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Author SHA1 Message Date
David MichalowiczandGitHub 65cc403e5a Merge pull request #1822 from quantopian/var-and-cvar 
Add portfolio weights method to algorithms
 2017-06-07 16:35:04 -04:00
David Michalowicz 602a799a6b Fix weights calculation to use portfolio value as denominator 2017-06-07 15:46:45 -04:00
David Michalowicz 568bf0aa59 ENH: Add method for computing current portfolio weights 2017-06-07 13:13:14 -04:00
David MichalowiczandGitHub d760a84468 Merge pull request #1788 from quantopian/rounding-cutoff-2 
Do not explicitly round asset prices
 2017-05-24 11:30:00 -04:00
dmichalowicz 41aa212617 BUG: Some futures prices need more precision when rounding 2017-05-24 08:18:52 -04:00
David MichalowiczandGitHub 2b292c4e25 Merge pull request #1789 from quantopian/more-commission-cleanup 
Refactor commission model class hierarchies
 2017-05-12 13:55:39 -04:00
David Michalowicz 43d1af0240 MAINT: Refactor commission model class hierarchies 2017-05-12 12:31:36 -04:00
David MichalowiczandGitHub 3650220850 Merge pull request #1767 from quantopian/no-slippage-history 
More futures slippage cleanup
 2017-05-09 13:17:28 -04:00
dmichalowicz a4464e7d20 MAINT: Various futures slippage model fixes and cleanup 
- Handle history lookback error before start date
- Adjust default futures slippage volume limit
- Allow subclassing EquitySlippageModel and FutureSlippageModel together.
 2017-05-09 11:47:55 -04:00
David MichalowiczandGitHub 96759be445 Merge pull request #1779 from quantopian/silver-chains 
Gold/Silver futures contracts only trade certain months
 2017-05-03 17:18:56 -04:00
dmichalowicz 191a1b729f BUG: Gold and silver futures contracts only trade certain months 2017-05-03 16:34:01 -04:00
David MichalowiczandGitHub c61fd0ef07 Merge pull request #1770 from quantopian/zero-transaction-volume 
Futures slippage model could have zero transaction volume
 2017-04-26 13:59:33 -04:00
dmichalowicz 6beb4d6a36 BUG: Futures slippage model could have zero transaction volume 2017-04-26 13:35:00 -04:00
David MichalowiczandGitHub a59eac9572 Merge pull request #1763 from quantopian/slippage-allowed-types 
Don't require custom models to define allowed types
 2017-04-25 19:40:41 -04:00
dmichalowicz 62c03a757f API: Don't require custom models to define allowed types 2017-04-25 18:44:31 -04:00
David MichalowiczandGitHub 3af85a65a5 Merge pull request #1748 from quantopian/slippage-futures-api 
Add slippage and commission models for futures
 2017-04-25 17:55:16 -04:00
dmichalowicz dd21346eca API: Add slippage and commission models for futures 2017-04-25 17:29:41 -04:00
David MichalowiczandGitHub 2f87f548ba Merge pull request #1755 from quantopian/schedule-function-calendar 
Add calendar factory for the schedule_function API
 2017-04-24 10:07:30 -04:00
dmichalowicz f3086c548d API: Add factory for calendars 2017-04-24 09:37:32 -04:00
David MichalowiczandGitHub 35c3cf0eb7 Merge pull request #1754 from quantopian/premature-continuous-futures-2 
Allow gaps between auto close and start date
 2017-04-21 16:34:53 -04:00
dmichalowicz 67dd149660 BUG: Ordered contracts could end prematurely 2017-04-21 15:52:21 -04:00
David MichalowiczandGitHub aad5cd362e Merge pull request #1738 from quantopian/slippage-and-commissions-futures 
Add preliminary support for Futures slippage models
 2017-04-10 15:05:28 -04:00
