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Author SHA1 Message Date
Richard FrankandGitHub 0c12e4a5a6 Merge pull request #1426 from quantopian/really-ingest 
BUG: Fixes zipline ingest with non-default bundle on python 2
 2016-08-22 18:56:27 -04:00
Richard Frank f247bc8d05 BUG: Fixes zipline ingest with non-default bundle on python 2 2016-08-22 18:30:39 -04:00
Andrew DanielsandGitHub 193b657bfe BUG: Fixes BcolzMinuteBarMetadata to read the version correctly (#1425) 
We were mistakenly using the minute_per_day field.

We now expose from the metadata object the version from which the
metadata was read. This allows a new test that verifies the version is
read correctly.
 2016-08-22 17:45:07 -04:00
Scott SandersonandGitHub 5be7e006e4 Merge pull request #1423 from quantopian/fix-sharedoc 
Fix sharedoc
 2016-08-22 14:51:05 -04:00
Lotanna EzenwaandGitHub 6fc5d7360d Merge pull request #1422 from quantopian/fix-ewma-constructors 
BUG: Add kwargs to ewma constructors
 2016-08-22 14:29:10 -04:00
Richard FrankandGitHub 8af09141f9 Merge pull request #1424 from quantopian/no-more-symbols 
DOC: Updated more docs to remove --symbols, which was removed
 2016-08-22 13:43:56 -04:00
Richard Frank 4c2783f7ca DOC: Updated more docs to remove --symbols, which was removed 2016-08-22 13:29:16 -04:00
Scott Sanderson ae121ec1dc MAINT: Simpler impl of pad_lines_after_first. 2016-08-22 13:14:31 -04:00
LotannaEzenwa c19d2855ad Added kwargs to ewma constructors 
fixed typos
 2016-08-22 13:14:23 -04:00
Scott Sanderson d52ff04626 DOC: Fix docs formatting for sharedoc. 
The first line of indentation was incorrect.
 2016-08-22 13:01:32 -04:00
Jean BredecheandGitHub 2b5ae892f8 Merge pull request #1407 from quantopian/minute_panel_daily_history 
ENH: Add fast "vectorized" `minute_to_session_label` for DatetimeIndex
 2016-08-22 10:27:40 -04:00
Richard FrankandGitHub 2eff193759 Merge pull request #1418 from quantopian/all-calendars 
All calendars
 2016-08-22 08:48:33 -04:00
Richard Frank cb097a2b80 DOC: Added licenses to calendar modules 2016-08-21 17:19:59 -04:00
Richard Frank 19c9bc2f41 MAINT: Removed unused holiday definitions 2016-08-21 17:19:59 -04:00
Richard Frank 09bd2abe2f BUG: Fix and test getting all default calendars 2016-08-21 17:19:59 -04:00
John RicklefsandGitHub aaa678d338 Merge pull request #1416 from quantopian/exch_full_synthetic 
ENH: Expose exchange_full on all Asset types
 2016-08-20 13:51:29 -04:00
John Ricklefs 8e3cc484db ENH: If no exchange_full provided, use exchange 2016-08-19 16:45:52 -04:00
John Ricklefs ccde5cbf56 ENH: Add exchange_full to all Assets, incl. Futures. 2016-08-19 16:45:52 -04:00
John Ricklefs fce87015d2 ENH: Expose exchange_full on Equity objects 2016-08-19 15:59:52 -04:00
Andrew DanielsandGitHub 5fb415eb12 ENH: Adds QuantopianUSFuturesCalendar (#1414) 
For trading US futures across the exchanges supported by Zipline.
 2016-08-19 13:40:09 -04:00
Eddie HebertandGitHub 653865b34c Merge pull request #1413 from quantopian/normalize-equity-future-in-data-portal 
MAINT: Remove future/equity distinction.
 2016-08-18 23:50:36 -04:00
Richard FrankandGitHub 2030dd02a1 Merge pull request #1409 from quantopian/doc-zipline-run 
DOC: Replace run_algo.py in docs with zipline run
 2016-08-18 17:37:00 -04:00
Nathan Wolfe 4865ade9b2 ENH: Add fast "vectorized" minute_to_session_label for DatetimeIndex 
The new TradingCalendar method is called `minute_index_to_session_labels`.
It takes a DatetimeIndex of in-order market minutes and returns a
DatetimeIndex of the corresponding sessions.

The new method is approximately 100x faster than mapping
`minute_to_session_label` over a large DatetimeIndex.
 2016-08-18 17:27:47 -04:00
Eddie Hebert e3bd7e43be MAINT: Remove future/equity distinction. 
In the data portal, remove methods that make a distinction between
future and equity asset type. Instead rely on the pricing reader
dispatching.

In support of incoming work which will upsample equity history arrays to
the larger future calendar.

