wassname/catalyst
1
0
Fork 0
mirror of https://github.com/wassname/catalyst.git synced 2026-06-30 05:39:30 +08:00
Code Issues Packages Projects Releases Wiki Activity

STY: PEP8 fixes.

Browse Source
This commit is contained in:
twiecki
2014-03-26 20:46:20 +09:00
parent 56c5c7e45a
commit 4bdecd6402
8 changed files with 49 additions and 49 deletions
Download Patch File Download Diff File Expand all files Collapse all files
zipline/data/loader.py
+4 -4
View File
@@ -51,7 +51,7 @@ CACHE_PATH = os.path.join(
'cache'
)
#Mapping from index symbol to appropriate bond data
# Mapping from index symbol to appropriate bond data
INDEX_MAPPING = {
'^GSPC':
('treasuries', 'treasury_curves.csv', 'data.treasury.gov'),
@@ -197,8 +197,8 @@ Fetching data from Yahoo Finance.
):
benchmark_returns = benchmark_returns.tz_localize('UTC')
#Get treasury curve module, filename & source from mapping.
#Default to USA.
# Get treasury curve module, filename & source from mapping.
# Default to USA.
module, filename, source = INDEX_MAPPING.get(
bm_symbol, INDEX_MAPPING['^GSPC'])
@@ -264,7 +264,7 @@ must specify stocks or indexes"""
if start is None:
start = pd.datetime(1990, 1, 1, 0, 0, 0, 0, pytz.utc)
if not start is None and not end is None:
if start is not None and end is not None:
assert start < end, "start date is later than end date."
data = OrderedDict()
zipline/data/treasuries_can.py
+3 -3
View File
@@ -36,7 +36,7 @@ _CURVE_MAPPINGS = {
'5year': (get_treasury_rate, "V39053"),
'7year': (get_treasury_rate, "V39054"),
'10year': (get_treasury_rate, "V39055"),
#Bank of Canada refers to this as 'Long' Rate, approximately 30 years.
# Bank of Canada refers to this as 'Long' Rate, approximately 30 years.
'30year': (get_treasury_rate, "V39056"),
}
@@ -47,7 +47,7 @@ BONDS = ['V39051', 'V39052', 'V39053', 'V39054', 'V39055', 'V39056']
def get_treasury_source(start_date=None, end_date=None):
today = datetime.date.today()
#Bank of Canada only has 10 years of data and has this in the URL.
# Bank of Canada only has 10 years of data and has this in the URL.
restriction = datetime.date(today.year-10, today.month, today.day)
if not end_date:
@@ -100,7 +100,7 @@ def get_treasury_source(start_date=None, end_date=None):
"%Y-%m-%d").date()
bond_header = bond_row.split(",")
#Line up the two dates
# Line up the two dates
if bill_end_date > bond_end_date:
bill_iter.next()
elif bond_end_date > bill_end_date:
zipline/finance/performance/period.py
+1 -1
View File
@@ -265,7 +265,7 @@ class PerformancePeriod(object):
return
if not pd.isnull(event.price):
# isnan check will keep the last price if its not present
# isnan check will keep the last price if its not present
self.update_position(event.sid, last_sale_price=event.price,
last_sale_date=event.dt)
zipline/gens/tradesimulation.py
+1 -1
View File
@@ -76,7 +76,7 @@ class AlgorithmSimulator(object):
# Processor function for injecting the algo_dt into
# user prints/logs.
def inject_algo_dt(record):
if not 'algo_dt' in record.extra:
if 'algo_dt' not in record.extra:
record.extra['algo_dt'] = self.simulation_dt
self.processor = Processor(inject_algo_dt)
zipline/transforms/batch_transform.py
+1 -1
View File
@@ -342,7 +342,7 @@ class BatchTransform(object):
if self.refresh_period == 0:
period_signals_update = True
else:
# 1. Is the refresh period over?
# 1. Is the refresh period over?
period_signals_update = (
self.trading_days_total % self.refresh_period == 0)
# 2. Have the args or kwargs been changed since last time?
zipline/utils/data_source_tables_gen.py
+1 -1
View File
@@ -106,7 +106,7 @@ def merge_all_files_into_pytables(file_dir, file_out):
createparents=True)
table.append(rows)
table.flush()
if not table is None:
if table is not None:
table.flush()
end = datetime.datetime.now()
diff = (end - start).seconds
zipline/utils/simfactory.py
+9 -9
View File
@@ -51,9 +51,9 @@ def create_test_zipline(**config):
# trade than order
trade_count = 101
#-------------------
# -------------------
# Create the Algo
#-------------------
# -------------------
if 'algorithm' in config:
test_algo = config['algorithm']
else:
@@ -65,9 +65,9 @@ def create_test_zipline(**config):
factory.create_simulation_parameters())
)
#-------------------
# -------------------
# Trade Source
#-------------------
# -------------------
if 'trade_source' in config:
trade_source = config['trade_source']
else:
@@ -80,21 +80,21 @@ def create_test_zipline(**config):
if trade_source:
test_algo.set_sources([trade_source])
#-------------------
# -------------------
# Benchmark source
#-------------------
# -------------------
test_algo.benchmark_return_source = config.get('benchmark_source', None)
#-------------------
# -------------------
# Transforms
#-------------------
# -------------------
transforms = config.get('transforms', None)
if transforms is not None:
test_algo.set_transforms(transforms)
#-------------------
# -------------------
# Slippage
# ------------------
slippage = config.get('slippage', None)
zipline/utils/tradingcalendar_tse.py
+29 -29
View File
@@ -88,7 +88,7 @@ def get_non_trading_days(start, end):
)
non_trading_rules.append(good_friday)
#Monday prior to May 25th.
