 fawce
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38982fcdab
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major fix is with the non-blocking behavior of order source. also fixed time-compression in the trading client.
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2012-04-13 15:08:17 -04:00 |
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fawce
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dfc3523197
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fixed default to be partial fill
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2012-04-13 09:58:12 -04:00 |
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fawce
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1559a84c7b
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added simulation style to transation simulator, to facilitate tests. Fixed roll-over bug in max cap and max leverage calculation.
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2012-04-13 09:53:20 -04:00 |
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fawce
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aea2e1189c
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fixes to the calculation of transactions and associated tests for long and short orders.
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2012-04-12 10:46:10 -04:00 |
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fawce
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b78097241a
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rounded out tests to cover more trading cases (spreading, collapsing, expiring)
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2012-04-11 12:00:16 -04:00 |
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fawce
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f759cac61b
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added a simple test for the transaction simulator, heavily revised the simulator as a result.
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2012-04-10 22:46:50 -04:00 |
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fawce
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db7a4d2f91
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Merge pull request #29 from quantopian/fawce_sprint1
added transactions to the daily update objects.
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2012-04-10 11:17:37 -07:00 |
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fawce
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368341ce61
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moved transaction store to PerformancePeriod. added the position data to the performance message.
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2012-04-10 14:12:03 -04:00 |
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fawce
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8ce5159e91
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Merge pull request #30 from quantopian/stable_upstream
Stable upstream
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2012-04-10 08:00:39 -07:00 |
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Stephen Diehl
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ea340b6186
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Datetime subclasses with tzinfo=UTC by default
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2012-04-10 08:30:37 -04:00 |
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Stephen Diehl
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6f27009e82
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Started datetime utiles lib.
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2012-04-10 00:30:53 -04:00 |
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fawce
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2eeb92442e
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added transactions to the daily update objects.
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2012-04-10 00:02:54 -04:00 |
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Stephen Diehl
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04d389b774
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Remove old pandas-zmq protocol.
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2012-04-09 23:43:53 -04:00 |
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fawce
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1ddca6e6e0
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Merge pull request #28 from twiecki/patch-1
DOC: Added missing etc path to README.md. Minor restructuring of text.
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2012-04-09 17:24:04 -07:00 |
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Thomas Wiecki
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55b8ccbb3c
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DOC: Added missing etc path to README.md. Minor restructuring of text.
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2012-04-09 18:51:33 -03:00 |
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fawce
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6bc3e7df20
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Merge pull request #27 from quantopian/date_fixes
Updated ordersource to be concurrency agnostic! *woohoo*
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2012-04-09 08:12:56 -07:00 |
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fawce
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73d63057c1
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Updated ordersource to be concurrency agnostic!
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2012-04-09 11:10:41 -04:00 |
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fawce
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6c71169f47
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Merge pull request #26 from quantopian/date_fixes
fixed dates front to back to be proper market open/close, and to use sta...
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2012-04-09 07:35:26 -07:00 |
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fawce
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14166ccc30
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dropped the extra days in trading range...
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2012-04-09 10:31:11 -04:00 |
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fawce
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57c39bf615
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switching to only calculate the returns and risk on market close, rather than per trade.
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2012-04-09 10:20:08 -04:00 |
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Stephen Diehl
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1dbe0975fc
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NumpyChannel
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2012-04-09 07:55:11 -04:00 |
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fawce
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aa2bcdf83e
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ending values for portfolio, equity, and cash in cumulative were removed, because they are redundant to the same values in daily. Also removed starting cash, as it is unchanging and equal to the capital base.
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2012-04-08 21:09:42 -04:00 |
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fawce
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237b42c11e
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switched reporting to provide cash, equity, and total portfolio value
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2012-04-08 13:53:40 -04:00 |
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Stephen Diehl
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16ceb68c7c
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Move zmq topology mapper to dev/ folder
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2012-04-07 09:58:50 -04:00 |
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fawce
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37a8bda4b2
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fixed bogus initial portfolio value (should be zero).
