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49cd8e138bb11ebecac825d2d1f24a4014e3c5a8
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1266 Commits

Author SHA1 Message Date
Scott Sanderson 49cd8e138b BUG: F.window_safe implies f.demean().window_safe. 2016-09-22 12:41:50 -04:00
Andrew Daniels 9d7049a872 Merge pull request #1500 from quantopian/make-metadata-optional 
MAINT: Adds option for minute bar writer to not write metadata
 2016-09-21 12:40:19 -04:00
Eddie Hebert 9f77473ae6 Merge pull request #1502 from quantopian/remove-future-chain 
MAINT: Remove `future_chain` API method.
 2016-09-21 11:44:57 -04:00
Andrew Daniels 518b1d78ac MAINT: Adds option for minute bar writer to not write metadata 
With the addition of the truncate function, there are cases where we'll
want to construct a BcolzMinuteBarWriter to call truncate, without
gathering all the metadata. This commit adds a write_metadata arg to its
init, which is True by default. If False is specified, no metadata is
written.

Requires adding logic to truncate to update end_session in metadata to
the truncate date.
 2016-09-21 11:31:54 -04:00
Eddie Hebert f4daf10e2f MAINT: Remove future_chain API method. 
`future_chain` will be replaced by the as yet to be implemented method,
`data.current_chain`

Also removing `FutureChain` which will be replaced by another version
which only supports indexing and iteration.
 2016-09-21 11:08:34 -04:00
Scott Sanderson c23dd5beaa BUG: Remove set_trace and add test coverage. 2016-09-20 17:46:27 -04:00
Scott Sanderson ccd94e6e64 MAINT: Rebuild example data. 2016-09-20 17:12:09 -04:00
Scott Sanderson d9282ef7e0 BUG: Don't fail on integral floats in event rules. 
Coerce and warn instead.
 2016-09-20 17:12:08 -04:00
Scott Sanderson f3eeaa233c MAINT: Fix PerformanceWarning import. 2016-09-20 17:12:08 -04:00
Scott Sanderson 30a1eb66ea MAINT: Use explicit floats in np.full. 2016-09-20 17:12:08 -04:00
Scott Sanderson 966c0ceedb MAINT: Remove outdated compat code. 2016-09-20 17:12:07 -04:00
Scott Sanderson 7e2230a763 STY: Fix flake8 failures. 2016-09-20 17:12:07 -04:00
Scott Sanderson 72806620ea DOC: Note where cleanup happens. 2016-09-20 17:12:07 -04:00
Scott Sanderson 53eb1964d9 MAINT: Temporarily ignore pandas warnings in categoricals. 
Pandas 0.18 doesn't like having null-ish values in categoricals.  Fixing
this properly requires re-thinking the semantics for missing_value on
pipeline terms, so we're punting on that until after we've upgraded to
0.18.
 2016-09-20 17:12:07 -04:00
Scott Sanderson 0ff13e7fdc Revert "MAINT: Remove support for custom string Column missing values." 
This reverts commit 1b1e842e2339d6d0ee40cdfe34dcd27b4e4a7c0c.
 2016-09-20 17:12:07 -04:00
Scott Sanderson 16f4944232 MAINT: Remove support for custom string Column missing values. 
Pandas 0.18 deprecated passing "null-ish" values to pd.categorical.  The
expectation, instead, is that you use categorical's native support for
missing data, which means the user will always get NaN's for missing
entries of the categorical.

A follow-up to this change should probably drop support for custom
missing values entirely and to use LabelArray/categorical for integer
data.
 2016-09-20 17:12:07 -04:00
Scott Sanderson ca54721058 MAINT: Pandas compat for rolling_*. 2016-09-20 17:12:07 -04:00
Scott Sanderson a39a6e1bbf MAINT: Pass float to np.full explicitly. 2016-09-20 17:12:07 -04:00
Scott Sanderson 0c550dc592 MAINT: Fix warnings from numpy labelarray methods. 2016-09-20 17:12:07 -04:00
Scott Sanderson 758ed0fffa MAINT: Pass float explicitly. 2016-09-20 17:12:07 -04:00
Scott Sanderson b5fd0cdbfa MAINT: Use sort_values() instead of sort(). 
pd.DataFrame.sort() is deprecated.
 2016-09-20 17:12:07 -04:00
Scott Sanderson d265abbbf1 MAINT: Use dataframe.iteritems instead of iterkv. 
iterkv is deprecated.
 2016-09-20 17:12:07 -04:00
Scott Sanderson 7fbde3227c MAINT/TEST: Clarify test_events. 
- Refer to ``sessions`` instead of periods.
- Use ``toolz.concat`` instead of an O(N ** 2) sequence of appends.
 2016-09-20 17:12:07 -04:00
Scott Sanderson 989d21514c MAINT: Pass float to np.full explicitly. 2016-09-20 17:12:07 -04:00
Scott Sanderson 40ef039e46 TEST/MAINT: Silence no_checkpoints warning. 2016-09-20 17:12:07 -04:00
Scott Sanderson 2772975e2d MAINT: Use float in np.full. 2016-09-20 17:12:07 -04:00
Scott Sanderson b188381747 MAINT: Pass explicit dtype to np.full. 2016-09-20 17:12:07 -04:00
Scott Sanderson f494003c18 MAINT: Update fetcher for pandas 0.18. 
- Remove support for usecols=[].
- Use sort_values instead of sort().
- Use errors='coerce' instead of coerce=True.
 2016-09-20 16:24:55 -04:00
Scott Sanderson 36e4f70499 MAINT: Fix numpy deprecation warnings. 2016-09-20 16:24:55 -04:00
Scott Sanderson 77146ef489 MAINT: Explicitly use float64 in test. 2016-09-20 16:24:54 -04:00
Scott Sanderson 135080db84 MAINT: Don't use .loc with integers. 2016-09-20 16:24:54 -04:00
Andrew Daniels 95e07f2735 ENH: Adds truncate method to BcolzMinuteBarWriter (#1499) 2016-09-19 13:02:48 -04:00
Jean Bredeche ae0d41af6f ENH: Make reader.get_value raise NoDataOnDate if the date is not in the calendar. 
DataPortal now catches the NoDataOnDate exception and returns nan for
OHLC and 0 for V.

