├── .coveragerc ├── .dir-locals.el ├── .dockerignore ├── .gitattributes ├── .github └── ISSUE_TEMPLATE.md ├── .gitignore ├── .travis.yml ├── AUTHORS ├── Dockerfile ├── Dockerfile-dev ├── LICENSE ├── MANIFEST.in ├── README.md ├── Vagrantfile ├── appveyor.yml ├── ci ├── appveyor │ ├── install.ps1 │ ├── run_with_env.cmd │ └── vcvars64.bat └── make_conda_packages.py ├── conda ├── 0_sortedcontainers │ ├── bld.bat │ ├── build.sh │ └── meta.yaml ├── 1_setuptools_scm │ ├── bld.bat │ ├── build.sh │ └── meta.yaml ├── README.md ├── alembic │ ├── bld.bat │ ├── build.sh │ └── meta.yaml ├── bcolz │ ├── bld.bat │ ├── build.sh │ └── meta.yaml ├── cyordereddict │ ├── bld.bat │ ├── build.sh │ └── meta.yaml ├── empyrical │ ├── bld.bat │ ├── build.sh │ └── meta.yaml ├── intervaltree │ ├── bld.bat │ ├── build.sh │ └── meta.yaml ├── logbook │ ├── bld.bat │ ├── build.sh │ └── meta.yaml ├── lru-dict │ ├── bld.bat │ ├── build.sh │ └── meta.yaml ├── ta-lib │ ├── bld.bat │ ├── build.sh │ └── meta.yaml └── zipline │ ├── bld.bat │ ├── build.sh │ └── meta.yaml ├── docs ├── .gitignore ├── CNAME ├── Makefile ├── deploy.py ├── make.bat ├── notebooks │ └── tutorial.ipynb └── source │ ├── appendix.rst │ ├── beginner-tutorial.rst │ ├── bundles.rst │ ├── conf.py │ ├── dev-doc-message.txt │ ├── index.rst │ ├── install.rst │ ├── release-process.rst │ ├── releases.rst │ ├── tutorial_files │ ├── tutorial_11_2.png │ └── tutorial_22_1.png │ └── whatsnew │ ├── 0.6.1.txt │ ├── 0.7.0.txt │ ├── 0.8.0.txt │ ├── 0.8.3.txt │ ├── 0.8.4.txt │ ├── 0.9.0.txt │ ├── 1.0.0.txt │ ├── 1.0.1.txt │ ├── 1.0.2.txt │ ├── 1.1.0.txt │ ├── 1.1.1.txt │ └── skeleton.txt ├── etc ├── conda_build_matrix.py ├── create_authors_file.sh ├── docker_cmd.sh ├── gen_type_stubs.py ├── git-hooks │ └── pre-commit ├── goodies.txt ├── ordered_pip.sh ├── rebuild-cython.sh ├── requirements.txt ├── requirements_blaze.txt ├── requirements_dev.txt ├── requirements_docs.txt ├── requirements_ib.txt ├── requirements_talib.txt └── requirements_tdx.txt ├── setup.cfg ├── setup.py ├── tests ├── __init__.py ├── calendars │ ├── __init__.py │ ├── test_calendar_dispatcher.py │ ├── test_cfe_calendar.py │ ├── test_cme_calendar.py │ ├── test_ice_calendar.py │ ├── test_nyse_calendar.py │ └── test_trading_calendar.py ├── cn │ ├── ETF.csv │ ├── get_price.py │ └── test_ingest.py ├── data │ ├── __init__.py │ ├── bundles │ │ ├── __init__.py │ │ ├── test_core.py │ │ ├── test_quandl.py │ │ └── test_yahoo.py │ ├── test_dispatch_bar_reader.py │ ├── test_minute_bars.py │ ├── test_resample.py │ └── test_us_equity_pricing.py ├── events │ ├── test_events.py │ ├── test_events_cme.py │ └── test_events_nyse.py ├── finance │ ├── __init__.py │ ├── test_blotter.py │ ├── test_cancel_policy.py │ ├── test_commissions.py │ ├── test_slippage.py │ └── test_transaction.py ├── history │ └── generate_csvs.py ├── pipeline │ ├── __init__.py │ ├── base.py │ ├── test_adjusted_array.py │ ├── test_adjustment.py │ ├── test_alias.py │ ├── test_blaze.py │ ├── test_classifier.py │ ├── test_column.py │ ├── test_downsampling.py │ ├── test_engine.py │ ├── test_events.py │ ├── test_factor.py │ ├── test_filter.py │ ├── test_frameload.py │ ├── test_numerical_expression.py │ ├── test_pipeline.py │ ├── test_pipeline_algo.py │ ├── test_quarters_estimates.py │ ├── test_slice.py │ ├── test_statistical.py │ ├── test_technical.py │ ├── test_term.py │ └── test_us_equity_pricing_loader.py ├── resources │ ├── __init__.py │ ├── calendars │ │ ├── cfe.csv │ │ ├── cme.csv │ │ ├── ice.csv │ │ └── nyse.csv │ ├── example_data.tar.gz │ ├── fetcher_inputs │ │ ├── __init__.py │ │ └── fetcher_test_data.py │ ├── pipeline_inputs │ │ ├── AAPL.csv │ │ ├── BRK-A.csv │ │ ├── MSFT.csv │ │ └── generate.py │ ├── quandl_samples │ │ ├── AAPL.csv.gz │ │ ├── BRK_A.csv.gz │ │ ├── MSFT.csv.gz │ │ ├── ZEN.csv.gz │ │ ├── metadata-1.csv.gz │ │ ├── metadata-2.csv.gz │ │ └── rebuild_samples.py │ ├── rebuild_example_data │ └── yahoo_samples │ │ ├── AAPL.adjustments.gz │ │ ├── AAPL.csv.gz │ │ ├── IBM.adjustments.gz │ │ ├── IBM.csv.gz │ │ ├── MSFT.adjustments.gz │ │ ├── MSFT.csv.gz │ │ └── rebuild_samples ├── risk │ ├── __init__.py │ ├── annotation_utils.py │ ├── test_risk_cumulative.py │ └── test_risk_period.py ├── test_algorithm.py ├── test_api_shim.py ├── test_assets.py ├── test_bar_data.py ├── test_benchmark.py ├── test_clock.py ├── test_continuous_futures.py ├── test_data_portal.py ├── test_examples.py ├── test_exception_handling.py ├── test_execution_styles.py ├── test_fetcher.py ├── test_finance.py ├── test_history.py ├── test_labelarray.py ├── test_live.py ├── test_memoize.py ├── test_panel_bar_reader.py ├── test_perf_tracking.py ├── test_restrictions.py ├── test_security_list.py ├── test_testing.py ├── test_tradesimulation.py └── utils │ ├── __init__.py │ ├── daily_bar_writer.py │ ├── test_argcheck.py │ ├── test_cache.py │ ├── test_final.py │ ├── test_math_utils.py │ ├── test_metautils.py │ ├── test_numpy_utils.py │ ├── test_pandas_utils.py │ ├── test_preprocess.py │ └── test_sentinel.py ├── vagrant_init.sh ├── versioneer.py └── zipline ├── __init__.py ├── __main__.py ├── _protocol.pyx ├── _version.py ├── algorithm.py ├── algorithm_live.py ├── api.py ├── api.pyi ├── assets ├── __init__.py ├── _assets.pyx ├── asset_db_migrations.py ├── asset_db_schema.py ├── asset_writer.py ├── assets.py ├── continuous_futures.pyx ├── futures.py ├── roll_finder.py └── synthetic.py ├── data ├── __init__.py ├── _adjustments.pyx ├── _equities.pyx ├── _minute_bar_internal.pyx ├── _resample.pyx ├── bar_reader.py ├── benchmarks.py ├── bundles │ ├── __init__.py │ ├── core.py │ ├── quandl.py │ ├── tdx_bundle.py │ └── yahoo.py ├── cn_loader.py ├── continuous_future_reader.py ├── data_portal.py ├── data_portal_live.py ├── dispatch_bar_reader.py ├── fundamental.py ├── history_loader.py ├── loader.py ├── minute_bars.py ├── resample.py ├── rocksdb_bars.py ├── schema.py ├── session_bars.py ├── treasuries.py ├── treasuries_can.py └── us_equity_pricing.py ├── dispatch.py ├── errors.py ├── examples ├── __init__.py ├── asset.csv ├── buy_and_hold.py ├── buyapple.ipynb ├── buyapple.py ├── dual_ema_talib.py ├── dual_moving_average.py ├── live_strategy.py ├── momentum_pipeline.py ├── olmar.py ├── test_tdx_client.py └── ths_simulate_strategy.py ├── finance ├── __init__.py ├── asset_restrictions.py ├── blotter.py ├── blotter_live.py ├── cancel_policy.py ├── commission.py ├── constants.py ├── controls.py ├── execution.py ├── order.py ├── performance │ ├── __init__.py │ ├── period.py │ ├── position.py │ ├── position_tracker.py │ └── tracker.py ├── risk │ ├── __init__.py │ ├── cumulative.py │ ├── period.py │ ├── report.py │ └── risk.py ├── shared.py ├── slippage.py ├── trading.py └── transaction.py ├── gens ├── __init__.py ├── brokers │ ├── __init__.py │ ├── broker.py │ ├── ib_broker.py │ ├── tdx_broker.py │ └── tdx_shipane_broker.py ├── composites.py ├── example_config.json ├── realtimeclock.py ├── shipane_client.py ├── sim_engine.pyx ├── tdx_api.pyd ├── tdx_client.py ├── tradesimulation.py ├── type.py └── utils.py ├── lib ├── __init__.py ├── _factorize.pyx ├── _float64window.pyx ├── _int64window.pyx ├── _labelwindow.pyx ├── _uint8window.pyx ├── _windowtemplate.pxi ├── adjusted_array.py ├── adjustment.pyx ├── labelarray.py ├── normalize.py ├── quantiles.py └── rank.pyx ├── pipeline ├── __init__.py ├── api_utils.py ├── classifiers │ ├── __init__.py │ └── classifier.py ├── common.py ├── data │ ├── __init__.py │ ├── dataset.py │ ├── equity_pricing.py │ └── testing.py ├── downsample_helpers.py ├── engine.py ├── expression.py ├── factors │ ├── __init__.py │ ├── events.py │ ├── factor.py │ ├── statistical.py │ └── technical.py ├── filters │ ├── __init__.py │ ├── filter.py │ └── smoothing.py ├── graph.py ├── loaders │ ├── __init__.py │ ├── base.py │ ├── blaze │ │ ├── __init__.py │ │ ├── core.py │ │ ├── estimates.py │ │ ├── events.py │ │ └── utils.py │ ├── earnings_estimates.py │ ├── equity_pricing_loader.py │ ├── events.py │ ├── frame.py │ ├── synthetic.py │ ├── testing.py │ └── utils.py ├── mixins.py ├── pipeline.py ├── sentinels.py ├── term.py └── visualize.py ├── protocol.py ├── research.py ├── resources ├── market_data │ ├── SPY_benchmark.csv │ └── treasury_curves.csv └── security_lists │ └── leveraged_etf_list │ └── 20020103 │ ├── 20120913 │ ├── add │ └── delete │ ├── 20120919 │ ├── add │ └── delete │ ├── 20121012 │ ├── add │ └── delete │ ├── 20130605 │ ├── add │ └── delete │ ├── 20130916 │ ├── add │ └── delete │ ├── 20131002 │ ├── add │ └── delete │ ├── 20131009 │ ├── add │ └── delete │ ├── 20131121 │ ├── add │ └── delete │ ├── 20131227 │ ├── add │ └── delete │ ├── 20140410 │ ├── add │ └── delete │ ├── 20140923 │ ├── add │ └── delete │ ├── 20141119 │ ├── add │ └── delete │ ├── 20141226 │ ├── add │ └── delete │ ├── 20150123 │ ├── add │ └── delete │ └── 20160826 │ ├── add │ └── delete ├── sources ├── __init__.py ├── benchmark_source.py ├── requests_csv.py └── test_source.py ├── test_algorithms.py ├── testing ├── __init__.py ├── core.py ├── fixtures.py ├── predicates.py └── slippage.py ├── utils ├── __init__.py ├── algo_instance.py ├── api_support.py ├── argcheck.py ├── cache.py ├── calendars │ ├── __init__.py │ ├── _calendar_helpers.pyx │ ├── calendar_utils.py │ ├── exchange_calendar_bmf.py │ ├── exchange_calendar_cfe.py │ ├── exchange_calendar_cme.py │ ├── exchange_calendar_ice.py │ ├── exchange_calendar_lse.py │ ├── exchange_calendar_nyse.py │ ├── exchange_calendar_tsx.py │ ├── trading_calendar.py │ ├── us_futures_calendar.py │ └── us_holidays.py ├── classproperty.py ├── cli.py ├── compat.py ├── context_tricks.py ├── control_flow.py ├── data.py ├── deprecate.py ├── dummy.py ├── enum.py ├── events.py ├── factory.py ├── final.py ├── functional.py ├── input_validation.py ├── math_utils.py ├── memoize.py ├── metautils.py ├── numpy_utils.py ├── pandas_utils.py ├── paths.py ├── pool.py ├── preprocess.py ├── range.py ├── run_algo.py ├── security_list.py ├── sentinel.py ├── serialization_utils.py 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