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Author SHA1 Message Date
Jean Bredeche c36b2ea680 Merge pull request #1769 from quantopian/py3-warnings 
BUG: Python3 compatibility.
 2017-04-26 10:46:34 -04:00
Jean Bredeche c03aafbd0e Merge pull request #1768 from quantopian/shim-portfolio-access-by-int 
BUG: Add backwards compatibility for position lookup by int.
 2017-04-26 10:13:16 -04:00
Jean Bredeche 8322423dc8 Merge pull request #1761 from quantopian/futures-cashflow-bugfix 
BUG: use isinstance
 2017-04-24 17:06:34 -04:00
Jean Bredeche 88fc696398 Merge pull request #1757 from quantopian/futures-commissions 
Assets everywhere ... and a futures fix.
 2017-04-24 16:31:57 -04:00
Jean Bredeche 123398d0e4 Merge pull request #1760 from quantopian/constant-futures 
TST: New fixture for constant futures data
 2017-04-24 14:33:47 -04:00
Jean Bredeche 6cf81a3f1c ENH: Allow override of order amount rounding. (#1722) 
* ENH: Use regular rounding to calculate order amounts.

We previously tried to prevent accidental over-ordering by truncating
orders down unless they were within 1e-4 of the next higher integer.
Unfortunately, this makes it easy for a sell order to be one share short
of the desired position.

Using regular rounding treats both buys and sells in the same way.

* ENH keep non-rounding behavior consistent, but leave code structured to make easier to override

* DOC make round_order public and describe behavior in docstring
 2017-03-27 20:44:12 -04:00
Jean Bredeche 36e65d6a78 Merge pull request #1713 from quantopian/teach-data-about-current-session-minutes 
ENH: teach BarData about current session's minutes
 2017-03-15 14:02:17 -04:00
Jean Bredeche a90394ec51 Merge pull request #1689 from quantopian/slippage_needs_asdict 
Rename _attrs_to_check to asdict
 2017-02-23 12:20:51 -05:00
Jean Bredeche dc94013dbd Merge pull request #1657 from quantopian/compare-slippage-models 
ENH: Solidify equality comparisons for SlippageModel classes
 2017-01-24 11:47:29 -05:00
Jean Bredeche a2ea09bff7 Merge pull request #1655 from quantopian/fix-py3-error 
BUG: fix a py3 invalid char
 2017-01-19 21:03:28 -05:00
Jean Bredeche 8df1426056 Merge pull request #1654 from quantopian/tell-me-the-current-session 
ENH: add current_session property to BarData
 2017-01-19 17:09:30 -05:00
Jean Bredeche a762c5bc79 Merge pull request #1650 from quantopian/slippage-cleanup 
ENH: Small refactoring of fill price check.
 2017-01-18 09:57:03 -05:00
Jean Bredeche 77e50beade Merge pull request #1497 from quantopian/you-count-way-too-slowly 
PERF: Be smarter about counting the number of minutes across a contiguous bunch of sessions.
 2016-09-19 14:34:11 -04:00
Jean Bredeche 592a4dfd65 Merge pull request #1492 from quantopian/cache-minute-to-session-lookups 
PERF: Save up to 80% of the calls to minute_to_session_label
 2016-09-16 16:07:13 -04:00
Jean Bredeche f1dba1deb5 Merge pull request #1491 from quantopian/faster-lru-cache-take-2 
ENH: Switching from cachetools.LRUCache to lru-dict's LRU cache.
 2016-09-16 11:29:45 -04:00
Jean Bredeche c77f2b92df Merge pull request #1488 from quantopian/who-said-you-could-forward-fill-stop-that 
ENH: Make reader.get_value raise NoDataOnDate if the date is not in the calendar.
