QuantRocket 1.3 Release Notes

Brian · September 17, 2018, 12:10pm

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

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.