39cc355066
TST: Finishes fixing fixes for the fixed fixtures
2016-06-08 13:34:23 -04:00
d437a5d675
MAINT: Rebase fixes
2016-06-08 13:34:23 -04:00
3b8b6d55e0
STY: Cleans up ExchangeCalendar construction
2016-06-08 13:34:22 -04:00
4a20157a25
BUG: Python 3 time compatibility
2016-06-08 13:34:22 -04:00
2a8f69fc01
MAINT: DataPortal env -> asset_finder
2016-06-08 13:34:22 -04:00
53fcdde66d
Fixes for CMEExchangeCalendar
...
Note that a lot of this duplicates what we have for
NYSEExchangeCalendar.
2016-06-08 13:34:22 -04:00
0a6ad9ac9e
STY: Your flake is on fleek
2016-06-08 13:34:22 -04:00
581e817603
MAINT: Rebase reconciliation
2016-06-08 13:34:22 -04:00
77cdec161a
BUG: Changes type of early_closes to DatetimeIndex
2016-06-08 13:34:21 -04:00
156be81b14
ENH: Adds BMF, LSE, TSX to get_calendar
2016-06-08 13:34:21 -04:00
2a81c2066f
ENH: Adds the option to force calendar registration
2016-06-08 13:34:21 -04:00
ada0804df1
MAINT: Renames CME ExchangeCalendar module
2016-06-08 13:34:21 -04:00
da99cd6192
ENH: Adds BMF, LSE, and TSX exchange calendars
2016-06-08 13:34:21 -04:00
219f20989f
BUG: Fixes after-hours behavior on session_date
2016-06-08 13:34:21 -04:00
2e625181bc
BUG: Removes reference to env.minutes_in_range
2016-06-08 13:34:20 -04:00
f9812968d4
MAINT: Updates July 5th Holiday for pandas 17
2016-06-08 13:34:20 -04:00
10a118d94c
MAINT: Removes references to tradingcalendar
2016-06-08 13:34:20 -04:00
4344336576
BUG: Adds schedule arg to run_algo
2016-06-08 13:34:20 -04:00
75e0e4723d
TST: Refactors more tests to use WithTradingSchedule
2016-06-08 13:34:20 -04:00
d9fc514fa8
TST: Adds TradingSchedule test fixture
2016-06-08 13:34:20 -04:00
31f9f06c9a
MAINT: Removes static calendar from schedule_function rules
2016-06-08 13:34:19 -04:00
591ae02a02
MAINT: Removes unnecessary NYSETradingSchedule
2016-06-08 13:34:19 -04:00
705fb4e89f
MAINT: Removes use of partials in schedule classes
2016-06-08 13:34:19 -04:00
ddaf3d5b02
MAINT: Consolidates minute_window methods in schedule classes
2016-06-08 13:34:19 -04:00
26742dda67
MAINT: Removes obsolete tradingcalendar module
2016-06-08 13:34:19 -04:00
241abda2a5
STY: Flake8
2016-06-08 13:34:19 -04:00
4b7390ac81
WIP: Refactors tests to use TradingSchedule
2016-06-08 13:34:19 -04:00
c8304e8601
ENH: Adds ExchangeCalendar, TradingSchedule, and implementations
...
Conflicts:
tests/data/test_minute_bars.py
tests/data/test_us_equity_pricing.py
tests/finance/test_slippage.py
tests/pipeline/test_engine.py
tests/pipeline/test_us_equity_pricing_loader.py
tests/serialization_cases.py
tests/test_algorithm.py
tests/test_assets.py
tests/test_bar_data.py
tests/test_benchmark.py
tests/test_exception_handling.py
tests/test_fetcher.py
tests/test_finance.py
tests/test_history.py
tests/test_perf_tracking.py
tests/test_security_list.py
tests/utils/test_events.py
zipline/algorithm.py
zipline/data/data_portal.py
zipline/data/us_equity_loader.py
zipline/errors.py
zipline/finance/trading.py
zipline/testing/core.py
zipline/utils/events.py
2016-06-08 13:34:18 -04:00
c9b5979f45
BUG: Fixed repr of PerShare
...
