A backtester for financial algorithms.
Zipline is a Pythonic algorithmic trading library. It is an event-driven system that supports both backtesting and live-trading.
Zipline is currently used in production as the backtesting and live-trading engine powering Quantopian – a free, community-centered, hosted platform for building and executing trading strategies.
- Ease of use: Zipline tries to get out of your way so that you can focus on algorithm development. See below for a code example.
- Zipline comes “batteries included” as many common statistics like moving average and linear regression can be readily accessed from within a user-written algorithm.
- Input of historical data and output of performance statistics are based on Pandas DataFrames to integrate nicely into the existing PyData eco-system.
- Statistic and machine learning libraries like matplotlib, scipy, statsmodels, and sklearn support development, analysis, and visualization of state-of-the-art trading systems.
You can install Zipline via the pip command:
$ pip install zipline
Another way to install Zipline is via conda which comes as part of Anaconda or can be installed via pip install conda.
Once set up, you can install Zipline from our Quantopian channel:
conda install -c Quantopian zipline
Currently supported platforms include:
- GNU/Linux 64-bit
- OSX 64-bit
Windows may work; however, it is currently untested.
See our requirements file
See our getting started tutorial.
The following code implements a simple dual moving average algorithm.
from zipline.api import ( add_history, history, order_target, record, symbol, ) def initialize(context): # Register 2 histories that track daily prices, # one with a 100 window and one with a 300 day window add_history(100, '1d', 'price') add_history(300, '1d', 'price') context.i = 0 def handle_data(context, data): # Skip first 300 days to get full windows context.i += 1 if context.i < 300: return # Compute averages # history() has to be called with the same params # from above and returns a pandas dataframe. short_mavg = history(100, '1d', 'price').mean() long_mavg = history(300, '1d', 'price').mean() sym = symbol('AAPL') # Trading logic if short_mavg[sym] > long_mavg[sym]: # order_target orders as many shares as needed to # achieve the desired number of shares. order_target(sym, 100) elif short_mavg[sym] < long_mavg[sym]: order_target(sym, 0) # Save values for later inspection record(AAPL=data[sym].price, short_mavg=short_mavg[sym], long_mavg=long_mavg[sym])
You can then run this algorithm using the Zipline CLI. From the command line, run:
python run_algo.py -f dual_moving_average.py --symbols AAPL --start 2011-1-1 --end 2012-1-1 -o dma.pickle
This will download the AAPL price data from Yahoo! Finance in the specified time range and stream it through the algorithm and save the resulting performance dataframe to dma.pickle which you can then load and analyze from within python.
You can find other examples in the zipline/examples directory.
If you would like to contribute, please see our Contribution Requests: https://github.com/quantopian/zipline/wiki/Contribution-Requests
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|Filename, size & hash SHA256 hash help||File type||Python version||Upload date|
|zipline-0.8.0-cp27-none-macosx_10_10_x86_64.whl (1.0 MB) Copy SHA256 hash SHA256||Wheel||2.7|
|zipline-0.8.0-cp34-cp34m-macosx_10_10_x86_64.whl (1.0 MB) Copy SHA256 hash SHA256||Wheel||3.4|