Thomas Wiecki and Eddie Hebert
f81addb7df
ENH: batch_transform now adds arbitrary keys to datapanel.
2012-12-03 13:41:37 -05:00
Richard Frank
1b2f6739e9
Fixed floating-point error in volume share slippage model
2012-11-29 12:13:35 -05:00
Eddie Hebert
e266d926f3
Updates quarter utilities to fix offset.
...
Also, includes tests of quarter utilities.
Thanks to @richafrank.
2012-11-28 10:53:08 -05:00
Eddie Hebert
89485a0ee9
Fixes invocation of datetime method.
2012-11-27 17:46:24 -05:00
Eddie Hebert
cc0ff551ec
Adds quarter date utilities back into zipline.
...
Paving the way for a refactoring that will bring some of the
universe logic, specifically quarter universe logic into zipline.
2012-11-27 17:16:21 -05:00
Richard Frank
4d41070585
Fix for slippage time getting out of sync with algo.
...
Moved grouping by date earlier in the pipeline of generators,
prior to any date-dependent state getting involved. Grouping
pulls from the pipeline until the start of the next group,
which is in the next day. The effect of grouping after
slippage but before handle_data is that slippage and the algo
are out of sync by a transaction.
2012-11-27 13:38:50 -05:00
Richard Frank
c81d6a30d1
Fix to inject log dates from slippage methods.
2012-11-27 12:41:07 -05:00
fawce
3a181529e2
fixed whitespace problem
2012-11-22 07:21:52 -05:00
fawce
bb108e5c08
Update zipline/transforms/utils.py
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emergency fix. the dropna was dropping the entire price dataframe from the datapanel.
2012-11-22 07:06:59 -05:00
Eddie Hebert
2c3d9a84db
Fills in missing slots in transform data panels.
...
Forward fills data, so that when using multiple stocks,
we don't have cases where one stock has data and the other doesn't.
2012-11-21 17:54:57 -05:00
Eddie Hebert
0ba6f88a84
Fixes event window length in example algo.
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It was using the old days parameter.
2012-11-20 16:38:56 -05:00
Eddie Hebert
9f715258e6
Updates pairtrade example to use window_length.
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Batch transforms now use window_length instead of days.
2012-11-20 16:31:18 -05:00
Eddie Hebert
36fe43efce
Merge pull request #25 from quantopian/use-data-source-for-data-frame
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Use data source for data frame
2012-11-20 13:11:24 -08:00
Richard Frank
f4be285dd7
Removed quarter utilities unused by zipline
2012-11-20 13:46:48 -05:00
Eddie Hebert
ab6b754922
Changes EventWindow parameter of days to window length.
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The days parameter was causing confusion when explaining the
usage of the batch_transform decorator.
2012-11-20 11:52:27 -05:00
Eddie Hebert
c9483a7e36
Merge branch 'master' into use-data-source-for-data-frame
2012-11-19 21:25:50 -05:00
Eddie Hebert
68c5709f21
Stylistic compliance with flake8 checker.
2012-11-19 21:24:51 -05:00
Eddie Hebert
5a95122f21
Converts data frame source over to using DataSource base object.
2012-11-19 17:30:16 -05:00
Eddie Hebert
f85ad50e60
Breaks the sources module into pieces.
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Clearing the way for adding in a DataSource class within the
sources module.
2012-11-19 17:30:16 -05:00
Eddie Hebert
cf0de17b13
Merge pull request #22 from quantopian/fix_batch_transform_days
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BUG: batch_transform was wrongly updating when days < refresh_period.
2012-11-19 12:40:26 -08:00
Eddie Hebert
4a1fbb7d03
Removes unused fuzzy_dates method.
2012-11-19 12:50:46 -05:00
Eddie Hebert
0617e53d69
Upgrades flake8 from 1.5 -> 1.6
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Also, removes flake8 ignores, since the warnings that were
at odds with eachother now work.
2012-11-19 12:49:09 -05:00
Thomas Wiecki
7bb8dca245
STY: Reversed order of if-statement.
2012-11-19 10:55:30 -05:00
Thomas Wiecki
f2ce713b99
DOC: Added doc-string to get_data().
2012-11-19 10:23:22 -05:00
Thomas Wiecki
4c02fea6e2
BUG: batch_transform was wrongly updating when days < refresh_period.
2012-11-19 10:20:24 -05:00
Eddie Hebert and Eddie Hebert
d5697cdf0a
Fixes under-incrementation of risk report.
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We were only incrementing the risk report by one day, and never
checking to see if that day we incremented into was a trading day
or not.
We now increment by day until we are on a trading day.
With an assist from @twiecki on:
Adapted test_risk_compare_batch_iterative to work with fixed
iterative risk class.
2012-11-15 14:13:04 -05:00
Eddie Hebert
4c3554042e
Revert "Removes created member from risk metrics."
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This reverts commit 18587b0623
2012-11-14 18:25:57 -05:00
Tobias Brandt
e0ef6586a2
DOC: Fixed escaping of special chars in math environment.
