18ee06f0d4
Merge pull request #1746 from quantopian/update-transaction-repr
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MAINT: Add better repr for transactions
2017-05-08 14:54:24 -04:00
d733605327
Merge pull request #1783 from quantopian/slippage-cleanup
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Slippage cleanup
2017-05-05 14:36:25 -04:00
035311213e
MAINT: allowed_asset_types is already defined in the base class
2017-05-05 14:09:02 -04:00
56a993bfc6
BUG: Fixed abstractness of MarketImpactBase
2017-05-05 14:09:02 -04:00
a1d055abb1
MAINT: process_order is a method
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and call super's __init__ to set up base state
2017-05-05 14:09:01 -04:00
07561469bc
Merge pull request #1780 from quantopian/include-diff-in-daily-bars-assertion
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MAINT: Display diff if input to daily bar writer has gaps/extra bars
2017-05-04 10:48:08 -04:00
560ff3cacf
MAINT: Display diff if input to daily bar writer has gaps/extra bars
2017-05-04 10:19:09 -04:00
52667b4a90
MAINT: Handle gaps in input to daily bars writer ( #1778 )
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Previously, a dataframe passed into BcolzDailyBarWriter.write that was
missing an expected session between its first and last sessions would be
written incorrectly. Upon converting the dataframe to a ctable, the
values for all days following the gap would be shifted backwards, and
nans would be shifted in at the end.
This commit handles the issue by asserting that the number of rows in
the input table matches the number of sessions in the calendar between
the table's first and last sessions.
Also fixes a test that was mistakenly using minutes_in_range where it
should have been using sessions_in_range (uncovered by this change).
2017-05-03 20:49:22 -04:00
f0e100bcf3
Merge pull request #1779 from quantopian/silver-chains
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Gold/Silver futures contracts only trade certain months
2017-05-03 17:18:56 -04:00
cb3926f81c
BUG: Gold and silver futures contracts only trade certain months
2017-05-03 16:34:01 -04:00
9095b241f2
MAINT: Add better repr for transactions
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Flake8
2017-04-28 11:13:40 -04:00
c0123b9caa
Merge pull request #1770 from quantopian/zero-transaction-volume
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Futures slippage model could have zero transaction volume
2017-04-26 13:59:33 -04:00
3ff281079a
BUG: Futures slippage model could have zero transaction volume
2017-04-26 13:35:00 -04:00
06d8ddc3cc
Merge pull request #1769 from quantopian/py3-warnings
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BUG: Python3 compatibility.
2017-04-26 10:46:34 -04:00
04cf61d03d
BUG: Python3 compatibility.
2017-04-26 10:47:27 -04:00
a11574c942
Merge pull request #1768 from quantopian/shim-portfolio-access-by-int
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BUG: Add backwards compatibility for position lookup by int.
2017-04-26 10:13:16 -04:00
dead9651b2
BUG: Add backwards compatibility for position lookup by int.
2017-04-26 09:55:05 -04:00
e3a50dee8f
Merge pull request #1764 from quantopian/fix-docstring-typo2
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DOC: Close backticks in docstring.
2017-04-25 22:52:28 -04:00
f7f17af2d8
DOC: Close backticks in docstring.
2017-04-25 22:32:11 -04:00
b77d5ae6fb
Merge pull request #1763 from quantopian/slippage-allowed-types
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Don't require custom models to define allowed types
2017-04-25 19:40:41 -04:00
ec7cba2e31
API: Don't require custom models to define allowed types
2017-04-25 18:44:31 -04:00
0782e402d3
Merge pull request #1748 from quantopian/slippage-futures-api
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Add slippage and commission models for futures
2017-04-25 17:55:16 -04:00
fa0594555c
API: Add slippage and commission models for futures
2017-04-25 17:29:41 -04:00
9effe84c8e
Merge pull request #1762 from quantopian/quarterly-currency-futures
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MAINT: Use a quarterly cycle for JY, CD, AD, and BP continuous futures
2017-04-25 15:52:56 -04:00
a1d30c94ee
MAINT: Use March quarterly cycle for JY, CD, AD, & BP continuous futures
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The March, June, September, and December contracts for these futures
contain most of the trading activity, so we exclude the other more
sparsely traded contracts from the chain.
