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Author SHA1 Message Date
Joe JevnikandGitHub f90cd1ca0f Merge pull request #1672 from quantopian/narrow-labelarray 
narrow labelarray
 2017-03-02 19:32:56 -05:00
Joe JevnikandGitHub f878bf2365 BUG: load extensions in IPython magic (#1543) 2016-10-28 16:00:51 -04:00
Joe JevnikandGitHub 156678ab6c Merge pull request #1521 from quantopian/add-optimization-pass-for-initial-workspace 
Add optimization pass for initial workspace
 2016-10-28 15:42:52 -04:00
Joe JevnikandGitHub 4386895636 Merge pull request #1538 from quantopian/events-loader-query-fix 
fix events loader blaze query
 2016-10-13 15:49:57 -04:00
Joe JevnikandGitHub 0d7662df52 Merge pull request #1531 from quantopian/assert-slice-equal 
TST: Adds assert_equal dispatch for slices
 2016-10-11 11:14:23 -04:00
Joe JevnikandGitHub 89786f195d Merge pull request #1472 from quantopian/branch-protect-hook-stopped-me-from-pushing-this-commit-directly-;_; 
ENH: improve warning for protocol getitem
 2016-09-06 15:42:14 -04:00
Joe JevnikandGitHub 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
Joe JevnikandGitHub 220ffc54a8 Merge pull request #1387 from quantopian/sqlite-needs-distinct-on-because-this-is-ugly 
v5 downgrade
 2016-08-10 16:10:04 -04:00
Joe JevnikandGitHub 05ec87b45b Merge pull request #1380 from quantopian/show-correct-symbol 
BUG: always show the most recent symbol in Asset objects
 2016-08-09 15:29:04 -04:00
Joe JevnikandGitHub 164bd06dba Merge pull request #1368 from quantopian/lots-of-symbols 
Lots of symbols
 2016-08-02 19:48:48 -04:00
Joe JevnikandGitHub 74c46732e5 Merge pull request #1361 from quantopian/point-in-time-assets-db-again 
Point in time assets db again
 2016-08-02 15:35:56 -04:00
Joe JevnikandGitHub 9103516e82 Merge pull request #1313 from nathanwolfe/master 
BUG: Add support for Panel data in accordance with documentation
 2016-07-29 20:11:56 -04:00
Joe JevnikandGitHub 3b633011c6 Merge pull request #1354 from quantopian/revert-1302-point-in-time-asset-db 
Revert "Point in time asset db"
 2016-07-27 23:54:59 -04:00
Joe JevnikandGitHub 814a2be7b7 Revert "Point in time asset db" 2016-07-27 23:29:08 -04:00
Joe JevnikandGitHub d6e3da9405 Merge pull request #1302 from quantopian/point-in-time-asset-db 
Point in time asset db
 2016-07-26 14:23:13 -04:00
Joe JevnikandGitHub 828ddbd927 Merge pull request #1348 from quantopian/pycon2016_cap 
TrueRange Factor
 2016-07-25 15:05:11 -04:00
Joe JevnikandGitHub 835fab8ebd Merge pull request #1323 from quantopian/pmap-blaze-query 
ENH: Adds the ability to run blaze queries concurrently
 2016-07-14 18:40:57 -04:00
Joe JevnikandGitHub 90035e7bed Merge pull request #1325 from quantopian/lwma 
ENH: Adds LinearWeightedMovingAverage factor
 2016-07-14 15:52:15 -04:00
Joe JevnikandGitHub 4a0629b894 Merge pull request #1263 from quantopian/cloud-computing 
Ichimoku Cloud
 2016-07-13 15:27:58 -04:00
Joe JevnikandGitHub 28055ed36d Merge pull request #1303 from degtyarevalexey/master 
DOC: Fix typo in command line to ingest quandl
 2016-06-26 23:05:40 -04:00
Joe JevnikandGitHub d608e0af4f Merge pull request #1276 from quantopian/blaze-loader-checkpoints 
ENH: add ffill checkpointing to blaze core loader
 2016-06-21 16:48:08 -04:00
Joe Jevnik af38b02870 Merge pull request #1258 from femtoghoti/add_aroon_indicator 
ENH: Add Aroon indicator.
 2016-06-03 20:23:37 -04:00
Joe Jevnik cf1687ec72 Merge pull request #1227 from quantopian/blaze-loader-perf 
ENH: improve performance of blaze core loader
 2016-06-03 14:15:33 -04:00
Joe Jevnik b4892d34ae Merge pull request #1249 from JimStearns206/update-tutorial-doc 
DOC: Fix bullet list format (minor).
 2016-06-03 14:11:04 -04:00
Joe Jevnik 7ca53f2233 Merge pull request #1252 from jasonwirth/master 
Correct typo
 2016-06-03 14:10:37 -04:00
Joe Jevnik 1f327f5b51 Merge pull request #1246 from jeremyblow/fix_namespace_del 
BUG: Don't delete namespace if import fails.
 2016-06-02 15:47:21 -04:00
Joe Jevnik 5664d80c92 Merge pull request #1219 from quantopian/suggest-ingest 
ENH: suggest running ingest if no data exists
 2016-05-20 12:38:26 -04:00
Joe Jevnik a0f9915290 Merge pull request #1218 from quantopian/datareader-replace 
MAINT: replace usages of pandas.io.data.DataReader with pandas_datare…
 2016-05-20 12:36:00 -04:00
Joe Jevnik 9f614de2aa Merge pull request #1211 from quantopian/api-doc-update 
DOC: document limit and stop price args
 2016-05-19 20:28:52 -04:00
Joe Jevnik fd814d18d8 Merge pull request #1206 from quantopian/sprint-prep 
