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Author SHA1 Message Date
Scott Sanderson 135080db84 MAINT: Don't use .loc with integers. 2016-09-20 16:24:54 -04:00
Scott Sanderson c998d619b1 MAINT: Bump numpy and pandas. 2016-09-20 16:24:54 -04:00
Richard FrankandGitHub 3fff6591cf Merge pull request #1493 from quantopian/enumpycal 
Enumpycal
 2016-09-19 16:27:13 -04:00
Richard Frank b924c3b795 PERF: Use empyrical with ndarrays instead of Series 2016-09-19 15:51:06 -04:00
Richard Frank 29c65d95b9 MAINT: Removing unused array and unused attribute 2016-09-19 15:19:30 -04:00
Jean BredecheandGitHub 77e50beade Merge pull request #1497 from quantopian/you-count-way-too-slowly 
PERF: Be smarter about counting the number of minutes across a contiguous bunch of sessions.
 2016-09-19 14:34:11 -04:00
Jean Bredeche 87eb87525f PERF: Be smarter about counting the number of minutes across a contiguous bunch of sessions. 2016-09-19 13:25:03 -04:00
Andrew DanielsandGitHub 95e07f2735 ENH: Adds truncate method to BcolzMinuteBarWriter (#1499) 2016-09-19 13:02:48 -04:00
Eddie HebertandGitHub 7de7067bdb Merge pull request #1496 from quantopian/revert-load-adjustments 
Revert "Merge pull request #1490 from quantopian/use-load-adjustments…
 2016-09-19 09:38:02 -04:00
Eddie Hebert 36b50554f6 Revert "Merge pull request #1490 from quantopian/use-load-adjustments-for-history" 
This reverts commit 86c7635b45, reversing
changes made to c77f2b92df.

Some real world cases hit errors with this change, due to the new offset
logic attempting to create Adjustments with invalid parameters.

Will identify exact conditions that cause this error and add as a test
case before remerging.
 2016-09-19 08:53:31 -04:00
Jean BredecheandGitHub 592a4dfd65 Merge pull request #1492 from quantopian/cache-minute-to-session-lookups 
PERF: Save up to 80% of the calls to minute_to_session_label
 2016-09-16 16:07:13 -04:00
Jean Bredeche 1d2e1015c7 PERF: Save up to 75% of the calls to minute_to_session_label 
One year NYSE test that buys a lot triggers 492,963 calls to
minute_to_session_label.  Only 98924 ~(390 * 252) make it past the
cache and trigger the heavier computation.
 2016-09-16 15:18:50 -04:00
Jean BredecheandGitHub f1dba1deb5 Merge pull request #1491 from quantopian/faster-lru-cache-take-2 
ENH: Switching from cachetools.LRUCache to lru-dict's LRU cache.
 2016-09-16 11:29:45 -04:00
Jean Bredeche eb7e1fa580 ENH: Switching from cachetools.LRUCache to lru-dict's LRU cache. 
lru-dict is written in C and seems much more performant.
 2016-09-16 11:03:13 -04:00
Eddie HebertandGitHub 86c7635b45 Merge pull request #1490 from quantopian/use-load-adjustments-for-history 
MAiNT: Use load_adjustments for history.
 2016-09-15 16:01:23 -04:00
Jean BredecheandGitHub c77f2b92df Merge pull request #1488 from quantopian/who-said-you-could-forward-fill-stop-that 
ENH: Make reader.get_value raise NoDataOnDate if the date is not in the calendar.
 2016-09-15 15:41:36 -04:00
Eddie Hebert 069abae1a3 MAiNT: Use load_adjustments for history. 
Instead of `HistoryLoader` containing separate adjustment calculation
logic, use `SQLiteAdjustmentReader.load_adjustments`.

This change required the addition of two offset parameters to
`load_adjustments` since the perspective on the data from within
`schedule_function` is skewed from how Pipeline looks at historical
data.

This is working towards creating an `AdjustmentReader` abc which
`SQLiteAdjustmentReader` and a upcoming continuous future adjustment
reader will share.
 2016-09-15 15:32:10 -04:00
Jean Bredeche ae0d41af6f ENH: Make reader.get_value raise NoDataOnDate if the date is not in the calendar. 
DataPortal now catches the NoDataOnDate exception and returns nan for
OHLC and 0 for V.

Price is still forward filled, unchanged.
 2016-09-14 22:21:43 -04:00
Richard Frank e1b27c45ae BLD: empyrical doesn't have a binary dependency on numpy 
so we don't need to tag its conda packages with the numpy version
 2016-09-14 21:04:07 -04:00
Scott SandersonandGitHub 2aa646c711 Merge pull request #1484 from quantopian/refcount-pipelines 
PERF: Release unneeded pipeline terms.
 2016-09-14 20:24:10 -04:00
Scott Sanderson 17d95691ad STY: Flake8 and parameter rename. 2016-09-14 14:45:00 -04:00
Jean BredecheandGitHub 5e52d29e88 Merge pull request #1486 from quantopian/all-the-readers-unite 
MAINT: Add BarReader base class for both minute and session readers
 2016-09-14 14:32:01 -04:00
Jean Bredeche a5693d0589 MAINT: Add BarReader base class for both minute and session readers 2016-09-14 13:47:12 -04:00
Scott Sanderson 31436cdedd MAINT: Move refcount management into TermGraph. 2016-09-14 11:16:40 -04:00
Scott Sanderson 3babc38038 PERF: Release unneeded pipeline terms. 
Refcount pipeline terms during execution and release terms once they're
no longer needed.

