dd21346eca
API: Add slippage and commission models for futures
2017-04-25 17:29:41 -04:00
0da8a59f4c
Merge pull request #1762 from quantopian/quarterly-currency-futures
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MAINT: Use a quarterly cycle for JY, CD, AD, and BP continuous futures
2017-04-25 15:52:56 -04:00
88398236ff
MAINT: Use March quarterly cycle for JY, CD, AD, & BP continuous futures
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The March, June, September, and December contracts for these futures
contain most of the trading activity, so we exclude the other more
sparsely traded contracts from the chain.
2017-04-25 15:31:33 -04:00
8322423dc8
Merge pull request #1761 from quantopian/futures-cashflow-bugfix
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BUG: use isinstance
2017-04-24 17:06:34 -04:00
bed00a1b77
BUG: use isinstance
2017-04-24 17:06:26 -04:00
88fc696398
Merge pull request #1757 from quantopian/futures-commissions
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Assets everywhere ... and a futures fix.
2017-04-24 16:31:57 -04:00
15d8dc93a3
MAINT: PR feedback.
2017-04-24 15:41:23 -04:00
8c5e4b7bbc
BUG: Blotter should process as many splits as it can
2017-04-24 15:41:23 -04:00
64746b186b
BUG: get_splits should return empty list, not empty dict
2017-04-24 15:41:23 -04:00
5305fbe471
REF: Remove assetfinder from PerformancePeriod
2017-04-24 15:41:22 -04:00
9a0d9d868c
REF: Remove asset_finder and multipliers from PositionTracker
2017-04-24 15:41:22 -04:00
e429664fa6
REF: Blotter no longer needs AssetFinder
2017-04-24 15:41:21 -04:00
59a96bf782
REF: Make dataportal emit splits that hold Assets, not sids
2017-04-24 15:41:21 -04:00
1f8e194e09
BUG: Position cost basis was calculated incorrectly for Futures
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For futures, we need to divide the position’s commission by the
contract size to get a per-unit commission in order to properly update
the position’s cost basis.
2017-04-24 15:41:20 -04:00
b1248cb6d6
REF: Explicitly use Assets in Position, Order, Transaction
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(Instead of `sid`, which were already usually assets)
Perf packets are unchanged and still emit `sid`: int
2017-04-24 15:41:13 -04:00
123398d0e4
Merge pull request #1760 from quantopian/constant-futures
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TST: New fixture for constant futures data
2017-04-24 14:33:47 -04:00
ec6492c84e
TST: New fixture for constant futures data
2017-04-24 14:15:26 -04:00
2f87f548ba
Merge pull request #1755 from quantopian/schedule-function-calendar
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Add calendar factory for the schedule_function API
2017-04-24 10:07:30 -04:00
f3086c548d
API: Add factory for calendars
2017-04-24 09:37:32 -04:00
35c3cf0eb7
Merge pull request #1754 from quantopian/premature-continuous-futures-2
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Allow gaps between auto close and start date
2017-04-21 16:34:53 -04:00
67dd149660
BUG: Ordered contracts could end prematurely
2017-04-21 15:52:21 -04:00
4c334c6c38
PERF: Optimize session close lookups in resample bar reader ( #1749 )
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Optimize session close lookups in MinuteResampleSessionBarReader:
- Adds `session_closes_in_range` method (along with
`session_opens_in_range`) to TradingCalendar to allow vectorized
retrieval of all values in a range of sessions.
- Improves code path for resampling a single session's worth of data (as
is the case when calling `get_value`), since we don't actually need to
look up the close minute.
2017-04-11 16:35:04 -04:00
4f6dd9bca8
Merge pull request #1747 from quantopian/calendar-perf-improvements
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Improve TradingCalendar perf with scalar-optimized accesses
2017-04-11 10:15:28 -04:00
bd7f121e85
PERF: Only get session close in MinuteResampleSessionBarReader
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We only need the close, not the open.
2017-04-10 17:23:07 -04:00
6dd1616c15
PERF: Use scalar lookups for TradingCalendar.schedule
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When retrieving the open and close for a given session, we only care
about the scalar values, so using DataFrame.at instead of DataFrame.loc
is significantly faster.