 2016-09-15 15:41:36 -04:00
Jean Bredeche 5e52d29e88 Merge pull request #1486 from quantopian/all-the-readers-unite 
MAINT: Add BarReader base class for both minute and session readers
 2016-09-14 14:32:01 -04:00
Jean Bredeche 0952688d99 Merge pull request #1456 from quantopian/future-chain-cleanup 
ENH: Simplified implementation of FutureChain object (not user-facing API)
 2016-08-31 15:36:57 -04:00
Jean Bredeche 35631f4882 Merge pull request #1455 from quantopian/cache-future-chain-lookups 
ENH: Put a cache in front of future chain lookups
 2016-08-31 11:26:14 -04:00
Jean Bredeche 1631d2a0c0 Merge pull request #1451 from quantopian/zero-means-zero 
ENH: Avoid unnecessary work with missing data.
 2016-08-30 20:07:25 -04:00
Jean Bredeche 7fe1a56730 Merge pull request #1442 from quantopian/schedule-all-the-hours 
ENH: Let event offsets be up to 12 hours.
 2016-08-30 16:34:23 -04:00
Jean Bredeche 0ae85eb9c6 Merge pull request #1441 from quantopian/cherry-pick-futures--stuff 
ENH: Merging a few futures-related changes
 2016-08-28 22:00:31 -04:00
Jean Bredeche ddb1009c25 Merge pull request #1407 from quantopian/minute_panel_daily_history 
ENH: Add fast "vectorized" `minute_to_session_label` for DatetimeIndex
 2016-08-22 10:27:40 -04:00
Jean Bredeche a0116349c9 Merge pull request #1390 from quantopian/revert-can-trade-behavior-for-now 
BUG: Temporarily commenting out new can_trade functionality until we sort out downstream dependencies.
 2016-08-15 11:22:46 -07:00
Jean Bredeche 6688ae7bb6 Merge pull request #1385 from quantopian/register-calendar-types 
ENH: Add public API to register calendars by type
 2016-08-11 12:44:41 -04:00
Jean Bredeche 24f2ef8d72 Merge pull request #1383 from quantopian/fix-holiday-calendar 
BUG: Fix HolidayCalendar init
 2016-08-09 10:04:32 -04:00
Jean Bredeche 7075a24ba7 Merge pull request #1373 from quantopian/proper-log-timestamps-in-bts 
BUG: Need to set simulation_dt in before_trading_start
 2016-08-04 12:21:06 -04:00
Jean Bredeche 8a44231fa5 Merge pull request #1346 from quantopian/check-exchange-time 
ENH: time/calendar business logic improvements
 2016-08-04 10:04:55 -04:00
Jean Bredeche ecac6e9e08 Merge pull request #1360 from quantopian/shorten-equity-exchange 
ENH: Adding `exchange_full` to equity asset column
 2016-08-02 11:35:27 -04:00
Jean Bredeche a937d6e6b1 Merge pull request #1352 from quantopian/move-daily-aggregator 
MAINT: Move daily aggregator to own module.
 2016-07-28 09:45:50 -04:00
Jean Bredeche 70ac5323de Merge pull request #1351 from quantopian/daily-to-minutely-take-2 
DEV: Change daily mode to use last minute of session instead of session
 2016-07-27 11:12:45 -04:00
Jean Bredeche f4456719b0 Merge pull request #1340 from quantopian/by-daily-i-mean-minutely 
ENH: Change daily mode to use last minute of session instead of session label
 2016-07-26 12:51:33 -04:00
Jean Bredeche a5342550b1 Merge pull request #1347 from quantopian/all-daily-bar-readers-need-sessions 
BUG: Implement `sessions` property for `PanelDailyBarReader`
 2016-07-24 21:41:50 -04:00
Jean Bredeche f44f0ff454 Merge pull request #1342 from quantopian/deal-with-bad-getdatetime-params 
ENH: Deal with bad parameters to `get_datetime`
 2016-07-21 22:14:02 -04:00
Jean Bredeche f640f331c2 Merge pull request #1335 from quantopian/more-calendars 
ENH: ICE calendar, more calendar tests, cleaned up CME calendar
 2016-07-20 08:29:35 -04:00
Jean Bredeche 5f09203827 Merge pull request #1330 from quantopian/fix-daily-bar-writer 
Fix daily bar writer
 2016-07-15 15:41:20 -04:00
Jean Bredeche 2af26ee38f Merge pull request #1327 from quantopian/fix-brainfarts 
Fix some mistakes from a previous merge.
