1f04ee4ece
committed a set_trace...
2012-04-23 21:04:51 -04:00
fe793b503d
hotpatching a merge error (duplication of the max dd check).
2012-04-23 20:50:08 -04:00
54d3579ceb
added boolean to results for exceeding max losses in a single simulated day.
2012-04-23 15:10:44 -04:00
1d9953255a
added stop out for max drawdown.
2012-04-20 23:41:23 -04:00
bab0e2bd19
made distinction between cumulative behavior and daily behavior a bit more clear.
2012-04-20 15:08:39 -04:00
bc14e7e3b7
zipline, now a cold, heartless, http://open.spotify.com/track/1xshgoh575otNXRfeYgh9D
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Pretty fast too...
2012-04-20 12:21:03 -04:00
28c380c245
removed heartbeat on every iteration, resulted in a 50% reduction in processing time per day.
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However, the big lesson from this experiment is that the major bottleneck is in the feedback loop. By eliminating the feedback loop and instead putting the transaction simulation into the client end of the zipline, I think we could accelerate by 10x.
2012-04-20 12:21:03 -04:00
6f5e9b0559
fixed documentation
2012-04-19 23:32:37 -04:00
08a5bd5a0d
re-arranged fields so that history includes daily snapshots for cumulative measures.
2012-04-19 23:27:35 -04:00
ddb1c51569
moved epoch_now to date_utils
2012-04-18 23:14:21 -04:00
68040bad9a
consolidated some of the date util methods. added iso8061 support
2012-04-18 17:11:01 -04:00
1b5b92d75f
dropped unwanted fields.
2012-04-18 12:36:46 -04:00
6561292e4c
some efficiency changes - no longer transferring the list of daily returns, no longer holding transactions in the daily and the cumulative performance periods.
2012-04-18 12:36:46 -04:00
7eb0ba67ac
clarifying the results protocol for the backtest.
2012-04-18 12:36:46 -04:00
309f78a030
modification of the transport protocol -- keeping it close to the export of data from the performance tracker.
2012-04-18 12:36:46 -04:00
5fd30216e5
revised protocol to maintain original structure.
2012-04-18 12:36:46 -04:00
2fcb68f59e
Merge branch 'master' of github.com:quantopian/zipline
2012-04-18 12:36:32 -04:00
864899003b
Clean up test case.
2012-04-18 12:29:40 -04:00
28f975fd55
Don't replace right now.
2012-04-18 11:19:10 -04:00
b3de0a2fcc
Added ndict test suite.
2012-04-18 11:18:48 -04:00
e2638f1cbb
Fixed arguments on magic methods.
2012-04-18 11:01:12 -04:00
daaa45e9c1
Namedicts edges fixed, and awesomer ndict
2012-04-18 10:53:04 -04:00
9db18846c9
fixed type-os in serialization code
2012-04-16 13:37:54 -04:00
bd616a9ec0
eliminated special handling for non-blocking components.
2012-04-16 12:06:39 -04:00
02d7f0a4c8
heavy work on the feedback loop from trade client to order source. tests are passing using a busy wait inside the trade client. hopefully we can find a more elegant approach.
2012-04-14 15:09:52 -04:00
4486dd0cad
removed some straggling test code.
2012-04-13 16:54:49 -04:00
38982fcdab
major fix is with the non-blocking behavior of order source. also fixed time-compression in the trading client.
2012-04-13 15:08:17 -04:00
dfc3523197
fixed default to be partial fill
2012-04-13 09:58:12 -04:00
1559a84c7b
added simulation style to transation simulator, to facilitate tests. Fixed roll-over bug in max cap and max leverage calculation.
2012-04-13 09:53:20 -04:00
aea2e1189c
fixes to the calculation of transactions and associated tests for long and short orders.
2012-04-12 10:46:10 -04:00
b78097241a
rounded out tests to cover more trading cases (spreading, collapsing, expiring)
2012-04-11 12:00:16 -04:00
f759cac61b
added a simple test for the transaction simulator, heavily revised the simulator as a result.
2012-04-10 22:46:50 -04:00
db7a4d2f91
Merge pull request #29 from quantopian/fawce_sprint1
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added transactions to the daily update objects.
2012-04-10 11:17:37 -07:00
368341ce61
moved transaction store to PerformancePeriod. added the position data to the performance message.
2012-04-10 14:12:03 -04:00
8ce5159e91
Merge pull request #30 from quantopian/stable_upstream
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Stable upstream
2012-04-10 08:00:39 -07:00
ea340b6186
Datetime subclasses with tzinfo=UTC by default
2012-04-10 08:30:37 -04:00
6f27009e82
Started datetime utiles lib.
2012-04-10 00:30:53 -04:00
2eeb92442e
added transactions to the daily update objects.
2012-04-10 00:02:54 -04:00
04d389b774
Remove old pandas-zmq protocol.
2012-04-09 23:43:53 -04:00
73d63057c1
Updated ordersource to be concurrency agnostic!
2012-04-09 11:10:41 -04:00
14166ccc30
dropped the extra days in trading range...
2012-04-09 10:31:11 -04:00
57c39bf615
switching to only calculate the returns and risk on market close, rather than per trade.
2012-04-09 10:20:08 -04:00
1dbe0975fc
NumpyChannel
2012-04-09 07:55:11 -04:00
aa2bcdf83e
ending values for portfolio, equity, and cash in cumulative were removed, because they are redundant to the same values in daily. Also removed starting cash, as it is unchanging and equal to the capital base.
2012-04-08 21:09:42 -04:00
237b42c11e
switched reporting to provide cash, equity, and total portfolio value
2012-04-08 13:53:40 -04:00
16ceb68c7c
Move zmq topology mapper to dev/ folder
2012-04-07 09:58:50 -04:00
37a8bda4b2
fixed bogus initial portfolio value (should be zero).
2012-04-06 22:31:35 -04:00
30dfc86ba9
fixed dates front to back to be proper market open/close, and to use start/end first_open/last_close from the TradingEnvironment.
2012-04-06 20:49:56 -04:00
80bfbd5dcb
Performance reports take either socket address or socket.
2012-04-06 13:31:39 -04:00
5aee03212d
Replayable error log.
2012-04-06 12:39:27 -04:00
fawce