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
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Pretty fast too...
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
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
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
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
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
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
78cceaa649
fixes and tests for result streaming.
2012-04-03 22:42:53 -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
4f87b4e98a
documentation fixes and tweaks.
2012-03-21 00:55:35 -04:00
fawce
dcc471cc93
refactoring tests to combine common code into factory for creation of test data sources. also created new zipline/lines module, which will
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hold classes that instantiate entire zipline topologies.
2012-03-17 23:15:38 -04:00
Stephen Diehl
ce16122be3
Remove dropout on dataframe.
2012-03-16 18:18:42 -04:00
Stephen Diehl
89485c6ae3
Hack to ignore dataframes in process_event, code seems to be written against namedicts.
2012-03-16 16:42:39 -04:00
Stephen Diehl
b61b69a8dd
Merge branch 'master' into dataflow
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Conflicts:
zipline/finance/risk.py
zipline/protocol_utils.py
2012-03-16 15:04:23 -04:00
fawce
65253737cd
taking code recommendations from @sdiehl PR notes... as always :)
2012-03-16 11:47:06 -04:00
fawce
77993ee6ca
trivial mod to force push to happen.
2012-03-16 09:52:08 -04:00
fawce
1ab84ae2ca
extended namedict and performance tracker to allow portfolio calculations to be accessed during a live test as a namedict.
2012-03-15 22:52:49 -04:00
Stephen Diehl
931f10fe32
Misc fixes, disabled Risk reporting until PR.
2012-03-15 18:33:34 -04:00
fawce
930ec57269
fixed bug with date handling in risk report
2012-03-15 16:52:44 -04:00
fawce
460e72ac7f
Merge branch 'dataflow' into reframing
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Conflicts:
zipline/finance/performance.py
2012-03-15 16:33:22 -04:00
Stephen Diehl and fawce
6630917da8
working on frame argument sent to algorithm.
2012-03-15 16:14:12 -04:00
Stephen Diehl
f980e7d22f
Interstitial commit for fawce.
2012-03-15 16:08:01 -04:00
Stephen Diehl
f4bdf1fc11
Rearrange docs & and fix some name conflicts.
2012-03-15 11:47:28 -04:00
Stephen Diehl
674f445cda
Fix spelling mishaps.
2012-03-14 23:48:59 -04:00
fawce
2742ffcc47
using pandas for the dataframe relayed to the algorithm. all unit tests are passing.
2012-03-14 15:13:32 -04:00
fawce
84bccbc67c
fixed a few type-os to repair document generation.
2012-03-13 23:31:22 -04:00
fawce
366405927d
changed date serialization to use a tuple of all properties rather than the epoch time to eliminate any timezone sensitivity.
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add performance tracker unit tests, made various fixes to perf tracker. still have a hang on exit for zipline/test/test_finance.py:FinanceTestCase.test_orders and zipline/test/test_finance.py:FinanceTestCase.test_performance. pinging realdiehl for help...
2012-03-11 16:21:10 -04:00
fawce
8f65b71fd4
added and fixed performance tracker tests. still some failures to iron out in performance.
2012-03-10 22:16:08 -05:00
fawce
b44ca63557
refactoring orders to discard placeholder messages.
2012-03-09 01:07:01 -05:00
fawce
b69ea6b790
refactoring performance to be a plain class, not a component.
2012-03-08 19:21:28 -05:00
fawce
2ba7d526a6
changes net of code review with @sdiehl
2012-03-07 18:22:55 -05:00
fawce
89525cfb7b
passing basic test for calculating portfolio positions over time.
2012-03-07 17:26:14 -05:00
fawce