Andrew Daniels
306839e6e3
MAINT: Creates deprecation warning for tradingcalendar imports
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The tradingcalendar module has been replaced by the new exchange
calendars and trading schedules. Issues a ZiplineDeprecationWarning at
tradingcalendar module scope to be triggered on imports.
2016-06-16 09:40:29 -04:00
Andrew Liang
ba3ba053cb
MAINT: Refactor schedule function rules
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Refactor to eliminate unnecessary type coercion. Reduce some code
duplication
2016-06-14 13:55:59 -04:00
Andrew Liang
28b1da443e
MAINT: Raise when trying to get a date outside trading calendar
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next_scheduled_day and previous_scheduled day should raise if
trying a return a date outside the calendar. Previously it just
returns None, but it should be made consistent with the behavior
of add_scheduled_days
2016-06-13 09:07:16 -04:00
Jean Bredeche
1505c62daf
REV: Restore old tradingcalendar.py
2016-06-09 13:56:40 -04:00
Jean Bredeche
b1428aaad1
DEV: Cleaned up trading_minute_window
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Removed it from ExchangeCalendar.
Fixed TradingSchedule’s implementation to be much faster. Removed the
`step` parameter.
2016-06-08 13:34:23 -04:00
Jean Bredeche
e1e12534c5
ENH: speed up calculation of all trading minutes.
2016-06-08 13:34:23 -04:00
Jean Bredeche
1208aaf1d9
Fix from bad rebase.
2016-06-08 13:34:23 -04:00
jfkirk and Jean Bredeche
3b8b6d55e0
STY: Cleans up ExchangeCalendar construction
2016-06-08 13:34:22 -04:00
jfkirk and Jean Bredeche
4a20157a25
BUG: Python 3 time compatibility
2016-06-08 13:34:22 -04:00
jfkirk and Jean Bredeche
2a8f69fc01
MAINT: DataPortal env -> asset_finder
2016-06-08 13:34:22 -04:00
Andrew Daniels and Jean Bredeche
53fcdde66d
Fixes for CMEExchangeCalendar
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Note that a lot of this duplicates what we have for
NYSEExchangeCalendar.
2016-06-08 13:34:22 -04:00
jfkirk and Jean Bredeche
77cdec161a
BUG: Changes type of early_closes to DatetimeIndex
2016-06-08 13:34:21 -04:00
jfkirk and Jean Bredeche
156be81b14
ENH: Adds BMF, LSE, TSX to get_calendar
2016-06-08 13:34:21 -04:00
jfkirk and Jean Bredeche
2a81c2066f
ENH: Adds the option to force calendar registration
2016-06-08 13:34:21 -04:00
jfkirk and Jean Bredeche
ada0804df1
MAINT: Renames CME ExchangeCalendar module
2016-06-08 13:34:21 -04:00
jfkirk and Jean Bredeche
da99cd6192
ENH: Adds BMF, LSE, and TSX exchange calendars
2016-06-08 13:34:21 -04:00
jfkirk and Jean Bredeche
219f20989f
BUG: Fixes after-hours behavior on session_date
2016-06-08 13:34:21 -04:00
jfkirk and Jean Bredeche
f9812968d4
MAINT: Updates July 5th Holiday for pandas 17
2016-06-08 13:34:20 -04:00
jfkirk and Jean Bredeche
4344336576
BUG: Adds schedule arg to run_algo
2016-06-08 13:34:20 -04:00
jfkirk and Jean Bredeche
75e0e4723d
TST: Refactors more tests to use WithTradingSchedule
2016-06-08 13:34:20 -04:00
jfkirk and Jean Bredeche
d9fc514fa8
TST: Adds TradingSchedule test fixture
2016-06-08 13:34:20 -04:00
jfkirk and Jean Bredeche
31f9f06c9a
MAINT: Removes static calendar from schedule_function rules
2016-06-08 13:34:19 -04:00
jfkirk and Jean Bredeche
591ae02a02
MAINT: Removes unnecessary NYSETradingSchedule
2016-06-08 13:34:19 -04:00
jfkirk and Jean Bredeche
705fb4e89f
MAINT: Removes use of partials in schedule classes
2016-06-08 13:34:19 -04:00
jfkirk and Jean Bredeche
ddaf3d5b02
MAINT: Consolidates minute_window methods in schedule classes
2016-06-08 13:34:19 -04:00
jfkirk and Jean Bredeche
26742dda67
MAINT: Removes obsolete tradingcalendar module
2016-06-08 13:34:19 -04:00
jfkirk and Jean Bredeche
241abda2a5
STY: Flake8
2016-06-08 13:34:19 -04:00
jfkirk and Jean Bredeche
4b7390ac81
WIP: Refactors tests to use TradingSchedule
2016-06-08 13:34:19 -04:00
jfkirk and Jean Bredeche
c8304e8601
ENH: Adds ExchangeCalendar, TradingSchedule, and implementations
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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
Andrew Liang
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
Andrew Liang
1056501b27
MAINT: Support the passing of a time rule positionally on the date_rule arg
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But log a warning to the user
2016-06-03 15:28:53 -04:00
Eddie Hebert
e75c4650b0
MAINT: Remove unused data conversion script.
