0bcdb640ca
Merge pull request #1726 from quantopian/cf-adjustment-arg
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Make continuous future adjustment style an argument
2017-03-29 09:15:22 -04:00
f0f8bac2ab
EHN: Make continuous future adjustment style an argument
2017-03-29 08:49:12 -04:00
0d0473cb44
Merge pull request #1721 from quantopian/out-of-bounds-price
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Negative indexing in cython without wraparound
2017-03-29 08:46:50 -04:00
066a7776d2
BUG: Open and close resampling code could hit index errors
2017-03-28 16:06:29 -04:00
35203c6904
Merge pull request #1728 from quantopian/rework-resample-close
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MAINT: Clear up naming and logic in resample close.
2017-03-28 14:02:27 -04:00
2792de1f92
MAINT: Clear up naming and logic in resample close.
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- Instead of maintaining a separate `j` value, set the bounds of the range so
that `i` is the values emitted by the range.
- Change `close_loc` to `prev_close_loc` since the market close location is used
to ensure that the data index stops at the market open if the entire day is
nans.
- Change the setting of `loc` to be done before the loop which check for nans,
instead of setting to the previous close loc at the end of the loop.
This prepares for a separate fix to prevent out of bounds access when the first
session has nans for all minutes.
2017-03-28 13:30:12 -04:00
ee19186e51
Merge pull request #1727 from quantopian/resample-whitespace-cleanup
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STY: Cleanup trailing whitespace in resample module.
2017-03-28 13:00:33 -04:00
63c80109ec
STY: Cleanup trailing whitespace in resample module.
2017-03-28 12:16:39 -04:00
81b943c61d
ENH: Allow override of order amount rounding. ( #1722 )
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* 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
4916fb5fcc
Merge pull request #1723 from quantopian/deploy-docs-without-path.py
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ENH: Remove path.py as its not a dependency
2017-03-27 19:26:20 -04:00
3e1f3c1e54
ENH: Remove path.py as its not a dependency
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MAINT: Add try finally block to deal with exceptions
2017-03-27 18:53:09 -04:00
0e3421ead8
Merge pull request #1725 from quantopian/adhoc-cfe-calendar-test
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TST: Adhoc holidays in CFEExchangeCalendar
2017-03-27 18:17:09 -04:00
2010a7faf8
STY: Add newline
2017-03-27 09:59:08 -04:00
b81ddd7d73
TST: Test for adhoc holidays in CFEExchangeCalendar
2017-03-27 09:56:40 -04:00
02b26a97a5
Merge pull request #1698 from trical09/master
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ENH: Add CFE Adhoc Holidays
2017-03-26 19:30:04 -04:00
24ce67a7cf
ENH: Adding CFE Adhoc Holidays
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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
7ef17ae3af
Merge pull request #1718 from quantopian/more-generic
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Add ContinuousFuture to lookup_generic
2017-03-25 09:23:35 -04:00
5b27790126
Merge pull request #1719 from quantopian/vectorize-spot-value
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Allow DataPortal.get_spot_value to accept multiple assets
2017-03-25 09:22:59 -04:00
c0355af316
ENH: Add ContinuousFuture to lookup_generic
2017-03-25 09:04:17 -04:00
8a25ac3af0
ENH: Allow DataPortal.get_spot_value to accept multiple assets
2017-03-25 09:02:10 -04:00
c0a76a5303
ENH: Adds StaticSids pipeline filter ( #1717 )
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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
2860708a44
Merge pull request #1683 from shadiakiki1986/bugfix_index_should_be_int
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BUG: Convert index to int so that the pandas indexing doesnt fail
2017-03-16 13:36:10 -04:00
78e56c33ef
Merge pull request #1715 from quantopian/missing-cf-error
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Better error message for non-existent root symbol
2017-03-16 12:02:15 -04:00
825ba5717e
ENH: Better error message for non-existent root symbol
2017-03-16 11:18:17 -04:00
f561e2ea54
Merge pull request #1714 from quantopian/test-fixture-fix
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Equity daily data test fixture was using wrong sids
2017-03-15 16:44:05 -04:00
83756d4660
Merge pull request #1710 from quantopian/sort-pipeline-data-on-asofdate
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Sort pipeline data on asofdate
2017-03-15 14:40:11 -04:00
58fb830ebd
BUG: sort data on asof_date to resolve ts conflicts
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MAINT: fix arg default and update docstring
2017-03-15 14:10:58 -04:00
8292264229
Merge pull request #1713 from quantopian/teach-data-about-current-session-minutes
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ENH: teach BarData about current session's minutes
2017-03-15 14:02:17 -04:00
c9254d395d
ENH: teach BarData about current session's minutes
2017-03-15 13:40:33 -04:00
fa56fe4954
TST: Equity daily data test fixture was using wrong sids
2017-03-15 13:16:45 -04:00
3909269806
Merge pull request #1712 from quantopian/adjustment-cython-checker-recs
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MAINT: Apply linter recommendations to adjustments module.