2012-11-14 11:26:02 +02:00
Tobias Brandt
b02e392b68
DOC: Fixed escaping of long words in table cells.
2012-11-14 11:25:17 +02:00
Tobias Brandt and Eddie Hebert
ff9093d226
DOC: Fixed some paragraph alignment and table formatting issues.
2012-11-13 12:20:07 -05:00
Eddie Hebert
cc715b81ae
Merge pull request #15 from quantopian/allow-data-when-installed-as-root
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Allows data downloads when installed as root
2012-11-12 07:24:04 -08:00
Eddie Hebert
18587b0623
Removes created member from risk metrics.
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`created` was being set, but unused.
It is one of the rare uses of the epoch_now and EPOCH,
so removing on the path of trimming down date_utils.
2012-11-09 06:58:06 -05:00
Eddie Hebert
8a0d6e72cd
Changes the location of downloaded external data files.
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So that the zipline library can be used when installed to a
write-protected location, e.g. the global site-packages,
moving the download files to a directory in the user's path,
which should be writeable.
For now, choosing a ~/.zipline/data location.
2012-11-08 22:51:03 -05:00
Thomas Wiecki and Eddie Hebert
126e9fdf26
Fixed batch_transform window length not being market aware.
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Added accompanying unittest.
Minor refactoring of unittests and factory.
2012-11-06 21:13:27 -05:00
Eddie Hebert
086c12ddf8
Locks down the ability to easily override the algo's portfolio.
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Starting down the path of making the portfolio completely read-only
with respect to the handle_data in algo.
The portfolio should only be changed during the course of running
the algorithm by the simulator.
This doesn't do a 100% protection, i.e. an algo could use _portfolio,
or the set_attr property, but hoping this helps guides algo writing
to treat the portfolio as read-only.
2012-11-05 13:40:23 -05:00
fawce and Eddie Hebert
fa427afb16
added algotime get/set to algorithm
2012-10-29 18:54:55 -04:00
Thomas Wiecki and Eddie Hebert
c0b161287d
Fixed odd bug that caused the first day not to get simulated. This triggered some changes to the batchtransform unittests.
2012-10-23 17:57:27 -04:00
Thomas Wiecki and Eddie Hebert
42c2a6b892
Adds example algorithm scripts.
2012-10-23 17:46:02 -04:00
Eddie Hebert
e77cce1dc2
Removes extra getter method for getting returns member.
2012-10-23 13:29:42 -04:00
Thomas Wiecki
7a34e37b1e
Transforms now default market_aware=True.
2012-10-23 09:14:05 -04:00
Eddie Hebert
bad6296d24
Merge pull request #2 from quantopian/yahoo_finance_loader
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Added yahoo finance loader.
2012-10-22 09:07:25 -07:00
Eddie Hebert
7904773d00
Updates flake8 to latest.
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The latest flake8 release in now 1.5, which pulls in pep8: 1.3.4a0
The upgrade pep8 has changes to what it picks up as lint.
Making code base compatible, so that new devs can install pep8
from PyPI and not have friction over the version difference.
Currently using these ignores in the config file:
```
[pep8]
ignore = E124,E125,E126
```
Ignoring these since they are difficult to squash while maintaining
an 80 char line length, and appear spurious.
Should address later.
Updates Travis config, README, and pip requirements to reflect change.
2012-10-22 11:57:16 -04:00
Thomas Wiecki
ae1644fe35
Added yahoo finance loader.
2012-10-22 09:28:56 -04:00
Thomas Wiecki
ddb007a6f9
Removed optimize from __init__.py file.
2012-10-22 09:04:12 -04:00
Thomas Wiecki
d468d05ba4
Removes optimize directory and optimize unittests which live on a separate branch yet. Was not functional yet and should thus not be in the main branch.
2012-10-22 08:51:30 -04:00
Thomas Wiecki and Eddie Hebert
15ac658024
Restructured file hierarchy. Transforms now live in transforms (transform.py is now transforms/utils.py). Sources are in sources.py. VWAP is now MovingVWAP.
2012-10-19 18:10:51 -04:00
Eddie Hebert
e9d4f1d9d0
Applies flake8 recommendation. Whitespace wrangling.
2012-10-19 14:14:53 -04:00
Thomas Wiecki
92f1dbef0c
Fixes bug that .run() could not be called twice on an algorithm. Added unittest to check.
2012-10-19 11:47:59 -05:00
fawce and Eddie Hebert
943a56322e
added a __call__ method to BatchTransform to make it useable as a decorator.
2012-10-19 11:20:00 -04:00
Eddie Hebert
0ab136f1c8
Adds a loader for market data when it doesn't exist locally.
...
Hopefully, this helps ease ramp up time for developing against
market data, without us distributing the data.
We do a check for the data when attempting to read the msgpack
files, if they don't exist the loader makes a web request and
retrieves and serializes the data for the user.
Provides a loader for:
- curves from data.treasury.gov
- benchmarks from Yahoo! Finance
Adds dependency of requests library in dev requirements.
2012-10-19 11:19:14 -04:00
