Richard Frank and Eddie Hebert
4ba35d7d46
ENH: Stream benchmark and treasury data when downloading
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Instead of loading entire csv or xml into memory.
2013-04-22 12:35:17 -04:00
Richard Frank
e8f6b43f2b
TST: When comparing dicts, ensure they have the same keys.
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dict 'b' might have more keys.
2013-04-15 16:57:44 -04:00
Richard Frank
d487401989
BUG: Perf tracker should emit perf messages only for TRADE events
2013-04-15 16:57:33 -04:00
Richard Frank
2dbafd5162
BUG: Zero out the microsecond attribute of datetimes
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wherever we zero out the second attribute. Otherwise, we can be
off by some microseconds from midnight, etc.
2013-04-15 10:44:44 -04:00
Richard Frank
5a7702c22d
MAINT: Factored out _create_data_generator helper method
2013-04-03 16:04:33 -04:00
Richard Frank and Eddie Hebert
eb6b7c08fc
MAINT: Using zone attribute of tzinfo instead of string
2013-03-25 11:52:29 -04:00
Richard Frank and Eddie Hebert
fdf38d3562
BUG: Moved asserts back to before calculations that rely on them.
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This means we get a failed assert immediately, instead of an
OverflowError later.
2013-03-25 11:52:29 -04:00
Richard Frank and Eddie Hebert
ebdb5429aa
MAINT: Moved DailyReturn to protocol module to break circular references
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and removed code that solved that same problem with conditional imports.
2013-03-01 16:05:39 -05:00
Richard Frank
7696abb169
MAINT: Removed unused prior_day_open from SimulationParameters
2013-03-01 13:21:28 -05:00
Richard Frank
f914c53790
Added parameter type validation to record_variables
2013-02-11 18:07:05 -05:00
Richard Frank
59d76ce378
Don't let record_variables be used after initialize.
2013-02-11 14:44:46 -05:00
Richard Frank
471521f305
Merge pull request #53 from quantopian/performance-improvements-sorting-and-done-message
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Performance improvements sorting and done message
2013-01-07 10:13:09 -08:00
Richard Frank
805bfe0f30
Moved treasury_durations from property to module constant
2012-12-28 13:40:09 -05:00
Richard Frank
1e940d473a
Merge pull request #45 from quantopian/handle_no_treasury_data
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Forward-fill missing treasury data
2012-12-14 14:42:53 -08:00
Richard Frank
54063854aa
Forward-fill missing treasury data
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To handle, for instance, Columbus Day (Oct 10),
on which there is no treasury data.
We're only forward-filling data now, and
no longer searching both back and forward in time.
2012-12-14 17:29:27 -05:00
Richard Frank
4c6f24094d
Merge pull request #39 from quantopian/backtest_end_dates
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Backtest end dates
2012-12-12 13:19:29 -08:00
Richard Frank
3684a85474
Don't log warning when we only have a partial month's data
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which is an expected case.
2012-12-12 15:23:26 -05:00
Richard Frank
095f2dd65b
Date bookkeeping fixes in perf and risk
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Issues appeared when we were close to the end of our
historical data.
Yielding DONE event with both perf and risk messages now
2012-12-12 15:23:26 -05:00
Richard Frank
e7b504f4ca
Removed list of trading days since we already have an OrderedDict
2012-12-12 15:23:26 -05:00
Richard Frank and Eddie Hebert
4981c67c31
Handle missing historical data more elegantly
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Updated the search for treasury data when there is none for the
test end date.
It could be that the end date is not a trading day, or we could
just be missing treasury data. In either case, we try to recover
more gracefully now, by searching as far as possible and maybe
logging a warning.
Similarly, if there is no benchmark data for the test end date,
look for the next trading day. If we really have no data,
blow up with our own explicit exception, instead of overflowing
in our search for dates in the future.
2012-12-10 13:03:25 -05:00
Richard Frank
1b2f6739e9
Fixed floating-point error in volume share slippage model
2012-11-29 12:13:35 -05:00
Richard Frank
4d41070585
Fix for slippage time getting out of sync with algo.
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Moved grouping by date earlier in the pipeline of generators,
prior to any date-dependent state getting involved. Grouping
pulls from the pipeline until the start of the next group,
which is in the next day. The effect of grouping after
slippage but before handle_data is that slippage and the algo
are out of sync by a transaction.
2012-11-27 13:38:50 -05:00
Richard Frank
c81d6a30d1
Fix to inject log dates from slippage methods.
2012-11-27 12:41:07 -05:00
Richard Frank
f4be285dd7
Removed quarter utilities unused by zipline
2012-11-20 13:46:48 -05:00
Richard Frank
b27ef0323f
Merge pull request #26 from quantopian/change-day-to-trailing-window
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Changes EventWindow parameter of days to window length.
2012-11-20 10:44:37 -08:00
