5b9d2e2d04
Merge pull request #1353 from quantopian/yield_capital_changes2
...
ENH: Yield capital change information
2016-08-02 14:19:55 -04:00
f244dea27b
Merge pull request #1365 from quantopian/mooooore-doc-tweaks
...
Regression docstring fixes
2016-08-02 13:29:42 -04:00
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
97099a0e92
DOC: regression docstring typos
2016-08-02 11:14:41 -04:00
c54ede896c
rebuilt in py3/pandas16
2016-08-02 10:43:04 -04:00
129d16fd3d
Merge pull request #1358 from quantopian/smoothing
...
ENH: added smoothing to zipline
2016-08-02 10:32:11 -04:00
7761c736da
Merge pull request #1364 from sagivo/patch-3
...
update readme
2016-08-02 10:30:24 -04:00
33bef2165c
rebuilt data in py3
2016-08-02 10:17:19 -04:00
a40d205afa
ENH: Adding exchange_full to equity asset column
2016-08-02 09:35:08 -04:00
499703d227
Merge pull request #1363 from quantopian/smoothing-filters
...
ENH: Rename StrictlyTrue to All and add Any().
2016-08-02 08:51:15 -04:00
5cbddab0a3
remove symbols, print head
2016-08-02 01:26:55 -04:00
f13294de4e
ENH: Rename StrictlyTrue to All and add Any().
...
Also, moved All() and Any() to `zipline.pipeline.filters.smoothing`.
2016-08-01 22:10:28 -04:00
574d7b197f
TEST: test for rolling nature of smoothing filter
2016-08-01 15:35:22 -04:00
5904ecb40f
ENH: Yield capital change information
2016-08-01 15:19:11 -04:00
18aba63da9
Merge pull request #1359 from quantopian/refactor_subperiod
...
MAINT: Refactor application of capital changes
2016-08-01 14:00:48 -04:00
7623c0f6eb
MAINT: .sum() behaviour
2016-08-01 13:48:14 -04:00
98f3fc9326
MAINT: Refactor application of capital changes
...
Previously, on the dt of a capital change, we use the un-updated
prices to find the ending performance of the previous subperiod and
then got the new prices to determine the portfolio value used to
calculate the delta, without actually updating the performance
before applying the capital change. This logic is confusing and
unintuitive. Instead, save the ending performance as we do previously,
but have temp values for the starting current subperiod value.
Update those temp values after processing the capital change
2016-08-01 11:51:45 -04:00
c10af2a0b9
TEST: more thorough testing
2016-08-01 11:40:14 -04:00
73de8e6182
STY: style changes and strictly_true_filter
2016-08-01 11:16:02 -04:00
2d5a2055d0
DOC: Added smoothing filter to whatsnew
2016-08-01 08:24:20 -04:00
694d9e952a
ENH: added smoothing to zipline
2016-08-01 08:20:10 -04:00
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
0a196c7a69
MAINT: Correct PanelBarReader sessions property, expand test
...
`tests/test_panel_daily_bar_reader.py` expanded to cover minute
frequency as well, using the same tests. Renamed to
`test_panel_bar_reader.py`.
2016-07-29 17:36:18 -04:00
ab9a899c5b
MAINT: Switch PanelBarReader to take trading calendar and freq args
2016-07-29 17:36:08 -04:00
763f2ab8b4
MAINT: Combine daily and minute into PanelBarReader.
...
Also simplify `load_raw_arrays` and `get_last_traded_dt`.
2016-07-29 17:34:28 -04:00
69506570dd
ENH: Guard against tz-naive index for Panel data.
2016-07-29 17:32:02 -04:00
bdce4ef257
TST: Expand Panel data test to test for multiple sids.
2016-07-29 17:32:00 -04:00
3efbe6bc17
MAINT: Clean up data freq inference in TradingAlgorithm.run.
2016-07-29 17:15:47 -04:00
55b79e8f32
TST: Test TradingAlgorithm.run and run_algorithm on raw Panel data
2016-07-29 17:15:35 -04:00
19d493707f
ENH: Improve TradingAlgorithm.run daily or minute data freq assumption
...
Changing TradingAlgorithm.run not to assume minute data if data freq is
specified as daily and sim params aren't allowed to be overwritten.
2016-07-29 17:11:51 -04:00
96dc1c3721
BUG: Generate sim_params within run_algorithm, fix it for raw data
...
Previously, run_algorithm caused an error if run on raw (non-bundle)
data, because of uninitialized variables. Initializing those variables
to None to allow run_algorithm to work with Panel data, etc.
Also, run_algorithm did not create sim_params for the TradingAlgorithm
instance it created; this kicked the can to TradingAlgorithm, which
gets default sim_params with data_frequency 'daily'. To support minute
bars, changing run_algorithm to create its own sim_params with the
data_frequency specified in its arguments.
2016-07-29 17:11:49 -04:00
cfe755855c
ENH: Add PanelMinuteBarReader, use it in TradingAlgorithm.run.
...
TradingAlgorithm.run didn't support Panel minute bar data, and assumed
all Panel data was daily.
To rectify this, adding PanelMinuteBarReader class.
TradingAlgorithm.run decides whether to use it or PanelDailyBarReader
by assuming data is daily if and only if the time of day of every
Timestamp is identical.
2016-07-29 17:10:21 -04:00
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
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
814a2be7b7
Revert "Point in time asset db"
2016-07-27 23:29:08 -04:00
e00a25568d
MAINT: Move daily aggregator to own module.
...
Break out the daily history aggregator into its own module, instead of
being collocated with DataPortal.
2016-07-27 16:59:26 -04:00
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
3305933089
DEV: Change daily mode to use last minute of session instead of session itself.
2016-07-27 09:20:24 -04:00
2462929368
Revert "Merge pull request #1340 from quantopian/by-daily-i-mean-minutely"
...
This reverts commit f4456719b04be07e4628
2016-07-26 16:20:14 -04:00
52f3e91a4b
Merge pull request #1341 from quantopian/generalize-minute-bars
...
ENH: Removes dependence of BcolzMinuteBarReader on 390 minutes per day
2016-07-26 15:17:00 -04:00
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
b7bb6ca6b7
MAINT: remove redundant branch
2016-07-26 13:34:58 -04:00
e294d43388
BUG: coerce array scalars to ints in sqla select
2016-07-26 13:34:58 -04:00
bc10447b9e
TST: add assert_equal dispatch for other ndframe objects
2016-07-26 13:34:58 -04:00
e246dc7661
MAINT: make asset classes know about their own kwargs
2016-07-26 13:34:58 -04:00
166a8fe030
ENH: fix float default
2016-07-26 13:34:58 -04:00
92d79f76aa
MAINT: remove unused 'let' function
2016-07-26 13:34:58 -04:00
fc297544e0
MAINT: py2 compat
2016-07-26 13:34:58 -04:00
c18902496e
STY: unused import
2016-07-26 13:34:58 -04:00
d7620b7063
DOC: update docstrings for lookup_*symbol
2016-07-26 13:34:58 -04:00
Andrew Liang