Zipline-polygon-bundle

Latest version: v0.2.1

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0.2.1

Release now that `zipline-arrow` (https://github.com/fovi-llc/zipline-arrow) is in PyPi (https://pypi.org/project/zipline-arrow/) which is version `3.2.2`.

0.2.0

First release with minute aggregates calculated from Polygon Trades flatfiles. Configured by using agg_time="1minute" (in contrast to agg_time="minute" for Polygon minute aggregate flatfiles).

New NYSE_ALL_HOURS calendar that opens at 4am ET and closes at 8pm ET for use with the new trades-based aggs.

Refactored logic to use one flow for all three data formats.

Now depends on `zipline-arrow` (https://github.com/fovi-llc/zipline-arrow) my fork of `zipline-reloaded` because I had to change how the `get_calendar` utility works to determine the default start_date. ExchangeCalendars uses a "20 years before today" as the default so `zipline` uses 1990-01-01 for four particular calendars (us_futures, CMES, XNYS, NYSE) but that doesn't work for new or other calendars. And for loading a bundle my version always uses the start & end dates from the metadata.

0.2.0dev1

Adds initial support for ingestion from Polygon trades flatfiles. They are converted into minute aggs in parquet files then ingested to zipline in the usual way. Added NYSE_ALL_HOURS calendar so each daily trading session includes extended and regular market hours.

0.1.8

Automatically set the correct start_date/start_session and end_date/end_session into the bundle metadata by finding the first and last agg (CSV) flatfiles. This is also then used for the path of the x_by_ticker Arrow stores so they do the right thing for caching.

This also has the WIP for the aggs-from-trades ingestion. That will then support the entire trading day (not just regular market) and will be like real-time prices instead of official ones.

0.1.7

Whoops, pushed too soon. The correct field in dividends is `amount` not `ratio`.
Everything is green again (actually waited for check runs to finish this time).

0.1.6

Fixes exception complaining about schema.field(PARTITION_COLUMN_NAME) when running ingest using day bars.

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