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Previous attempt to make sim_parms logic clearer had clobbered the
override logic when sim_params is passed to the run function.
Added a few comments as well as restructuring how the sim_params
that are passed to run overrides the default values or not.
This also makes the passing of sim_params to run to no longer have
the side-effect of overwriting the default sim_params.
Removes from requirements_dev.txt, since requirements_dev.txt is
used in various unit testing environments, ipython, pyzmq, etc.
is extra weight that is being unecessarily pulled in.
- perf modified to let non-performance related events flow through.
- changes to support streaming non-trading data through batch transforms
and for mixing in sids with just custom data.
- allowing CUSTOM events to flow through to transforms.
- Added logic to maintain pre-specified sid filter.
Instead of a loosely defined object for Order, explicitly
defines the parameters and corresponding members.
Clearing the way for adding more members to the Order object.
Makes TradingAlgorithm available at the top-level.
So that algorithms can do:
```
import zipline
class MyAlgo(zipline.TradingAlgorithm)
```
OR
```
from zipline import TradingAlgorithm
class MyAlgo(TradingAlgorithm)
```
Instead of using division of the amount by itself to extract
the direction, uses math's copysign.
Should be almost functionally equivalent,
but copysign won't have a possible floating point error leading
the direction to not be exactly 1.
So that both computational and memory overhead is reduced,
this turns off serializing positions for cumulative performance.
Positions were essentially being doubled up by being stored
in both cumalative and daily.
So that transactions are kept by default.
This prepares for the addition of the serialize flag added by
@fawce.
Setting the default to True, so that the flags will be aligned.
- repeated calls with the same data window do not update batch transform
windows.
- repeated calls with the same data and same supplemental parameters do
not update batch transform results
- repeated calls with the same data and different supplemental params
do update batch transform results
If the trading_days end date is not greater than the date being
tested, (this can happen if the algorithm's end date is set to a date
that is before the latest date available saved in the msgpacks),
then trying to get the location will fail, instead searchsorted
will get the lastest date available in the trading day map to use
as a test date.
- removed use_panel
- default for refresh_period is now 0
- refresh_period will only affect the recreation of the datapanel
- user's transform method is invoked on every call to batch transform
The loader_tool currently facilitates:
- Finding the last date in each source
- Forcing a complete reload of benchmark and treasury.
- Manipulating the msgpacks so that trailing dates are dropped,
so that the condition for an update can be recreated.
This is intended to make it easier to test the update logic added
by @rday in PR #88
- the underlying dequeue shouldn't be modified, so forwarding to the
user function is a bit misleading
- if we want to provide a dequeue we should consider another class
or an EventWindow decorator.
Eddie Hebert