dmichalowicz f6e1a95ca9 ENH: Preliminary support for Futures slippage and commission models 2017-04-10 14:37:20 -04:00
David MichalowiczandGitHub 4b861fbf5e Merge pull request #1745 from quantopian/reconcile-default-args 
Make certain continuous future arguments optional
 2017-04-10 11:24:50 -04:00
dmichalowicz e2fadae5ec API: Make certain continuous future arguments optional 2017-04-07 14:02:36 -04:00
David MichalowiczandGitHub 02984a0483 Merge pull request #1743 from quantopian/premature-continuous-futures 
OrderedContracts chain could sometimes terminate on first contract
 2017-04-07 11:03:33 -04:00
dmichalowicz 6f1d4b4a5f BUG: OrderedContracts chain could sometimes terminate on first contract 2017-04-07 10:01:22 -04:00
David MichalowiczandGitHub 8a672be7e7 Merge pull request #1741 from quantopian/remove-adj-method 
Remove ContinuousFuture adjustment method
 2017-04-05 16:24:24 -04:00
dmichalowicz 6ffd029537 CRUFT: Remove ContinuousFuture adjustment method 2017-04-05 15:25:50 -04:00
David MichalowiczandGitHub d4fd955b29 Merge pull request #1729 from quantopian/us-futures-cal-in-tests 
Use 'us_futures' calendar in test fixtures
 2017-04-04 17:49:51 -04:00
dmichalowicz 0178ea03ea REV: Only use benchmark csv files in source for testing 2017-04-04 17:18:49 -04:00
dmichalowicz 483ec5dae8 TST: Make TradingEnvironment resources static 2017-04-04 10:58:45 -04:00
dmichalowicz cf68953bf2 TST: Use 'us_futures' calendar in test fixtures 2017-04-03 10:18:03 -04:00
David MichalowiczandGitHub 0cc1836eac Merge pull request #1730 from quantopian/no-current-contract 
Add safeguard if current contract of continuous future is None
 2017-03-30 13:32:15 -04:00
dmichalowicz 99dfe5961d BUG: Getting continuous future current contract failed on None 2017-03-30 12:09:55 -04:00
David MichalowiczandGitHub 164838cf74 Merge pull request #1726 from quantopian/cf-adjustment-arg 
Make continuous future adjustment style an argument
 2017-03-29 09:15:22 -04:00
dmichalowicz 7829541112 EHN: Make continuous future adjustment style an argument 2017-03-29 08:49:12 -04:00
David MichalowiczandGitHub eb6d0826c4 Merge pull request #1721 from quantopian/out-of-bounds-price 
Negative indexing in cython without wraparound
 2017-03-29 08:46:50 -04:00
dmichalowicz 0d157859e0 BUG: Open and close resampling code could hit index errors 2017-03-28 16:06:29 -04:00
David MichalowiczandGitHub 15b8832421 Merge pull request #1718 from quantopian/more-generic 
Add ContinuousFuture to lookup_generic
 2017-03-25 09:23:35 -04:00
David MichalowiczandGitHub 0e8576ee19 Merge pull request #1719 from quantopian/vectorize-spot-value 
Allow DataPortal.get_spot_value to accept multiple assets
 2017-03-25 09:22:59 -04:00
dmichalowicz c86798bc16 ENH: Add ContinuousFuture to lookup_generic 2017-03-25 09:04:17 -04:00
dmichalowicz 158d90a9ec ENH: Allow DataPortal.get_spot_value to accept multiple assets 2017-03-25 09:02:10 -04:00
David MichalowiczandGitHub b41163f058 Merge pull request #1715 from quantopian/missing-cf-error 
Better error message for non-existent root symbol
 2017-03-16 12:02:15 -04:00
dmichalowicz bb801344e9 ENH: Better error message for non-existent root symbol 2017-03-16 11:18:17 -04:00
David MichalowiczandGitHub bafe8eab6a Merge pull request #1714 from quantopian/test-fixture-fix 
Equity daily data test fixture was using wrong sids
 2017-03-15 16:44:05 -04:00