cleanup for sprint
 2016-05-17 18:15:36 -04:00
Joe Jevnik 2d596dc490 Merge pull request #1170 from quantopian/whats-new-1.0 
Updated whatsnew with Q2 information.
 2016-05-16 19:29:12 -04:00
Joe Jevnik 784d5f4a16 Merge pull request #1199 from quantopian/boybands-factor 
BollingerBands factor
 2016-05-13 15:35:10 -04:00
Joe Jevnik 19c87fd871 Merge pull request #1188 from quantopian/api-docstrings 
api documentation
 2016-05-12 22:42:48 -04:00
Joe Jevnik e4934cca6f Merge pull request #1191 from quantopian/almost-correct 
BUG: fix inverted splits in quandl data
 2016-05-09 15:54:29 -04:00
Joe Jevnik 0562179060 Merge pull request #1178 from quantopian/quantopian-quandl 
ENH: Adds quantopian-quandl bundle as new default.
 2016-05-06 12:53:07 -04:00
Joe Jevnik f3e436a1bf Merge pull request #1173 from quantopian/quandl-wiki-loader 
Quandl wiki loader
 2016-05-03 19:11:18 -04:00
Joe Jevnik e9498a73f4 Merge pull request #1065 from quantopian/extra-guards-in-fixtures 
TST: adds guards for calling class methods in instance setup
 2016-04-05 12:51:58 -04:00
Joe Jevnik bc09318ce3 Merge pull request #1066 from quantopian/issue-template-fix 
MAINT: fix bug in issue template
 2016-03-18 19:30:40 -04:00
Joe Jevnik 41c4416493 MAINT: fix bug in issue template 
due to rounding error the bitness function gave the correct result on 64b but not on 32b
 2016-03-18 19:19:01 -04:00
Joe Jevnik 71f4e28e90 Merge pull request #1054 from quantopian/with-trading-env 
WithTradingEnvironmnet and WithSimParams
 2016-03-15 19:35:33 -04:00
Joe Jevnik f0a735ac6e Merge pull request #1042 from quantopian/test-fixtures 
TST: move test_utils and adds test fixture classes
 2016-03-10 16:51:52 -05:00
Joe Jevnik 9b1408596d Merge pull request #1012 from quantopian/partial-uploads 
DEV: allow partial uploads in conda_build_matrix
 2016-03-10 15:19:33 -05:00
Joe Jevnik 5e7d412141 Merge pull request #1016 from quantopian/test-cleanup 
TST: use rel imports from tests
 2016-02-26 21:02:22 -05:00
Joe Jevnik 27379f1500 Merge pull request #951 from quantopian/anaconda-build 
DEV: conda recipe work
 2016-02-23 17:44:01 -05:00
Joe Jevnik ac028cef49 Merge pull request #994 from quantopian/blaze-condense-query 
condense the blaze query
 2016-02-18 15:00:09 -05:00
Joe Jevnik f5b74bf7c5 Merge pull request #980 from quantopian/odo-kwargs 
ENH: allow users to specify odo kwargs in from_blaze
 2016-02-03 17:28:22 -05:00
Joe Jevnik dd64a6cb73 Merge pull request #974 from jlowin/patch-4 
Replace print with logger.info
 2016-01-25 19:43:19 -05:00
Joe Jevnik 88ead7202e Merge pull request #965 from quantopian/cython-stuff 
PERF: make Asset comparison faster
 2016-01-21 23:51:10 -05:00
Joe Jevnik dea6af3eee Merge pull request #810 from quantopian/ffill 
Blaze loader forward fill fix
 2016-01-21 13:57:21 -05:00
Joe Jevnik 3b76981270 Merge pull request #846 from grundgruen/data_test 
TST: tests removing of expired data and removes ffill in DataPanelSource
 2016-01-19 13:05:15 -05:00
Joe Jevnik 7115b85cd3 Merge pull request #947 from quantopian/data-query-time 
allows users to specify the cutoff time for data query in blaze loaders
 2016-01-14 14:11:07 -05:00
Joe Jevnik d3d362f56f Merge pull request #940 from quantopian/generalize-databazaar-stuff 
MAINT: Move code to shared modules
 2016-01-08 17:01:39 -05:00
Joe Jevnik ab3318f3ee Merge pull request #942 from quantopian/cli-fix 
BUG: fix bug that caused symbols to be added to the asset finder twice
 2016-01-05 18:06:33 -05:00
Joe Jevnik 7a6ba4f249 Merge pull request #924 from quantopian/dataset-subclassing 
ENH: Make datasets have subclass relationships
 2015-12-29 11:43:55 -05:00
Joe Jevnik 825f7b3cd5 Merge pull request #923 from quantopian/rename-error-cases 
MAINT: fix error messages for set_(commission|slippage)
 2015-12-22 12:24:17 -05:00
Joe Jevnik 5ef9056a9b Merge pull request #808 from quantopian/delta-on-last-requested-date 
BUG: Corrects an index error in blaze loader.
 2015-11-05 16:59:04 -05:00
Joe Jevnik cfce3a7c77 Merge pull request #681 from quantopian/sanest-setup 
Sanest setup
 2015-08-19 15:19:02 -04:00
Joe Jevnik 85d53dcce8 Merge pull request #588 from jlowin/patch-2 
Fix code block formatting in release notes
 2015-08-05 03:12:18 -04:00
llllllllll 38e4d10c65 BUG: Fixes a bug that caused NDaysBeforeLastTradingDayOfMonth to not 
fire on the last day of december.
 2014-12-26 18:20:30 -05:00
Joe Jevnik e7a5e097c4 BUG: Explicitly guard against empty bar data in history container 
contstruction.