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2012-04-06 22:31:35 -04:00 |
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fawce
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30dfc86ba9
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fixed dates front to back to be proper market open/close, and to use start/end first_open/last_close from the TradingEnvironment.
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2012-04-06 20:49:56 -04:00 |
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Stephen Diehl
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80bfbd5dcb
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Performance reports take either socket address or socket.
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2012-04-06 13:31:39 -04:00 |
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Stephen Diehl
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5aee03212d
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Replayable error log.
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2012-04-06 12:39:27 -04:00 |
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fawce
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70d32f1bbc
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Merge branch 'master' of github.com:quantopian/zipline
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2012-04-05 23:54:04 -04:00 |
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fawce
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130b996a63
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dropped the cursor from the protocol in zipline.
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2012-04-05 23:43:56 -04:00 |
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fawce
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cad62346e7
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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.
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2012-04-05 23:35:21 -04:00 |
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Stephen Diehl
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dea4271fbd
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Merge branch 'master' of github.com:quantopian/zipline
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2012-04-05 14:52:58 -04:00 |
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Stephen Diehl
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b924f57e53
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"Fix" for hanging tests in simulator.
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2012-04-05 14:52:43 -04:00 |
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fawce
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aaf2fae2b8
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patched guard logic in max drawdown calculation. needs real work.
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2012-04-05 12:43:43 -04:00 |
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fawce
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14b57dad07
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patching the filter test because we are now trying to calculate end of test risk
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2012-04-04 18:44:19 -04:00 |
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Stephen Diehl
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21f0f13e3b
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Merge pull request #25 from quantopian/exception_reporting
Send a soft kill, not a hard kill.
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2012-04-04 15:24:12 -07:00 |
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Stephen Diehl
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4998bc2e37
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Send a soft kill, not a hard kill.
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2012-04-04 18:23:06 -04:00 |
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fawce
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70cae31442
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Merge pull request #23 from quantopian/integration
fixed bug where year report list included months instead. added a period...
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2012-04-04 15:05:35 -07:00 |
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fawce
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50591c9913
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Merge pull request #24 from quantopian/exception_reporting
Exception reporting
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2012-04-04 15:05:05 -07:00 |
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Stephen Diehl
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c4dbec1e30
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MergedParallelBuffer -> Merge, ParallelBuffer -> Feed
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2012-04-04 18:03:13 -04:00 |
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fawce
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4adf8ff854
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changes risk report period label to YYYY-MM format
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2012-04-04 17:01:49 -04:00 |
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Stephen Diehl
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f3035c5739
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monitor.py killing softly
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2012-04-04 14:32:31 -04:00 |
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Stephen Diehl
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42f16ccdfb
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Done & Exception tracking through sockets -> Controller
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2012-04-04 12:22:12 -04:00 |
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Stephen Diehl
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3d8e355cfa
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Integrate controller into do_work.
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2012-04-04 11:42:58 -04:00 |
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fawce
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701687b812
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fixed bug where year report list included months instead. added a period_label to risk metrics corresponding to the end date. e.g. April 2006
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2012-04-04 11:37:19 -04:00 |
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Stephen Diehl
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e18dab58e5
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Use proper logging.
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2012-04-04 10:47:51 -04:00 |
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fawce
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78cceaa649
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fixes and tests for result streaming.
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2012-04-03 22:42:53 -04:00 |
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Stephen Diehl
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c2bd2872c1
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Concurrency agnostic controller.
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2012-04-03 18:12:16 -04:00 |
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Stephen Diehl
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e8d98084df
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Exception tracking at the controller level.
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2012-04-03 14:04:11 -04:00 |
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fawce
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9073d19780
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Merge pull request #22 from quantopian/integration
Integration
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2012-04-02 07:39:18 -07:00 |
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