dmichalowicz b907b2557e TST: Equity daily data test fixture was using wrong sids 2017-03-15 13:16:45 -04:00
David MichalowiczandGitHub e1129b1265 Merge pull request #1702 from quantopian/reader-last-dates 
Set data portal last trading session/minute if passed
 2017-03-08 10:04:24 -05:00
dmichalowicz 2274bf4467 BUG: Set data portal last trading session if passed 2017-03-08 09:07:03 -05:00
David MichalowiczandGitHub 60689df84d Merge pull request #1680 from quantopian/rolls-bias 
Eliminate Possible Bias in Volume Rolls
 2017-02-16 09:26:32 -05:00
dmichalowicz 6d47a36166 ENH: Eliminate potential look-ahead bias in volume rolls 2017-02-16 09:01:16 -05:00
David MichalowiczandGitHub fb85e4a2bd Merge pull request #1671 from quantopian/new-futures-hours 
Change to a 10.5 hour futures calendar
 2017-02-06 12:53:23 -05:00
dmichalowicz dd78bfa4e8 Change to a 10.5 hour futures calendar 2017-02-06 11:41:29 -05:00
David MichalowiczandGitHub eb2e7d8a97 Merge pull request #1659 from quantopian/remove-position-multipliers 
Multipliers were not removed when closing a position
 2017-01-25 17:48:48 -05:00
dmichalowicz b891fd00d5 BUG: Multipliers were not removed when closing a position 2017-01-25 17:23:09 -05:00
David MichalowiczandGitHub 60e8ea30e5 Merge pull request #1644 from quantopian/closed-means-closed 
Don't allow ordering assets after their auto close date
 2017-01-20 10:19:27 -05:00
dmichalowicz 6e707f97a7 BUG: can_trade was true for assets after their auto close date 2017-01-20 09:54:30 -05:00
David MichalowiczandGitHub 62f1c19510 Merge pull request #1623 from quantopian/futures-scaling-factor 
TST: Extra test for reading/writing ohlc ratios
 2016-12-22 15:01:42 -05:00
dmichalowicz ba81f12370 TST: Extra test for reading/writing ohlc ratios 2016-12-22 14:34:46 -05:00
David MichalowiczandGitHub 7b3f604584 Merge pull request #1382 from quantopian/window-safe-zscore 
Factors created from `zscore` should be window safe
 2016-08-09 09:29:58 -04:00
dmichalowicz 1dad512184 BUG: zscores should be window safe 2016-08-08 18:07:34 -04:00
David MichalowiczandGitHub f244dea27b Merge pull request #1365 from quantopian/mooooore-doc-tweaks 
Regression docstring fixes
 2016-08-02 13:29:42 -04:00
dmichalowicz 97099a0e92 DOC: regression docstring typos 2016-08-02 11:14:41 -04:00
David MichalowiczandGitHub 5fd6550718 Merge pull request #1344 from quantopian/more-docs-tweaks 
Pipeline docstring tweaks
 2016-07-22 14:44:15 -04:00
dmichalowicz f404538008 DOC: More pipeline docstring tweaks 2016-07-22 13:54:16 -04:00
David MichalowiczandGitHub 71b2363775 Merge pull request #1336 from quantopian/pipeline-docs-touchups 
DOC: Pipeline docstring edits
 2016-07-20 15:38:33 -04:00
dmichalowicz 9cc5796b3e DOC: Pipeline docstring edits 2016-07-20 15:10:23 -04:00
David MichalowiczandGitHub b364b0fbfc Merge pull request #1307 from quantopian/sid-to-sid-2 
Factor-to-factor correlations and regressions
 2016-07-19 13:14:40 -04:00
dmichalowicz a8486c5f6e ENH: Factor-to-factor correlations/regressions 2016-07-19 11:16:55 -04:00
David MichalowiczandGitHub 459366c17a Merge pull request #1301 from quantopian/blaze-loader-single-columns 
Return column vector for datasets with no sids
 2016-07-01 13:35:49 -04:00
dmichalowicz d8e9fa91bd Loader return column vector for no sids case 2016-07-01 12:18:32 -04:00
