Release Notes#

v4.0.6#

Released: 2026-04-08

This release introduces 3 addition(s), including Added BloombergDLDataProvider to replace BloombergBeapHapiDataProvider, fixes 2 issue(s), including Fix an issue with reindexing in case of missing data.

Features & Enhancements#

  • Added BloombergDLDataProvider to replace BloombergBeapHapiDataProvider by @myrmarachne in quarkfin/qf-lib#253

  • Adding SPOT security type for FX by @myrmarachne in quarkfin/qf-lib#254

  • Add validation for frequency for PeriodicEvent and adjust the documen… by @karasekadam in quarkfin/qf-lib#256

Bug Fixes & Stability#

Maintenance & Under the Hood#

Full Changelog: https://github.com/quarkfin/qf-lib/compare/v4.0.5…v4.0.6

v4.0.5#

Released: 2026-02-02

This release introduces 1 addition(s), including Pdf exporter - enable image format selection, fixes 1 issue(s), including Fixed row styles in DFTables, includes 1 breaking or behavioural change(s).

Features & Enhancements#

Bug Fixes & Stability#

Maintenance & Under the Hood#

  • Replace fillna with method with ffill/bfill by @myrmarachne in quarkfin/qf-lib#236

  • Updated Code of Conduct by @myrmarachne in quarkfin/qf-lib#234

  • Updated README by @myrmarachne in quarkfin/qf-lib#235

  • AssetPerfAndDrawdownSheet was marked as deprecated and will be removed in the next major version of qf-lib - Added deprecation warning by @myrmarachne in quarkfin/qf-lib#238

  • Fixed pandas FutureWarning: Series.getitem treating keys as positions is deprecated by @myrmarachne in quarkfin/qf-lib#237

Full Changelog: https://github.com/quarkfin/qf-lib/compare/v4.0.4…v4.0.5

v4.0.4#

Released: 2025-10-02

This release introduces 1 addition(s), including Implementing GridProportion for PDFs, fixes 1 issue(s), including Fix waterfall chart limits and format.

Features & Enhancements#

Bug Fixes & Stability#

Maintenance & Under the Hood#

Full Changelog: https://github.com/quarkfin/qf-lib/compare/v4.0.3…v4.0.4

v4.0.3#

Released: 2025-08-05

This release introduces 3 addition(s), including Support for openpyxl up to version 3.1.5, fixes 2 issue(s), including Fix Bloomberg field exceptions.

Features & Enhancements#

Bug Fixes & Stability#

Maintenance & Under the Hood#

Full Changelog: https://github.com/quarkfin/qf-lib/compare/v4.0.2…v4.0.3

v4.0.2#

Released: 2025-07-17

This release introduces 3 addition(s), including Add get_tickers_universe_with_weights to BloombergDataProvider, fixes 1 issue(s), including Fixed inferring frequency for irregular weekly timeseries, includes 1 breaking or behavioural change(s).

Features & Enhancements#

  • Add get_tickers_universe_with_weights to BloombergDataProvider by @myrmarachne in quarkfin/qf-lib#214

  • Added the possibility of adding multiple overrides to historical request by @myrmarachne in quarkfin/qf-lib#215

  • Added get_tickers_universe_with_weights to the Bloomberg DL API by @myrmarachne in quarkfin/qf-lib#216

Bug Fixes & Stability#

  • Fixed inferring frequency for irregular weekly timeseries by @myrmarachne in quarkfin/qf-lib#218

Maintenance & Under the Hood#

Full Changelog: https://github.com/quarkfin/qf-lib/compare/v4.0.1…v4.0.2

v4.0.1#

Released: 2025-03-27

This release introduces 3 addition(s), including Added auto_adjust flag to YfinanceDataProvider.get_history, fixes 1 issue(s), including Fixed to_pandas_freq mapping for quarterly frequency.

