The risk containers that are actually used for reports use the
'cumulative' style container which has an index of days, not minutes.
The minute containers and copying of data etc. were causing an expanding
memory footprint.
The intraday_risk_metrics is being removed since the values are not
used; cumulative risk metrics with the last value updated to the latest
close has been used for some time.
Before the removal of intraday_risk_metrics, the position trackers
passing of benchmark returns to the cumulative risk metrics needs to no
longer depend on the calculations done by the intraday stats. So instead
use the all_benchmark_returns stored in the tracker directly.
The correct thing to look at to figure out where the root of the
zipline tree is, is `zipline.__file__`, not `zipline.__path__`. The
latter could contain multiple directories in it, and is not intended
to be `os.path.join()`ed as the previous code was doing.
Rather than drop files temporarily into the master security lists
directory during unit tests, create temporary directories for the
tests. This avoids issues when the tests are being run at the same
time as other code that uses the real security lists data.
For beta calculation:
Remove `.dropna` , since it was creating a new
Series and Index which inflated memory usage as algorithm run time
progressed.
For downside risk calculations:
Instead of using pd.Series calculations, pass the underlying
numpy array which have already been sliced to the exact dt, so that the
call to `round` does not create a new Series.
Remove use of defaultdict for orders_by_modified, which was causing an
empty list to be added every time to_dict was called with a specified
dt.
Nnoticed in the minute emission case when hunting another memory leak,
every simulation minute a new Timestamp and list was created and never
let go.
Only fill limit order if impacted fill price is better than the limit price.
If a limit order is partially filled, only fill the remaining shares if the
impacted fill price is better than the limit price.
If a SID hasn't started trading yet, pandas' convention is to use nans.
Before this change, zipline would raise an exception if there were nans in the
input data.
We now skip events where the prices contains a nan and has not been traded
before (in which case forward fill).
Fixes#446.
Remove pieces that are no longer used now that the simple transforms are
wrappers around history via the SIDData object.
Move window length related pieces into batch_transform, since the rest
of the utils module is no longer used.
This commit refactors the Security cython class to Asset, and refactors some fields of the class accordingly. This change is so the terminology is consistent and correct when Asset is extended to asset types that are not securities, such as futures.
on the number of per-tick update that occur since they were duplicated
per each PerformancePeriod. Also opens up the path to cythonizing the
entire object
A cython __richcmp__ function isn't allowed to assume that its first
argument is the same as the type of the class to which it belongs, so
our code needs to account for either of its two arguments being of the
wrong type.
Furthermore, the correct way for __richcmp__ to handle when it doesn't
know how to do a comparison is to return NotImplemented.
Python 3 for some reason doesn't like usage of the cmp() built-in, so
instead of using cmp(), just subtract the two ints being compared.
In addition to making this work with Python 3, it should also be more
performant since it no longer requires calling the cmp() method.
The >= comparison for the Cythonized Security object was actually
doing <=. Fix this and add unit tests for all the Security object rich
comparison operators.
The class is not yet used. Adding this class is part of the effort to allow Zipline
simulation of more types of assets than stocks.
DEV: Adds build_ext to .travis.yml
Previously the class SerializeableZiplineObject was used to
house basic __setstate__ and __getstate__ methods. It wasn't
really doing much that was helpful, so it is now gone.
Eddie Hebert