2df4dfd1bb
MAINT: name filter predicate
2015-10-19 16:35:02 -04:00
78101fde75
MAINT: Cleanup docstrings and comments
2015-10-19 16:35:02 -04:00
26b47a1234
MAINT: treat Pipeline API as a proper noun
2015-10-19 16:35:02 -04:00
0ec1cbc604
MAINT: rename pipeline_api_from_blaze to from_blaze
2015-10-19 16:35:02 -04:00
a58fe4b492
BUG: python2 implicit import is the worst feature ever
2015-10-19 16:35:02 -04:00
8c1bcd684e
BLD: show versions on travis
2015-10-19 16:35:02 -04:00
f7ad82f38e
TST: updates tests after rebasing
2015-10-19 16:35:02 -04:00
898fbad6ac
BLD: Can't use setup.py with git reqs unless you want to do a lot of work
2015-10-19 16:35:02 -04:00
e3bf786bd5
BLD: blaze it up
2015-10-19 16:35:02 -04:00
d621f1e87c
ENH: Updates the blaze loader and adds more tests
2015-10-19 16:35:02 -04:00
22a227710d
ENH: adds CustomFactor.from_function
2015-10-19 16:35:02 -04:00
4c98c947fb
ENH: Adds repr for datasets
2015-10-19 16:35:02 -04:00
4d7d5ce8ff
TST: Adds some test cases for the blaze loader
2015-10-19 16:35:02 -04:00
f88cd17028
TST: adds tmp_assets_db and tmp_asset_finder so we don't need an entire trading env
2015-10-19 16:35:02 -04:00
6e4335820e
ENH: preallocate the output dataframe
2015-10-19 16:35:02 -04:00
8f661387df
ENH: allows any iterator to be the return of load_adjusted_arrays
2015-10-19 16:35:02 -04:00
b032b68a43
ENH: Adds a blaze pipeline loader.
2015-10-19 16:35:02 -04:00
4008b6a3a4
Merge pull request #782 from quantopian/future-chain-start-date
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MAINT: Removes unneeded knowledge_date logic from future_chain
2015-10-19 11:53:43 -04:00
915c8e800f
MAINT: Removes unneeded knowledge_date logic from future_chain
2015-10-19 11:37:56 -04:00
18d33025a4
Merge pull request #779 from quantopian/pandas17
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Change relativedelta to Timedelta as pandas 0.17.0 deprecated relativedelta.
2015-10-16 10:36:13 -04:00
659a367b09
STY Remove unused import of to_datetime.
2015-10-16 16:15:28 +02:00
d21aec17e2
MAINT Change relativedelta to Timedelta as pandas 0.17.0 deprecated relativedelta.
2015-10-16 16:15:25 +02:00
85c49afe4c
Merge pull request #774 from quantopian/filter-out-dates-with-no-data
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BUG: Filter out payout rows with no prev close.
2015-10-15 13:30:46 -04:00
6b9476d346
BUG: Filter out payout rows with no prev close.
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When the prev_close is 0 or does not exist, the resulting ration was either +inf
or nan, respectively.
Create a mask on the non-zero effective dates, where effective date is only
written when the prev close is sufficient for a valid ratio; and use that mask
to filter out the bad rows.
Also, use prev close as the effective date.
2015-10-15 13:30:05 -04:00
2686e3875a
MAINT: Removes unnecessary benchmark load on some TradingEnvironments
2015-10-14 12:04:58 -04:00
9a2767ad07
Merge pull request #765 from quantopian/add-spot-price-and-write-adjustments
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Add spot price and write adjustments
2015-10-13 14:02:44 -04:00
ccdc815526
ENH: Write dividend payouts to adjustments db.
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To prepare for querying for payouts from SQLite, write the dividend
payouts to a new table `dividend_payouts`.
Change the expected columns of the passed dividend frame to contain the
payout data, and use that data to calculate the ratios (this moves
internal code that was calcualting the ratios into Zipline.)
