483ec5dae8
TST: Make TradingEnvironment resources static
2017-04-04 10:58:45 -04:00
cf68953bf2
TST: Use 'us_futures' calendar in test fixtures
2017-04-03 10:18:03 -04:00
99dfe5961d
BUG: Getting continuous future current contract failed on None
2017-03-30 12:09:55 -04:00
7829541112
EHN: Make continuous future adjustment style an argument
2017-03-29 08:49:12 -04:00
0d157859e0
BUG: Open and close resampling code could hit index errors
2017-03-28 16:06:29 -04:00
6cf81a3f1c
ENH: Allow override of order amount rounding. ( #1722 )
...
* ENH: Use regular rounding to calculate order amounts.
We previously tried to prevent accidental over-ordering by truncating
orders down unless they were within 1e-4 of the next higher integer.
Unfortunately, this makes it easy for a sell order to be one share short
of the desired position.
Using regular rounding treats both buys and sells in the same way.
* ENH keep non-rounding behavior consistent, but leave code structured to make easier to override
* DOC make round_order public and describe behavior in docstring
2017-03-27 20:44:12 -04:00
ca9da830fd
STY: Add newline
2017-03-27 09:59:08 -04:00
598444a2e8
TST: Test for adhoc holidays in CFEExchangeCalendar
2017-03-27 09:56:40 -04:00
d66f7f53a0
ENH: Adding CFE Adhoc Holidays
...
The CFE was closed along with the NYSE in observation of the days of
mourning in honor of the passing of presidents Gerald Ford and Ronald
Reagan. The CFE also observed the closures due to Hurricane Sandy,
along with NYSE. Adding those adhoc holidays to exchange_calendar_cfe
and removing them from cfe.csv in tests. To fit with
USNationalDaysofMourning, also removing the closure in observation of
the day of mourning in honor of the passing of president Nixon in
1994, despite the fact that the exchange did not exist at that time.
Signed-off-by: Maxwell Rounds <maxwell.j.rounds@gmail.com >
2017-03-26 15:54:14 -07:00
15b8832421
Merge pull request #1718 from quantopian/more-generic
...
Add ContinuousFuture to lookup_generic
2017-03-25 09:23:35 -04:00
c86798bc16
ENH: Add ContinuousFuture to lookup_generic
2017-03-25 09:04:17 -04:00
158d90a9ec
ENH: Allow DataPortal.get_spot_value to accept multiple assets
2017-03-25 09:02:10 -04:00
43d6004cff
ENH: Adds StaticSids pipeline filter ( #1717 )
...
Useful for avoiding the need to create Asset objects when sids are
easier to use.
This is based off the existing implementation of StaticAssets, and
StaticAssets is now implemented as a wrapper around StaticSids.
2017-03-22 14:28:54 -04:00
bb801344e9
ENH: Better error message for non-existent root symbol
2017-03-16 11:18:17 -04:00
f4455179d4
Merge pull request #1710 from quantopian/sort-pipeline-data-on-asofdate
...
Sort pipeline data on asofdate
2017-03-15 14:40:11 -04:00
6e4060fc4f
BUG: sort data on asof_date to resolve ts conflicts
...
MAINT: fix arg default and update docstring
2017-03-15 14:10:58 -04:00
ea1fb05676
ENH: teach BarData about current session's minutes
2017-03-15 13:40:33 -04:00
153f6636c7
BUG: fix label array code dtype condense
2017-03-08 20:54:57 -05:00
b4e97bc9d8
TST: Add tests for winsorize factor
2017-03-07 17:14:27 -05:00
309ec73faa
ENH: Add winsorize factor
2017-03-06 14:08:28 -05:00
f90cd1ca0f
Merge pull request #1672 from quantopian/narrow-labelarray
...
narrow labelarray
2017-03-02 19:32:56 -05:00
35338df2b7
TST: add roundtrip check
2017-03-01 15:15:16 -05:00
f11b6467ac
Rename _attrs_to_check to asdict
2017-02-23 11:32:04 -05:00
ba484e5469
MAINT: Removes unnecessary capital_base arg to TradingAlgorithm ( #1677 )
...
Capital base is included in the sim params, so we should define the
value there, or use the default.
This change also unifies the default capital base as 1e5, as was
previously defined in algorithm.py.