This dramatically reduces memory usage on large pipelines.
 2016-09-13 23:28:25 -04:00
John RicklefsandGitHub fb0981eef0 MAINT: Add additional fields to __getitem__ for Order (#1483) 
These were previously available like the others.
 2016-09-13 15:49:16 -04:00
John RicklefsandGitHub 508c7ace11 Revert "added DGZ to delete list" (#1481) 
This reverts commit a5ecaf4c3a.

This causes downstream problems; unsure why, Jamie advised
reverting.
 2016-09-13 14:45:12 -04:00
Richard FrankandGitHub 7b2ca76f3d Merge pull request #1479 from quantopian/run_algo-defaults 
BUG: run_algorithm with no data source should default
 2016-09-12 13:00:33 -04:00
Richard Frank 3bdba2ec50 BUG: run_algorithm with no data source should default 
to 'quantopian-quandl' bundle
 2016-09-12 12:17:17 -04:00
Richard FrankandGitHub df07f67614 Merge pull request #1467 from quantopian/check_param-string_types 
Check param string types
 2016-09-08 14:59:38 -04:00
Kathryn GlowinskiandGitHub 4a00e69212 More Fuzzy Symbol Fixes (#1475) 
* REF: More options before raise MultiFound.

* TST: Checks corner case for fuzzy matching.
 2016-09-08 14:52:57 -04:00
Scott SandersonandGitHub 1ccc9e4b64 Merge pull request #1471 from quantopian/fix-slow-startup 
PERF: Remove import-time calendar creations.
 2016-09-08 10:21:00 -04:00
Scott Sanderson 40fa6aeea4 STY: Fix flake8. 2016-09-07 21:58:15 -04:00
Scott Sanderson d6ad73e064 MAINT: Updates from Joe's PR feedback. 2016-09-07 20:42:19 -04:00
James McCorristonandGitHub 9c8f0ce667 Merge pull request #1434 from quantopian/update-leveraged-etfs 
MAINT: Update leveraged ETF list
 2016-09-07 13:48:12 -04:00
Jamie McCorriston a5ecaf4c3a added DGZ to delete list 2016-09-07 13:12:34 -04:00
Eddie HebertandGitHub cf44fcb207 Merge pull request #1473 from quantopian/release-1.0.2 
REL: Prepare for 1.0.2 release.
 2016-09-06 21:33:49 -04:00
Eddie Hebert 15aaafe290 REL: Prepare for 1.0.2 release. 
Update release notes.

Generate api stubs.
 2016-09-06 16:59:34 -04:00
Joe JevnikandGitHub 89786f195d Merge pull request #1472 from quantopian/branch-protect-hook-stopped-me-from-pushing-this-commit-directly-;_; 
ENH: improve warning for protocol getitem
 2016-09-06 15:42:14 -04:00
Joe Jevnik ec1ca28f67 ENH: improve warning for protocol getitem 2016-09-06 15:11:43 -04:00
Scott Sanderson 977d1fa0b9 MAINT/TEST: Update default calendar smoketest. 2016-09-06 14:13:32 -04:00
Joe JevnikandGitHub cf2abf10e2 Merge pull request #1449 from quantopian/getitem-is-not-getattr 
MAINT: remove __getitem__ as alias of __getattr__
 2016-09-06 13:48:17 -04:00
Joe Jevnik a3e869e565 DEV: update copyright in protocol.py (added code) 2016-09-06 12:42:06 -04:00
Joe Jevnik 154697965f ENH: just deprecate __getitem__, don't remove 2016-09-06 12:39:29 -04:00
Kathryn GlowinskiandGitHub 393aa06437 Merge pull request #1462 from quantopian/symbol-lookup-raises 
Symbol lookup raises
 2016-09-06 11:02:07 -04:00
kglowinski 658b5364d8 BUG: Fixing 2/3 compat. 2016-09-06 10:12:01 -04:00
kglowinski d7b3c54860 BUG: Handle case with mult symbol options for same sid. 2016-09-06 10:12:01 -04:00
kglowinski ebe8311f8b BUG: Fixing SymbolNotFound to be raised. 2016-09-06 10:12:00 -04:00
Scott Sanderson 1ca23f2583 PERF: Remove module-scope calendar creations. 
Remove module scope invocations of `get_calendar('NYSE')`, which cuts
zipline import time in half on my machine. This make the zipline CLI
noticeably more responsive, and it reduces memory consumed at import
time from 130MB to 90MB.

Before:

$ time python -c 'import zipline'

real    0m1.262s
user    0m1.128s
sys     0m0.120s

After:

$ time python -c 'import zipline'

real    0m0.676s
user    0m0.536s
sys     0m0.132s
 2016-09-06 09:57:23 -04:00
John RicklefsandGitHub c09f7ab04c Revert "BUG: Capital change deltas rely on cash, not portfolio_value" (#1470) 
This reverts commit 5b1aa5ec55.

The paradigm is: we're calculating a new capital base for the
performance period. We are therefore using the total
portfolio_value, not just the cash, to calculate the
difference from the specified target as the algorithm
has meaningful holdings.
 2016-09-05 14:12:04 -04:00