The end result is that instead of just a `dividends` table with the
backward looking adjustment ratios, also write a `dividend_payouts`
table and a `stock_dividend_payout` table.
2015-10-13 14:02:26 -04:00
0fa6e72d1d
Merge pull request #756 from quantopian/batch_load_ffc
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Batch load Pipeline columns
2015-10-12 16:45:05 -04:00
952da68610
DOC: Fixed docstring
2015-10-12 16:13:55 -04:00
7a638e4580
STY: Moving args to new line
2015-10-12 16:13:55 -04:00
ee26a21855
MAINT: Renamed loader_dispatch to get_loader
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Now it raises a KeyError instead of returning None,
if loader not found.
2015-10-12 16:13:55 -04:00
99de89c817
PERF: Don't recalc similar atomic terms
2015-10-12 16:13:55 -04:00
2dabda6b76
MAINT: Reworked Term atomicity
2015-10-12 16:11:19 -04:00
940831e1cf
TST: Added test that columns are batched
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when they share the same loader and extra_rows
2015-10-12 11:17:06 -04:00
7bd6b69a89
MAINT: Group by loader and extra_rows
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so that the mask and dates are the same for all the columns
the loader is loading at a time.
2015-10-12 10:48:29 -04:00
ba0542a641
MAINT: Removed MultiColumnLoader
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since we can use pipeline_loader_dispatch instead
2015-10-12 10:48:29 -04:00
143f780036
MAINT: Fixed base class signature
2015-10-12 10:48:29 -04:00
83bd1310d9
PERF: Using pipeline_loader_dispatch to group by loader
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instead of dataset
2015-10-12 10:48:29 -04:00
e880fa3e34
PERF: Batch load atomic terms by dataset
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Added CompositeTerm and now we dispatch more generally on atomic
2015-10-12 10:48:28 -04:00
87d5efb699
Merge pull request #763 from quantopian/make-rsi-actually-work
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BUG: RSI wasn't even close to working.
2015-10-12 10:46:55 -04:00
165ec68518
Merge pull request #762 from quantopian/adjustment-perf
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PERF: Speed up reading of adjustments.
2015-10-10 13:45:14 -04:00
752a2c3962
DOC: Fix comment typo.
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Reader/Writer
2015-10-10 07:20:36 -04:00
5338c8e611
ENH: Add spot_price to BcolzDailyBarReader.
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Add new method to BcolzDailyBarReader, `spot_price` which returns the
unadjusted price for the specified day and sid.
2015-10-10 07:19:03 -04:00
2eaab2eedc
Merge pull request #764 from FreddieV4/master
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Update README.md
2015-10-09 23:54:40 -04:00
a42fe6c555
Update README.md
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Add inline link for quantopian.com
2015-10-09 21:59:05 -04:00
1336dfc181
BUG: RSI wasn't even close to working.
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Fixed and added tests.
2015-10-09 20:10:30 -04:00
23ca58813a
PERF: Speed up reading of adjustments.
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For a pipeline doing simple computations on USEquityPricing data, we
were spending ~60% of `run_pipeline` loading adjustments. Almost all of
that time was spent in calls to `DatetimeIndex.get_loc` to find the
indices of adjustment `eff_date`s.
This optimizes the eff_date lookups by pre-populating a cache of
seconds-since-epoch timestamps that we expect to see, and falling back
to `np.searchsorted` on cache misses.
In testing, this reduces the time to compute a 1-year pipeline with 30
and 90 day moving averages from 3.1 seconds to 0.9 seconds.
2015-10-09 17:48:07 -04:00
4a9cd76dab
MAINT: Remove unused constant.
2015-10-09 17:47:47 -04:00
f06f4bdd25
MAINT: Remove unused import.
2015-10-09 17:47:18 -04:00
e6ba59b580
Merge pull request #761 from quantopian/move-us-equity-to-data
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MAINT: Move equity data formats out of loader.
2015-10-09 17:28:37 -04:00
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