38e8d5214d
PERF: History Perf Enhancements
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Limited use of `pandas` data structures in both `HistoryContainer` and
`RollingPanel`. Where possible, methods were amended to return raw
`ndarrays` with the indexing logic done separately. This allows us to
cut down the number of times pandas objects are created both as returns
and intermediate values. The separation of indexing from data access
allowed us to minimize the times we’d make use of pandas indexes.
This required that that certain methods like `NDFrame.ffill` be replaced
with versions that work with `ndarrays`. Some of this was done via
straight numpy methods and others by access pandas internal
machinery. Outside of allowing us to use faster ndarrays, many of these
function provided speedups over their pandas counterparts as we didn’t
require the extra features like handling multiple dtypes. i.e. np.isnan
is faster than pd.isnull, but only works with certain dtypes.
2015-02-11 06:25:53 -05:00
33cef17396
PERF: make next_window_start faster
2015-02-10 16:34:32 -05:00
a7188187e6
DEV Add preemptive check that benchmark return exists.
2015-02-10 14:54:52 +01:00
999f21e5ae
BLD Add new scrutinize code quality badge.
2015-02-10 10:18:56 +01:00
20c520d337
Merge pull request #492 from quantopian/dnt_list2
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MAINT: added cutpoint for overriding SecurityList implementation.
2015-02-09 13:33:25 -05:00
233bf3080d
security list type is a class level property now
2015-02-09 13:32:01 -05:00
67da7ca7a3
import statement cleanup
2015-02-09 12:54:50 -05:00
e3b21835f3
name changed to protect the innocent
2015-02-09 12:27:30 -05:00
1c2560a1fa
added cutpoint for overriding SecurityList implementation.
2015-02-09 12:23:46 -05:00
ffe5a7a171
Merge pull request #478 from quantopian/dnt_list
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ENH: no order guard, security lists
2015-02-05 15:15:34 -05:00
412baa3c3f
fixed catastrophic bug in load_from_directory
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and added a new test case
was not iterating over lookup date directory names, and
therefore mising all by one list of stocks.
discovered because of differing sort orders between
my local machine, other devs, and travis ci.
2015-02-05 13:57:41 -05:00
08a0d1b604
python 3.3 compatible iterators
2015-02-05 13:57:40 -05:00
2f7983fa35
adding data files to the egg for pip distribution.
2015-02-05 13:57:40 -05:00
1ab082102a
first edition of leveraged etf list
2015-02-05 13:57:28 -05:00
536ace94b8
new security list class
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and tests
2015-02-05 13:57:27 -05:00
909b412e9b
modified do not order guard to take an iteratble or a container
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container allows for dynamic restrictions, necessary for a
point in time implementation of the restricted list.
2015-02-05 13:56:46 -05:00
52f78fcbc7
restricted list trading control added.
2015-02-05 13:56:45 -05:00
4255016747
PERF: Add a wrapper around Series to speed up perf tracker bottleneck.
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Alleviates bottleneck caused re-indexing into a pd.Series during a tight
loop, by keeping track of the index value into the underlying `.values`
in a lookup table.
Based on suggestion from @dalejung
2015-02-03 12:57:32 -05:00
c734f23102
BUG: kwargs.pop() requires default argument.
2015-02-03 12:20:45 +01:00
9bdc2c8734
BUG: Support algo_filename being None. Fixes #480 .
2015-02-03 11:36:00 +01:00
65c038d0da
Revert "MAINT Update pandas to 0.15.2."
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This reverts commit b121759c68
2015-01-28 10:39:41 +01:00
575abf747f
Merge pull request #471 from quantopian/add_risk_to_datapanel
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ENH: risk measures in datapanel
2015-01-27 13:13:31 -05:00
9ccb2c571f
added cumulative risk measures to the
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datapanel produced from perf frames.
2015-01-22 22:31:40 -05:00
a5eefc7f8c
TST: Add nose-timer to travis.
2015-01-21 18:25:14 +01:00
b121759c68
MAINT Update pandas to 0.15.2.
2015-01-18 00:11:40 +01:00
ec055b62bc
Merge pull request #464 from quantopian/expand_perf_packet
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adding net leverage, long/short exposure, long/short position count
2015-01-08 17:33:22 -05:00
893e8bec09
added notes for new perf fields.
2015-01-08 13:31:48 -05:00
6c3e1e1ba4
added tests for performance pack fields
2015-01-07 21:47:13 -05:00
7ed5461f8f
de-linting
2015-01-07 21:47:01 -05:00
7668858c17
adding net leverage, long/short exposure, long/short position count
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to performance packets.
2015-01-06 22:33:28 -05:00
6a41faf474
MAINT: Make beta calculation robust to missing values.
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Risk calculations are robust to nans, except for
beta which calls numpy with the complete list of
algorithm_returns. If nans are present the result
of covar will be nan.
This is fixed by filtering out nans in
algorithm_returns.
2015-01-02 16:00:37 +01:00
82c94b1dc4
DOC: Fix typo in midnight
2015-01-01 13:54:04 +01:00
f474ee7eed
BUG: Various functions were missing from the API.
2014-12-31 09:43:35 +01:00
994f7ceee5
BUG: 'inf' is in Numpy, not Pandas.
2014-12-29 21:23:34 -05:00
96cbec3f54
BUG: Fix division-by-zero error if net_liquidation was 0.
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Converted _net_liquidation_value to a property to
streamline it a bit, too.
2014-12-29 14:52:31 -05:00
38e4d10c65
BUG: Fixes a bug that caused NDaysBeforeLastTradingDayOfMonth to not
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fire on the last day of december.
2014-12-26 18:20:30 -05:00
a3d7483488
MAINT: Upgrade to requests 2.5.1
2014-12-26 10:02:28 -05:00
d0eba3d1ca
DOC: Fix typo in TradingAlgorithm doc string.
2014-12-26 13:13:53 +01:00
8f3671bf24
DOC: Fix typo in TradingAlgorithm doc string.
2014-12-26 13:12:52 +01:00
e1ce6ff34e
Merge pull request #452 from quantopian/leverage
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ENH: Adding Leverage to performance tracking
2014-12-24 11:20:04 -05:00
afd95b72e1
CAL: Add world cup closing day to bmf calendar. Closes #390 .
2014-12-24 09:16:21 +01:00
3d4d3d0c2b
adding gross leverage to the perf packet.
2014-12-19 11:31:59 -05:00
71effa5e98
MAINT: Replace old ema_talib example with new one.
2014-12-19 14:04:27 +01:00
9d8bb3dfa9
DEV: Add quantopian_dual_ema_talib.py
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This file is identical to dual_ema_talib.py but it's in Quantopian syntax for easy copy/paste to Quantopian.
2014-12-19 14:04:27 +01:00
22cb6dcb40
added leverage and gross leverage to account.
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added tests and conditions for account values.
2014-12-18 17:07:19 -05:00
a0c041dca6
Merge pull request #451 from quantopian/risk-metrics-float-cast
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BUG: Assigned dtypes to the cumulative risk metrics DataFrame.
2014-12-17 15:13:11 -05:00
bed1ff3bce
BUG: Miniconda was breaking the travis build. Updated version.
2014-12-17 14:22:31 -05:00
05903a2031
BUG: Assigned dtypes to the cumulative risk metrics DataFrame.
2014-12-17 13:56:42 -05:00
cd976ee2dd
Merge pull request #449 from quantopian/bug_5089
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expand get_environment
2014-12-12 17:42:58 -05:00
51e43e3d61
BUG: Use string_types instead of basestring for py3 compat.
2014-12-09 11:17:28 -05:00
Dale Jung