David MichalowiczandGitHub d6c1c5fce9 Merge pull request #1309 from nathanwolfe/adv-fix 
BUG: Correct AverageDollarVolume NaN handling
 2016-06-30 14:04:43 -04:00
David MichalowiczandGitHub abd10d0ca2 Merge pull request #1267 from quantopian/pipeline-single-columns 
Pipeline single column capabilities
 2016-06-23 11:18:58 -04:00
dmichalowicz 393f82e81e ENH: Add single-column input/output capabilities to pipeline terms 2016-06-23 10:24:09 -04:00
dmichalowicz ed8947dfb3 Language tweaks 2016-06-17 18:18:46 -04:00
dmichalowicz 6b9b9fb8e7 BUG: Fail fast on invalid pipeline columns 2016-06-15 17:46:41 -04:00
David Michalowicz 2559c32548 Merge pull request #1214 from quantopian/outputs-name-conflicts 
Factor outputs name conflicts
 2016-05-25 16:36:08 -04:00
dmichalowicz 86486803b6 BUG: custom factor outputs naming collisions 2016-05-25 15:41:16 -04:00
dmichalowicz a446401d03 DOC: Regression factor docstring fix 2016-05-23 16:40:22 -04:00
David Michalowicz 977e5571a1 Merge pull request #1154 from quantopian/correlation-builtin-2 
Add new correlation and regression factors
 2016-05-18 16:40:47 -04:00
dmichalowicz f35f65a123 DOC: Add notes about masking 2016-05-18 15:11:12 -04:00
dmichalowicz d57872f2be TST: Test correlation/regression factors with nonexistent asset 2016-05-18 15:11:12 -04:00
dmichalowicz 1ec0bced6d ENH: Add builtin factors for correlation and regression 2016-05-18 15:11:12 -04:00
David Michalowicz 5d5b072112 Merge pull request #1172 from quantopian/identification-please 
BUG: Don't crash on dataframes with assets in index.
 2016-04-28 15:56:19 -04:00
dmichalowicz 8d1ecb508a Use string_types 2016-04-28 15:28:19 -04:00
David Michalowicz 48f9e6f1c9 Merge pull request #1148 from quantopian/migrate-whatsnew 
DOC: Move latest notes to 1.0.0.txt
 2016-04-21 15:07:01 -04:00
dmichalowicz 84e5c32cde DOC: Move latest notes to 1.0.0.txt 2016-04-21 12:42:22 -04:00
David Michalowicz 28ffee248f Merge pull request #1119 from quantopian/multiple-factor-outputs 
Support multiple outputs for custom factors
 2016-04-21 11:51:47 -04:00
dmichalowicz d9bfcaabde ENH: Support multiple outputs for custom factors 2016-04-21 10:57:29 -04:00
David Michalowicz d2ab5ed46e Merge pull request #1123 from quantopian/masked-factor-docs 
DOC: Docstring and whatsnew for masked custom factors.
 2016-04-12 12:40:22 -04:00
dmichalowicz b94cc73d26 DOC: Docstring and whatsnew for masked custom factors. 2016-04-12 11:59:17 -04:00
dmichalowicz 8db59b387b TST: Overhaul test case 2016-04-07 17:29:47 -04:00
dmichalowicz 5bae74adda ENH: Allow passing a mask when creating a factor 2016-04-07 17:29:47 -04:00
David Michalowicz c8997901f3 Merge pull request #1072 from quantopian/too-many-factors 
run_pipeline failing given too many factors
 2016-03-23 15:25:19 -04:00
dmichalowicz 9d006b328b DOC: Add whatsnew entry 2016-03-23 15:08:38 -04:00
dmichalowicz 7e83a8df5f BUG: NumericalExpressions fail to merge with too many inputs 2016-03-23 14:04:50 -04:00
David Michalowicz 276a108cfd Merge pull request #1052 from quantopian/empty-pipeline-bug 
BUG: Empty pipeline failed to tz_localize
 2016-03-15 14:59:59 -04:00
dmichalowicz 990c76e9fb BUG: Empty pipeline failed to tz_localize 2016-03-15 14:19:31 -04:00
dmichalowicz 8866614aa1 DOC: update whatsnew for equity auto closes 2016-02-25 14:49:08 -05:00
dmichalowicz 5be63f36d5 ENH: Add auto_close_date support for equities 2016-02-22 13:51:20 -05:00