2017-02-17 09:04:50 -05:00
6d47a36166
ENH: Eliminate potential look-ahead bias in volume rolls
2017-02-16 09:01:16 -05:00
4075971db4
Merge pull request #1684 from quantopian/fix-earnings-estimates-1-day-bug
...
BUG: fix loader bug for 1 day
2017-02-15 17:20:31 -05:00
382eef0e3d
BUG: fix loader bug for 1 day
2017-02-15 16:44:45 -05:00
296307a632
TST: Adds TestingSlippage slippage model ( #1679 )
...
Allows specifying a constant number of shares filled per tick.
Also adds the WithConstantEquityMinuteBarData fixture, relocated from
internal repo.
2017-02-09 08:56:15 -05:00
3d47aee2ab
STY: Wrap/reformat lines over 80 chars.
...
Newer versions of flake8 detect these versions, though current zipline version
of flake8 does not.
2017-02-08 00:47:33 -05:00
d66309a3a0
TST: add tests for inferred width labelarray
2017-02-07 16:28:13 -05:00
dd78bfa4e8
Change to a 10.5 hour futures calendar
2017-02-06 11:41:29 -05:00
b45c52b453
Bump empyrical to 0.2.2 ( #1674 )
...
* Bump empyrical to 0.2.2
* Update example data for tests
2017-02-04 16:14:33 -05:00
512c2bfb83
TST: Remove duplicate key in fixture config.
...
Should be no functional change.
2017-02-02 23:10:14 -05:00
82361e0542
ENH: store the 'codes' for a labelarray in the narrowest int type possible
2017-02-02 20:58:36 -05:00
b1cae1b76a
Merge pull request #1661 from quantopian/optionally-apply-deltas-adjustments
...
Optionally apply deltas adjustments
2017-01-31 15:40:43 -05:00
5a9e91b567
TST: add arg to test assertion
2017-01-31 15:19:05 -05:00
2fb90b4a25
Merge pull request #1667 from quantopian/pricing-fixture-cleanups
...
Pricing fixture cleanups
2017-01-31 10:32:17 -05:00
ae4511360f
Merge pull request #1665 from quantopian/determine_overwrite_type_dynamically
...
Determine overwrite type dynamically
2017-01-31 10:06:21 -05:00
66d1a0ce78
TST: add test cases for int and object dispatching
2017-01-31 09:43:39 -05:00
185e7a13f8
ENH: add Int64Overwrite and dispatching for it
...
BUG: column value should be float
DOC: update docs
2017-01-31 09:43:37 -05:00
750837c5f8
MAINT: determine core loader overwrite types dynamically
...
TST: update test to reflect adjustment mapping change
2017-01-31 09:43:34 -05:00
0c5f88e2f6
ENH: Add direct methods for session start/end.
...
Rather than having to do 'start, _ = cal.open_and_close_for_session(dt)'
to get just the start, we can now do 'start = cal.session_start(dt)'.
2017-01-30 13:00:45 -05:00
8f42fade24
ENH: Add futures support for generic asset lookup.
...
Attempt to lookup up the symbol in the futures table, after attempting to look
up the symbol in the equities table.
2017-01-26 21:08:30 -05:00
b891fd00d5
BUG: Multipliers were not removed when closing a position
2017-01-25 17:23:09 -05:00
0b8fee49d1
ENH: Solidify equality comparisons for SlippageModel classes
2017-01-24 11:28:32 -05:00
873f3a7fc9
BUG: Fix end session metadata for minute bar writer.
...
When opening with a new `end_session`, i.e. opening for append, write the new
end session to the metadata.
Fixes an issue where the calendar on minute bar readers did not include the
recently appended day, causing reads on the last values to fail.
According, update append test to read a value, instead of checking table length.
2017-01-22 15:14:05 -05:00
60e8ea30e5
Merge pull request #1644 from quantopian/closed-means-closed
...
Don't allow ordering assets after their auto close date
2017-01-20 10:19:27 -05:00
6e707f97a7
BUG: can_trade was true for assets after their auto close date
2017-01-20 09:54:30 -05:00
7c72a4fc56
BUG: fix a py3 invalid char
2017-01-19 20:43:48 -05:00
b5438ac94e
ENH: add current_session property to BarData
2017-01-19 16:53:49 -05:00
dmichalowicz