# Monday prior to May 25th.
victoria_day = rrule.rrule(
rrule.MONTHLY,
bymonth=5,
@@ -207,7 +207,7 @@ def get_non_trading_days(start, end):
)
non_trading_rules.append(boxing_day)
#if boxing day is a sunday, the Christmas was saturday.
# if boxing day is a sunday, the Christmas was saturday.
# Christmas is observed on the 27th, a month and boxing day is observed
# on the 28th, a tuesday.
boxing_day_sunday = rrule.rrule(
@@ -271,34 +271,34 @@ def get_trading_days(start, end, trading_day=trading_day):
trading_days = get_trading_days(start, end)
#Days in Environment but not in Calendar (using ^GSPTSE as bm_symbol):
#--------------------------------------------------------------------
#Used http://web.tmxmoney.com/pricehistory.php?qm_page=61468&qm_symbol=^TSX
#to check whether exchange was open on these days.
#1994-07-01 - July 1st, Yahoo Finance has Volume = 0
#1996-07-01 - July 1st, Yahoo Finance has Volume = 0
#1996-08-05 - Civic Holiday, Yahoo Finance has Volume = 0
#1997-07-01 - July 1st, Yahoo Finance has Volume = 0
#1997-08-04 - Civic Holiday, Yahoo Finance has Volume = 0
#2001-05-21 - Victoria day, Yahoo Finance has Volume = 0
#2004-10-11 - Closed, Thanksgiving - Confirmed closed
#2004-12-28 - Closed, Boxing Day - Confirmed closed
#2012-10-08 - Closed, Thanksgiving - Confirmed closed
# Days in Environment but not in Calendar (using ^GSPTSE as bm_symbol):
# --------------------------------------------------------------------
# Used http://web.tmxmoney.com/pricehistory.php?qm_page=61468&qm_symbol=^TSX
# to check whether exchange was open on these days.
# 1994-07-01 - July 1st, Yahoo Finance has Volume = 0
# 1996-07-01 - July 1st, Yahoo Finance has Volume = 0
# 1996-08-05 - Civic Holiday, Yahoo Finance has Volume = 0
# 1997-07-01 - July 1st, Yahoo Finance has Volume = 0
# 1997-08-04 - Civic Holiday, Yahoo Finance has Volume = 0
# 2001-05-21 - Victoria day, Yahoo Finance has Volume = 0
# 2004-10-11 - Closed, Thanksgiving - Confirmed closed
# 2004-12-28 - Closed, Boxing Day - Confirmed closed
# 2012-10-08 - Closed, Thanksgiving - Confirmed closed
#Days in Calendar but not in Environment using ^GSPTSE as bm_symbol:
#--------------------------------------------------------------------
#Used http://web.tmxmoney.com/pricehistory.php?qm_page=61468&qm_symbol=^TSX
#to check whether exchange was open on these days.
#2000-06-28 - No data this far back, can't confirm
#2000-08-28 - No data this far back, can't confirm
#2000-08-29 - No data this far back, can't confirm
#2001-09-11 - TSE Open for 71 min.
#2002-02-01 - Confirm TSE Open
#2002-06-14 - Confirm TSE Open
#2002-07-02 - Confirm TSE Open
#2002-11-11 - TSX website has no data for 2 weeks in 2002
#2003-07-07 - Confirm TSE Open
#2003-12-16 - Confirm TSE Open
# Days in Calendar but not in Environment using ^GSPTSE as bm_symbol:
# --------------------------------------------------------------------
# Used http://web.tmxmoney.com/pricehistory.php?qm_page=61468&qm_symbol=^TSX
# to check whether exchange was open on these days.
# 2000-06-28 - No data this far back, can't confirm
# 2000-08-28 - No data this far back, can't confirm
# 2000-08-29 - No data this far back, can't confirm
# 2001-09-11 - TSE Open for 71 min.
# 2002-02-01 - Confirm TSE Open
# 2002-06-14 - Confirm TSE Open
# 2002-07-02 - Confirm TSE Open
# 2002-11-11 - TSX website has no data for 2 weeks in 2002
# 2003-07-07 - Confirm TSE Open
# 2003-12-16 - Confirm TSE Open
def get_early_closes(start, end):