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
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
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
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
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
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
78cceaa649
fixes and tests for result streaming.
2012-04-03 22:42:53 -04:00
fawce
3ccfb514fb
Extended the algorithm protocol to include portfolio.
2012-03-21 23:52:56 -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
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
4d59846352
upping the timeout for finance tests to 15s.
2012-03-20 11:16:58 -04:00
fawce
7fb86be1ae
more test refactoring, this time a factory method to get the trading environment.
2012-03-20 10:52:40 -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
e7f44884cf
added documentation/todo for callbacks, hopefully simplifying the algorithm classes.
2012-03-19 14:28:21 -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
...
hold classes that instantiate entire zipline topologies.
2012-03-17 23:15:38 -04:00
fawce
a35c702528
fixed tests net of merge of dataflow.
2012-03-15 17:37:26 -04:00
Stephen Diehl and fawce
6630917da8
working on frame argument sent to algorithm.
2012-03-15 16:14:12 -04:00
fawce
98c1312f16
updated per sdiehl's advice in the PR.
2012-03-14 15:51:44 -04:00
fawce
cb07f2179d
Merge branch 'algohost' of github.com:quantopian/zipline into algohost
2012-03-13 12:21:26 -04:00
fawce
649a8ea2e5
starting in on pandas integration.
2012-03-13 12:20:35 -04:00
Stephen Diehl
defa3186ca
Time all the tests!
2012-03-12 10:36:08 -04:00
Stephen Diehl
e6296111e8
Woops left pdb in.
2012-03-12 10:15:19 -04:00
Stephen Diehl
6171cdf582
Fix hanging test cases by backporting some sim code.
2012-03-12 10:11:29 -04:00
fawce
99d51f58f5
switched the socket allocator to be a class variable for the test case.
2012-03-11 20:28:05 -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
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
3c7299b769
added a new client component that calculates positions, performance, and risk.
2012-03-07 15:39:53 -05:00
fawce
7183ec984f
fixed tests to work without db.
2012-03-07 01:46:56 -05:00
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
fawce
26597cd923
made prices non-integer amounts so they don't auto convert to ints.
2012-03-05 13:17:30 -05:00
fawce
6026902594
fixed missing parameter, still getting a malloc bug.
2012-03-05 13:13:53 -05:00
Stephen Diehl
5900e5effc
PEP8ify finance tests.
2012-03-03 21:47:38 -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
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
7846a1e1f4
passing basic order and transaction simulation test
2012-03-01 10:46:50 -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
fawce
a319d2b2cd
added copy command for host settings
2012-02-28 23:38:20 -05:00
fawce
30a00faef2
commented out the monitor tests, added a count check for orders.
2012-02-28 23:02:07 -05:00
fawce
7b05498cee
sending one order instead of zero
2012-02-28 21:51:52 -05:00
fawce
3e5092d92a
nascent order protocol implemented.
2012-02-28 21:50:40 -05:00
fawce
871dabaf3d
removed old test, added better tests for content of final event vs. original.
2012-02-28 16:32:31 -05:00
fawce