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Author SHA1 Message Date
Scott Sanderson 3cc1cf078a TEST: Parameterize over window_length. 2016-07-24 21:21:40 -04:00
Scott Sanderson be857ead0e DOC: Clarify default window-safety for Filters. 2016-07-24 21:17:16 -04:00
Gil Wassermann ea01fb074a STY: style changes 2016-07-22 16:08:33 -04:00
Gil Wassermann 9c6aa0cd58 DOC: Added documentation about window-safe filters 2016-07-22 15:21:18 -04:00
Gil Wassermann b4aa0aecbb STY: Flake8 2016-07-22 15:08:34 -04:00
Gil Wassermann 36a727f4af ENH: sum vs nansum cleared up 2016-07-22 14:56:59 -04:00
Gil Wassermann 5e991a16d3 ENH: Test added and runs without error 2016-07-22 14:30:35 -04:00
Gil Wassermann c31d3b7904 ENH: Test now works 2016-07-21 12:25:02 -04:00
Gil Wassermann 21b33f03f9 ENH: test filter up and running 2016-07-21 10:21:19 -04:00
Gil Wassermann 98be158c20 ENH: storing commits. test case added 2016-07-21 08:49:41 -04:00
Gil Wassermann d7b631617c ENH: made filters window safe 2016-07-20 17:10:08 -04:00
David Michalowicz 71b2363775 Merge pull request #1336 from quantopian/pipeline-docs-touchups 
DOC: Pipeline docstring edits
 2016-07-20 15:38:33 -04:00
dmichalowicz 9cc5796b3e DOC: Pipeline docstring edits 2016-07-20 15:10:23 -04:00
Jean Bredeche adea192f02 BLD: Fix some imports. 2016-07-20 09:10:32 -04:00
Jean Bredeche f640f331c2 Merge pull request #1335 from quantopian/more-calendars 
ENH: ICE calendar, more calendar tests, cleaned up CME calendar
 2016-07-20 08:29:35 -04:00
Jean Bredeche 21aca754ba ENH: Reorganized internal calendar implementation. 
Added tests for CME calendar.

Added ICE calendar (and tests).

Added CFE calendar (and tests).
 2016-07-19 22:27:34 -04:00
Andrew Daniels 6cebf05417 BUG: Further corrections for days_at_time (#1334) 
* BUG: Further corrections for days_at_time

- Revert to using DateOffset, as Timedelta doesn't handle offsetting by
  one day over a tz change properly:

    In [12]: pd.Timestamp('2004-04-05', tz='America/Chicago') + pd.Timedelta(days=-1)
    Out[12]: Timestamp('2004-04-03 23:00:00-0600', tz='America/Chicago')

    In [13]: pd.Timestamp('2004-04-05', tz='America/Chicago') + pd.DateOffset(days=-1)
    Out[13]: Timestamp('2004-04-04 00:00:00-0600', tz='America/Chicago')

  By creating a DateOffset using the `days` kwarg, the issue previously
  fixed in bcc867b is addressed.

- To preempt any other pandas issues around day offsets, changes to
  performing these with no timezone, then localizing to the local
  timezone when shifting the time.
- Adds unit test for days_at_time

* STY: Remove unused import
 2016-07-19 13:19:40 -04:00
David Michalowicz b364b0fbfc Merge pull request #1307 from quantopian/sid-to-sid-2 
Factor-to-factor correlations and regressions
 2016-07-19 13:14:40 -04:00
dmichalowicz a8486c5f6e ENH: Factor-to-factor correlations/regressions 2016-07-19 11:16:55 -04:00
Andrew Daniels dffdf0a670 Merge pull request #1333 from quantopian/fix-days-at-time-offset 
BUG: Fixes issue with offsetting days in days_at_time calendar helper
 2016-07-18 17:53:11 -04:00
Andrew Daniels bcc867b143 BUG: Use Timedelta instead of DateOffset in days_at_time calendar helper 
Prior to pandas 17, there were issues with offsetting dates with
DateOffset around discontinuities (like the start of DST). We can use
Timedelta here instead, which handles these edge cases.
 2016-07-18 17:11:11 -04:00
Jean Bredeche 5f09203827 Merge pull request #1330 from quantopian/fix-daily-bar-writer 
Fix daily bar writer
 2016-07-15 15:41:20 -04:00
Jean Bredeche 5a0f840917 Clean up daily bar reader/writer to take advantage of new trading calendar. The reader 
is backwards-compatible with the previous format.

In USEquityLoader, use dailyreader's trading_calendar.