Features & Enhancements#

  • Added auto_adjust flag to YfinanceDataProvider.get_history by @myrmarachne in quarkfin/qf-lib#208

  • BloombergBeapHapiDataProvider added unit tests for get_history by @myrmarachne in quarkfin/qf-lib#209

  • Adding unit tests for Bloomberg HistoricalDataProvider by @myrmarachne in quarkfin/qf-lib#210

Bug Fixes & Stability#

Full Changelog: https://github.com/quarkfin/qf-lib/compare/v4.0.0…v4.0.1

v4.0.0#

Released: 2025-02-07

This release introduces 5 addition(s), including New Data Provider: A new data provider, YFinanceDataProvider, has been added to the project, enabling seamless data retrieval using the yfinance library, fixes 3 issue(s), including Fixed empty sheet creation + added add_number_format.

Features & Enhancements#

  • New Data Provider: A new data provider, YFinanceDataProvider, has been added to the project, enabling seamless data retrieval using the yfinance library by @myrmarachne in quarkfin/qf-lib#198

  • Data Providers Restructure: The data provider structure has been simplified by removing the data handlers. This change makes it much easier to add new data providers in the future and enhances the overall flexibility of the system. by @myrmarachne in quarkfin/qf-lib#199

  • Currency Support in Backtests: The notion of currencies has now been integrated into the backtest functionality, offering more accurate and comprehensive financial simulations across different currencies. by @eirik-thorp in quarkfin/qf-lib#164

  • Added YfinanceDataProvider by @myrmarachne in quarkfin/qf-lib#198

  • Adding support for python 3.12 by @myrmarachne in quarkfin/qf-lib#203

Bug Fixes & Stability#

Maintenance & Under the Hood#

  • Simplified Project Structure: The project’s requirements were cleaned up, reducing unnecessary dependencies and streamlining the overall setup. This update significantly minimizes external dependencies for the whole project, ensuring a leaner and more maintainable codebase. by @myrmarachne in quarkfin/qf-lib#199

  • Currencies in backtest by @eirik-thorp in quarkfin/qf-lib#164

  • Handling of datetime.time values in the Reference Data Provider by @zeynepgltuaydemir in quarkfin/qf-lib#192

  • PieChart update by @myrmarachne in quarkfin/qf-lib#194

  • Cleaned up the Data providers warnings to show only the relevant information by @myrmarachne in quarkfin/qf-lib#199

  • Made SimpleFuturesModel inherit from FuturesModel instead of AlphaModel by @myrmarachne in quarkfin/qf-lib#202

  • Ccy ticker removal by @myrmarachne in quarkfin/qf-lib#200

  • Moved the get_price responsibility from DataProvider to AbstractPriceDataProvider by @myrmarachne in quarkfin/qf-lib#191

  • Updated readthedocs yaml by @myrmarachne in quarkfin/qf-lib#205

  • Update tests.yml by @myrmarachne in quarkfin/qf-lib#195

  • Removed Deprecated General Price Provider by @myrmarachne in quarkfin/qf-lib#201

  • Remove EmailPublisher by @zeynepgltuaydemir in quarkfin/qf-lib#196

  • Removed 1 mn tests from test_yfinance_data_provider by @myrmarachne in quarkfin/qf-lib#204

Full Changelog: https://github.com/quarkfin/qf-lib/compare/v3.0.2…v4.0.0

v3.0.2#

Released: 2024-11-06

This release fixes 5 issue(s), including Fixed the path for the HeatMapChart, includes 1 breaking or behavioural change(s).

Bug Fixes & Stability#

Maintenance & Under the Hood#

Full Changelog: https://github.com/quarkfin/qf-lib/compare/v3.0.1…v3.0.2

v3.0.1#

Released: 2024-07-11

This release introduces 1 addition(s), including Data License - add pricing source parameter, fixes 3 issue(s), including Fixed Issue 158 (AttributeError for Pillow 10.2.0), includes 1 breaking or behavioural change(s).

Features & Enhancements#

Bug Fixes & Stability#

Maintenance & Under the Hood#

Full Changelog: https://github.com/quarkfin/qf-lib/compare/v3.0.0…v3.0.1

v3.0.0#

Released: 2024-03-14

This release introduces 6 addition(s), including Using pct_change to implement the to_simple_returns function for se…, fixes 7 issue(s), including Issue 129 fix backtest tutorial doc, includes 1 breaking or behavioural change(s).

This release adds the support for Python 3.10 and 3.11. Python 3.7 support is being dropped.

