084e04dc56
Removes Cython from requirements list.
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zipline doesn't need Cython in stand alone mode.
2012-12-14 14:12:30 -05:00
1d3c10d82f
Updates to the latest version of Cython.
2012-12-14 10:26:53 -05:00
bbc8050c81
Merge pull request #42 from quantopian/iso8061_to_8601
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Remove unused ISO 8601 stuff from Zipline
2012-12-12 16:47:55 -08:00
11391f356b
Merge pull request #41 from quantopian/revert_fix_window
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Revert fix window
2012-12-12 16:47:42 -08:00
4c6f24094d
Merge pull request #39 from quantopian/backtest_end_dates
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Backtest end dates
2012-12-12 13:19:29 -08:00
3684a85474
Don't log warning when we only have a partial month's data
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which is an expected case.
2012-12-12 15:23:26 -05:00
095f2dd65b
Date bookkeeping fixes in perf and risk
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Issues appeared when we were close to the end of our
historical data.
Yielding DONE event with both perf and risk messages now
2012-12-12 15:23:26 -05:00
e7b504f4ca
Removed list of trading days since we already have an OrderedDict
2012-12-12 15:23:26 -05:00
831034eb3b
Remove unused ISO 8601 stuff from Zipline
2012-12-11 13:54:59 -05:00
17b1b245f1
Need nosexcover and coverage
2012-12-11 13:50:16 -05:00
71bcda9ba1
Upgrade to Logbook 0.4.1
2012-12-11 13:29:41 -05:00
f8e4d8ade6
Revert "BUG: EventWindow now always contains constant number of days."
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This reverts commit 7a0a6f5231
2012-12-11 12:12:51 -05:00
8621eb2223
Revert "STY: Removed drop_condition arguments."
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This reverts commit c7383f6275
2012-12-11 12:12:32 -05:00
3aaa2ef5a2
Updates msgpack-python to latest version.
2012-12-11 11:56:30 -05:00
4981c67c31
Handle missing historical data more elegantly
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Updated the search for treasury data when there is none for the
test end date.
It could be that the end date is not a trading day, or we could
just be missing treasury data. In either case, we try to recover
more gracefully now, by searching as far as possible and maybe
logging a warning.
Similarly, if there is no benchmark data for the test end date,
look for the next trading day. If we really have no data,
blow up with our own explicit exception, instead of overflowing
in our search for dates in the future.
2012-12-10 13:03:25 -05:00
7edf79f205
Adds dev requirements and goodies.
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Adds extra requirements for running IPython.
Adds some goodies for algorithms.
2012-12-10 11:57:14 -05:00
a4174b0da1
Merge pull request #38 from quantopian/only-use-int-float-fields-for-panel
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Limit the fields of batch transform datapanel to ints and floats.
2012-12-07 11:36:45 -08:00
67b8f63972
Limit the fields of batch transform datapanel to ints and floats.
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Previously, keys that mapped to functions would be set as field names.
Attempting to assign the datapanel slot to a function causes an error.
This limits the extracted field names to those that map to an int
or a float.
2012-12-07 14:35:55 -05:00
79a8a08812
STY: Renamed fillna to clean_nans.
2012-12-06 17:23:26 -05:00
5a585fc3aa
Merge pull request #37 from quantopian/fix_transforms
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Fix transforms
2012-12-06 14:00:35 -08:00
ecb26e9eec
BUG: Can not test for length when dropping nans.
2012-12-06 16:07:18 -05:00
c46e09f52a
BUG: Do not backfill but drop rows with N/A in them.
2012-12-06 15:52:50 -05:00
a14d702a0d
STY: Replaced hardcoded values with variables.
2012-12-06 15:26:49 -05:00
c7383f6275
STY: Removed drop_condition arguments.
2012-12-06 15:24:01 -05:00
dfefaafd03
BUG: Fixed source unittest (regression in testing source).
2012-12-06 14:46:33 -05:00
ba46c6292f
ENH: DataPanel is now created more flexible over all sids and all given fields. Added unittest to test for nan-filling. Added backwards filling by default.