Also, remove perf tracker tests which were using an equity
reader/writer, to be added back in later.
 2016-08-18 16:18:32 -04:00
Eddie HebertandGitHub 8834d0c35d Merge pull request #1412 from quantopian/remove-unused-data-portal-members 
MAINT: Remove unused data portal members.
 2016-08-18 16:14:24 -04:00
Andrew DanielsandGitHub 53ca68e8fb ENH: Pass calendar instance to BcolzMinuteBarWriter (#1406) 
* First pass.

* Improvements and fixes

- Update usages of BcolzMinuteBarWriter
- Updates with rebuilt example data
- Expose calendar from BcolzMinuteBarMetadata instead of calendar_name
- Keep market_opens and market_closes in metadata for compatibility

* Store start_session and end_session in minute bcolz metadata

- start_session replaces first_trading_day
- Add end_session to limit to correct days

* For last_available_dt, get last close from calendar to maintain tz

* Bumps version and handles earlier versionson read

* Rebuilt example data on python 3

* Indicate metadata fields that are deprecated
 2016-08-18 15:41:26 -04:00
Eddie HebertandGitHub a36766f1af Merge pull request #1411 from quantopian/add-htmlcov-to-gitignore 
TST: Add coverage output to gitignore.
 2016-08-18 15:07:15 -04:00
Eddie HebertandGitHub 04bf2f0b5e Merge pull request #1410 from quantopian/rename-history-loader 
MAINT: Remove equity from history loader classname
 2016-08-18 14:48:28 -04:00
Eddie Hebert 6c90a7c08b MAINT: Remove unused data portal members. 
Remove members which are not referred to.
 2016-08-18 14:38:35 -04:00
Eddie Hebert 2a45bd1829 TST: Add coverage output to gitignore. 
Ignore `htmlcov` directory created by `coverage html`.
 2016-08-18 14:11:26 -04:00
Eddie Hebert 1d22fab127 MAINT: Remove equity from history loader classname 
Prepare for using history loaders with both equity and future data,
 2016-08-18 14:10:00 -04:00
Eddie HebertandGitHub c482a7cd59 Merge pull request #1405 from quantopian/resample-session-from-minute 
ENH: Session bar reader resampled from minute data
 2016-08-18 13:26:24 -04:00
Scott SandersonandGitHub 1c0d407357 Merge pull request #1394 from quantopian/downsample 
Add Generic Downsampling to Pipeline
 2016-08-18 12:15:54 -04:00
Eddie Hebert f14fcd9b07 ENH: Session bar reader resampled from minute data 
Implement a `SessionBarReader` which uses a minute bar reader as a
backing source, resampling the minute bars into the box around the
corresponding session data.

Also, add future/CME test cases to resample suite.
 2016-08-18 11:37:42 -04:00
Scott Sanderson bdc72ec4c0 BUG: Fix broken graph visualizations. 2016-08-18 11:07:17 -04:00
Eddie HebertandGitHub 9e0e2c26a5 Merge pull request #1404 from quantopian/session-bar-fixup 
MAINT: Use session bar reader interface.
 2016-08-18 10:04:46 -04:00
Richard Frank 1226286cab DOC: Replace run_algo.py in docs with zipline run 2016-08-17 21:54:56 -04:00
Scott Sanderson c5a3dae267 BUG: Supply a module for Downsampled terms. 2016-08-17 19:48:33 -04:00
Scott Sanderson 0f5784ab53 BUG: Fix nondeterministic failure from sorting. 2016-08-17 19:48:33 -04:00
Scott Sanderson ecfe33b65b BLD: Ignore numpy_utils.py doctests on windows. 
They fail because of 32/64-bit issues.
 2016-08-17 19:48:33 -04:00
Richard FrankandGitHub 11f654a688 Merge pull request #1403 from quantopian/keep-last-zero 
BUG: Fixes should_clean for keep_last=0
 2016-08-17 19:05:31 -04:00
Richard Frank cbcb71bbad BUG: Fixes should_clean for keep_last=0 2016-08-17 18:18:01 -04:00
Scott Sanderson c53ef150ad BUG: Force iterator for py3. 2016-08-17 16:52:09 -04:00
Scott Sanderson a66731b9f3 BUG/TEST: Fix test assertion in py3. 2016-08-17 16:52:09 -04:00
Scott Sanderson 5fe60c76a7 BUG: Fix broken fixture resolution. 
Make sure that WithDefaultDateBounds is last in everyone's mro().
 2016-08-17 16:52:09 -04:00
Scott Sanderson 115f055c83 MAINT: Clean up downsampling boilerplate. 
Consolidate docs and mixin applications into one place.
 2016-08-17 16:52:09 -04:00
Scott Sanderson 8fa51bdaab MAINT: Use numpy_utils.as_column in more places. 2016-08-17 16:52:09 -04:00
Scott Sanderson d917a64d45 ENH: Add non-windowed downsampling. 2016-08-17 16:52:09 -04:00
Scott Sanderson a9b5b2ac2f DOC: Docstring cleanups. 2016-08-17 16:52:09 -04:00
Scott Sanderson 5f686173f1 STY: Flake8 cleanup. 2016-08-17 16:52:09 -04:00