BarData can be falsey. in create_buffer_panel, the intention of the
check against bar_data was to see if it was passed at all, not if it was
truthey. In order to make that check more explicit, the check now
asserts that bar_data is not None.
 2014-11-19 11:55:13 -05:00
Joe Jevnik fcea785b01 MAINT: Makes RandomWalkSource emit midnight UTC events in daily mode. 2014-11-19 11:55:13 -05:00
Joe Jevnik f7b4d3100d ENH: Makes the offset of market_close relative to 20:00 UTC 
Changed from relative to 20:01 UTC.
 2014-11-19 11:38:26 -05:00
Joe Jevnik 68e44353ce MAINT: Make RandomWalkSource accept the standard daily instead of day for the frequency 2014-11-18 15:23:10 -05:00
Joe Jevnik aac87ada5d BUG: Ensure that the bar count is an integer in minutely mode simple 
transforms

total_seconds can return a float, which when divided by `60` would
still yield a float causing a value error when passed to range.
 2014-11-18 11:25:23 -05:00
Joe Jevnik 9e94193d4b BUG: Off by one error in runtime construction of digest panel 
When a history minute digest panel was constructed at runtime, there
would be 1 minute missing between the current minute at iloc[-1] and the
next prior minute at iloc[-2].
 2014-11-18 11:22:17 -05:00
Joe Jevnik 39eb80ef0c DOC: Adds the new transform work to the release notes. 2014-11-17 13:16:30 -05:00
Joe Jevnik 25c3297c9d BUG: Fixes a bug in the test date_gen for non-daily timedeltas 2014-11-17 13:16:30 -05:00
Joe Jevnik a2fb729c00 DOC: Updates the comments around the caching in siddata 2014-11-17 13:16:30 -05:00
Joe Jevnik 82dffe8360 MAINT: Updates the add_trading_days to use the index of the date for a 
more efficient means of jumping larger gaps of dates.

Adds a docstring to explain the usage of the function.
 2014-11-17 13:16:30 -05:00
Joe Jevnik df3af31fc1 MAINT: Makes the date_gen skip non-market times. 2014-11-17 13:16:30 -05:00
Joe Jevnik e3d8b1034e ENH: Replaces the simple transforms with history calls. Switches 
transforms to quantopian syntax.

Adds the sid attribute to the siddata so it is aware of which security
it represents.
 2014-11-17 13:16:30 -05:00
Joe Jevnik c2aae2e0f4 BUG: rolling panel data became misaligned after extend_back 2014-11-12 16:47:44 -05:00
Joe Jevnik 8df1a49031 BUG: When increasing the length dynamically, the rolling panel was 
getting filled with the wrong datetimes and causing errors.

Updates the logic for addressing missing datetimes and adds unit tests
for the 2 main cases (no missing datetimes, and some missing datetimes).
 2014-11-11 13:29:57 -05:00
Joe Jevnik 54b1f15983 STY: Removes unused import in run_algo.py 2014-11-10 10:21:43 -05:00
Joe Jevnik e56457c671 ENH: Makes breakpoints work in algoscripts started with the run_algo.py 
script.