Increased the minimum and maximum supported versions of the following dependencies:

Library

Min supported version

Max supported version

pandas

1.4.0

2.0.3

xarray

0.21.0

2022.9.0

numpy

1.19.3

1.26.4

scipy

1.6.3

1.11.4

matplotlib

3.4.0

3.6.1

Pillow

9.0.0

10.2.0

statsmodels

0.13.0

0.13.5

cvxopt

1.2.7

1.3.2

requests

2.25.1

2.31.0

Features & Enhancements#

Bug Fixes & Stability#

Maintenance & Under the Hood#

Full Changelog: https://github.com/quarkfin/qf-lib/compare/v2.2.10…v3.0.0

v2.2.10#

Released: 2023-09-25

This release introduces 2 addition(s), including Added BloombergTickerMapper, which provides mapping between Bloomberg Tickers and FIGI identifiers, fixes 1 issue(s), including Fixed BarChart class to allow creating unstacked charts, includes 1 breaking or behavioural change(s).

Features & Enhancements#

  • Added BloombergTickerMapper, which provides mapping between Bloomberg Tickers and FIGI identifiers by @myrmarachne in quarkfin/qf-lib#126

  • Added WaterfallChart

Bug Fixes & Stability#

  • Fixed BarChart class to allow creating unstacked charts by @eirik-thorp in quarkfin/qf-lib#124

Maintenance & Under the Hood#

  • RiskParityBoxesFactory allows now to customize tickers for different economic environments (tickers_dict parameter)

  • Waterfall Chart Setup by @zeynepgltuaydemir in quarkfin/qf-lib#125

  • Update risk parity boxes factory by @eirik-thorp in quarkfin/qf-lib#123

  • Update MSBIERTR Index to MSBICBGU Index by @mateioctavian in quarkfin/qf-lib#122

Backwards Incompatible changes#

  • RiskParityBoxesFactory accepts now AbstractPriceDataProvider instead of only BloombergDataProvider as the main data_provider

Full Changelog: https://github.com/quarkfin/qf-lib/compare/v2.2.9…v2.2.10

v2.2.9#

Released: 2023-08-03

This release introduces 3 addition(s), including DFTable - style header per level and style index per level in multiindex, fixes 1 issue(s), including DFTable - style header per level and style index per level in multiindex, includes 2 breaking or behavioural change(s).

Features & Enhancements#

  • DFTable - style header per level and style index per level in multiindex by @mateioctavian in quarkfin/qf-lib#121

  • DFTable - style header per level and style index per level in multiindex by @mateioctavian in quarkfin/qf-lib#121

  • Implemented the possibility of styling the index on levels in DTTable

Bug Fixes & Stability#

  • DFTable - style header per level and style index per level in multiindex by @mateioctavian in quarkfin/qf-lib#121

Maintenance & Under the Hood#

Full Changelog: https://github.com/quarkfin/qf-lib/compare/v2.2.8…v2.2.9

v2.2.8#

Released: 2023-07-31

This release introduces 2 addition(s), including Added index visibility, style and class in DFTable.

Features & Enhancements#

  • Added index visibility, style and class in DFTable by @mateioctavian in quarkfin/qf-lib#118

  • HAPI data provider - ticker with special characters support by @myrmarachne in quarkfin/qf-lib#117

Maintenance & Under the Hood#

  • Supporting Bloomberg tickers with special characters in HAPI data provider by @myrmarachne in quarkfin/qf-lib#117

  • StrategyMonitoringDocument - cleaning up returns and excess returns by @jmmcz in quarkfin/qf-lib#116

Full Changelog: https://github.com/quarkfin/qf-lib/compare/v2.2.7…v2.2.8

v2.2.7#

Released: 2023-05-16

This release introduces 2 addition(s), including Added HAPI identifier type, fixes 1 issue(s), including Issue templates.

Features & Enhancements#

  • Added HAPI identifier type by @myrmarachne in quarkfin/qf-lib#114

  • Added parser tests with ISIN

Bug Fixes & Stability#

Maintenance & Under the Hood#

Full Changelog: https://github.com/quarkfin/qf-lib/compare/v2.2.6…v2.2.7

v2.2.6#

Released: 2023-04-27

This release introduces 4 addition(s), including Added new class IBFIGItoIBContractMapper, which is mapper that can be used to map FIGI defined IB contracts to the more specific ones., includes 4 breaking or behavioural change(s).

