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3,658 Commits 16 Branches 39 Tags
32a400a9fbbed9e1be7b432f0b8c0fe8a77b0973
Commit Graph
2409 Commits
Author SHA1 Message Date
Richard Frank 32a400a9fb BUG: Fixing bitness issues on 32-bit systems 
by being explicit with sizes
 2016-04-12 17:07:50 -04:00
Eddie Hebert 8313c8c36c Merge pull request #1125 from quantopian/enforce-sorted-on-minute-bars 
BUG: Enforce sorted order on minutes to delete.
 2016-04-12 15:18:30 -04:00
Jean Bredeche 1d2fa555dc Merge pull request #1124 from quantopian/properly-report-partially-filled-sells 
BUG: Properly log partially filled sell orders.
 2016-04-12 14:31:20 -04:00
Eddie Hebert d27f85e16b BUG: Enforce sorted order on minutes to delete. 
The intervals are returned as a set, so order is not guaranteed,
which becomes exposed when reading windows which span multiple years.

The deletion of values from the regular sized minute array assumes that
intervals can be reversed to delete the array from the back.
 2016-04-12 14:16:10 -04:00
Jean Bredeche bd5e2b183d BUG: Properly log partially filled sell orders. 2016-04-12 13:57:50 -04:00
dmichalowicz b94cc73d26 DOC: Docstring and whatsnew for masked custom factors. 2016-04-12 11:59:17 -04:00
Jean Bredeche f6902f0368 BUG: bar_data.history too limiting on iterable types 
In before_trading_start, history needs to call
DataPortal.get_adjustments, and that method wasn’t correctly checking
for iterables.
 2016-04-11 14:02:27 -04:00
Eddie Hebert ccef816e7e MAINT: Remove unused member. 
The "in before trading start logic" is now all handled inside of
`BarData`.
 2016-04-11 13:47:17 -04:00
dmichalowicz 8db59b387b TST: Overhaul test case 2016-04-07 17:29:47 -04:00
Scott Sandersonanddmichalowicz 88eeb3689d MAINT: Make dependencies a dict. 2016-04-07 17:29:47 -04:00
dmichalowicz 5bae74adda ENH: Allow passing a mask when creating a factor 2016-04-07 17:29:47 -04:00
Eddie Hebert 0a3a2f3653 BUG: Ensure matched input length to minute writer. 
When the dts and length of cols are mismatched the writer behaves in
unintended ways. e.g. in a case where a consumer passed dts which had
minutes with no trades removed, but regular (market minute for day)
sized arrays for the data with `0`'s on minutes without trades, the non
trade minutes from cols are written to slots in the output where a trade
is intended.

Protect against this misuse by checking that all lengths are equal when
using the `write_cols` method.

Make a separate `_write_cols` method for use by both `write_cols` and
`write`, since the `write` method which takes a DataFrame has the
matched input length enforced by the DataFrame.
 2016-04-07 13:53:59 -04:00
Andrew Liang 2454454b07 Merge pull request #1112 from quantopian/schedule_func_midday 
FIX: time_rules should trigger only at dt specified
 2016-04-06 09:16:43 -04:00
Andrew Liang a8491879ce FIX: time_rules should trigger only at dt specified 
Previously, time_rules triggered when the dt specified has passed
 2016-04-05 17:51:10 -04:00
Scott Sanderson 6bf4fe15e2 Merge pull request #1020 from quantopian/rolling-window-stride-tricks 
Rolling window stride tricks
 2016-04-05 17:23:55 -04:00
Joe Jevnik e9498a73f4 Merge pull request #1065 from quantopian/extra-guards-in-fixtures 
TST: adds guards for calling class methods in instance setup
 2016-04-05 12:51:58 -04:00
Jean Bredeche dc01c45dc4 DEV: Apply adjustments for portfolio and account in BTS 
completely copied from https://github.com/quantopian/zipline/pull/1104/

All credit goes to Andrew Liang (@lianga888)
 2016-04-05 11:37:34 -04:00
Eddie HebertandJean Bredeche 16fd6681a6 ENH: Rewrite of Zipline to use lazy access pattern 
More documentation to follow in release notes.

Based on lazy-mainline branch, see for more details.

Also-By: Jean Bredeche <jean@quantopian.com>
Also-By: Andrew Liang <aliang@quantopian.com>
Also-By: Abhijeet Kalyan <akalyan@quantopian.com>
 2016-04-04 16:12:58 -04:00
Eddie Hebert be08a77d76 BUG: Prevent writing int max instead of nan. 
np.array.astype can not be relied upon to convert nan's reliably to 0

Fix by calling nan_to_num on the float arrays before converting to
uint32.
 2016-03-30 14:35:06 -04:00
Maya Tydykov d7a012a477 MAINT: add dividends datasets to inits 
DOC: add whatsnew entries
 2016-03-29 17:43:01 -04:00
Maya Tydykov e8185a1512 MAINT: reorganize - move testing mixin to fixtures 
BUG: correctly create asset finder

MAINT: rename fixture

STY: fixes for flake8

STY: add space around assignment

MAINT: add var back to constructor

MAINT: remove unused import

MAINT: compare var with None directly

MAINT: fix merge errors
 2016-03-29 13:15:16 -04:00
Maya Tydykov 6b3560ade8 MAINT: remove redundant function and move to utils 2016-03-29 13:12:51 -04:00
Maya Tydykov 06dd6e958d TST: recfator tests to use fixtures 
MAINT: use np.array

MAINT: return cols rather than modifying attribute
 2016-03-29 13:12:50 -04:00
Maya Tydykov 8a28e82d32 ENH: add dividends to pipeline 
MAINT: remove record date - not needed.