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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
Joe Jevnik
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
Andrew Daniels
71f12ec272
MAINT: Adds first_trading_day arg to DataPortal
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Instead of inferring it from the minute/daily writer, we now require the
first trading day to be passed explicitly, so the creator of the
DataPortal controls what is used as the first trading day.
2016-06-02 13:16:43 -04:00
Joe Jevnik
9448117b6e
MAINT: update mask_between_time and attribute the original to pandas
2016-05-27 14:34:19 -04:00
Joe Jevnik
2d36a58add
ENH: improve performance of time comparisons
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Adds `mask_time_between` to do more efficient comparisons between
pandas.DatetimeIndex and datetime.time objects.
This is used in the loader utils to more efficiently normalize datetimes
around the query time.
2016-05-25 13:21:26 -04:00
Scott Sanderson and Joe Jevnik
392ac2f9d6
DOC/TEST: Add example algo using Pipeline.
2016-05-24 22:34:05 -04:00
Joe Jevnik
533233fae4
BUG: fix cell magic
2016-05-24 02:04:47 -04:00
Joe Jevnik
46cc417b9b
BUG: fix some ingestion issues for quantopian-quandl
2016-05-16 16:15:17 -04:00
Joe Jevnik
784d5f4a16
Merge pull request #1199 from quantopian/boybands-factor
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BollingerBands factor
2016-05-13 15:35:10 -04:00
Joe Jevnik
9b76731143
ENH: adds with_metaclasses and tests for metautils
2016-05-12 15:58:19 -04:00
Joe Jevnik
d888c4faaa
DOC: update docs for api functions
2016-05-06 15:25:30 -04:00
Joe Jevnik
0562179060
Merge pull request #1178 from quantopian/quantopian-quandl
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ENH: Adds quantopian-quandl bundle as new default.
2016-05-06 12:53:07 -04:00
Scott Sanderson
3395b33f1e
BUG: Fix multiple bugs in PanelDailyBarReader.
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- Return a value from `verify_all_indices_unique` so that `panel` isn't
unconditionally `None` in `PanelDailyBarReader`.
- Fix a bug where we always set the volume of every asset to `1e9`.
- Add minimal suite of tests for get_spot_value, which catch both of the
above.
NOTE: There are still several issues with `PanelDailyBarReader`. The
docstring for `get_spot_value` claims that it will return -1 on days
where an asset didn't trade, which isn't the case. It also claims that
it will raise `NoDataOnDate` when a request is made outside the panel
range, but it just raises a KeyError. We also still have no coverage
for `load_raw_arrays`, so it's likely that there are more bugs lurking.
2016-05-06 10:59:14 -04:00
Jean Bredeche
a068eb374a
Merge pull request #1182 from quantopian/no-more-dups
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DEV: Ensure there are no duplicates in the data passed into TradingAlgorithm.run
2016-05-06 09:55:23 -04:00
Joe Jevnik
0b3a35891e
ENH: fix the quality of life issues in the CLI
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Fixes the issues presented in #1181 by @ssanderson around the new
command line interface.
2016-05-05 18:22:13 -04:00
Joe Jevnik
89542e33bd
ENH: Adds quantopian-quandl bundle as new default.
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This data bundle will use the quantopian mirror of the quandl WIKI data
instead of downloading from quandl directly. This dramatically improves
the speed because we do not pay the rate limiting for quandl and we can
send the data in the format zipline expects.
2016-05-05 18:22:13 -04:00
Scott Sanderson
bd0f138081
TEST/MAINT: Refactor unique axis verification.
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Break it into a standalone function that handles any pandas type.
2016-05-05 14:20:47 -04:00
Scott Sanderson
7a4e9fd61a
ENH: Make None the default for string columns.
2016-05-04 19:10:19 -04:00
Scott Sanderson
5a1ed7b1d3
ENH: Make element_of work for ints too.
2016-05-04 16:31:58 -04:00
Andrew Daniels