This is backwards compatible and will fall back to the NYSE calendar if
the reader doesn’t have a calendar specified.
 2016-07-15 15:13:57 -04:00
Scott Sanderson e0f6abda2e Merge pull request #1328 from quantopian/sample-event-utils-test 
PERF: Speed up event utils test case.
 2016-07-15 09:53:02 -04:00
Jean Bredeche 2af26ee38f Merge pull request #1327 from quantopian/fix-brainfarts 
Fix some mistakes from a previous merge.
 2016-07-14 20:53:41 -04:00
Joe Jevnik 835fab8ebd Merge pull request #1323 from quantopian/pmap-blaze-query 
ENH: Adds the ability to run blaze queries concurrently
 2016-07-14 18:40:57 -04:00
Scott Sanderson 67f76e4d67 PERF: Speed up event utils test case. 
Just take a sample of all 5000 permutations of 7 dates.
 2016-07-14 17:38:58 -04:00
Joe Jevnik 5473ec240d ENH: Adds the ability to run blaze queries concurrently 2016-07-14 17:32:30 -04:00
Joe Jevnik 90035e7bed Merge pull request #1325 from quantopian/lwma 
ENH: Adds LinearWeightedMovingAverage factor
 2016-07-14 15:52:15 -04:00
Jean Bredeche 295cfa3846 Fix some mistakes from a previous merge. 
No tests failed, which was worrisome.  Will file issues to take a look
later.
 2016-07-14 15:40:36 -04:00
Samuel Woo 5756f2932d ENH: Adds LinearWeightedMovingAverage factor 2016-07-14 15:10:42 -04:00
Jean Bredeche e22108b7ef Merge pull request #1312 from quantopian/24-5-backtesting 
Re-implemented the calendar API.
 2016-07-14 10:05:18 -04:00
Richard Frank 8b9a9dd547 Merge pull request #1324 from quantopian/rate-of-change-percentage 
Rate of change percentage
 2016-07-13 21:23:35 -04:00
Jean Bredeche 3d6fdc0755 Make sure we are passing ints to nth. 2016-07-13 20:40:57 -04:00
Richard Frank c9b0e4050d TST: Added more test cases for RateOfChangePercentage 2016-07-13 19:48:18 -04:00
Richard Frank dc0784b88d MAINT: Removed defaults from RateOfChangePercentage 
since it's general enough that we don't need to assume closes
 2016-07-13 19:46:59 -04:00
Elizaveta239 8a32c2b7ce ENH: Add Rate of change Percentage indicator 2016-07-13 18:07:20 -04:00
Joe Jevnik 4a0629b894 Merge pull request #1263 from quantopian/cloud-computing 
Ichimoku Cloud
 2016-07-13 15:27:58 -04:00
Jean Bredeche 4af61d2c39 unused 2016-07-13 09:13:39 -04:00
Joe Jevnik 0f1c08024a ENH: Adds the ichimoku cloud factor 2016-07-12 18:49:24 -04:00
Joe Jevnik 958d455a7a ENH: Support default params for terms 2016-07-12 18:49:24 -04:00
Jean Bredeche 6fb4923cc7 Re-implemented the Calendar API. 
Instead of having separate ExchangeCalendar and TradingSchedule objects, we
now just have TradingCalendar.  The TradingCalendar keeps track of each
session (defined as a contiguous set of minutes between an open and a close).
It's also responsible for handling the grouping logic of any given minute
to its containing session, or the next/previous session if it's not a market
minute for the given calendar.
 2016-07-12 13:13:50 -04:00
Eddie Hebert db4e06055c Merge pull request #1317 from quantopian/reduce-number-of-days-for-test-misc-api 
TST: Speed up TestMiscellaneousAPI
 2016-07-11 15:47:51 -04:00
Eddie Hebert 4840e124af TST: Speed up TestMiscellaneousAPI 
Limit the date range to one day, instead of a year.

On my local machine the following goes from taking 12 seconds to 0.6 seconds.

`$ nosetests -x tests/test_algorithm.py:TestMiscellaneousAPI`
 2016-07-11 10:34:08 -04:00
Richard Frank 7c170274a3 Merge pull request #1310 from quantopian/vagrantf 
VagrantFile for Ubuntu 14.04 that includes all the development requirements
 2016-07-07 16:25:29 -04:00
Richard Frank 424d7747da DOC: Updated whatsnew with VagrantFile update 2016-07-07 16:01:48 -04:00
Richard Frank 8f9bc98eb1 DEV: Added cleaning of cython assets to dev Dockerfile as well 
Added same comment to vagrant init
 2016-07-07 15:56:46 -04:00
Richard Frank 95d59c1ddb DOC: Include info about location of zipline repo inside vagrant 2016-07-07 15:56:46 -04:00
Richard Frank bd45bb0230 MAINT: Tee output to console and log file 2016-07-07 15:56:46 -04:00
Richard Frank ec4336ff0c DEV: Exit on error 2016-07-07 15:56:45 -04:00