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
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
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
Stephen Diehl
c4dbec1e30
MergedParallelBuffer -> Merge, ParallelBuffer -> Feed
2012-04-04 18:03:13 -04:00
Stephen Diehl
42f16ccdfb
Done & Exception tracking through sockets -> Controller
2012-04-04 12:22:12 -04:00
Stephen Diehl
3d8e355cfa
Integrate controller into do_work.
2012-04-04 11:42:58 -04:00
Stephen Diehl
c2bd2872c1
Concurrency agnostic controller.
2012-04-03 18:12:16 -04:00
Stephen Diehl
e8d98084df
Exception tracking at the controller level.
2012-04-03 14:04:11 -04:00
Stephen Diehl
efcda0f585
Gevent driven zmq poller, per sage advice of benoitc.
2012-03-24 12:35:06 -04:00
Stephen Diehl
7134b4c1b1
Support for different flavors of ZeroMQ.
2012-03-24 11:56:18 -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
26da4316d1
documented algorithm protocol, split example algorithms into their own module. added filter methods to algo and to datasources. The top level zipline is responsible for piping algo's filter to the datasource.
2012-03-20 15:51:10 -04:00
fawce
2d6c4688f9
added a new component property is_blocking. Non-blocking datasources and transforms will not prevent merge or feed from exiting, even if they have not reported DONE. refactored lines.py to provide a test zipline method and to take keyword arguments in the constructor and factory method.
2012-03-19 23:19:57 -04:00
fawce
87c9d913d6
working on elminating the need for signaling order done.
2012-03-19 16:08:53 -04:00
fawce
366405927d
changed date serialization to use a tuple of all properties rather than the epoch time to eliminate any timezone sensitivity.
...
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
b44ca63557
refactoring orders to discard placeholder messages.
2012-03-09 01:07:01 -05:00
fawce
f4bc73b738
updates for algo proxy.
2012-03-08 17:37:15 -05:00
Stephen Diehl
31cd993442
Merge pull request #10 from quantopian/threadsafety
...
Threadsafety
2012-03-07 10:47:05 -08:00
fawce
c7af92323f
fixed unit tests by changing expected data types for prices. added dataload step to jenkins.sh
2012-03-06 14:47:04 -05:00
Stephen Diehl
ba5172f01a
More safe shutdown assertions.
2012-03-05 21:26:07 -05:00
fawce
5c0bb6acae
updated namedict based on sdiehl's feedback, modified ParallelBuffer.get_next() method to be more readable.
2012-03-03 11:45:04 -05:00
fawce
12be673011
switched to using the subclass of InvalidFrame in the messaging module exception handling.
2012-03-02 13:10:06 -05:00
fawce
2aa4af86aa
merged master branch that contains control component, error handling with finance branch.
2012-03-01 23:44:35 -05:00
fawce
6283906434
Merge branch 'finance' into master_finance_merge
...
Conflicts:
zipline/messaging.py
zipline/test/client.py
2012-03-01 13:54:47 -05:00
fawce
536a1e7fdc
protocol tests passing, orders test almost passing, but looking like we need to extend the merge component to add transaction and order specific logic.
2012-02-29 23:38:46 -05:00
Stephen Diehl
a3f35444e9
Disable parseDate work around.
2012-02-29 16:01:06 -05:00
fawce
3e5092d92a
nascent order protocol implemented.
2012-02-28 21:50:40 -05:00
fawce
f1a7e41d1f
intersticial commit
2012-02-28 11:36:23 -05:00
Stephen Diehl
d6c425936a
Better tracking of failure modes.
2012-02-27 23:23:31 -05:00
Stephen Diehl
651182869a
Api for tearing down components.
2012-02-26 23:52:20 -05:00
Stephen Diehl
6e8f1a7716
Alter init methods, poll for control messages.
2012-02-26 22:40:09 -05:00
fawce
ac8c14d0a7
Merge branch 'master' of github.com:quantopian/zipline
2012-02-26 07:05:40 -05:00
Stephen Diehl
a63a7c6dea
Untangled the poller knot! :)
2012-02-24 18:26:57 -05:00
Stephen Diehl
041b2311df
Poller refactor... Checkpoint #2
2012-02-24 18:18:22 -05:00
Stephen Diehl
bb70efe4eb
Polling work Checkpiont.
2012-02-24 17:49:24 -05:00
Stephen Diehl
ffc2e34334
Unifying protocol and messaging.
2012-02-24 12:51:46 -05:00
fawce
98ed6fc410
merged conflicts
2012-02-24 11:52:27 -05:00
fawce
3be2264a86
merged test class
2012-02-24 09:20:22 -05:00
Stephen Diehl
e640aabf73
Cleanup docs, pep8ify, and backport dev simulator test
2012-02-23 15:32:17 -05:00
Stephen Diehl
6190da376a
Rearrange test case / file layout a bit.
2012-02-23 11:19:26 -05:00
fawce
8e840e472e
cleaning local changes
2012-02-23 08:11:13 -05:00
Stephen Diehl
6e1cc72900
Controller is done.
2012-02-22 16:02:49 -05:00
Stephen Diehl
d39d7683a3
Initial zipline work on control sockets.
2012-02-21 12:18:25 -05:00
Stephen Diehl
c5824a168f
Whitespace cleanup + misc pep8 + notes
2012-02-21 07:26:35 -05:00
Stephen Diehl
c3b51b8de8
Migrated the simulator classes to qexec.
2012-02-20 17:15:06 -05:00
fawce
59d43608b9
new client base class, adding order function. committing to allow branch
2012-02-17 17:25:04 -05:00
fawce
1cabd30158
removed log lines from zipline, added gevent_zeromq to requirements
2012-02-17 14:47:55 -05:00
fawce
a5cdfac473
playing with imports
2012-02-17 14:25:32 -05:00
fawce