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2968 Commits
Author SHA1 Message Date
Scott Sanderson 966c0ceedb MAINT: Remove outdated compat code. 2016-09-20 17:12:07 -04:00
Scott Sanderson aa3e2fe4e7 MAINT: Don't make datetime64 from tz-aware Timestamp. 
It's slow and deprecated.
 2016-09-20 17:12:07 -04:00
Scott Sanderson df76086319 DOC: Typo in comment. 2016-09-20 17:12:07 -04:00
Scott Sanderson ac256f3855 MAINT: Use errors='coerce'. 
coerce=True is deprecated.
 2016-09-20 17:12:07 -04:00
Scott Sanderson 53eb1964d9 MAINT: Temporarily ignore pandas warnings in categoricals. 
Pandas 0.18 doesn't like having null-ish values in categoricals.  Fixing
this properly requires re-thinking the semantics for missing_value on
pipeline terms, so we're punting on that until after we've upgraded to
0.18.
 2016-09-20 17:12:07 -04:00
Scott Sanderson 0ff13e7fdc Revert "MAINT: Remove support for custom string Column missing values." 
This reverts commit 1b1e842e2339d6d0ee40cdfe34dcd27b4e4a7c0c.
 2016-09-20 17:12:07 -04:00
Scott Sanderson 16f4944232 MAINT: Remove support for custom string Column missing values. 
Pandas 0.18 deprecated passing "null-ish" values to pd.categorical.  The
expectation, instead, is that you use categorical's native support for
missing data, which means the user will always get NaN's for missing
entries of the categorical.

A follow-up to this change should probably drop support for custom
missing values entirely and to use LabelArray/categorical for integer
data.
 2016-09-20 17:12:07 -04:00
Scott Sanderson ca54721058 MAINT: Pandas compat for rolling_*. 2016-09-20 17:12:07 -04:00
Scott Sanderson 0ace6f7b8f MAINT: Don't use convert_objects(). 
It's not necessary, and it's deprecated.
 2016-09-20 17:12:07 -04:00
Scott Sanderson 599d6c59ef MAINT: Fix warnings from numpy on NaT comparison. 2016-09-20 17:12:07 -04:00
Scott Sanderson 9c82960876 MAINT: Use sort_values instead of sort(). 
Sort is deprecated.
 2016-09-20 17:12:07 -04:00
Scott Sanderson b5fd0cdbfa MAINT: Use sort_values() instead of sort(). 
pd.DataFrame.sort() is deprecated.
 2016-09-20 17:12:07 -04:00
Scott Sanderson 874d2b51f1 MAINT: Pass float explicitly to numpy. 2016-09-20 17:12:07 -04:00
Scott Sanderson 750b410a48 BUG: Use arrays for week/month group calculations. 
In pandas 0.18, the behavior of ``nth()`` changed so that Grouper no
longer can be easily used to recover group labels.

Instead of using the built-in grouper behavior, we use a groupby on two
arrays we build ourselves.  This recovers the original behavior, and is
about 2x faster as a bonus.
 2016-09-20 17:12:07 -04:00
Scott Sanderson becf897da9 MAINT: Fix failures/warnings in test_api_shim.py 
- Fixes a warning on indexing with a float that ultimately came from
  pd.Timedelta.total_seconds().  Adds ``timedelta_to_integral_seconds``
  and ``timedelta_to_integral_minutes()`` functions and replaces various
  usages of ``int(delta.total_seconds())`` with them.

- Fixes a warnings triggered in ``_create_daily_stats`` from
  passing tz-aware datetimes to np.datetime64.
 2016-09-20 17:12:07 -04:00
Scott Sanderson ccc31152a5 MAINT: Use arange instead of rolling_count. 
It's faster, and rolling_count is deprecated.
 2016-09-20 16:24:55 -04:00
Scott Sanderson f494003c18 MAINT: Update fetcher for pandas 0.18. 
- Remove support for usecols=[].
- Use sort_values instead of sort().
- Use errors='coerce' instead of coerce=True.
 2016-09-20 16:24:55 -04:00
Scott Sanderson 930f32f6a1 ENH: Make INT_DTYPES_BY_SIZE_BYTES ordered. 2016-09-20 16:24:55 -04:00
Scott Sanderson 37a2780632 DOC: Update LabelArray docstring. 2016-09-20 16:24:55 -04:00
Scott Sanderson cc11757b9c DOC: Remove out of date comment. 2016-09-20 16:24:55 -04:00
Richard Frank b924c3b795 PERF: Use empyrical with ndarrays instead of Series 2016-09-19 15:51:06 -04:00
Richard Frank 29c65d95b9 MAINT: Removing unused array and unused attribute 2016-09-19 15:19:30 -04:00
Jean Bredeche 87eb87525f PERF: Be smarter about counting the number of minutes across a contiguous bunch of sessions. 2016-09-19 13:25:03 -04:00
Andrew DanielsandGitHub 95e07f2735 ENH: Adds truncate method to BcolzMinuteBarWriter (#1499) 2016-09-19 13:02:48 -04:00
Eddie Hebert 36b50554f6 Revert "Merge pull request #1490 from quantopian/use-load-adjustments-for-history" 
This reverts commit 86c7635b45, reversing
changes made to c77f2b92df.

Some real world cases hit errors with this change, due to the new offset
logic attempting to create Adjustments with invalid parameters.

