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Commit Graph
65 Commits
Author SHA1 Message Date
Stephen Diehl 06e6207020 Update logging system 2012-06-12 07:11:52 -04:00
Stephen Diehl 2d85ec4d95 Update performance tracker ot use Logbook 2012-06-11 13:54:00 -04:00
fawce 0dea9c5ecb finished comment 2012-06-07 17:58:30 -04:00
fawce 6a8654342a added an as_portfolio method to the PerformancePeriod. 2012-06-07 17:40:26 -04:00
fawce 6d8a786214 updated performance to be trade by trade. 2012-06-07 13:53:45 -04:00
Stephen Diehl 318d7ba678 Fun fun times writing setup.py 2012-05-26 18:24:48 -04:00
Stephen Diehl 817166ba03 Merge branch 'master' into cheetah 2012-05-26 15:55:48 -04:00
Stephen Diehl 3446c116ab Process Simulator! 2012-05-26 15:54:43 -04:00
fawce 70b0088e02 patched logging config. 2012-05-22 21:23:47 -04:00
Stephen Diehl 3ad1f250e6 Cleaned up OOP, first round. 2012-05-16 14:33:16 -04:00
Stephen Diehl d399edd419 Fix ndict woes. 2012-05-14 13:49:45 -04:00
Stephen Diehl e04415e63f Remove all namedicts. 2012-05-14 11:35:43 -04:00
Stephen Diehl 133d9c03af One test passing, progress! 2012-05-10 16:38:04 -04:00
fawce 54f8d7d013 removed lines sending messages to the control channel, simplified logic for handling max loss case, DONE'ing trading client on max loss. Zipline continues to run until all components are finished. 2012-04-24 17:51:02 -04:00
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 
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 
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 
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 
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 
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