2012-12-06 14:43:20 -05:00
5f6839beea
BUG: Refactored batch_transform unittests and fixed some bugs.
2012-12-06 12:36:47 -05:00
c69858f8b9
ENH: Added kwarg to turn off fillna or use different fill method.
2012-12-06 12:35:46 -05:00
7a0a6f5231
BUG: EventWindow now always contains constant number of days.
2012-12-06 12:33:18 -05:00
90fa80cc72
Merge pull request #36 from quantopian/add-special-non-trading-days
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Add special non trading days
2012-12-04 13:22:39 -08:00
bbef0658d1
Adds non-market days due to National Days of Mourning.
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Post-2002 Days of Mourning, Reagan and Ford
2012-12-04 15:07:05 -05:00
a8e1647d6e
Adds Hurricane Sandy related closings to non-trading days.
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Adds the closings on 10/29/2012 and 10/31/2012 to the
trading calendar rules.
2012-12-04 14:16:30 -05:00
b2b7ea0063
Adds closings due to 9/11 attacks.
2012-12-04 14:08:30 -05:00
81efe8247f
Merge pull request #35 from quantopian/makes-capital-base-more-configureable
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Allows the capital base of an algorithm to be more easily modified.
2012-12-04 07:49:53 -08:00
3ff3a6964e
Allows the capital base of an algorithm to be more easily modified.
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By having run() use a capital_base member of the algorithm to
create the trading environment, the capital base should now be
configurable in the instantiation of the algorithm.
e.g.:
```
algo = LowCapitalBaseAlgorithm(capital_base=1000.0):
```
2012-12-04 10:42:58 -05:00
ac8ae973bc
ENH: replaced union with intersection in assert (more stringent).
2012-12-04 10:17:53 -05:00
3f94fad97e
Fixes README link to Scipy.
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The wrapping line break was breaking the Markdown format.
2012-12-03 21:45:05 -05:00
402d2c87f5
Points Quantopian link in README to www.
2012-12-03 21:44:07 -05:00
1f09450584
Fixes reading of README file.
2012-12-03 19:43:41 -05:00
11a31dff22
Updates release version to 0.5.4
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Bugfix release.
Notable fixes:
- algorithm crashes due to missing data panel slots
- slippage model getting out of sync with the algorithm.
2012-12-03 18:26:48 -05:00
f81addb7df
ENH: batch_transform now adds arbitrary keys to datapanel.
2012-12-03 13:41:37 -05:00
803a0cee5c
Merge pull request #32 from quantopian/volumeshare_fp_error
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Fixed floating-point error in volume share slippage model
2012-11-29 10:02:59 -08:00
1b2f6739e9
Fixed floating-point error in volume share slippage model
2012-11-29 12:13:35 -05:00
149309d4af
Update README.md
2012-11-28 17:31:53 -05:00
e266d926f3
Updates quarter utilities to fix offset.
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Also, includes tests of quarter utilities.
Thanks to @richafrank.
2012-11-28 10:53:08 -05:00
89485a0ee9
Fixes invocation of datetime method.
2012-11-27 17:46:24 -05:00
cc0ff551ec
Adds quarter date utilities back into zipline.
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Paving the way for a refactoring that will bring some of the
universe logic, specifically quarter universe logic into zipline.
2012-11-27 17:16:21 -05:00
f62548d6b1
Merge pull request #31 from quantopian/slippage_model_bug
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Slippage model bug
2012-11-27 11:02:00 -08:00
4d41070585
Fix for slippage time getting out of sync with algo.
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Moved grouping by date earlier in the pipeline of generators,
prior to any date-dependent state getting involved. Grouping
pulls from the pipeline until the start of the next group,
which is in the next day. The effect of grouping after
slippage but before handle_data is that slippage and the algo
are out of sync by a transaction.
2012-11-27 13:38:50 -05:00
c81d6a30d1
Fix to inject log dates from slippage methods.
2012-11-27 12:41:07 -05:00
Eddie Hebert