 2016-07-14 20:53:41 -04:00
Jean Bredeche e22108b7ef Merge pull request #1312 from quantopian/24-5-backtesting 
Re-implemented the calendar API.
 2016-07-14 10:05:18 -04:00
Jean Bredeche 5a6b870cd5 Merge pull request #1138 from quantopian/exchange-calendars-v2 
ExchangeCalendars and TradingSchedules
 2016-06-09 17:21:06 -04:00
Jean Bredeche 7da1eae38e Merge pull request #1270 from quantopian/just-kidding-put-old-calendar-back 
REV: Restore old tradingcalendar.py
 2016-06-09 13:57:12 -04:00
Jean Bredeche 1630dc65d6 Merge pull request #1213 from quantopian/youre-charging-me-what 
DEV: Re-implement commission models to return correct results in the case of multiple fills
 2016-05-24 13:24:53 -04:00
Jean Bredeche b8c4bd32a2 Merge pull request #1193 from quantopian/really-remove-orders 
DEV: pull remove-open-orders logic into its own method
 2016-05-10 20:37:05 -04:00
Jean Bredeche 0ecf3a07d6 Merge pull request #1192 from quantopian/assets-from-source-needs-to-be-a-list 
BUG: Set _assets_from_source as a list.
 2016-05-10 11:01:40 -04:00
Jean Bredeche 10daf9efd6 Merge pull request #1190 from quantopian/cythonize-some-more 
PERF: takes ~14% off the time it takes to initialize a MinuteSimulationClock
 2016-05-09 13:52:08 -04:00
Jean Bredeche 0687584c21 Merge pull request #1176 from quantopian/eod_cancel_refactor 
BUG: DAY_END action not emitted during minute emission
 2016-05-06 11:01:04 -04:00
Jean Bredeche a068eb374a Merge pull request #1182 from quantopian/no-more-dups 
DEV: Ensure there are no duplicates in the data passed into TradingAlgorithm.run
 2016-05-06 09:55:23 -04:00
Jean Bredeche 7a65ae3e78 Merge pull request #1184 from quantopian/no-more-dups-2-electric-boogaloo 
TEST/MAINT: Refactor unique axis verification.
 2016-05-06 09:22:12 -04:00
Jean Bredeche 69972992c0 Merge pull request #1183 from quantopian/extract-fetcher-method 
DEV: extract fetcher method for easier downstream use
 2016-05-05 13:23:49 -04:00
Jean Bredeche 50f4917341 Merge pull request #1164 from quantopian/get_open_orders_error 
DEV: Better error message for sid= in get_open_orders
 2016-04-26 13:01:50 -04:00
Jean Bredeche 789dba8eca Merge pull request #1165 from quantopian/dont-order-in-bts 
BUG: don't allow ordering in before_trading_start
 2016-04-26 10:57:05 -04:00
Jean Bredeche ba20235d83 Merge pull request #1162 from quantopian/handle-missing-fields 
DEV: Don't log an error if we can't find a matching asset/field/day triple in Fetcher
 2016-04-25 16:22:17 -04:00
Jean Bredeche 19128fa5a3 Merge pull request #1163 from quantopian/flake8-first 
BLD: run flake8 first, before tests
 2016-04-25 10:50:22 -04:00
Jean Bredeche cb5ed8d1a8 Merge pull request #1158 from quantopian/yes-we-want-the-broker-order-id 
BUG: Restoring 'broker_order_id' to Order's dict
 2016-04-21 15:20:47 -04:00
Jean Bredeche f06968f494 Merge pull request #1156 from quantopian/fetcher_bts 
BUG: Fetcher wasn't working properly in `before_trading_start`.
