Commit Graph
2334 Commits
Author SHA1 Message Date
Eddie Hebert 37d341bb95 BUG: Truncate treasury curves to env min date. 2016-03-08 17:14:28 -05:00
Eddie Hebert 102f08535e Merge pull request #1034 from quantopian/add-floor-to-trading-env
ENH: Add min date to TradingEnvironment.
2016-03-08 15:08:25 -05:00
Scott Sanderson 1b5bc20e38 Merge pull request #1035 from quantopian/refactor-atomic
MAINT: Remove notion of "atomic" pipeline terms.
2016-03-08 14:50:24 -05:00
Eddie Hebert 3208bfdbb6 ENH: Add min date to TradingEnvironment.
Allow creation of TradingEnvironment to specify a minimum date, so that
trading days, market opens, etc. can trimmed to a range more relevant to
the backtest.

This changes is with an eye towards storing all market minutes in the
trading environment, where storing values for much more than the
simulation range starts to become more costly.
2016-03-08 14:40:42 -05:00
Scott Sanderson 535d05e714 MAINT: Remove notion of "atomic" pipeline terms.
Replace it by distinguishing between "Loadable" and "Computable".

This is useful because it's now  possible to write computable terms that
don't require  any inputs  (e.g. an `Always`  filter or  an `Everything`
classifier).
2016-03-08 13:49:45 -05:00
Maya Tydykov 548e457f50 MAINT: alphabetize. 2016-03-08 12:28:16 -05:00
Maya Tydykov eb8fed501b MAINT: add buyback auth to factors init. 2016-03-08 12:28:16 -05:00
Scott Sanderson dd3b3f3afb Merge pull request #1026 from quantopian/pipeline-generic-isempty
ENH: Add `isnull` and `notnull` methods to Factor.
2016-03-07 18:26:42 -05:00
Scott Sanderson abe559c764 DOC: Update NullFilter docstring. 2016-03-07 16:41:50 -05:00
Scott Sanderson f635a14289 ENH: Add isnull and notnull methods to Factor. 2016-03-07 16:19:08 -05:00
Scott Sanderson e810f26097 ENH: Add utilities for checking types generically. 2016-03-07 16:18:33 -05:00
Scott Sanderson cf3fb143fd DOC: Fix typo in docstring. 2016-03-07 16:17:50 -05:00
Maya Tydykov 810862eef4 MAINT: rename variables to simplify. 2016-03-03 15:27:16 -05:00
Scott Sanderson 14360ca4b8 DOC: Minor docstring tweaks. 2016-03-02 12:25:23 -05:00
Scott Sanderson ec3c370c11 DOC: Update docs on BoundColumn. 2016-03-02 12:18:36 -05:00
Maya Tydykov 18d838be87 MAINT: modify coersion logic.
MAINT: make expected_cols class attributes.

MAINT: make concrete_loader a class attribute.

MAINT: drop sid column before creating loader.

TST: add method to fill df with event cases.

TST: move common case df into test_events.py.

TST: improve tests and fix error message assertions.

STY: fix whitespace.

DOC: update docs.

STY: fix style.

MAINT: clean up

STY: fix indentation.

MAINT: use different assertion method to check error message for python3.4 compatibility.
2016-02-26 09:51:58 -05:00
Maya Tydykov e257dc1da9 MAINT: refactor constants to common file.
TST: refactor constants and clarify comments.

TST: clean up/extract constants in tests.

MAINT: add/modify constants.

MAINT: remove obsolete and alphabetize.

MAINT: clean up.

MAINT: modify constants to have named params.

MAINT: extract constants.

STY: fix indentation.

MAINT: refactor common part out of buyback_auth.

MAINT: refactor earnings test logic.
2016-02-25 17:33:45 -05:00
Maya Tydykov ae922bf3ee MAINT: modify next_date_frame and prev_date_frame to mirror previous_value.
MAINT: clean up and improve docs.

BUG: fix imports.

MAINT: refactor test.

MAINT: change class name.

MAINT: remove error since won't be reached.

TST: improve and expand tests.

MAINT: change class name.

MAINT: change class name.

MAINT: extract string constants and remove error that won't be reached.

STY: fix line length.

MAINT: undo name change.
2016-02-25 17:33:44 -05:00
Maya Tydykov 2fe126135c MAINT: make concrete_loader a property.
concrete_loader should be the same for each instance
of a Blaze loader.

MAINT: make expected_cols a property.

expected_cols should be the same for each instance
of a type of loader.
2016-02-25 17:33:44 -05:00
Maya Tydykov 7ddf18b407 MAINT: use column's missing value.
STY: fix flake8 failures.

MAINT: fixes for compatibility with py2.

MAINT: fix import error.

MAINT: use dict.items() for compatibility with py3.
2016-02-25 17:33:42 -05:00
Maya Tydykov 7100e60474 MAINT: accept more data structures, verify, and select loader dynamically.
MAINT: add fields based on changes to events loader.

