background.

quantrocket/moonshot:1.5.0

  • update to moonshot 1.5.4
    • support for intraday strategies that trade throughout the day
    • support for using a benchmark security from a separate database. See the usage guide.
    • better labels for forex in backtest results
    • deprecate DB_TIMES_FILTER class attribute for Moonshot class, please use DB_TIMES instead.

Master db = how to distinguish Stocks from ETFs?