Victor Grau Serrat
fb32e1ce5d
Fixing DailyBarReader for volume to 0 instead of NaN
2017-10-17 23:16:49 -06:00
fredfortier
1a4dfe8abb
Fixed date range issues and issues retrieving the benchmark data
2017-10-17 21:01:00 -04:00
Victor Grau Serrat
ead6769ea2
retrieve benchmark from ExchangeBundle
2017-10-17 15:39:20 -06:00
Victor Grau Serrat
e98d10c41b
Fix floats for volume in data.history
2017-10-16 22:29:33 -06:00
fredfortier
874968bbbb
Refactoring the exchange bundle for incremental loading
2017-10-05 18:06:17 -04:00
Victor Grau Serrat
3b681d197d
Purge 5-min implementation
2017-09-28 11:03:47 -06:00
Victor Grau Serrat
fef08d1433
Merge branch 'poloniex-exchange' into concurrent-exchanges
2017-09-26 10:53:56 -06:00
fredfortier
2f8768bb06
Merged Victor's hack for the minute writer precision
2017-09-21 16:36:10 -04:00
Victor Grau Serrat
1f56325895
fix price resolution in 1-minute data bundle: 8 decimal places
2017-09-20 23:37:55 -06:00
Victor Grau Serrat
7359cdc48f
fix data.history error with tz-aware dataframe
2017-09-20 16:20:57 -06:00
Victor Grau Serrat
a1bc174740
Wrapping up 1min data for Poloniex in backtesting
2017-09-20 15:11:18 -06:00
Victor Grau Serrat
3361b09ac2
Merge branch 'fractional-coins' into develop
2017-09-15 16:06:30 -06:00
fredfortier
5a345a3abb
Documentation and cleanup from meeting with Victor
2017-09-15 18:00:15 -04:00
Victor Grau Serrat
01eefd67e0
ingestion switch to create_writers when ingesting locally
2017-09-15 10:51:04 -06:00
Victor Grau Serrat
c3897cfa5a
ENH: wrapping up asset min_trade_size for fractional coinsup to 1/100000000th of a coin
2017-09-14 15:22:51 -06:00
Victor Grau Serrat
48143d3212
WIP: Fixes 1/1000 price issue in history, and works with full coins. Requires matching-version 'catalyst ingest'
2017-09-13 17:22:11 -06:00
Victor Grau Serrat
01473e5146
Fixes 1000 scaling price issue
2017-08-28 13:15:31 -06:00
Victor Grau Serrat
16f9ab3ba5
Retrieve cryptobenchmark from bundle, instead of Polo
2017-08-28 12:20:54 -06:00
Victor Grau Serrat
3a44a3cc1f
Date fix for treasury_data, starts 1990-01-02
2017-08-25 12:44:43 -06:00
Victor Grau Serrat
b2e5b5f73d
Dropbox -> AWS switch for Poloniex bundle
2017-08-24 12:55:33 -06:00
Victor Grau Serrat
753ca1db5a
fix issue #27 : create_writers=False except when bundling
2017-08-17 23:06:32 -06:00
Victor and GitHub
13d405b2b2
Merge pull request #24 from rterbush/tz-localize
...
Normalize timestamps before comparison.
2017-08-14 14:42:19 -04:00
Victor Grau Serrat
a01bcd538a
fix issue #16 of empty files in /var/tmp; treasury data start 19990
2017-08-14 06:22:55 -04:00
Victor Grau Serrat
3c8f6958fd
OPEN cal start=2015-03-01, minor fixes for rc-0.1.dev7
2017-08-09 12:49:53 +02:00
Victor Grau Serrat
cafd79bd0f
asset_filter fix, revert old bundle paths, BaseBundle exception fix
2017-08-08 21:13:59 +02:00
Randy Terbush
5dd79609c6
Normalize timestamps before comparison.
2017-08-01 15:44:31 -06:00
Conner Fromknecht
c494ac64ca
WIP: Integration of generic bundle and five minute bars
2017-07-21 04:10:58 -07:00
Conner Fromknecht
0f6ee33495
Initial work on quandl bundle
2017-07-21 04:10:58 -07:00
Conner Fromknecht
bfffdc681f
Further documentation of BaseBundle class and UI improvements
2017-07-13 16:12:32 -07:00
Conner Fromknecht
f0050f2e2f
CLI UI improvements
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* Customzed progressbar format and display information
* Added new bar to BaseBundle and DailyBarWriter
2017-07-13 16:12:32 -07:00
Conner Fromknecht
64cd22b1c4
WIP: Generic Data Bundles
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* Split up inheritance structure of Bundle classes
2017-07-13 16:12:32 -07:00
Conner Fromknecht
826ad061f6
WIP: Five Minute bars and FiveMinuteSimulationClock
2017-07-13 16:12:32 -07:00
Conner Fromknecht
aeb6c01272
WIP: abstract bundle class for generalizing data curation
...
Started PoloniexBundle to adapt current ingestion logic to new structure
2017-07-13 16:12:32 -07:00
Conner Fromknecht
722cb0011f
Added uninitialized time import to fix uncached benchmark fetching
2017-07-07 02:23:19 -07:00
Conner Fromknecht
c0d0bc33d2
Converted OHLCV columns to use uint64. Default tick size now 1/1000th of a coin
2017-07-06 15:06:35 -07:00
Conner Fromknecht
3ea14af600
Convert Timestamp to UNIX time before fetching benchmark
2017-07-01 18:27:16 -07:00
Conner Fromknecht
59b7b1deb0
Expose poloniex data curation methods to load benchmark dynamically
2017-07-01 18:27:16 -07:00
Conner Fromknecht
ec276f60e3
Fixed bundle imports
2017-07-01 18:27:16 -07:00
Conner Fromknecht
38a4578f41
Update poloniex bundle URL
2017-07-01 18:27:16 -07:00
Conner Fromknecht
4b15df7806
Ingest poloniex data from remote tar
2017-07-01 18:27:15 -07:00
Conner Fromknecht
bc9d60a8d7
Moved bundle download methods into catalyst/data/bundles/core
2017-07-01 18:27:15 -07:00
Conner Fromknecht
2d26758fba
General improvements
2017-07-01 18:26:57 -07:00
Conner Fromknecht
db9ab0075b
Initial BcolzFiveMinuteBarWriter/Reader
2017-06-23 18:49:19 -07:00
Conner Fromknecht
b4b19a7555
USDT_BTC benchmark
...
This commit:
* Adds a crypto_benchmark that can create benchmarks for symbols found on POLO
* Changes default trading calendars to OPEN
* Properly computes daily bar data from five minute POLO bars
* Allows trading of one hundredth of a coin, later we plan to integrate per the
ratio of a full coin to its base denomination.
2017-06-23 18:44:45 -07:00
Conner Fromknecht
9c03012aa4
Untold improvements
2017-06-22 20:50:07 -07:00
Conner Fromknecht
46aa5f0c02
Changed default bundle to poloniex and new crypto examples
2017-06-20 17:23:21 -07:00
Conner Fromknecht
7de0fb52b3
Working crypto data on NYSE calendar
2017-06-20 15:40:37 -07:00
Conner Fromknecht
c4a7d21f8b
NYSE -> OPEN calendar for (most) default calendars
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* Added extra bundle parameters for catalyst/poloniex bundles
2017-06-20 14:18:15 -07:00
Victor Grau Serrat
fdd7a5ab67
WIP: Poloniex bundle
2017-06-20 16:37:04 -04:00
Conner Fromknecht
99efa7a9f3
Fixed catalyst tests except example tests
2017-06-19 14:43:10 -07:00
Victor Grau Serrat