MAINT: modify based on expectations of events loader.

MAINT: modify args.

TST: clean up and clarify df access.

TST: fix bugs in test that didn't properly split datasets' data.

MAINT: fix merge error.
2016-02-25 17:33:41 -05:00
Maya Tydykov a877fcfdb6 TST: finish blaze tests for buyback_auth.
DOC: update docs.

MAINT: use correct names.

BUG: explicitly pass all kwargs.

DOC: update docs.

STY: fix whitespace.

TST: rename vars and update docstring.

TST: fix indentation.

MAINT: fix comments.
2016-02-25 17:30:24 -05:00
Maya Tydykov 3142fa516f ENH: add buyback_auth loader.
WIP: finish refactoring blaze events loader.

WIP: tests passing for earnings.

BUG: pass all kwargs explicitly for BlazeEventsCalendarLoader.

If this is not done, resources are not bound correctly.

MAINT: refactor for buyback_auth.
2016-02-25 17:30:21 -05:00
Maya Tydykov 534f820a91 ENH: add buyback_auth dataset. 2016-02-25 17:19:19 -05:00
Maya Tydykov 54e36bc94f MAINT: create abstract events class. 2016-02-25 17:19:19 -05:00
Abhijeet Kalyan 2883abb5a7 DEV: Deprecates batch_transform 2016-02-24 16:04:51 -05:00
Abhijeet Kalyan b57cac0f6f DEV: Adds deprecation utility 2016-02-24 14:50:32 -05:00
Scott Sanderson e940a56b08 MAINT: Don't recompute portfolio in BTS. 2016-02-23 00:41:58 -05:00
dmichalowicz 5be63f36d5 ENH: Add auto_close_date support for equities 2016-02-22 13:51:20 -05:00
Scott Sandersonanddmichalowicz e2db1a7b45 DEV: Add utility for generating test price/volume data. 2016-02-22 13:47:07 -05:00
Joe Jevnik 2036f3d389 ENH: condense the blaze query 2016-02-17 20:22:31 -05:00
Jonathan Kamens ea1b3053d6 Merge pull request #998 from quantopian/upgrade_logbook
MAINT: Upgrade Logbook version
2016-02-16 14:40:50 -05:00
Scott Sanderson 6287987c0b BUG: Work around scipy >= 0.17 changing dtype of rankdata. 2016-02-16 13:43:56 -05:00
Jonathan Kamens 11465d907d MAINT: Upgrade Logbook version
Upgrade Logbook to 0.12.5. This required changing a usage of
`logbook.NullHandler()` which passed `bubble=True`, since
`NullHandler` no longer supports the `bubble` argument.
2016-02-16 13:32:25 -05:00
Scott Sanderson 4bc42d5658 BUG: Don't return a map from chrange. 2016-02-16 12:35:49 -05:00
Scott Sanderson f27b415c83 DOC: Docs updates for subtest and parameter_space. 2016-02-12 21:23:47 -05:00
Scott Sanderson 58b594a6e5 STY: Typo. 2016-02-12 21:23:47 -05:00
Scott Sanderson 3739df0da6 STY: Flake8. 2016-02-12 21:23:47 -05:00
Scott Sanderson 0115cdc46c MAINT: Fail fast on unsupported dtypes. 2016-02-12 21:23:47 -05:00
Scott Sanderson c105735574 DEV: Add support for specifying missing_value.
Consequently, enable support for `int`-dtyped Factors and BoundColumns.
2016-02-12 21:23:47 -05:00
Scott Sanderson 94c02c710b DEV: Add parameter_space test decorator. 2016-02-12 21:21:19 -05:00
Scott Sanderson 9c448b5238 DOC: Explain why _BoundColumnDescr exists.
We don't want to bind to parent DataSets when we bind to names because
we want to dynamically create new BoundColumns in subclasses.
2016-02-12 21:21:19 -05:00
Scott Sanderson 1bf33f9ee0 TEST: Add isolated tests for .latest. 2016-02-12 21:21:19 -05:00
Scott Sanderson f440cb73b2 MAINT: Make __slots__ a tuple. 2016-02-12 21:21:19 -05:00
Scott Sanderson 22fdc910e4 DEV: Add EyeLoader. 2016-02-12 21:21:19 -05:00
Scott Sanderson a96dd70634 MAINT: Rename ConstantLoader to PrecomputedLoader. 2016-02-12 21:21:19 -05:00
Scott Sanderson 0c15f50231 TEST: Add dedicated testing dataset. 2016-02-12 21:20:18 -05:00
Scott Sanderson 28fdecc98b ENH: Make .latest return a Filter on bool columns. 2016-02-12 21:20:18 -05:00
Richard Frank 24a292150a MAINT: Removing confusing parameter where we only use default 2016-02-11 18:46:44 -05:00
Joe JevnikandRichard Frank 86558f83b3 MAINT: use constants for nat 2016-02-11 18:46:43 -05:00