Format string didn't match keyword arg
2016-06-08 10:41:24 -04:00
787906590c
Merge pull request #1254 from ChrisPappalardo/dockerfile_cap
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created dockerfile for zipline dev
2016-06-07 13:33:18 -04:00
7e70f8fa98
DEV: created dockerfile for zipline development
2016-06-07 09:08:18 -07:00
fd57705676
Merge pull request #1256 from quantopian/fix-history-daily-freq-in-minute
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BUG: Apply latest adjustment for minute `1d`
2016-06-07 11:08:18 -04:00
58467f9b3e
MAINT: Only calc inverse ratio if it applies.
...
Avoid unneeded work by only calcultaing the inverse ratio when it
applies to the current range.
2016-06-07 10:41:18 -04:00
b450ab841f
BUG: Apply latest adjustment for minute 1d
...
Fix behavior in minute mode history with frequency `1d`, where on the
day immediately following an adjustment action, the overnight adjustment
would not apply. (However the adjustment would be applied after a 1 day
lag.)
The root cause of the bug was that the history data for minute mode when
using `1d` stitches together a sliding window of the daily data for
previous and the current minute. That daily data sliding window and
corresponding adjustments was being read as if the data was being viewed
from on the last day of the window; however in this case the data is
being viewed from the day after the window has completed. The difference
in view points requires the adjustments to popped and applied by the
adjusted array one index earlier. The fix uses the `extra_slot` value as
signifier on whether the data is being viewed on the following day and
then accordingly adjusts the index of the mulitpy object.
Also, change the split and merger test data ratios to have different values,
to ensure that different adjustment values are applied; as opposed to
doubling up on just one of the values.
2016-06-07 10:41:18 -04:00
6979ae8d6a
ENH: fast stochastic oscillator added ( #1255 )
...
ENH: fast stochastic oscillator added.
A fast stochastic oscillator has been added to the technical
factors. This is the simplest of the stochastic oscillators,
and can be used to build the others.
Tests have been added that compare against the values expected
from that of ta-lib STOCHF.
FastStochasticOscillator is marked as window_safe=True to allow taking
moving averages for smoothing.
2016-06-06 17:06:34 -04:00
6cf080f4b5
BLD: fix blaze commit
2016-06-06 15:46:18 -04:00
af38b02870
Merge pull request #1258 from femtoghoti/add_aroon_indicator
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ENH: Add Aroon indicator.
2016-06-03 20:23:37 -04:00
696e81b911
ENH: Add Aroon indicator.
2016-06-03 16:28:13 -07:00
7d1c79715d
Merge pull request #1221 from quantopian/schedule_func_args
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Support the passing of a time rule positionally on the date_rule arg
2016-06-03 17:44:28 -04:00
b0827f44db
Merge pull request #1257 from quantopian/remove-data-source-tables-gen
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MAINT: Remove unused data conversion script.
2016-06-03 17:09:52 -04:00
8218176c47
Merge pull request #1248 from wilsonkichoi/master
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DOC: remove "python -m" and "--symbols" from the example
2016-06-03 12:52:15 -07:00
60bb681a04
Merge pull request #1250 from quantopian/cycle-breaker
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MAINT: Break reference cycle between algorithm and simulator
2016-06-03 12:36:25 -07:00
1056501b27
MAINT: Support the passing of a time rule positionally on the date_rule arg
...
But log a warning to the user
2016-06-03 15:28:53 -04:00
e75c4650b0
MAINT: Remove unused data conversion script.
...
The file format converted by this script has no support for reading in
Zipline. Remove since it requires import of a library not defined in
requirements.
2016-06-03 15:13:45 -04:00
1c2e0da299
DOC: fix typo
2016-06-03 11:25:41 -07:00
bcc187605c
MAINT: Break reference cycle between algorithm and simulator
...
when simulation finishes, so that resources are cleaned up
deterministically.
2016-06-03 11:24:43 -07:00
cf1687ec72
Merge pull request #1227 from quantopian/blaze-loader-perf
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ENH: improve performance of blaze core loader
2016-06-03 14:15:33 -04:00
b4892d34ae
Merge pull request #1249 from JimStearns206/update-tutorial-doc
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DOC: Fix bullet list format (minor).
2016-06-03 14:11:04 -04:00
7ca53f2233
Merge pull request #1252 from jasonwirth/master
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Correct typo
2016-06-03 14:10:37 -04:00
4dd6e4fb61
correct CLI command
2016-06-02 19:36:18 -07:00
jfkirk