2017-04-25 15:31:33 -04:00
362f2c2f7a
Merge pull request #1761 from quantopian/futures-cashflow-bugfix
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BUG: use isinstance
2017-04-24 17:06:34 -04:00
278d2f6b2a
BUG: use isinstance
2017-04-24 17:06:26 -04:00
7ba070f640
Merge pull request #1757 from quantopian/futures-commissions
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Assets everywhere ... and a futures fix.
2017-04-24 16:31:57 -04:00
7196e1e498
MAINT: PR feedback.
2017-04-24 15:41:23 -04:00
5b8b2f68bc
BUG: Blotter should process as many splits as it can
2017-04-24 15:41:23 -04:00
825866948b
BUG: get_splits should return empty list, not empty dict
2017-04-24 15:41:23 -04:00
fe84ff3582
REF: Remove assetfinder from PerformancePeriod
2017-04-24 15:41:22 -04:00
0b4b058065
REF: Remove asset_finder and multipliers from PositionTracker
2017-04-24 15:41:22 -04:00
b7b8c46d74
REF: Blotter no longer needs AssetFinder
2017-04-24 15:41:21 -04:00
483012ccf6
REF: Make dataportal emit splits that hold Assets, not sids
2017-04-24 15:41:21 -04:00
450690801a
BUG: Position cost basis was calculated incorrectly for Futures
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For futures, we need to divide the position’s commission by the
contract size to get a per-unit commission in order to properly update
the position’s cost basis.
2017-04-24 15:41:20 -04:00
8d275d8d83
REF: Explicitly use Assets in Position, Order, Transaction
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(Instead of `sid`, which were already usually assets)
Perf packets are unchanged and still emit `sid`: int
2017-04-24 15:41:13 -04:00
21976dd651
Merge pull request #1760 from quantopian/constant-futures
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TST: New fixture for constant futures data
2017-04-24 14:33:47 -04:00
e0060f61e8
TST: New fixture for constant futures data
2017-04-24 14:15:26 -04:00
1d1c244e84
Merge pull request #1755 from quantopian/schedule-function-calendar
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Add calendar factory for the schedule_function API
2017-04-24 10:07:30 -04:00
2f33ddb023
API: Add factory for calendars
2017-04-24 09:37:32 -04:00
cd91d518bb
Merge pull request #1754 from quantopian/premature-continuous-futures-2
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Allow gaps between auto close and start date
2017-04-21 16:34:53 -04:00
0ec8841ea0
BUG: Ordered contracts could end prematurely
2017-04-21 15:52:21 -04:00
acf345e1d3
PERF: Optimize session close lookups in resample bar reader ( #1749 )
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Optimize session close lookups in MinuteResampleSessionBarReader:
- Adds `session_closes_in_range` method (along with
`session_opens_in_range`) to TradingCalendar to allow vectorized
retrieval of all values in a range of sessions.
- Improves code path for resampling a single session's worth of data (as
is the case when calling `get_value`), since we don't actually need to
look up the close minute.
2017-04-11 16:35:04 -04:00
26ffda9ca1
Merge pull request #1747 from quantopian/calendar-perf-improvements
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Improve TradingCalendar perf with scalar-optimized accesses
2017-04-11 10:15:28 -04:00
1d7d3fe33f
PERF: Only get session close in MinuteResampleSessionBarReader
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We only need the close, not the open.
2017-04-10 17:23:07 -04:00
12f1429a8c
PERF: Use scalar lookups for TradingCalendar.schedule
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When retrieving the open and close for a given session, we only care
about the scalar values, so using DataFrame.at instead of DataFrame.loc
is significantly faster.
2017-04-10 17:23:07 -04:00
0c88ba21b9
Merge pull request #1737 from quantopian/bump-blaze
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BLD: bump blaze
2017-04-10 16:22:09 -04:00
9e0cf08c18
Merge pull request #1738 from quantopian/slippage-and-commissions-futures
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Add preliminary support for Futures slippage models
2017-04-10 15:05:28 -04:00
f9d55cf9cd
Merge pull request #1742 from quantopian/only-get-value-once
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MAINT: Refactor DataPortal._get_minute_spot_value to avoid two lookups
2017-04-10 14:56:29 -04:00
Freddie Vargus