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Zipline in the cloud: Optimizing financial trading algorithms

Hi,

Here are the IPython NB slides of my PyData'13 talk on zipline:

http://twiecki.github.com/zipline_in_the_cloud_talk

Thomas

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6 responses

Hi Thomas,
After attending youe talk at Pydata I tried to run the dual moving average example given here https://github.com/quantopian/zipline

And get into this error
Traceback (most recent call last):
File "dualmoving.py", line 31, in
data = load_from_yahoo()
File "build/bdist.macosx-10.8-intel/egg/zipline/utils/factory.py", line 357, in load_from_yahoo
AttributeError: 'Index' object has no attribute 'tz_localize'

Am I missing something?

Hi Shrikar,

Hope you enjoyed the talk.

It might be an outdated pandas so you might want to try upgrading that. There's also a zipline mailing list where we normally discuss zipline specific issues:
https://groups.google.com/forum/#!forum/zipline

Thomas

Agree with Jon, great talk. Cloud computing and clusters are definetely the way to go and give me a lot to explore. I ran with zipline some genetic optimizations, very promising results, but it warmed up "a bit" my laptop.

Thanks for the feedback.

@Jon: The reason Quantopian syntax is a little different is that we do some magic to make it more use-friendly. For example, you can just use transforms on Quantopian while in zipline they have to be registered. I'm one that wants to have the syntax stay close together. At one point Eddie wanted to write an automatic conversion tool which would be quite handy.

@Xavier: Sounds interesting. Can you upload the code somewhere for me to check out (can be very prototype)?

Sure I posted a gist: https://gist.github.com/Gusabi/5250534 (I added also the file where I use it). It is based on a code from Collective Intelligence book, but still very prototype indeed. I'm just beginning to have a command line interface for zipline robust enough for this kind of experiment, so I should be able very soon to explore further these very exciting possibilities

The video of my talk was uploaded now, view it at: http://vimeo.com/63273425