Will identify exact conditions that cause this error and add as a test
case before remerging.
 2016-09-19 08:53:31 -04:00
Jean Bredeche 1d2e1015c7 PERF: Save up to 75% of the calls to minute_to_session_label 
One year NYSE test that buys a lot triggers 492,963 calls to
minute_to_session_label.  Only 98924 ~(390 * 252) make it past the
cache and trigger the heavier computation.
 2016-09-16 15:18:50 -04:00
Jean Bredeche eb7e1fa580 ENH: Switching from cachetools.LRUCache to lru-dict's LRU cache. 
lru-dict is written in C and seems much more performant.
 2016-09-16 11:03:13 -04:00
Eddie HebertandGitHub 86c7635b45 Merge pull request #1490 from quantopian/use-load-adjustments-for-history 
MAiNT: Use load_adjustments for history.
 2016-09-15 16:01:23 -04:00
Jean BredecheandGitHub c77f2b92df Merge pull request #1488 from quantopian/who-said-you-could-forward-fill-stop-that 
ENH: Make reader.get_value raise NoDataOnDate if the date is not in the calendar.
 2016-09-15 15:41:36 -04:00
Eddie Hebert 069abae1a3 MAiNT: Use load_adjustments for history. 
Instead of `HistoryLoader` containing separate adjustment calculation
logic, use `SQLiteAdjustmentReader.load_adjustments`.

This change required the addition of two offset parameters to
`load_adjustments` since the perspective on the data from within
`schedule_function` is skewed from how Pipeline looks at historical
data.

This is working towards creating an `AdjustmentReader` abc which
`SQLiteAdjustmentReader` and a upcoming continuous future adjustment
reader will share.
 2016-09-15 15:32:10 -04:00
Jean Bredeche ae0d41af6f ENH: Make reader.get_value raise NoDataOnDate if the date is not in the calendar. 
DataPortal now catches the NoDataOnDate exception and returns nan for
OHLC and 0 for V.

Price is still forward filled, unchanged.
 2016-09-14 22:21:43 -04:00
Scott SandersonandGitHub 2aa646c711 Merge pull request #1484 from quantopian/refcount-pipelines 
PERF: Release unneeded pipeline terms.
 2016-09-14 20:24:10 -04:00
Scott Sanderson 17d95691ad STY: Flake8 and parameter rename. 2016-09-14 14:45:00 -04:00
Jean Bredeche a5693d0589 MAINT: Add BarReader base class for both minute and session readers 2016-09-14 13:47:12 -04:00
Scott Sanderson 31436cdedd MAINT: Move refcount management into TermGraph. 2016-09-14 11:16:40 -04:00
Scott Sanderson 3babc38038 PERF: Release unneeded pipeline terms. 
Refcount pipeline terms during execution and release terms once they're
no longer needed.

This dramatically reduces memory usage on large pipelines.
 2016-09-13 23:28:25 -04:00
John RicklefsandGitHub fb0981eef0 MAINT: Add additional fields to __getitem__ for Order (#1483) 
These were previously available like the others.
 2016-09-13 15:49:16 -04:00
John RicklefsandGitHub 508c7ace11 Revert "added DGZ to delete list" (#1481) 
This reverts commit a5ecaf4c3a.

This causes downstream problems; unsure why, Jamie advised
reverting.
 2016-09-13 14:45:12 -04:00
Richard Frank 3bdba2ec50 BUG: run_algorithm with no data source should default 
to 'quantopian-quandl' bundle
 2016-09-12 12:17:17 -04:00
Richard FrankandGitHub df07f67614 Merge pull request #1467 from quantopian/check_param-string_types 
Check param string types
 2016-09-08 14:59:38 -04:00
Kathryn GlowinskiandGitHub 4a00e69212 More Fuzzy Symbol Fixes (#1475) 
* REF: More options before raise MultiFound.

* TST: Checks corner case for fuzzy matching.
 2016-09-08 14:52:57 -04:00
Scott SandersonandGitHub 1ccc9e4b64 Merge pull request #1471 from quantopian/fix-slow-startup 
PERF: Remove import-time calendar creations.
 2016-09-08 10:21:00 -04:00
Scott Sanderson 40fa6aeea4 STY: Fix flake8. 2016-09-07 21:58:15 -04:00
Scott Sanderson d6ad73e064 MAINT: Updates from Joe's PR feedback. 2016-09-07 20:42:19 -04:00
James McCorristonandGitHub 9c8f0ce667 Merge pull request #1434 from quantopian/update-leveraged-etfs 
MAINT: Update leveraged ETF list
 2016-09-07 13:48:12 -04:00
Jamie McCorriston a5ecaf4c3a added DGZ to delete list 2016-09-07 13:12:34 -04:00
Eddie HebertandGitHub cf44fcb207 Merge pull request #1473 from quantopian/release-1.0.2 
REL: Prepare for 1.0.2 release.
 2016-09-06 21:33:49 -04:00
Eddie Hebert 15aaafe290 REL: Prepare for 1.0.2 release. 
Update release notes.

Generate api stubs.
 2016-09-06 16:59:34 -04:00
Joe Jevnik ec1ca28f67 ENH: improve warning for protocol getitem 2016-09-06 15:11:43 -04:00
Scott Sanderson 977d1fa0b9 MAINT/TEST: Update default calendar smoketest. 2016-09-06 14:13:32 -04:00