Features & Enhancements#

  • Added new class IBFIGItoIBContractMapper, which is mapper that can be used to map FIGI defined IB contracts to the more specific ones.

  • Added more parameters for chart and ChartElement, such as savefig_settings by @mateioctavian in quarkfin/qf-lib#107

  • Adding contract_ticker_mapper missing docstring by @jmmcz in quarkfin/qf-lib#106

  • Introducing IBFIGItoContractMapper by @jmmcz in quarkfin/qf-lib#104

Maintenance & Under the Hood#

  • Changed TradingSession instance variable orders_filters, now initialized as empty list by @jmmcz in quarkfin/qf-lib#102

  • Changed pd date range keyword in compute_duration, class PortfolioAnalysisSheet by @jmmcz in quarkfin/qf-lib#103

  • Changed SecurityType parameter for classes SecurityType and IBContract, from CONFUT to CONTFUT by @jmmcz in quarkfin/qf-lib#105

Backwards Incompatible changes#

  • Eliminated from price_field_to_str_map the parameter ticker in all data providers by @mateioctavian in quarkfin/qf-lib#109

Full Changelog: https://github.com/quarkfin/qf-lib/compare/v2.2.5…v2.2.6

v2.2.5#

Released: 2023-01-31

This release introduces 6 addition(s), including Updated IB Broker update to support data requests parsing, fixes 3 issue(s), including Fixed convert_to_list usage in PresetDataProvider, includes 5 breaking or behavioural change(s).

Features & Enhancements#

Bug Fixes & Stability#

Maintenance & Under the Hood#

  • Replaced frame.append method to pandas.concat in HistoricalDataProvider by @zeynepgltuaydemir in quarkfin/qf-lib#91

  • Replaced .iteritems to .items in excel_exporter.py by @zeynepgltuaydemir in quarkfin/qf-lib#100

  • Replaced union_many with union by

  • BloombergBeapHapiParser now accepts a new parameter tickers_mapping

  • Changed label positions computation by @mateioctavian in quarkfin/qf-lib#101

  • Updated document parameter from the generate_html method to Optional by @mateioctavian in quarkfin/qf-lib#99

Full Changelog: https://github.com/quarkfin/qf-lib/compare/v2.2.4…v2.2.5

v2.2.4#

Released: 2023-01-31

This release introduces 2 addition(s), including Support exclude_weekends for PeriodicEvent for CalculateAndPlaceOrdersPeriodicEvent, fixes 3 issue(s), including Fixed aggregation of bars in the PresetDataProvider, includes 2 breaking or behavioural change(s).

Features & Enhancements#

  • Support exclude_weekends for PeriodicEvent for CalculateAndPlaceOrdersPeriodicEvent by @guyfreund in quarkfin/qf-lib#70

  • Added terminal identity to the settings by @myrmarachne in quarkfin/qf-lib#87

Bug Fixes & Stability#

  • Fixed aggregation of bars in the PresetDataProvider by @marcinborratynski in quarkfin/qf-lib#81

  • Fixed company_name in settings JSON file by @myrmarachne in quarkfin/qf-lib#89

  • Fixed non alphanumeric fields and tickers universe creation by @myrmarachne in quarkfin/qf-lib#86

Maintenance & Under the Hood#

Backwards Incompatible changes#

  • BloombergBeapHapiRequestsProvider accepts now optional parameter terminal_identity_sn by @myrmarachne in quarkfin/qf-lib#87

  • _PeriodicRegularEvent accepts now run_on_weekends boolean as parameter by @guyfreund in quarkfin/qf-lib#70

Full Changelog: https://github.com/quarkfin/qf-lib/compare/v2.2.3…v2.2.4

v2.2.3#

Released: 2022-10-26

This release introduces 4 addition(s), including Added currency parameter to BloombergBeapHapiDataProvider, includes 1 breaking or behavioural change(s).

