88ff033288
Merge pull request #1573 from quantopian/rename-specific-assets
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MAINT: Rename `SpecificAssets` to `StaticAssets`.
2016-11-01 12:15:10 -04:00
1b9b3c1a29
MAINT: Rename SpecificAssets to StaticAssets.
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This better reflects the intended usage of accepting a fixed set of
predetermined assets.
2016-11-01 11:01:36 -04:00
f878bf2365
BUG: load extensions in IPython magic ( #1543 )
2016-10-28 16:00:51 -04:00
156678ab6c
Merge pull request #1521 from quantopian/add-optimization-pass-for-initial-workspace
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Add optimization pass for initial workspace
2016-10-28 15:42:52 -04:00
2536ad29c3
STY: Put 0 at the end. ( #1569 )
2016-10-28 15:14:22 -04:00
dd191f4ab2
STY: cleanup
2016-10-28 15:04:18 -04:00
bb2d25e67c
ENH: Allow windows of NumericalExpression.
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If all the inputs to an expr are window-safe, then the expr is itself
window-safe.
2016-10-28 15:04:18 -04:00
582c44a4aa
TEST: Add more populate_initial_workspace tests.
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- Tests different pipeline lengths and window lengths.
- Tests a term that depends on a window of a term that's been
precomputed.
2016-10-28 15:04:18 -04:00
d07f133579
STY: remove unused imports and method, clean up docs
2016-10-28 15:04:18 -04:00
af3e1016a0
TST: add tests for postprocess and to_workspace_value
2016-10-28 15:04:18 -04:00
bac7af580b
TST: add more dispatches
2016-10-28 15:04:18 -04:00
bae4088cc0
ENH: cleanup branch based on feedback
2016-10-28 15:04:18 -04:00
0123bb8a97
ENH: prune the graph based on the initial workspace
2016-10-28 15:04:18 -04:00
e3e4ad2735
ENH: update aliasedmixin repr
2016-10-28 15:04:18 -04:00
c8e40a3736
ENH: Make aliases filters, factors, and classifiers to give them their methods
2016-10-28 15:04:18 -04:00
13c8139d45
WIP: Add Alias expression.
2016-10-28 15:04:18 -04:00
67b35168db
ENH: provide a hook for prepopulating the initial workspace
2016-10-28 15:04:18 -04:00
a1d4ceae54
ENH: Provide methods to undo the 'postprocess' step in computing pipeline output
2016-10-28 15:04:18 -04:00
5ecb5c3754
Merge pull request #1568 from quantopian/fix-microoptimizations
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Fix microoptimizations
2016-10-28 14:57:43 -04:00
21a3f1a7ed
MAINT: Consolidate data_portal names.
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Rename _get_daily_window_for_sids to _get_daily_window_data.
Rename _get_minute_window_for_assets to _get_minute_window_data.
Rename _get_daily_data to get_daily_spot_value.
2016-10-28 14:35:05 -04:00
8ccef7b9ab
DOC: Comment on outdated code.
2016-10-28 14:06:35 -04:00
1fbc17d281
BUG: Raise SidsNotFound in retrieve_asset.
2016-10-28 14:05:49 -04:00
2c819a672b
Merge pull request #1567 from bernoullio/master
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MAINT: Restore @property decorator
2016-10-28 12:10:58 -04:00
265c02b0c1
MAINT: Restore @property decorator
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This will keep `opens`, `closes`, `early_closes`, etc to the
same pattern.
2016-10-28 23:25:53 +08:00
285b5f7d77
Merge pull request #1561 from quantopian/micro-optimizations-2
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Micro optimizations 2
2016-10-28 10:36:33 -04:00
9a51efc7d2
Merge pull request #1565 from quantopian/fix-offset-history
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BUG: Fix continuous future history with offsets.
2016-10-28 09:44:34 -04:00
575a8cf048
BUG: Protect against contract offset at end of range. ( #1564 )
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This boundary case was exposed with internal fixture data which used a
continuous future with a contract chain of size one.
2016-10-27 16:48:34 -04:00
4235dbd758
BUG: Fix continuous future history with offsets.
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Apply offset value when writing out the rolls in a continuous future
which is offset from the primary.
2016-10-27 16:23:03 -04:00
43ca435e1a
Merge pull request #1563 from quantopian/use-same-session-for-contract-closes
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BUG: Use proxy for settlement on future adjustments.
2016-10-27 13:31:12 -04:00
aa021531d9
BUG: Use proxy for settlement on future adjustments.
