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Commit Graph
1144 Commits
Author SHA1 Message Date
Eddie Hebert aa24701c30 Removes 'core' submodule. 
The last use of AddressAllocator has been removed.
(since zipline no longer uses zmq)

Also removes unused command line harness.
 2012-10-03 10:50:53 -04:00
fawce 9f8fd52b7d fixed bug where commission ignored order direction 2012-10-01 21:46:48 -04:00
fawce 7a8697f0e5 updated based on PR feedback. 2012-09-30 22:12:00 -04:00
fawce ebde40ab05 patched up tradesim from master. 2012-09-28 23:19:39 -04:00
fawce 1caefbff43 tests are passing for independent commission model 2012-09-28 23:12:41 -04:00
fawce e6b3e8e7b1 adding independent commission modeling. 2012-09-28 23:02:29 -04:00
Thomas Wiecki 39c3cf88ce Added profiling shell script. 2012-09-25 16:54:42 -04:00
Thomas Wiecki e353900010 Added 2 year data file. 2012-09-25 16:53:57 -04:00
Thomas Wiecki e09695819e Cleaned up example.py code. 2012-09-25 16:10:50 -04:00
Thomas Wiecki 53de4effd3 stdout_capture was causing problems for ipython notebook. 2012-09-25 14:53:13 -04:00
Thomas Wiecki 79ab1d13c0 Fixes circular import problem. 2012-09-25 13:35:47 -04:00
Thomas Wiecki 2e9947ab8c Accidentally commented out logging capture. 2012-09-25 12:21:26 -04:00
Thomas Wiecki 188a9502b0 Added passing of arguments to algorithm initialize and batch transform. 2012-09-25 11:48:37 -04:00
Thomas Wiecki 4324f95f36 Better unittest coverage. DataFrameSource is now filtering sids. Fixed outstanding issues. 2012-09-21 11:59:46 -04:00
Thomas Wiecki 4526cde4c5 Fixed weird regression in TestAlgorithm. 2012-09-19 19:37:21 -04:00
Thomas Wiecki a185a014db Merge branch 'master' into batch_window 2012-09-19 18:41:17 -04:00
Thomas Wiecki 3be2f313cd Shortened test window. Renamed functions in window transform. 2012-09-19 18:39:42 -04:00
Thomas Wiecki 2fe37fa34c Fixed pandas depracation. 2012-09-19 18:02:09 -04:00
Thomas Wiecki 729a4d9058 Large refactoring and documentation of new algorithm base class and batch transform. 2012-09-19 17:49:39 -04:00
Thomas Wiecki 7242a4ee86 BUG: asserting for correct index type. 2012-09-18 13:56:58 -04:00
Thomas Wiecki 280f122353 WIP: Lot of refactoring and bugfixing. 2012-09-17 18:35:21 -04:00
Thomas Wiecki 35a7da6ee7 Cleaned up depracated merged_transforms. 2012-09-17 17:13:20 -04:00
fawce 518d471a93 fixed slippage was ignoring order direction. 2012-09-17 15:31:59 -04:00
Thomas Wiecki 5b58318919 Merge branch 'optimize3' into batch_window 2012-09-17 12:49:56 -04:00
Thomas Wiecki a729435964 Merge branch 'master' into batch_window 2012-09-17 12:49:02 -04:00
Thomas Wiecki 5d00099243 example code now retrieves data from yahoo finance. 2012-09-17 12:15:36 -04:00
Thomas Wiecki ea5cbaba56 Commented out handle_data(). 2012-09-17 10:30:22 -04:00
fawce 1267f66dbe removed old refs 2012-09-14 19:42:55 -04:00
fawce fe8e107c59 dropping max drawdown, adding pytz to whitelist. 2012-09-14 16:00:13 -04:00
fawce 0bb0df525a pluggable slippage. 2012-09-14 12:33:10 -04:00
fawce 57a1834c5a refactored so that slippage is implemented as pluggable classes. 2012-09-13 21:22:01 -04:00
Thomas Wiecki 784fc72569 WIP: Changed Batch event window to inheritance for now. Added example covariance. 2012-09-12 22:06:19 -04:00
fawce c45c44b5c8 fixes per code review 2012-09-12 13:29:05 -04:00
fawce 50de0f5e39 support of qexec refactoring 2012-09-12 00:30:37 -04:00
fawce 1f55e8a033 added exception handling tests back. updates to support integration. 2012-09-10 23:06:13 -04:00
fawce 96e5801cf8 removed zmq from requirements files. 2012-09-08 23:24:53 -04:00
fawce 81718011df cut most of protocol, cut most of log_utils. 2012-09-08 23:20:38 -04:00
fawce c2d2305a8b removed log_utils, since it exists to create the zmq logbook handler. 2012-09-08 22:46:52 -04:00
fawce b046518c45 tests passing with new lines.py. Still some zmq references left. 2012-09-08 22:44:22 -04:00
Thomas Wiecki b74721421e WIP: First naive implementation of BatchWindow. 2012-09-07 16:55:01 -04:00
Thomas Wiecki 81ea337ae6 Resolve merge conflicts. Fix: use hasattr instead of checking class dict. Turn SimulatedTradingLite into a generator. 2012-09-07 10:28:36 -04:00
Eddie Hebert d6ddc1390d Ensures that EventWindow is a new style object. 2012-09-06 02:51:02 -04:00
Eddie Hebert 680f86ceb3 Removes unused imports. 2012-09-06 02:50:11 -04:00
Eddie Hebert d1c4902048 Removes unused CancelSignal. 
This was only triggered by the now removed Monitor.
 2012-09-06 02:35:37 -04:00
Eddie Hebert a4b19f66cb Removes unused, deprecated logger module. 2012-09-05 16:36:27 -04:00
Eddie Hebert d90c531679 Removes core.monitor module. 
The Monitor class that it provided was an artifact of a version
that depended on ZeroMQ as a communication layer instead of the
current generator bassed model.

Also, removes tests that were exercising the Monitor.
 2012-09-05 15:24:30 -04:00
Eddie Hebert 98f4e4c768 Applies PEP-8 recommendations. White space tweaking. 2012-09-05 12:54:35 -04:00
Eddie Hebert d505fba148 Removes unused component module from core. 
This had provided a Component class that was used in a ZeroMQ based
strategy for moving around data that his since been replaced by
the generator model.
 2012-09-05 12:54:34 -04:00
Eddie Hebert b19a4f79df Removes unused import and cleans whitespace in mavg. 2012-09-05 12:54:34 -04:00
Eddie Hebert ff526f11c9 Removes unused profile module. 2012-09-05 08:16:17 -04:00