Features & Enhancements#

  • Added currency parameter to BloombergBeapHapiDataProvider by @myrmarachne in quarkfin/qf-lib#85

  • introduced BinanceAccountSettings class by @myrmarachne

  • added _resolve_signal_duplicates to allow for signal duplicates by @marcinborratynski in quarkfin/qf-lib#82

  • Added tickers universe functionality to BloombergBeapHapiDataProvider by @myrmarachne in quarkfin/qf-lib#67

Maintenance & Under the Hood#

  • get_tickers_universe in BloombergDataProvider supports now historical dates by @myrmarachne in quarkfin/qf-lib#72

  • EmailPublisher: mail_to, bcc and cc work now for a single string instead of requiring a list of strings by @mateioctavian in quarkfin/qf-lib#83

  • Settings do not require any parameters to be initialized correctly by @jmmcz in quarkfin/qf-lib#71

  • Moved account name to binance_broker class only by @mateioctavian in quarkfin/qf-lib#84

  • Create CODE_OF_CONDUCT.md by @marcinborratynski in quarkfin/qf-lib#76

  • Account in broker by @marcinborratynski in quarkfin/qf-lib#80

  • put the orders that sell first to raise cash for buy orders by @marcinborratynski in quarkfin/qf-lib#79

  • disabling historyPriceCurrency in USD (runtimeOptions BBG) by @jmmcz in quarkfin/qf-lib#77

  • Running tests on feature branch pull requests by @myrmarachne in quarkfin/qf-lib#69

  • BacktestTradingSessionBuilder needs no data provider; removed GeneralPriceProvider from demo by @marcinborratynski in quarkfin/qf-lib#75

Backwards Incompatible changes#

  • BinanceBroker accepts now BinanceAccountSettings instead of Settings by @marcinborratynski in quarkfin/qf-lib#78

Full Changelog: https://github.com/quarkfin/qf-lib/compare/v2.2.2…v2.2.3

v2.2.2#

Released: 2022-09-28

This release introduces 3 addition(s), including Added reset functionality to ErrorHandling class, fixes 3 issue(s), including Fixed type conversion in the BloombergBeapHapiDataProvider parser, includes 1 breaking or behavioural change(s).

Features & Enhancements#

  • Added reset functionality to ErrorHandling class by @mateioctavian in quarkfin/qf-lib#63

  • Added field overrides to get_current_values and get_history requests in the BloombergBeapHapiDataProvider by @myrmarachne in quarkfin/qf-lib#66

  • Added tickers universe functionality to the BloombergBeapHapiDataProvider (get_tickers_universe function) by @karolinacynk

Bug Fixes & Stability#

  • Fixed type conversion in the BloombergBeapHapiDataProvider parser by @mateioctavian in quarkfin/qf-lib#60

  • Fixed get_current_values in BloombergDataProvider in case if one of many fields requested raises an Exception by @mateioctavian in quarkfin/qf-lib#60

  • Fix get current values by @mateioctavian in quarkfin/qf-lib#61

Maintenance & Under the Hood#

  • Changed on push requirement in the pypi release pipeline by @myrmarachne in quarkfin/qf-lib#59

  • Optimized universe and fields id creation for the BloombergBeapHapiDataProvider by @myrmarachne

  • Minor refactoring by @karolinacynk

  • substituted Ticker with BloombergTicker in beap hapi data provider by @karolinacynk

  • Beap hapi data provider by @myrmarachne in quarkfin/qf-lib#64

  • BEAP HAPI Data provider update by @myrmarachne in quarkfin/qf-lib#62

Full Changelog: https://github.com/quarkfin/qf-lib/compare/v2.2.1…v2.2.2

v2.2.1#

Released: 2026-06-03

This release introduces 1 addition(s), including Added font style capabilities to the excel exporter, fixes 4 issue(s), including Workflows/release action fix, includes 1 breaking or behavioural change(s).