2017-04-10 17:23:07 -04:00
bd1b7f263c
Merge pull request #1737 from quantopian/bump-blaze
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BLD: bump blaze
2017-04-10 16:22:09 -04:00
aad5cd362e
Merge pull request #1738 from quantopian/slippage-and-commissions-futures
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Add preliminary support for Futures slippage models
2017-04-10 15:05:28 -04:00
33442a9977
Merge pull request #1742 from quantopian/only-get-value-once
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MAINT: Refactor DataPortal._get_minute_spot_value to avoid two lookups
2017-04-10 14:56:29 -04:00
f6e1a95ca9
ENH: Preliminary support for Futures slippage and commission models
2017-04-10 14:37:20 -04:00
4b861fbf5e
Merge pull request #1745 from quantopian/reconcile-default-args
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Make certain continuous future arguments optional
2017-04-10 11:24:50 -04:00
e2fadae5ec
API: Make certain continuous future arguments optional
2017-04-07 14:02:36 -04:00
ea419492a2
Merge pull request #1739 from quantopian/fix-zipline-and-pandas-bug
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Fix zipline and pandas bug
2017-04-07 12:22:06 -04:00
02984a0483
Merge pull request #1743 from quantopian/premature-continuous-futures
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OrderedContracts chain could sometimes terminate on first contract
2017-04-07 11:03:33 -04:00
6f1d4b4a5f
BUG: OrderedContracts chain could sometimes terminate on first contract
2017-04-07 10:01:22 -04:00
df82d3a221
BUG: reload_symbol_maps should clear the equity_supplementary_maps
2017-04-06 19:04:09 -04:00
ae1f9f8734
Merge pull request #1735 from quantopian/speedup-daily-history-aggregator-closes
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PERF: Avoid repeated recursive calls when getting forward-filled close
2017-04-06 10:24:29 -04:00
f4f2048a68
PERF: Avoid repeated recursive calls when getting forward-filled close
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Instead of recursively calling `DailyHistoryAggregator.closes` until we
find a non-nan close, we can instead call `load_raw_arrays` once, and
find the value from the returned array.
2017-04-06 09:51:01 -04:00
13b5b7efdc
MAINT: Refactor DataPortal._get_minute_spot_value to avoid two lookups
2017-04-06 08:54:17 -04:00
8a672be7e7
Merge pull request #1741 from quantopian/remove-adj-method
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Remove ContinuousFuture adjustment method
2017-04-05 16:24:24 -04:00
6ffd029537
CRUFT: Remove ContinuousFuture adjustment method
2017-04-05 15:25:50 -04:00
0746fc7597
Merge pull request #1731 from quantopian/update-assetdbwriter-docs
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DOC: Show exchange as required for equities
2017-04-04 23:27:50 -04:00
b8b504b724
Merge pull request #1740 from quantopian/guarantee-can-trade-order
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BUG: Return from can_trade in same order as input.
2017-04-04 18:39:53 -04:00
d4fd955b29
Merge pull request #1729 from quantopian/us-futures-cal-in-tests
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Use 'us_futures' calendar in test fixtures
2017-04-04 17:49:51 -04:00
fb3efc6d75
MAINT: Guarantee bool dtype for can_trade.
2017-04-04 17:26:38 -04:00
0178ea03ea
REV: Only use benchmark csv files in source for testing
2017-04-04 17:18:49 -04:00
f3aba5f281
BUG: Return from can_trade in same order as input.
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This matches the behavior of history and data.current.
2017-04-04 17:12:21 -04:00
497708d86e
BUG: address pandas normalization bug on non-sorted DT index
2017-04-04 17:00:32 -04:00
e1d63dcee4
BUG: test DatetimeIndex equality correctly
2017-04-04 17:00:16 -04:00
0c246a7de1
DOC: Show exchange required for equities
2017-04-04 15:02:00 -04:00
483ec5dae8
TST: Make TradingEnvironment resources static
2017-04-04 10:58:45 -04:00
dmichalowicz