54d3579ceb
added boolean to results for exceeding max losses in a single simulated day.
2012-04-23 15:10:44 -04:00
bab0e2bd19
made distinction between cumulative behavior and daily behavior a bit more clear.
2012-04-20 15:08:39 -04:00
08a5bd5a0d
re-arranged fields so that history includes daily snapshots for cumulative measures.
2012-04-19 23:27:35 -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
368341ce61
moved transaction store to PerformancePeriod. added the position data to the performance message.
2012-04-10 14:12:03 -04:00
2eeb92442e
added transactions to the daily update objects.
2012-04-10 00:02:54 -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
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
130b996a63
dropped the cursor from the protocol in zipline.
2012-04-05 23:43:56 -04:00
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
50591c9913
Merge pull request #24 from quantopian/exception_reporting
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Exception reporting
2012-04-04 15:05:05 -07:00
3d8e355cfa
Integrate controller into do_work.
2012-04-04 11:42:58 -04:00
78cceaa649
fixes and tests for result streaming.
2012-04-03 22:42:53 -04:00
c2bd2872c1
Concurrency agnostic controller.
2012-04-03 18:12:16 -04:00
e8d98084df
Exception tracking at the controller level.
2012-04-03 14:04:11 -04:00
ba9f837320
prepping for PR.
2012-03-30 11:18:33 -04:00
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
4f87b4e98a
documentation fixes and tweaks.
2012-03-21 00:55:35 -04:00
a35c702528
fixed tests net of merge of dataflow.
2012-03-15 17:37:26 -04:00
3568826e26
Merge remote-tracking branch 'origin/algohost' into dataflow
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Conflicts:
zipline/protocol.py
2012-03-14 11:47:45 -04:00
8002303510
Move protocol data structures.
2012-03-14 07:37:52 -04:00
23a4f0680b
Backtest protocol, ala Bredeche.
2012-03-14 07:37:52 -04:00
84bccbc67c
fixed a few type-os to repair document generation.
2012-03-13 23:31:22 -04:00
649a8ea2e5
starting in on pandas integration.
2012-03-13 12:20:35 -04:00
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
b44ca63557
refactoring orders to discard placeholder messages.
2012-03-09 01:07:01 -05:00
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
48fa33de68
commented the (UN)PACK_DATE methods
2012-03-04 11:30:45 -05:00
6c581bef39
Fix PEP8 warnings.
2012-03-03 21:28:41 -05:00
47aee5c13d
I spellz good.
2012-03-03 13:06:16 -05:00
2faf1736b1
Documentation & best practices documentation.
2012-03-03 12:53:58 -05:00
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
12be673011
switched to using the subclass of InvalidFrame in the messaging module exception handling.
2012-03-02 13:10:06 -05:00
2aa4af86aa
merged master branch that contains control component, error handling with finance branch.
2012-03-01 23:44:35 -05:00
6283906434
Merge branch 'finance' into master_finance_merge
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Conflicts:
zipline/messaging.py
zipline/test/client.py
2012-03-01 13:54:47 -05:00
7846a1e1f4
passing basic order and transaction simulation test
2012-03-01 10:46:50 -05:00
2827c2036b
Merge branch 'master' of github.com:quantopian/zipline
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Conflicts:
zipline/protocol.py
zipline/test/client.py
zipline/test/test_messaging.py
2012-02-29 23:43:27 -05:00
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
00c2ccfe72
using an enum for finance protocol constants
2012-02-29 17:18:17 -05:00
6edf17fb69
Wiped out tests.
2012-02-29 16:48:55 -05:00
5247ace0ca
Merge branch 'master' of github.com:quantopian/zipline
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Conflicts:
zipline/test/client.py
2012-02-29 16:47:34 -05:00
30a00faef2
commented out the monitor tests, added a count check for orders.
2012-02-28 23:02:07 -05:00
3e5092d92a
nascent order protocol implemented.
2012-02-28 21:50:40 -05:00
eb4071be9b
added tests for the protocol for trades and for end to end including transforms and merge.
2012-02-28 16:26:22 -05:00
fawce