Adds an option kwarg to TradingAlgorithm named 'algo_filename' that
represents the file where the algoscript came from (if any). The
run_algo.py script will pass this argument with the value passed to the
'-f' flag. The default name is '<string>' to represent that the script
is coming from a string in python and not a file. This matches the
behavior of exec and the python convention for compiling code objects.
 2014-11-10 10:14:56 -05:00
Joe Jevnik ca59abcc43 ENH: Makes schedule_function work in daily mode. 2014-11-06 10:49:49 -05:00
Joe Jevnik 93429d69f5 BUG: HistoryContainer creation at runtime did not work as intended. 2014-11-05 18:31:11 -05:00
llllllllll 9ddb033e67 ENH: Changes the default offset for time_rules.market_open to 1, and 
makes it an offset from 13:30 UTC.

This is to be more consistent with the market_close, which is an offset
from 20:00 UTC.

This also makes market_open and market_close cache the dt to offset from
for each day.
 2014-11-05 14:59:48 -05:00
Joe Jevnik e1a55131ec DOC: Updates the release notes to include information about the dynamic 
history update.
 2014-11-04 00:08:19 -05:00
Joe Jevnik ca1569f22a ENH: Adds a closes_in_range and opens_in_range. 2014-11-03 16:26:40 -05:00
Joe Jevnik f8f7f2fc4c ENH: Allows history to be dynamic and grow the container at runtime. 
Previously, all specs had to be pre-allocated by using the 'add_history'
function. This is now no longer required and instead serves as a hint to
the HistoryContainer to pre-allocate the space for the given spec.

History can grow by increasing the length for a frequency, adding a
frequency, or adding a field. It can grow with any combination of
these.

HistoryContainer now is aware of the data_frequency of the algorithm,
and no longer uses the daily_at_midnight flag; instead, this is the
default behavior.
 2014-11-03 15:57:44 -05:00
Joe Jevnik c6e85d08f0 ENH: Does value checking for time offsets for market_open and market_close 2014-10-20 17:17:34 -04:00
Joe Jevnik 69124cb6ab BUG: Fixed a bug with offsets in week_start and week_end 2014-10-20 17:17:34 -04:00
Joe Jevnik 615228b272 ENH: Changes the default time_rule for schedule_function to market_open() 2014-10-20 17:17:34 -04:00
Joe Jevnik ad25f29b7b ENH: Provides aliases for the (Date|Time)RuleFactory classes for better Quantopian/Zipline interoperability 2014-10-20 17:17:34 -04:00
Joe Jevnik d360b9d9bd ENH: Provides a more descriptive error if market_open or market_close are provided a non-keyword argument that is not a datetime.timedelta 2014-10-20 17:17:34 -04:00
Joe Jevnik df234f516c BUG: Fixes various bugs with the event manager: 
- NotHalfDay only worked at midnight
- week_(start|end) were actually month_(start|end)
- Removes check_args from api.
- Default offset of 30mins for market_(open|close)
 2014-10-09 14:01:56 -04:00
Joe Jevnik d6e997e96c BUG: Stops the TradingEnvironment from being created at import time when 
zipline.utils.events is imported.

Changes the class level attribute `env` on EventRule to a property so
that the environment is only looked up at when needed.
 2014-10-07 12:30:28 -04:00
Joe Jevnik 3c37704a5b ENH: Adds a new api method schedule_function. 
schedule_function takes a date rule, a time rule, and a function and
will call the function, passing context and data only when the two rules
fire. This allows for code that is conditional to the datetime of the
algo.

This is implemented internally with `Event` objects which are pairings
of `EventRule`s and callbacks.

handle_data becomes a special event with a rule that always fires. This
makes the logic for handling events more complete and compact.
 2014-10-06 13:42:36 -04:00
Joe Jevnik 4db4256cfe MAINT: Adds a tests/utils/ directory and renames test_utils.py 
to utils/test_factory.py
 2014-09-29 12:57:39 -04:00
Joe Jevnik 16d15ed514 Merge pull request #384 from quantopian/q-or-zipline 
get_environment api_method
 2014-08-21 14:32:14 -04:00
llllllllll 7563124547 ENH: Adds a new api_method called get_environment so that users may 
check if their algorithm is running in zipline or on Quantopian.
 2014-08-14 11:48:19 -04:00
Joe Jevnik f9b1fe6ff6 Merge pull request #383 from quantopian/welcome-to-the-family 
symbol as an api_method
 2014-08-06 18:43:33 -04:00
llllllllll 90405b1c99 MAINT: Adds symbol to the list of api_methods. 2014-08-06 18:18:56 -04:00