Thomas Wiecki
013e23383c
ENH: Loading of benchmark data now path independent.
...
BUG: Correctly close file descriptor after use.
ENH: Use attrgetter instead of lambda function to sort keys.
ENH: Added package_data so that benchmark datasets will get installed.
2012-04-10 11:12:59 -04:00
fawce
8ce5159e91
Merge pull request #30 from quantopian/stable_upstream
...
Stable upstream
2012-04-10 08:00:39 -07:00
Stephen Diehl
ea340b6186
Datetime subclasses with tzinfo=UTC by default
2012-04-10 08:30:37 -04:00
Stephen Diehl
6f27009e82
Started datetime utiles lib.
2012-04-10 00:30:53 -04:00
Stephen Diehl
04d389b774
Remove old pandas-zmq protocol.
2012-04-09 23:43:53 -04:00
fawce
1ddca6e6e0
Merge pull request #28 from twiecki/patch-1
...
DOC: Added missing etc path to README.md. Minor restructuring of text.
2012-04-09 17:24:04 -07:00
Thomas Wiecki
55b8ccbb3c
DOC: Added missing etc path to README.md. Minor restructuring of text.
2012-04-09 18:51:33 -03:00
fawce
6bc3e7df20
Merge pull request #27 from quantopian/date_fixes
...
Updated ordersource to be concurrency agnostic! *woohoo*
2012-04-09 08:12:56 -07:00
fawce
73d63057c1
Updated ordersource to be concurrency agnostic!
2012-04-09 11:10:41 -04:00
fawce
6c71169f47
Merge pull request #26 from quantopian/date_fixes
...
fixed dates front to back to be proper market open/close, and to use sta...
2012-04-09 07:35:26 -07:00
fawce
14166ccc30
dropped the extra days in trading range...
2012-04-09 10:31:11 -04:00
fawce
57c39bf615
switching to only calculate the returns and risk on market close, rather than per trade.
2012-04-09 10:20:08 -04:00
Stephen Diehl
1dbe0975fc
NumpyChannel
2012-04-09 07:55:11 -04:00
fawce
aa2bcdf83e
ending values for portfolio, equity, and cash in cumulative were removed, because they are redundant to the same values in daily. Also removed starting cash, as it is unchanging and equal to the capital base.
2012-04-08 21:09:42 -04:00
fawce
237b42c11e
switched reporting to provide cash, equity, and total portfolio value
2012-04-08 13:53:40 -04:00
Stephen Diehl
16ceb68c7c
Move zmq topology mapper to dev/ folder
2012-04-07 09:58:50 -04:00
fawce
37a8bda4b2
fixed bogus initial portfolio value (should be zero).
2012-04-06 22:31:35 -04:00
fawce
30dfc86ba9
fixed dates front to back to be proper market open/close, and to use start/end first_open/last_close from the TradingEnvironment.
2012-04-06 20:49:56 -04:00
Stephen Diehl
80bfbd5dcb
Performance reports take either socket address or socket.
2012-04-06 13:31:39 -04:00
Stephen Diehl
5aee03212d
Replayable error log.
2012-04-06 12:39:27 -04:00
fawce
70d32f1bbc
Merge branch 'master' of github.com:quantopian/zipline
2012-04-05 23:54:04 -04:00
fawce
130b996a63
dropped the cursor from the protocol in zipline.
2012-04-05 23:43:56 -04:00
fawce
cad62346e7
updated zipline to fix missing fields in the performance and risk messages. also moved cumulative performance to be a sub component of the daily performance object.
2012-04-05 23:35:21 -04:00
Stephen Diehl
dea4271fbd
Merge branch 'master' of github.com:quantopian/zipline
2012-04-05 14:52:58 -04:00
Stephen Diehl
b924f57e53
"Fix" for hanging tests in simulator.
2012-04-05 14:52:43 -04:00
fawce
aaf2fae2b8
patched guard logic in max drawdown calculation. needs real work.
2012-04-05 12:43:43 -04:00
fawce
14b57dad07
patching the filter test because we are now trying to calculate end of test risk
2012-04-04 18:44:19 -04:00
Stephen Diehl
21f0f13e3b
Merge pull request #25 from quantopian/exception_reporting
...
Send a soft kill, not a hard kill.
2012-04-04 15:24:12 -07:00
Stephen Diehl
4998bc2e37
Send a soft kill, not a hard kill.
2012-04-04 18:23:06 -04:00
fawce
70cae31442
Merge pull request #23 from quantopian/integration
...
fixed bug where year report list included months instead. added a period...
2012-04-04 15:05:35 -07:00
fawce
50591c9913
Merge pull request #24 from quantopian/exception_reporting
...
Exception reporting
2012-04-04 15:05:05 -07:00
Stephen Diehl
c4dbec1e30
MergedParallelBuffer -> Merge, ParallelBuffer -> Feed
2012-04-04 18:03:13 -04:00
fawce
4adf8ff854
changes risk report period label to YYYY-MM format
2012-04-04 17:01:49 -04:00
Stephen Diehl
f3035c5739
monitor.py killing softly
2012-04-04 14:32:31 -04:00
Stephen Diehl
42f16ccdfb
Done & Exception tracking through sockets -> Controller
2012-04-04 12:22:12 -04:00
Stephen Diehl
3d8e355cfa
Integrate controller into do_work.
2012-04-04 11:42:58 -04:00
fawce
701687b812
fixed bug where year report list included months instead. added a period_label to risk metrics corresponding to the end date. e.g. April 2006
2012-04-04 11:37:19 -04:00
Stephen Diehl
e18dab58e5
Use proper logging.
2012-04-04 10:47:51 -04:00
fawce
78cceaa649
fixes and tests for result streaming.
2012-04-03 22:42:53 -04:00
Stephen Diehl
c2bd2872c1
Concurrency agnostic controller.
2012-04-03 18:12:16 -04:00
Stephen Diehl
e8d98084df
Exception tracking at the controller level.
2012-04-03 14:04:11 -04:00
fawce
9073d19780
Merge pull request #22 from quantopian/integration
...
Integration
2012-04-02 07:39:18 -07:00
fawce
e1a3a8e799
removed extraneous method
2012-04-02 10:37:27 -04:00
fawce
c7bb22d4d6
added a publish_to method to make the api access simpler for providing a socket into the zipline to publish.
2012-03-31 22:55:43 -04:00
fawce
7a7833a540
fixed missing fields, added a new random source option to test zipline (still buggy).
2012-03-30 17:48:05 -04:00
fawce
ba9f837320
prepping for PR.
2012-03-30 11:18:33 -04:00
fawce
ce6a91adb6
added a frame to get performance data written to the result stream. not complete, but functional.
2012-03-29 17:13:28 -04:00
Stephen Diehl
0f6868c431
Merge pull request #21 from quantopian/no_lock
...
fixed logic for timeouts on order. timeouts are not necessarily fatal.
2012-03-28 08:34:13 -07:00
fawce
757fb9db97
fixed logic for timeouts on order. timeouts are not necessarily fatal.
2012-03-28 11:30:39 -04:00
fawce
62202168bf
Merge pull request #20 from quantopian/awesome
...
Awesome
2012-03-26 17:01:36 -07:00
Thomas Wiecki