Features & Enhancements#

  • Added font style capabilities to the excel exporter by @mateioctavian in quarkfin/qf-lib#56

Bug Fixes & Stability#

Maintenance & Under the Hood#

  • Changed on push requirementin the pypi release pipeline by @karolinacynk

  • Workflows/release update by @myrmarachne in quarkfin/qf-lib#57

  • Split relative performance into percentage and value difference by @marcinborratynski in quarkfin/qf-lib#55

  • Update preset_data_provider.py by @mateioctavian

  • get_history now also supports any single field type by @octavianmihaimatei

Full Changelog: https://github.com/quarkfin/qf-lib/compare/v2.2…v2.2.1

v2.2#

Released: 2022-06-10

This release introduces 7 addition(s), including Changed Strategy monitoring document (added relative performance chart and excess cone chart), fixes 3 issue(s), including Fixed get_price for DailyDataHandler and IntradayDataHandler, so that end_date bar is always inclusive and no data from the future is returned, includes 2 breaking or behavioural change(s).

Features & Enhancements#

  • Changed Strategy monitoring document (added relative performance chart and excess cone chart) by @myrmarachne

  • Added orders sizes rounding (OrderRounder class for the CRYPTO assets) by @myrmarachne

  • Added support for Binance - introduced BinanceTicker, BinanceDataProvider,BinanceContractTickerMapper, BinancePosition by @myrmarachne

  • Added backtest flow reference to read the docs by @myrmarachne in quarkfin/qf-lib#46

  • Added exclude_weekends function to the RegularMarketEvent by @myrmarachne

  • Changed the events management (strategies have subscribe function which they can use to subscribe to given events, new events were introduced, DailyMarketEvent was renamed to RegularMarketEvent) by @myrmarachne

  • Added API documentation by @myrmarachne in quarkfin/qf-lib#44

Bug Fixes & Stability#

  • Fixed get_price for DailyDataHandler and IntradayDataHandler, so that end_date bar is always inclusive and no data from the future is returned by @myrmarachne

  • Fixed get_last_available_price for DailyDataHandler and IntradayDataHandler, so that the latest price since the Open price of the current bar is returned by @myrmarachne

  • Fixed duplicate rows in CSVDataProvider by @myrmarachne

Maintenance & Under the Hood#

  • Adjusted urls + paths by @myrmarachne in quarkfin/qf-lib#49

  • Minor CSS changes by @myrmarachne in quarkfin/qf-lib#45

  • Improved performance of PresetDataProvider.get_last_available_price and PresetDataProvider.historical_price by @myrmarachne in quarkfin/qf-lib#48

  • Improved the performance of get_last_available_price and historical_price in PresetDataProvider by @myrmarachne

  • Minor readme update by @myrmarachne in quarkfin/qf-lib#43

Backwards Incompatible changes#

  • Positions are removed from the portfolio automatically after 10 days without any price by @myrmarachne

Full Changelog: https://github.com/quarkfin/qf-lib/compare/v2.1…v2.2

v2.1#

Released: 2022-03-29

This release introduces 5 addition(s), including Added support for python 3.7 and python 3.8 + Removed legacy data provider, fixes 3 issue(s), including Fixed BloombergDataProvider.get_current_values, so that now the function returns correct data types, instead of casting data to either float or string.

Features & Enhancements#

  • Added support for python 3.7 and python 3.8 + Removed legacy data provider by @myrmarachne in quarkfin/qf-lib#42

  • Introduced a new data provider: CSVDataProvider by @myrmarachne

  • Introduced new classes: BacktestCryptoPosition by @myrmarachne

  • Introduced new ticker classes: BinanceTicker by @myrmarachne

  • Introduced new SecurityType: SecurityType.CRYPTO by @myrmarachne

Bug Fixes & Stability#

  • Fixed BloombergDataProvider.get_current_values, so that now the function returns correct data types, instead of casting data to either float or string by @myrmarachne

  • Fixed BloombergDataProvider bug causing populating the returned series / data frames with NaN values, in case if preceding elements had errors by @myrmarachne

  • Minor readme fix by @myrmarachne in quarkfin/qf-lib#36

Maintenance & Under the Hood#

  • Fractional orders are allowed by @myrmarachne

  • Single date queries are now supported by the get_price function of the AbstractPriceDataProvider by @myrmarachne

  • Improved the performance of intraday prices aggregation in case of PresetDataprovider.get_price by @myrmarachne

  • Declaration of MarketOpenEvent is not needed for the PresetDataprovider.get_price function in case of data aggregation by @myrmarachne