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Instead of using the difference between the session close of the front
contract before the roll and and the open of back contract on the
beginning of the roll, use the close of both at the end of the session
before the roll.
The closes of the session prior to roll is in lieu of settlement data.
2016-10-27 12:40:59 -04:00
70cc6022f9
PERF: Call concatenate directly instead of hstack.
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Avoids a couple function calls in a hot path.
2016-10-26 23:49:48 -04:00
9e3eebc892
PERF: Don't round until after we hstack.
2016-10-26 23:30:12 -04:00
25c78de356
MAINT/PERF: Remove redundant method call.
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`_get_minute_window_data` was just forwarding its input to a method with
the same signature.
2016-10-26 23:28:34 -04:00
5547cca779
PERF: Pull out loop-invariant code.
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This shaves off 20 out of 160 seconds for an algorithm that makes a
large number of large universe, short window_length `history()` calls.
2016-10-26 23:27:33 -04:00
9d10e28d09
PERF: Use vectorized assignment into dataframe.
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This is a dramatic speedup (~25% in local benchmarks) for history calls
with a large number of assets and a short window length.
2016-10-26 21:10:40 -04:00
e7ca08038a
DEV delete old *.c and *.so files with rebuild-cython.sh for Darwin/OSX ( #1560 )
2016-10-26 19:08:36 -04:00
502fbf5357
PERF: Refactor AdjustedArrayWindow.
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Make `__next__` and `seek` share code instead of seek() calling
`__next__`. This avoids having to make a large number of integer
comparisons and `asanyarray` calls when seeking more than one tick
forward.
2016-10-26 17:32:27 -04:00
85fcf0ba9b
BUG: Return NaT instead of None in daily reader.
2016-10-26 17:32:27 -04:00
20531fb9c1
PERF: Vectorize assignments in get_history_window.
2016-10-26 17:32:27 -04:00
73cc580e0b
PERF: Remove attribute access in inner loop.
2016-10-26 17:32:27 -04:00
35a72f63a4
MAINT: Auto-rebuild templated cython files.
2016-10-26 16:44:07 -04:00
a56fc707ed
PERF: Try cache on scalar asset lookups.
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This provides a 15% speedup for an algo that calls `data.current` with
1000 every minute.
2016-10-26 15:22:28 -04:00
df2a091937
Merge pull request #1558 from quantopian/add-detail-to-history-calendar-mismatch
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MAINT: Add more info to history calendar KeyError.
2016-10-26 15:12:08 -04:00
cd36e3702f
MAINT: Add more info to history calendar KeyError.
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There have been cases where the requested start or end date is not in
the history calendar.
Add the beginning and of the calendar to the KeyError to give more
detail to figure out root cause.
2016-10-26 14:41:37 -04:00
f1929342d9
Merge pull request #1556 from quantopian/volume-based-rolls
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ENH: Volume based rolls for futures.
2016-10-25 15:21:41 -04:00
afbe3cdcd7
ENH: Volume based rolls for futures.
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Add roll style which takes the volume of the contracts into account.
If the volume moves from the front to the back before the auto close
date, the roll is put at that session.
Also, factors out some of the common logic shared with calendar based rolls.
2016-10-25 14:08:21 -04:00
321afc1626
Merge pull request #1555 from quantopian/return-nan-from-bcolz-daily-reader
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MAINT: Return nan from daily bcolz get_value.
2016-10-25 11:49:51 -04:00
098d38ac76
MAINT: Return nan from daily bcolz get_value.
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Match the behavior of the minute bar reader, now that the session and
minute bar readers share a common interface.
isnull is slightly slower than checking against -1; however, n cases
where we check against illiquid trades in a tight loop, volume is
checked which is not using nan. The change here should be marginal with
regards to performance.
2016-10-25 11:25:09 -04:00
0c81ee4af6
Merge pull request #1553 from quantopian/change-start-date-of-cf-tests
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TST: Make test dates aligned with test data.
2016-10-25 11:16:07 -04:00
3c7df3e997
TST: Make test dates aligned with test data.
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Move dates queried near beginning of test data so that the range of data
covered does not extend beyond the beginning of the range.
i.e. the windows were covering 2016-01-25, which had no test data generated.
(Does not matter for the calendar based rolls, but is needed for volume
based rolls.)
Also, make room for having the first roll to be a day before the first auto
close by moving the first contracts auto close date back a day.
In preparation for testing volume rolls.
2016-10-25 10:21:23 -04:00
Scott Sanderson