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Highlights, with thanks to contributors inline:
- Runtime performance improvements
- Fixed the omission of peformance messages on days with no trades
- Changes to batch_transform implementation
-- supports sid filtering
-- performance improvements using pandas
-- added an option for only computating when there is a window length's
worth of data
- Added new risk metrics
-- Sortino
-- information ration
(Ryan Day, [email protected] @rday)
- Added stop and limit orders
(Tony Worm, [email protected] @verdverm)
- Added variable recording
- Deprecated market_aware and delta kwargs to EventWindow
- Fixes to trading calendars for missing holidays
- Added TradingEnviorment context manager
- Added support for streaming through dividends
- Yahoo source now has OHLC
- Updates downloaded benchmark and treasury data when new data is available.
(Ryan Day, [email protected] @rday)
- Added optional adjustment of Yahoo data
(Jeremiah Lowin, [email protected] @jlowin)