 2016-04-21 15:09:52 -04:00
Jean Bredeche cb42875697 Merge pull request #1152 from quantopian/check-keyword-args 
BUG: we were improperly checking iterable kwargs in BarData
 2016-04-21 12:32:44 -04:00
Jean Bredeche 6423a2cfbd Merge branch 'master' into check-keyword-args 2016-04-21 12:31:45 -04:00
Jean Bredeche 2826226431 Merge pull request #1151 from quantopian/broker-order-id 
BUG: need `broker_order_id` for downstream code
 2016-04-21 09:04:13 -04:00
Jean Bredeche 2179553034 Merge pull request #1150 from quantopian/vegas-baby 
Use __slots__ in Order object to save memory
 2016-04-20 21:28:13 -04:00
Jean Bredeche a5f7fc7d6d Merge pull request #1141 from quantopian/rule_interactions 
BUG: Week rule plus time rule doesn't work
 2016-04-18 20:01:26 -04:00
Jean Bredeche 620d2a8b22 Merge pull request #1137 from quantopian/normalize-later 
PERF: do work later, when needed.
 2016-04-16 22:08:50 -04:00
Jean Bredeche c9c956124a Merge pull request #1133 from quantopian/fix-us-equity-loader 
Limit leak in us equity loader on stock rotation
 2016-04-15 09:32:06 -04:00
Jean Bredeche 86667685d7 Merge pull request #1129 from quantopian/empty-lists 
BUG: support passing an empty list to `data` methods.
 2016-04-14 11:35:42 -04:00
Jean Bredeche 3a1bcdbc39 Merge pull request #1117 from quantopian/error_messages2 
FIX: Check types of args passed to api methods on data
 2016-04-13 20:38:41 -04:00
Jean Bredeche fac5905c10 Merge pull request #1114 from quantopian/handle-data-optional 
ENH: make handle_data optional
 2016-04-13 09:31:41 -04:00
Jean Bredeche 1d2fa555dc Merge pull request #1124 from quantopian/properly-report-partially-filled-sells 
BUG: Properly log partially filled sell orders.
 2016-04-12 14:31:20 -04:00
Jean Bredeche 3f2a5746f8 Merge pull request #1121 from quantopian/pass-iterable-to-dataportal 
BUG: bar_data.history too limiting on iterable types
 2016-04-11 14:56:09 -04:00
Jean Bredeche 8fb5e7ed2e Merge pull request #1111 from quantopian/portfolio_account_bts_2 
DEV: Apply adjustments for portfolio and account in BTS
 2016-04-05 11:53:27 -04:00
Jean Bredeche 15434a5a22 Merge pull request #1105 from quantopian/q2 
ENH: Rewrite of Zipline to use lazy access pattern
 2016-04-04 16:13:14 -04:00
Jean Bredeche d8edadc9af Merge pull request #866 from quantopian/chunk-queries 
BUG: chunk sqlite queries
 2015-11-20 14:07:37 -05:00
Jean Bredeche 0bc96a772d Merge pull request #794 from quantopian/vectorize-final-risk-calc 
ENH: vectorize mean algorithm returns calculation
 2015-10-25 10:07:26 -04:00
Jean Bredeche fcda943e7d Merge pull request #671 from quantopian/no-more-threadbound 
BUG: Let logbook figure out how to bind the context manager.
 2015-08-06 14:58:06 -04:00
jbredeche 9033043078 Merge pull request #207 from quantopian/splits_fixes 
fixing some bugs with splits (ratios and empty positions)
 2013-07-25 09:28:38 -07:00
jbredeche 9f17ccab39 Merge pull request #114 from quantopian/filter_sources 
adds an optional filter to the algorithm's date_sorted_sources
 2013-03-26 13:53:47 -07:00
jbredeche 7dc5c1092e Merge pull request #89 from quantopian/fawce_alpha150_bugs 
bugfixes
 2012-08-13 14:14:50 -07:00
jbredeche 6c35e60b57 Merge pull request #83 from quantopian/new_world_order 
removed bson dep
 2012-08-08 19:44:15 -07:00
jbredeche 46ca4531f6 Merge pull request #59 from quantopian/fawce_alpha1 
added a created date to the risk report.
 2012-05-29 18:26:22 -07:00
jbredeche 461f5645f6 Merge pull request #56 from quantopian/fawce_alpha1 
Fawce alpha1
 2012-05-28 21:13:00 -07:00
jbredeche f391519285 Merge pull request #40 from quantopian/fawce_sprint4 
removed lines sending messages to the control channel, simplified logic ...
 2012-04-25 09:01:41 -07:00