1f8e194e09
BUG: Position cost basis was calculated incorrectly for Futures
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For futures, we need to divide the position’s commission by the
contract size to get a per-unit commission in order to properly update
the position’s cost basis.
2017-04-24 15:41:20 -04:00
b1248cb6d6
REF: Explicitly use Assets in Position, Order, Transaction
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(Instead of `sid`, which were already usually assets)
Perf packets are unchanged and still emit `sid`: int
2017-04-24 15:41:13 -04:00
123398d0e4
Merge pull request #1760 from quantopian/constant-futures
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TST: New fixture for constant futures data
2017-04-24 14:33:47 -04:00
ec6492c84e
TST: New fixture for constant futures data
2017-04-24 14:15:26 -04:00
2f87f548ba
Merge pull request #1755 from quantopian/schedule-function-calendar
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Add calendar factory for the schedule_function API
2017-04-24 10:07:30 -04:00
f3086c548d
API: Add factory for calendars
2017-04-24 09:37:32 -04:00
35c3cf0eb7
Merge pull request #1754 from quantopian/premature-continuous-futures-2
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Allow gaps between auto close and start date
2017-04-21 16:34:53 -04:00
67dd149660
BUG: Ordered contracts could end prematurely
2017-04-21 15:52:21 -04:00
4c334c6c38
PERF: Optimize session close lookups in resample bar reader ( #1749 )
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Optimize session close lookups in MinuteResampleSessionBarReader:
- Adds `session_closes_in_range` method (along with
`session_opens_in_range`) to TradingCalendar to allow vectorized
retrieval of all values in a range of sessions.
- Improves code path for resampling a single session's worth of data (as
is the case when calling `get_value`), since we don't actually need to
look up the close minute.
2017-04-11 16:35:04 -04:00
4f6dd9bca8
Merge pull request #1747 from quantopian/calendar-perf-improvements
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Improve TradingCalendar perf with scalar-optimized accesses
2017-04-11 10:15:28 -04:00
bd7f121e85
PERF: Only get session close in MinuteResampleSessionBarReader
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We only need the close, not the open.
2017-04-10 17:23:07 -04:00
6dd1616c15
PERF: Use scalar lookups for TradingCalendar.schedule
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When retrieving the open and close for a given session, we only care
about the scalar values, so using DataFrame.at instead of DataFrame.loc
is significantly faster.
2017-04-10 17:23:07 -04:00
bd1b7f263c
Merge pull request #1737 from quantopian/bump-blaze
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BLD: bump blaze
2017-04-10 16:22:09 -04:00
aad5cd362e
Merge pull request #1738 from quantopian/slippage-and-commissions-futures
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Add preliminary support for Futures slippage models
2017-04-10 15:05:28 -04:00
33442a9977
Merge pull request #1742 from quantopian/only-get-value-once
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MAINT: Refactor DataPortal._get_minute_spot_value to avoid two lookups
2017-04-10 14:56:29 -04:00
f6e1a95ca9
ENH: Preliminary support for Futures slippage and commission models
2017-04-10 14:37:20 -04:00
4b861fbf5e
Merge pull request #1745 from quantopian/reconcile-default-args
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Make certain continuous future arguments optional
2017-04-10 11:24:50 -04:00
e2fadae5ec
API: Make certain continuous future arguments optional
2017-04-07 14:02:36 -04:00
ea419492a2
Merge pull request #1739 from quantopian/fix-zipline-and-pandas-bug
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Fix zipline and pandas bug
2017-04-07 12:22:06 -04:00
02984a0483
Merge pull request #1743 from quantopian/premature-continuous-futures
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OrderedContracts chain could sometimes terminate on first contract
2017-04-07 11:03:33 -04:00
6f1d4b4a5f
BUG: OrderedContracts chain could sometimes terminate on first contract
2017-04-07 10:01:22 -04:00
df82d3a221
BUG: reload_symbol_maps should clear the equity_supplementary_maps
2017-04-06 19:04:09 -04:00
ae1f9f8734
Merge pull request #1735 from quantopian/speedup-daily-history-aggregator-closes
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PERF: Avoid repeated recursive calls when getting forward-filled close
2017-04-06 10:24:29 -04:00
f4f2048a68
PERF: Avoid repeated recursive calls when getting forward-filled close
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Instead of recursively calling `DailyHistoryAggregator.closes` until we
find a non-nan close, we can instead call `load_raw_arrays` once, and
find the value from the returned array.