  • StrategyMonitoringDocument cone chart shows now the excess return instead of performance by @myrmarachne

  • In case of intraday frequency get_price and get_history round the starting date to the next multiply of the given frequency (e.g. in case if start date points to 12:37, it will be shifted to either 12:40 for 5-minute frequency or 12:45 for 15-minute frequency) by @myrmarachne in quarkfin/qf-lib#40

  • Updated setup files and readme by @myrmarachne in quarkfin/qf-lib#34

  • Updated readme by @myrmarachne in quarkfin/qf-lib#35

  • Create tests.yml by @jmmcz in quarkfin/qf-lib#38

  • QF-Lib 2.0 by @myrmarachne in quarkfin/qf-lib#40

  • Coverage + read the docs by @myrmarachne in quarkfin/qf-lib#41

  • removed deprecated ExcelFilesComparator by @myrmarachne

Backwards Incompatible changes#

  • The CcyDataProvider class was removed by @myrmarachne

  • Added support for python 3.7 and python 3.8 + Removed legacy data provider by @myrmarachne in quarkfin/qf-lib#42

Full Changelog: https://github.com/quarkfin/qf-lib/compare/v1.2.0-beta…v2.1

v1.2.0-beta#

Released: 2022-01-19

This release introduces 6 addition(s), including Introduced a new data provider supporting Portara data. Added the following classes into the library: PortaraDataProvider, PortaraTicker, PortaraFutureTicker, fixes 1 issue(s), including Fixed API documentation.

Features & Enhancements#

  • Introduced a new data provider supporting Portara data. Added the following classes into the library: PortaraDataProvider, PortaraTicker, PortaraFutureTicker by @myrmarachne

  • Introduced new SecurityType Enum by @myrmarachne

  • Added new parameters to Ticker objects: security type and point value. To provide backwards compatibility, the default values in case of BloombergTicker, HaverTickers, QuandlTicker and CcyTicker are the following: security type equals to SecurityType.STOCK and point value equals to 1. by @myrmarachne

  • IBContract and IBContractTickerMapper classes were introduced to be used along with the IBBroker. by @myrmarachne

  • Added strategy parameter to the Order class by @myrmarachne in quarkfin/qf-lib#33

  • Added new elements to the API documentation by @myrmarachne in quarkfin/qf-lib#33

Bug Fixes & Stability#

Maintenance & Under the Hood#

  • Refactored the ticker to contract mapping utilities. Currently all backtests by default use the SimulatedContractTickerMapper, which does not require any tickers to contracts mappings. Mappings are necessary only in case of trading, when e.g. signals are computed using Tickers but the Broker expects a specific contract object (e.g. IBBroker with IBContractTickerMapper). by @myrmarachne in quarkfin/qf-lib#31

  • Version 1.2 by @myrmarachne in quarkfin/qf-lib#28

  • Updated setup.py by @myrmarachne in quarkfin/qf-lib#30

  • Updated intraday demo strategy for Future Tickers by @myrmarachne in quarkfin/qf-lib#31

  • Refactoring and cleanup by @myrmarachne in quarkfin/qf-lib#32

  • Removed unnecessary tests by @myrmarachne in quarkfin/qf-lib#24

  • Removed old legacy code by @myrmarachne

Backwards Incompatible changes#

Full Changelog: https://github.com/quarkfin/qf-lib/compare/v1.1.0-beta…v1.2.0-beta

v1.1.0-beta#

Released: 2021-10-13

This release introduces 7 addition(s), including Added new data provider, which uses the Bloomberg Enterprise Access Point (BEAP) HAPI, fixes 2 issue(s), including Fixed the commissions computation in case if the volume of the fill (transaction) differed from corresponding orders volume, includes 1 breaking or behavioural change(s).