Price is still forward filled, unchanged.
 2016-09-14 22:21:43 -04:00
Jean Bredeche a5693d0589 MAINT: Add BarReader base class for both minute and session readers 2016-09-14 13:47:12 -04:00
Richard Frank df07f67614 Merge pull request #1467 from quantopian/check_param-string_types 
Check param string types
 2016-09-08 14:59:38 -04:00
Kathryn Glowinski 4a00e69212 More Fuzzy Symbol Fixes (#1475) 
* REF: More options before raise MultiFound.

* TST: Checks corner case for fuzzy matching.
 2016-09-08 14:52:57 -04:00
Scott Sanderson 1ccc9e4b64 Merge pull request #1471 from quantopian/fix-slow-startup 
PERF: Remove import-time calendar creations.
 2016-09-08 10:21:00 -04:00
Scott Sanderson d6ad73e064 MAINT: Updates from Joe's PR feedback. 2016-09-07 20:42:19 -04:00
Scott Sanderson 977d1fa0b9 MAINT/TEST: Update default calendar smoketest. 2016-09-06 14:13:32 -04:00
Joe Jevnik cf2abf10e2 Merge pull request #1449 from quantopian/getitem-is-not-getattr 
MAINT: remove __getitem__ as alias of __getattr__
 2016-09-06 13:48:17 -04:00
kglowinski d7b3c54860 BUG: Handle case with mult symbol options for same sid. 2016-09-06 10:12:01 -04:00
Scott Sanderson 1ca23f2583 PERF: Remove module-scope calendar creations. 
Remove module scope invocations of `get_calendar('NYSE')`, which cuts
zipline import time in half on my machine. This make the zipline CLI
noticeably more responsive, and it reduces memory consumed at import
time from 130MB to 90MB.

Before:

$ time python -c 'import zipline'

real    0m1.262s
user    0m1.128s
sys     0m0.120s

After:

$ time python -c 'import zipline'

real    0m0.676s
user    0m0.536s
sys     0m0.132s
 2016-09-06 09:57:23 -04:00
John Ricklefs c09f7ab04c Revert "BUG: Capital change deltas rely on cash, not portfolio_value" (#1470) 
This reverts commit 5b1aa5ec55.

The paradigm is: we're calculating a new capital base for the
performance period. We are therefore using the total
portfolio_value, not just the cash, to calculate the
difference from the specified target as the algorithm
has meaningful holdings.
 2016-09-05 14:12:04 -04:00
Richard Frank a4e495dd24 BUG: Fix up check_parameters usage of string_types 
and corresponding tests
 2016-09-02 16:47:32 -04:00
Scott Sanderson 9a301dc59b Merge pull request #1466 from quantopian/disallow-length-1-regressions 
ENH: Dont allow length=1 regressions/correlations.
 2016-09-02 15:49:03 -04:00
Eddie Hebert e8e054fbd0 TST: Add direct coverage for get last traded dt 
Check that both an equity and future can return expected values for
`get_last_traded_dt`.
 2016-09-02 13:19:46 -04:00
Scott Sanderson c84b5ada36 STY: Don't assign variables that won't be created. 2016-09-02 12:53:01 -04:00
Scott Sanderson dee715cff2 ENH: Dont allow length=1 regressions/correlations. 
They're not meaningful, and they cause warnings from numpy.

Implemented in terms of a new preprocessor, `expect_bounded`, which
takes a tuple of `upper_bound` and `lower_bound`.
 2016-09-02 12:49:09 -04:00
Ana Ruelas 9063cb3ce4 BUG: Do not adjust returns for sharpe and sortino 2016-09-02 10:41:50 -04:00
Eddie Hebert 22dead208a Merge pull request #1460 from quantopian/daily-aggregator-corner-cases 
TST/BUG: Full coverage on resample module.
 2016-09-01 17:24:56 -04:00