2017-04-06 09:51:01 -04:00
13b5b7efdc
MAINT: Refactor DataPortal._get_minute_spot_value to avoid two lookups
2017-04-06 08:54:17 -04:00
8a672be7e7
Merge pull request #1741 from quantopian/remove-adj-method
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Remove ContinuousFuture adjustment method
2017-04-05 16:24:24 -04:00
6ffd029537
CRUFT: Remove ContinuousFuture adjustment method
2017-04-05 15:25:50 -04:00
0746fc7597
Merge pull request #1731 from quantopian/update-assetdbwriter-docs
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DOC: Show exchange as required for equities
2017-04-04 23:27:50 -04:00
b8b504b724
Merge pull request #1740 from quantopian/guarantee-can-trade-order
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BUG: Return from can_trade in same order as input.
2017-04-04 18:39:53 -04:00
d4fd955b29
Merge pull request #1729 from quantopian/us-futures-cal-in-tests
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Use 'us_futures' calendar in test fixtures
2017-04-04 17:49:51 -04:00
fb3efc6d75
MAINT: Guarantee bool dtype for can_trade.
2017-04-04 17:26:38 -04:00
0178ea03ea
REV: Only use benchmark csv files in source for testing
2017-04-04 17:18:49 -04:00
f3aba5f281
BUG: Return from can_trade in same order as input.
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This matches the behavior of history and data.current.
2017-04-04 17:12:21 -04:00
497708d86e
BUG: address pandas normalization bug on non-sorted DT index
2017-04-04 17:00:32 -04:00
e1d63dcee4
BUG: test DatetimeIndex equality correctly
2017-04-04 17:00:16 -04:00
0c246a7de1
DOC: Show exchange required for equities
2017-04-04 15:02:00 -04:00
483ec5dae8
TST: Make TradingEnvironment resources static
2017-04-04 10:58:45 -04:00
8faab75459
BLD: bump blaze
2017-04-03 15:20:49 -04:00
cf68953bf2
TST: Use 'us_futures' calendar in test fixtures
2017-04-03 10:18:03 -04:00
a006b4bbab
Merge pull request #1734 from quantopian/prepare-for-validity-checks
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MAINT: Prepare parameter check for adding an additional check.
2017-03-30 14:02:03 -04:00
0cc1836eac
Merge pull request #1730 from quantopian/no-current-contract
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Add safeguard if current contract of continuous future is None
2017-03-30 13:32:15 -04:00
99dfe5961d
BUG: Getting continuous future current contract failed on None
2017-03-30 12:09:55 -04:00
c69b4f6352
MAINT: Prepare parameter check for adding an additional check.
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Should be no functional change.
By making the raise on `if not isinstance` instead of doing a continue on `if
isinstance` (with a raise at the end of the loop if no 'good' conditions were
met'), the function should be more amenable to adding an additional validity
check, after the type check passes.
This is on the path to adding an additional validity checks parameter to
`check_parameters`, e.g. adding an 'is positive' check.
2017-03-30 10:47:29 -04:00
164838cf74
Merge pull request #1726 from quantopian/cf-adjustment-arg
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Make continuous future adjustment style an argument
2017-03-29 09:15:22 -04:00
7829541112
EHN: Make continuous future adjustment style an argument
2017-03-29 08:49:12 -04:00
eb6d0826c4
Merge pull request #1721 from quantopian/out-of-bounds-price
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Negative indexing in cython without wraparound
2017-03-29 08:46:50 -04:00
0d157859e0
BUG: Open and close resampling code could hit index errors
2017-03-28 16:06:29 -04:00
f736169096
Merge pull request #1728 from quantopian/rework-resample-close
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MAINT: Clear up naming and logic in resample close.
2017-03-28 14:02:27 -04:00
ed62d8a66a
MAINT: Clear up naming and logic in resample close.
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- Instead of maintaining a separate `j` value, set the bounds of the range so
that `i` is the values emitted by the range.
- Change `close_loc` to `prev_close_loc` since the market close location is used
to ensure that the data index stops at the market open if the entire day is
nans.
- Change the setting of `loc` to be done before the loop which check for nans,
instead of setting to the previous close loc at the end of the loop.
This prepares for a separate fix to prevent out of bounds access when the first
session has nans for all minutes.
2017-03-28 13:30:12 -04:00
f717e77172
Merge pull request #1727 from quantopian/resample-whitespace-cleanup
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STY: Cleanup trailing whitespace in resample module.
2017-03-28 13:00:33 -04:00
Jean Bredeche