fawce
1f04ee4ece
committed a set_trace...
2012-04-23 21:04:51 -04:00
fawce
fe793b503d
hotpatching a merge error (duplication of the max dd check).
2012-04-23 20:50:08 -04:00
fawce
54d3579ceb
added boolean to results for exceeding max losses in a single simulated day.
2012-04-23 15:10:44 -04:00
fawce
1d9953255a
added stop out for max drawdown.
2012-04-20 23:41:23 -04:00
fawce
bab0e2bd19
made distinction between cumulative behavior and daily behavior a bit more clear.
2012-04-20 15:08:39 -04:00
fawce
bc14e7e3b7
zipline, now a cold, heartless, http://open.spotify.com/track/1xshgoh575otNXRfeYgh9D
...
Pretty fast too...
2012-04-20 12:21:03 -04:00
fawce
28c380c245
removed heartbeat on every iteration, resulted in a 50% reduction in processing time per day.
...
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
fawce
6f5e9b0559
fixed documentation
2012-04-19 23:32:37 -04:00
fawce
08a5bd5a0d
re-arranged fields so that history includes daily snapshots for cumulative measures.
2012-04-19 23:27:35 -04:00
fawce
1b5b92d75f
dropped unwanted fields.
2012-04-18 12:36:46 -04:00
fawce
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
fawce
7eb0ba67ac
clarifying the results protocol for the backtest.
2012-04-18 12:36:46 -04:00
fawce
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
fawce
5fd30216e5
revised protocol to maintain original structure.
2012-04-18 12:36:46 -04:00
fawce
9db18846c9
fixed type-os in serialization code
2012-04-16 13:37:54 -04:00
fawce
bd616a9ec0
eliminated special handling for non-blocking components.
2012-04-16 12:06:39 -04:00
fawce
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
fawce
4486dd0cad
removed some straggling test code.
2012-04-13 16:54:49 -04:00
fawce
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
fawce
dfc3523197
fixed default to be partial fill
2012-04-13 09:58:12 -04:00
fawce
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
fawce
aea2e1189c
fixes to the calculation of transactions and associated tests for long and short orders.
2012-04-12 10:46:10 -04:00
fawce
b78097241a
rounded out tests to cover more trading cases (spreading, collapsing, expiring)
2012-04-11 12:00:16 -04:00
fawce
f759cac61b
added a simple test for the transaction simulator, heavily revised the simulator as a result.
2012-04-10 22:46:50 -04:00
fawce
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
fawce
368341ce61
moved transaction store to PerformancePeriod. added the position data to the performance message.
2012-04-10 14:12:03 -04:00
fawce
8ce5159e91
Merge pull request #30 from quantopian/stable_upstream
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Stable upstream
2012-04-10 08:00:39 -07:00
fawce
2eeb92442e
added transactions to the daily update objects.
2012-04-10 00:02:54 -04:00
fawce
73d63057c1
Updated ordersource to be concurrency agnostic!
2012-04-09 11:10:41 -04:00
fawce
57c39bf615
switching to only calculate the returns and risk on market close, rather than per trade.
2012-04-09 10:20:08 -04:00
fawce
237b42c11e
switched reporting to provide cash, equity, and total portfolio value
2012-04-08 13:53:40 -04:00
fawce
37a8bda4b2
fixed bogus initial portfolio value (should be zero).
2012-04-06 22:31:35 -04:00
fawce
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
Stephen Diehl
80bfbd5dcb
Performance reports take either socket address or socket.
2012-04-06 13:31:39 -04:00
fawce
cad62346e7
updated zipline to fix missing fields in the performance and risk messages. also moved cumulative performance to be a sub component of the daily performance object.
2012-04-05 23:35:21 -04:00
fawce
aaf2fae2b8
patched guard logic in max drawdown calculation. needs real work.
2012-04-05 12:43:43 -04:00
fawce
14b57dad07
patching the filter test because we are now trying to calculate end of test risk
2012-04-04 18:44:19 -04:00
fawce
70cae31442
Merge pull request #23 from quantopian/integration
...
fixed bug where year report list included months instead. added a period...
2012-04-04 15:05:35 -07:00
fawce
50591c9913
Merge pull request #24 from quantopian/exception_reporting
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Exception reporting
2012-04-04 15:05:05 -07:00
fawce
4adf8ff854
changes risk report period label to YYYY-MM format
2012-04-04 17:01:49 -04:00
Stephen Diehl
42f16ccdfb
Done & Exception tracking through sockets -> Controller
2012-04-04 12:22:12 -04:00
fawce
701687b812
fixed bug where year report list included months instead. added a period_label to risk metrics corresponding to the end date. e.g. April 2006
2012-04-04 11:37:19 -04:00
fawce
78cceaa649
fixes and tests for result streaming.
2012-04-03 22:42:53 -04:00
fawce
7a7833a540
fixed missing fields, added a new random source option to test zipline (still buggy).
2012-03-30 17:48:05 -04:00
fawce
ce6a91adb6
added a frame to get performance data written to the result stream. not complete, but functional.
2012-03-29 17:13:28 -04:00
fawce
757fb9db97
fixed logic for timeouts on order. timeouts are not necessarily fatal.
2012-03-28 11:30:39 -04:00
fawce
3ccfb514fb
Extended the algorithm protocol to include portfolio.
2012-03-21 23:52:56 -04:00
fawce
4f87b4e98a
documentation fixes and tweaks.
2012-03-21 00:55:35 -04:00
fawce
7a57c27295
this is a hotfix to the accidental commit on master, but I lost my bearings again and added pycco, so this is a bit more than a hotfix now.
2012-03-20 23:10:24 -04:00
fawce
f20db3d01d
added tests for filter, refactoring factory a bit to make sure N trades are created when N are requested.
2012-03-20 16:38:32 -04:00
fawce