MAINT: restructure dividends dataset.

MAINT: restructure dividends factors.

WIP: update dividends tests.

MAINT: correct the way to get the 'next' event frame.
 2016-03-29 13:12:50 -04:00
Scott Sanderson 9a04621781 ENH: Add eq and __ne__ to Classifier. 2016-03-28 15:46:28 -04:00
Scott Sanderson 92feaa3a7d BUG/TEST: Dict key order isn't guaranteed. 2016-03-28 10:21:57 -04:00
Scott Sanderson a932628627 BUG: Use six viewkeys. 2016-03-28 09:24:56 -04:00
Scott Sanderson 9e0ad5de15 DOC: Fix bincount in docstring. 2016-03-25 15:11:18 -04:00
Scott Sanderson 18bd7010b5 ENH: Improve short_reprs of classifier/normalizer. 
GroupedRowTransform now shows the name of its transform, and Quantiles
shows the number of quantiles.

These are used by Pipeline.show_graph().
 2016-03-25 15:11:18 -04:00
Scott Sanderson 758d6c74fc ENH: Add isnull and notnull for classifiers. 2016-03-25 15:11:18 -04:00
Scott Sanderson 5ed1a4fcd1 ENH: Add quartiles/quintiles/deciles. 
They're all syntactic sugar for the equivalent invocations of quantiles.
 2016-03-25 15:11:18 -04:00
Scott Sanderson 872b84e09a ENH: Implement Factor.quantiles. 2016-03-25 15:11:18 -04:00
Scott Sanderson 16c5aecba6 DEV: Add utility for permuting rows in an array. 
Useful for testing rank-order functions on arrays.
 2016-03-25 15:11:18 -04:00
Scott Sanderson d0625e8a8d MAINT: Move ignore_nanwarnings to numpy_utils. 2016-03-25 15:11:18 -04:00
Scott Sanderson 1f237d43a3 MAINT: Make preprocessor factories closures. 2016-03-25 15:11:18 -04:00
Scott Sanderson 1245552340 DEV: Add expect_dimensions preprocessor. 2016-03-25 15:11:18 -04:00
Scott Sanderson b85eb36da8 TEST: Add test for demean example. 2016-03-25 15:11:18 -04:00
Eddie Hebert 75213ac176 MAINT: Write open and closes for minute bar format 
Write arrays representing corresponding market opens and market closes,
which will eventually replace the `minute_index` field.

The market closes are being added for incoming work on another branch
which will use the market closes to generate a list of non-market
minutes to filter out when returning data from `unadjusted_window`.
 2016-03-24 23:18:42 -04:00
Richard Frank d67c93c4ab DOC: Signal to doctest blank lines in the expected output 2016-03-23 18:26:42 -04:00
Richard Frank dd8175b1d9 TST: Forward arguments to numpy 2016-03-23 15:26:53 -04:00
Richard Frank d873038a7e BUG: Specify int64 instead of system int 
to handle 32bit python
 2016-03-23 15:26:52 -04:00
dmichalowicz 7e83a8df5f BUG: NumericalExpressions fail to merge with too many inputs 2016-03-23 14:04:50 -04:00
Maya Tydykov 4164ffdcb0 BUG: call correct method 2016-03-21 16:41:23 -04:00
Scott Sanderson 387c43511a DOC: Add missing word in docstring. 2016-03-20 17:05:48 -04:00
Scott Sanderson 396d2f4327 DOC: Update Filter/Factor/Classifier docstrings. 2016-03-19 19:09:16 -04:00
Scott Sanderson 381a231725 MAINT: Clean up mixin usage. 
- Use RestrictedDTypeMixin for dtype validation in
  Filter/Factor/Classifier.
- Use new LatestMixin for Latest{Filter,Factor,Classifier} instead of
  duplicating logic across all three.
- Always ignore return values in _validate.
- Consistently call super() first in validation mixins.
 2016-03-19 19:09:16 -04:00
Scott Sanderson cace5f3a6c MAINT: Delete old classifier.py 2016-03-19 17:04:28 -04:00
Scott Sanderson 9505363f50 DOC: Add comment. 2016-03-19 17:04:28 -04:00
Scott Sanderson dd842bfde5 BUG: .latest, not latest. 
The latter happens to work on py2 :(.
 2016-03-19 17:04:28 -04:00
Scott Sanderson e6361ae48b MAINT: Re-export CustomFilter and CustomClassifier. 2016-03-19 17:04:28 -04:00