For printability in the repr when debugging algo config and state,
change the repr of TradingAlgorithm and the objects it contains
so that the more closely adhere to the repr interface of being
able to recreate an object instance.
Fix crash due to 'delay' was no longer supported.
But removing SlippageModel override, since current configs
should be functionally equivalent to FixedSlippage.
We were converting to pd.Series for historical reasons as an artifact
during development, now that we pass dt we can just pass the float values
instead of wrapping it in a series.
The check() function in zipline.utils.test_utils was only comparing
lists up to the length of the shortest list. This fix uses
izip_longest instead of izip so it compares up to the length of the
longest list, which among other things means that it will now
correctly report when one list is empty and the other is not.
So that TALib is still available, but smooth out the ability to
run tests with some issues that bear investigating.
- Ignore MAVP during tests.
- Temporarily use a "regular" member instead of __doc__ string.
(TODO: look into using `type` to generate the class)
- During tests wait until a window exists.
Instead of having the performance tracker as part of the
tradesimulation class, hold on to it inside of the algorithm
object, so that the perf_tracker is more easily accessed for
reset behavior, etc.
In the previous implementation of batch transform it happened
that a window_length of `0` caused the transform to update on every
bar, for the time being that behavior should be retained,
though the new rolling implementation more correctly aligns to the
term of 'period' so a period of 1 would achieve the same effect.
When moving BatchTransform off of EventWindow as a base object,
the checking of window length was lost, restore that check using
the same function as EventWindow.
- moved Order and Blotter to zipline.finance.blotter
- moved order method from AlgoSimulator to Blotter
- eliminated the set_order method in algorithm
- moved blotter to the algorithm
Add a test suite of dividend performance that ensures a holiday
is covered, needed because tests usually go over a random test range,
so holiday coverage isn't covered in basic test.
From @fawce.
Note, in a somewhat Catch-22 situation, the refactoring of
the simulation loop and streaming of minutely benchmarks enable
each other, since the benchmarks fall over because of doubled
date groupings, which is fixed by the change of the simulation loop,
but the simulation loop depends on using the benchmarks as a clock,
so pull the two changes in together, though the two changes do not
work independently of each other.
Refactor PerformanceTracker, Blotter, and AlgorithmSimulator to
work with handling the end of a bar at the AlgorithmSimulator level
instead of within PerformanceTracker.
- PerforamnceTracker and Blotter are longer generators,
both provide functions to process events instead.
- AlgorithmSimulator calls each from within the loop running
over the data generator.
- Change test_perf_tracker utility to be compatible with change
away from PerformanceTracker as a generator.
Has the effect of:
- Fixing the timing of order emission.
- Allow minutely emission of benchmarks, which was prevented
by the extra grouping previously caused by Blotter.
Minutely emission also depends on work for streaming benchmarks
through performance and risk at a minute granularity.
- Create different benchmark containers in performance
depending on emission rate.
- Add a minute close method which updates algorithm and
benchmark returns, and calculates the risk metrics
depending on those methods.
- Provide fake 0.0 values for annualized metrics like
sharpe, sortino, and information, until we figure out
how they should be treated in the context of minutely
calculation.
*NOTE* This does not fully work without the changes to the
simulation loop by @fawce
Eddie Hebert