Features & Enhancements#

  • Added new data provider, which uses the Bloomberg Enterprise Access Point (BEAP) HAPI by @myrmarachne

  • Created AbstractStrategy and unified the AlphaModelStrategy execution by @myrmarachne

  • Added time_in_force parameter to size_signals function in the PositionSizer class by @myrmarachne

  • Added time_in_force parameter to AlphaModelStrategy.__init__ function by @myrmarachne

  • Created OnBeforeMarketOpenSignalGeneration wrapper, to facilitate the subscription process of a given Strategy to the BeforeMarketOpenEvent by @myrmarachne

  • AlphaModels accept now DataProviders , current_time and frequency parameters were added to the get_signal function by @myrmarachne

  • Signal.last_available_price is not optional anymore, a required Signal.creation_time parameter was added by @myrmarachne

Bug Fixes & Stability#

  • Fixed the commissions computation in case if the volume of the fill (transaction) differed from corresponding orders volume by @myrmarachne

  • Fixed documentation and github pages settings by @myrmarachne in quarkfin/qf-lib#19

Maintenance & Under the Hood#

  • Changed the behaviour of get_price in DataHandler in case if the Open price is already available by @myrmarachne

  • Moved get_last_available_price and historical_price to DataProvider by @myrmarachne

  • Updated requirements by @myrmarachne in quarkfin/qf-lib#20

  • Released version 1.1 by @myrmarachne in quarkfin/qf-lib#22

  • Removed get_current_bar and get_current_prices from DataHandler by @myrmarachne

Backwards Incompatible changes#

  • Removed the on_before_market_open function from AlphaModelStrategy and removed the default subscription event (from now on, in order to preserve the previous behaviour, the OnBeforeMarketOpenSignalGeneration wrapper should be used along with the strategy) by @myrmarachne

Full Changelog: https://github.com/quarkfin/qf-lib/compare/v1.0.0-beta…v1.1.0-beta

v1.0.0-beta#

Released: 2021-07-02

This release introduces 12 addition(s), including Added a new tearsheet document (qf_lib.analysis.tearsheets.tearsheet_comparative.TearsheetComparative), fixes 1 issue(s), including Many fixes to the documentation and docstrings, includes 1 breaking or behavioural change(s).

Features & Enhancements#

  • Added a new tearsheet document (qf_lib.analysis.tearsheets.tearsheet_comparative.TearsheetComparative) by @myrmarachne

  • Added tools for backtest overfitting analysis (qf_lib.analysis.backtests_overfitting.backtests_overfitting.BacktestOverfittingSheet) by @myrmarachne

  • Added tools for exposure analysis (qf_lib.analysis.exposure_analysis.exposure_sheet .ExposureSheet) by @myrmarachne

  • Added tools for signals analysis containing various candlestick charts (qf_lib.analysis.signals_analysis.signals_plotter.SignalsPlotter) by @myrmarachne

  • Added tools for PnL computation (qf_lib.analysis.strategy_monitoring.pnl_calculator.PnLCalculator) by @myrmarachne

  • Added a new type of Alpha Model, which facilitates the use of futures contracts (qf_lib.backtesting.alpha_model.futures_model.FuturesModel) by @myrmarachne

  • Added the possibility of settings an expiration hour for FutureTickers (set_expiration_hour) by @myrmarachne

  • Added ListElement class, to support lists in PDF documents by @myrmarachne

  • Added sphinx requirements by @myrmarachne in quarkfin/qf-lib#18

  • Added FillBetweenDecorator by @myrmarachne

  • Added UnderwaterDecorator as a substituion for UnderwaterChart by @myrmarachne

  • Added sphinx requirements by @myrmarachne in quarkfin/qf-lib#18

Bug Fixes & Stability#

  • Many fixes to the documentation and docstrings by @myrmarachne

Maintenance & Under the Hood#

  • Improvements to the performance of BloombergDataProvider by @myrmarachne

  • Updated travis yml by @myrmarachne in quarkfin/qf-lib#17

  • Update pages.yml by @myrmarachne

  • Create pages.yml by @myrmarachne

  • Removed UnderwaterChart by @myrmarachne

Backwards Incompatible changes#

Full Changelog: https://github.com/quarkfin/qf-lib/compare/v1.0.0-alpha…v1.0.0-beta

v1.0.0-alpha#

Released: 2021-07-02

Contributors#

  • Jacek Witkowski,

  • Marcin Borratynski,

  • Thomas Ruxton,

  • Dominik Picheta,

  • Olga Kalinowska,

  • Karolina Cynk

Full Changelog: quarkfin/qf-lib

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