2017-03-15 12:38:00 -04:00
4071a52702
MAINT: Apply linter recommendations to adjustments module.
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Remove unused variables.
Add type for values used to access arrays.
2017-03-15 11:26:38 -04:00
9a7e847ab7
BUG: use integer division for index so that pandas indexing doesnt fail
2017-03-13 07:42:51 +00:00
b95088ca76
Merge pull request #1709 from quantopian/whatsnew-1.1.1
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DOC: Add whatsnew for 1.1.1
2017-03-10 18:07:04 -05:00
dcf1210043
DOC: Add whatsnew for 1.1.1
2017-03-10 17:46:13 -05:00
40fc1c9185
REL: Update stubs for 1.1.0 release
2017-03-10 17:19:57 -05:00
beb4bd8c6e
BUG: fix label array code dtype condense
2017-03-08 20:54:57 -05:00
85eef5cb6b
Merge pull request #1699 from quantopian/yahoo-url-update
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MAINT: Updated yahoo url for SSL
2017-03-08 16:04:51 -05:00
3004108464
Merge pull request #1681 from quantopian/1.1.0-whatsnew
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DOC: Draft whatsnew for 1.1.0 release
2017-03-08 15:51:16 -05:00
d3b9da83c9
DOC: Write up whatsnew for 1.1.0 release
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DOC: Clarify changes and fix formatting
DOC: Remove 1.0.3 whatsnew
DOC: More formatting
DOC: Remove superfluous info
DOC: Change deploy command
DOC: Fix typo
DOC: Add mention of winsorize factor
DOC: Change date of release
DOC: Remove date for now
DOC: Change release to development
2017-03-08 14:53:47 -05:00
476e86a041
Merge pull request #1703 from quantopian/ceil-bugfix
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BUG: ceil returns float, int needed for array indexing
2017-03-08 11:35:31 -05:00
5d77a4bf94
BUG: ceil returns float, int needed for array indexing
2017-03-08 11:05:54 -05:00
2d1108fb7e
Merge pull request #1702 from quantopian/reader-last-dates
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Set data portal last trading session/minute if passed
2017-03-08 10:04:24 -05:00
6596c03351
BUG: Set data portal last trading session if passed
2017-03-08 09:07:03 -05:00
de3702ab59
Merge pull request #1696 from quantopian/add-winsorize
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ENH: Add winsorize factor
2017-03-07 18:07:09 -05:00
9252b62b2b
TST: Add tests for winsorize factor
2017-03-07 17:14:27 -05:00
799bad957d
ENH: Add winsorize factor
2017-03-06 14:08:28 -05:00
cb76f1fc16
MAINT: Updated yahoo url for SSL
2017-03-05 17:37:45 -05:00
cfdbe883b1
Merge pull request #1672 from quantopian/narrow-labelarray
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narrow labelarray
2017-03-02 19:32:56 -05:00
44563d351b
TST: add roundtrip check
2017-03-01 15:15:16 -05:00
David Michalowicz