97cbea2514
Fixes crashes when using numpy log on a batch transform data panel.
...
The recent change to the creation of the data panel ended up with
a panel with the dtype of 'object', which was causing numpy ufuncs
like `log` to crash out on an `AttributeError`.
This forces all frames in the panel to use a dtype of 'float',
we may want to look at seeting a dtype on a frame by frame basis,
e.g. 'volume' may more accurately be 'int'.
2013-02-19 11:20:04 -05:00
1bc19c052b
Removes unused test transform.
2013-02-01 21:05:49 -05:00
81337d1306
Adds the ability to record variables.
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Takes the value set for a variable on handle_data and records it,
e.g.:
```
def initialize(self):
self.incr = 0
self.record_variables(['incr'])
def handle_data(self, data):
self.incr += 1
```
Would record a variable of `incr`.
Emits the recorded variables as part of the daily performance.
This batch combins work from:
Thomas Wiecki <thomas.wiecki@gmail.com > (@twiecki)
fawce <fawce@quantopian.com > (@fawce)
2013-01-31 08:16:54 -05:00
2587cd6512
Enriches message returned for test batch transform.
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Adds formatting of the failing values when ReturnPriceBatchTransform's
data shape does not match the window_length.
2013-01-30 14:04:17 -05:00
456639d02c
ENH: New batch_transform feature: compute_only_full.
2013-01-16 10:30:37 -05:00
52b099f6db
ENH: Added new kwarg to batch_transform: create_panel.
2013-01-16 10:30:37 -05:00
b815a57430
ENH: batch_transform now supports field filtering.
2013-01-16 10:30:37 -05:00
b68c51afb4
ENH: batch_transform now supports sid-filtering. DOC: Added docs to batch_transform.
2013-01-16 10:30:37 -05:00
79a8a08812
STY: Renamed fillna to clean_nans.
2012-12-06 17:23:26 -05:00
ecb26e9eec
BUG: Can not test for length when dropping nans.
2012-12-06 16:07:18 -05:00
ba46c6292f
ENH: DataPanel is now created more flexible over all sids and all given fields. Added unittest to test for nan-filling. Added backwards filling by default.
2012-12-06 14:43:20 -05:00
5f6839beea
BUG: Refactored batch_transform unittests and fixed some bugs.
2012-12-06 12:36:47 -05:00
c69858f8b9
ENH: Added kwarg to turn off fillna or use different fill method.
2012-12-06 12:35:46 -05:00
f81addb7df
ENH: batch_transform now adds arbitrary keys to datapanel.
2012-12-03 13:41:37 -05:00
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
4c02fea6e2
BUG: batch_transform was wrongly updating when days < refresh_period.
2012-11-19 10:20:24 -05:00
ff9093d226
DOC: Fixed some paragraph alignment and table formatting issues.
2012-11-13 12:20:07 -05:00
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
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
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
96fed05fc0
support for test fixes in qexec
2012-10-10 16:09:40 -04:00
16b0d71506
refactoring of algorithm to make it work for both batch style run method, and generator style consumption. removed the portfolio property from the data parameter. added set_slippage and set_commission methods to algorithm. removed timeout tracking.
2012-10-10 16:06:32 -04:00
9500163ed8
Adds Apache 2.0 license header to source files.
2012-10-08 17:32:41 -04:00
77af1ca632
Applies PEP-8 and pyflakes style to tests and zipline.
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Mostly whitespace, line width and other spacing changes.
Also, removes use of deprecated has_key in favor of `in`
Going forward new patches should pass running `flake8` before
submission.
2012-10-05 12:14:09 -04:00
7a8697f0e5
updated based on PR feedback.
2012-09-30 22:12:00 -04:00
1caefbff43
tests are passing for independent commission model
2012-09-28 23:12:41 -04:00
188a9502b0
Added passing of arguments to algorithm initialize and batch transform.
2012-09-25 11:48:37 -04:00
4324f95f36
Better unittest coverage. DataFrameSource is now filtering sids. Fixed outstanding issues.
2012-09-21 11:59:46 -04:00
4526cde4c5
Fixed weird regression in TestAlgorithm.
2012-09-19 19:37:21 -04:00
280f122353
WIP: Lot of refactoring and bugfixing.
2012-09-17 18:35:21 -04:00
5d00099243
example code now retrieves data from yahoo finance.
2012-09-17 12:15:36 -04:00
0bb0df525a
pluggable slippage.
2012-09-14 12:33:10 -04:00
1f55e8a033
added exception handling tests back. updates to support integration.
2012-09-10 23:06:13 -04:00
7c0329bb76
Resolved conflicts
2012-08-23 10:54:02 -04:00
57f1c6056c
unit test for heartbeating
2012-08-20 18:24:17 -04:00
69ac68af2e
heartbeating for handle_data
2012-08-19 02:22:16 -04:00
51f01c0f1f
ENH: Implemented new Zipline interface. Implemented Algorithm base class. Implemented example algorithm. Implemented example.py code.
2012-08-10 17:23:08 -04:00
e4a21e7c61
resolved conflicts
2012-08-01 11:04:35 -04:00
08cce15ef9
added name and message to exception message
2012-07-31 16:02:28 -04:00
80f2acc674
test fixes
2012-07-27 23:33:43 -04:00
abf9c8efa5
exception handling code revised. gevent, pypy, and threadsim vestiges removed.
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devel flag removed.
2012-07-26 16:22:13 -04:00
d0e987a8e8
tests passing using the process simulator.
2012-07-24 14:00:33 -04:00
fc1882daaa
enabled logging with a logbook zmq logger from within the algorithm.
2012-07-22 07:33:42 -04:00
f364cde3d2
added a class to throw exceptions from the algorithm
2012-07-21 09:52:06 -04:00
5a7fa6d893
bugfixes to logging setup
2012-07-02 05:36:48 -04:00
e4003cdc4c
new algorithm for testing logging
2012-07-01 20:28:49 -04:00
4c40a3d55c
all manner of changes to support logging
2012-06-28 16:28:10 -04:00
ec93bdaecd
alias for dt as datetime.
2012-05-18 23:40:38 -04:00
ba2783081c
switched SID to sid
2012-05-18 21:46:42 -04:00
d503ce465a
Merge branch 'refactor'
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Conflicts:
zipline/finance/trading.py
zipline/lines.py
2012-05-15 14:04:05 -04:00
Eddie Hebert