- moved Order and Blotter to zipline.finance.blotter
- moved order method from AlgoSimulator to Blotter
- eliminated the set_order method in algorithm
- moved blotter to the algorithm
- repeated calls with the same data window do not update batch transform
windows.
- repeated calls with the same data and same supplemental parameters do
not update batch transform results
- repeated calls with the same data and different supplemental params
do update batch transform results
- removed use_panel
- default for refresh_period is now 0
- refresh_period will only affect the recreation of the datapanel
- user's transform method is invoked on every call to batch transform
Uses a method called 'record' that provides a key value,
instead of providing keys to extract from context.
The variables are stored internally to the algorithm in a dictionary,
and not just stared as a property of the algorithm.
Main intent behind this change is to make the API more user friendly,
since the previous recorded_variables relies on the value to be set
in the algorithms context/self, the hope is that only having to use
the `record` method means less moving pieces and a more understandable
API.
i.e., instead of:
```
def initialize(self):
recorded_variables('foo', bar')
def handle_data(self, data):
self.foo = 1
self.bar = 2
```
The API is now:
```
def initialize(self):
pass
def handle_data(self, data):
self.record(foo=1, bar=2)
```
The recent change to the creation of the data panel ended up with
a panel with the dtype of 'object', which was causing numpy ufuncs
like `log` to crash out on an `AttributeError`.
This forces all frames in the panel to use a dtype of 'float',
we may want to look at seeting a dtype on a frame by frame basis,
e.g. 'volume' may more accurately be 'int'.
Takes the value set for a variable on handle_data and records it,
e.g.:
```
def initialize(self):
self.incr = 0
self.record_variables(['incr'])
def handle_data(self, data):
self.incr += 1
```
Would record a variable of `incr`.
Emits the recorded variables as part of the daily performance.
This batch combins work from:
Thomas Wiecki <thomas.wiecki@gmail.com> (@twiecki)
fawce <fawce@quantopian.com> (@fawce)
Starting down the path of making the portfolio completely read-only
with respect to the handle_data in algo.
The portfolio should only be changed during the course of running
the algorithm by the simulator.
This doesn't do a 100% protection, i.e. an algo could use _portfolio,
or the set_attr property, but hoping this helps guides algo writing
to treat the portfolio as read-only.
Mostly whitespace, line width and other spacing changes.
Also, removes use of deprecated has_key in favor of `in`
Going forward new patches should pass running `flake8` before
submission.
Jeremiah Lowin