fawce
38982fcdab
major fix is with the non-blocking behavior of order source. also fixed time-compression in the trading client.
2012-04-13 15:08:17 -04:00
fawce
1559a84c7b
added simulation style to transation simulator, to facilitate tests. Fixed roll-over bug in max cap and max leverage calculation.
2012-04-13 09:53:20 -04:00
fawce
aea2e1189c
fixes to the calculation of transactions and associated tests for long and short orders.
2012-04-12 10:46:10 -04:00
fawce
b78097241a
rounded out tests to cover more trading cases (spreading, collapsing, expiring)
2012-04-11 12:00:16 -04:00
fawce
f759cac61b
added a simple test for the transaction simulator, heavily revised the simulator as a result.
2012-04-10 22:46:50 -04:00
fawce
14166ccc30
dropped the extra days in trading range...
2012-04-09 10:31:11 -04:00
fawce
30dfc86ba9
fixed dates front to back to be proper market open/close, and to use start/end first_open/last_close from the TradingEnvironment.
2012-04-06 20:49:56 -04:00
fawce
14b57dad07
patching the filter test because we are now trying to calculate end of test risk
2012-04-04 18:44:19 -04:00
fawce
50591c9913
Merge pull request #24 from quantopian/exception_reporting
...
Exception reporting
2012-04-04 15:05:05 -07:00
fawce
78cceaa649
fixes and tests for result streaming.
2012-04-03 22:42:53 -04:00
Stephen Diehl
e8d98084df
Exception tracking at the controller level.
2012-04-03 14:04:11 -04:00
fawce
7a7833a540
fixed missing fields, added a new random source option to test zipline (still buggy).
2012-03-30 17:48:05 -04:00
Stephen Diehl
3248328f97
Merge pull request #19 from quantopian/api
...
Extended the algorithm protocol to include portfolio.
2012-03-22 07:11:43 -07:00
fawce
0653c244b5
fixed bug in table formatting.
2012-03-22 00:01:27 -04:00
fawce
3ccfb514fb
Extended the algorithm protocol to include portfolio.
2012-03-21 23:52:56 -04:00
fawce
7deec4a74c
logic-o, forgot the self parameter.
2012-03-21 16:29:30 -03:00
fawce
839e99f099
document fixes.
2012-03-20 23:17:36 -04:00
fawce
7a57c27295
this is a hotfix to the accidental commit on master, but I lost my bearings again and added pycco, so this is a bit more than a hotfix now.
2012-03-20 23:10:24 -04:00
fawce
886f091e64
trying to fix the factory bugs...
2012-03-20 16:45:52 -04:00
fawce
f20db3d01d
added tests for filter, refactoring factory a bit to make sure N trades are created when N are requested.
2012-03-20 16:38:32 -04:00
fawce
26da4316d1
documented algorithm protocol, split example algorithms into their own module. added filter methods to algo and to datasources. The top level zipline is responsible for piping algo's filter to the datasource.
2012-03-20 15:51:10 -04:00
fawce
4d59846352
upping the timeout for finance tests to 15s.
2012-03-20 11:16:58 -04:00
fawce
7fb86be1ae
more test refactoring, this time a factory method to get the trading environment.
2012-03-20 10:52:40 -04:00
fawce
2d6c4688f9
added a new component property is_blocking. Non-blocking datasources and transforms will not prevent merge or feed from exiting, even if they have not reported DONE. refactored lines.py to provide a test zipline method and to take keyword arguments in the constructor and factory method.
2012-03-19 23:19:57 -04:00
fawce
87c9d913d6
working on elminating the need for signaling order done.
2012-03-19 16:08:53 -04:00
fawce
e7f44884cf
added documentation/todo for callbacks, hopefully simplifying the algorithm classes.
2012-03-19 14:28:21 -04:00
fawce
dcc471cc93
refactoring tests to combine common code into factory for creation of test data sources. also created new zipline/lines module, which will
...
hold classes that instantiate entire zipline topologies.
2012-03-17 23:15:38 -04:00
Stephen Diehl
3b8b13b14c
Merge branch 'master' into dataflow
...
Conflicts:
zipline/test/test_messaging.py
2012-03-16 18:20:18 -04:00
Stephen Diehl
f581be3723
Axe test_messaging.
2012-03-16 18:14:23 -04:00
Stephen Diehl
b61b69a8dd
Merge branch 'master' into dataflow
...
Conflicts:
zipline/finance/risk.py
zipline/protocol_utils.py
2012-03-16 15:04:23 -04:00
Stephen Diehl
931f10fe32
Misc fixes, disabled Risk reporting until PR.
2012-03-15 18:33:34 -04:00
fawce
a35c702528
fixed tests net of merge of dataflow.
2012-03-15 17:37:26 -04:00
Stephen Diehl and fawce
6630917da8
working on frame argument sent to algorithm.
2012-03-15 16:14:12 -04:00
fawce
98c1312f16
updated per sdiehl's advice in the PR.
2012-03-14 15:51:44 -04:00
fawce
2742ffcc47
using pandas for the dataframe relayed to the algorithm. all unit tests are passing.
2012-03-14 15:13:32 -04:00
fawce
84bccbc67c
fixed a few type-os to repair document generation.
2012-03-13 23:31:22 -04:00
fawce
cb07f2179d
Merge branch 'algohost' of github.com:quantopian/zipline into algohost
2012-03-13 12:21:26 -04:00
fawce
649a8ea2e5
starting in on pandas integration.
2012-03-13 12:20:35 -04:00
Stephen Diehl
defa3186ca
Time all the tests!
2012-03-12 10:36:08 -04:00
Stephen Diehl
e6296111e8
Woops left pdb in.
2012-03-12 10:15:19 -04:00
Stephen Diehl
6171cdf582
Fix hanging test cases by backporting some sim code.
2012-03-12 10:11:29 -04:00
fawce
99d51f58f5
switched the socket allocator to be a class variable for the test case.
2012-03-11 20:28:05 -04:00
fawce
366405927d
changed date serialization to use a tuple of all properties rather than the epoch time to eliminate any timezone sensitivity.
...
add performance tracker unit tests, made various fixes to perf tracker. still have a hang on exit for zipline/test/test_finance.py:FinanceTestCase.test_orders and zipline/test/test_finance.py:FinanceTestCase.test_performance. pinging realdiehl for help...
2012-03-11 16:21:10 -04:00
fawce
8f65b71fd4
added and fixed performance tracker tests. still some failures to iron out in performance.
2012-03-10 22:16:08 -05:00
fawce
b44ca63557
refactoring orders to discard placeholder messages.
2012-03-09 01:07:01 -05:00
fawce
b69ea6b790
refactoring performance to be a plain class, not a component.
2012-03-08 19:21:28 -05:00
fawce
2ba7d526a6
changes net of code review with @sdiehl
2012-03-07 18:22:55 -05:00
fawce
89525cfb7b
passing basic test for calculating portfolio positions over time.
2012-03-07 17:26:14 -05:00
fawce
3c7299b769
added a new client component that calculates positions, performance, and risk.
2012-03-07 15:39:53 -05:00
fawce
fec5e98a8d
updated factory to load from msgpack files, added tests for risk, parameterized treasury and benchmark data.
2012-03-07 01:48:03 -05:00
fawce