5b8b2f68bc
BUG: Blotter should process as many splits as it can
2017-04-24 15:41:23 -04:00
825866948b
BUG: get_splits should return empty list, not empty dict
2017-04-24 15:41:23 -04:00
fe84ff3582
REF: Remove assetfinder from PerformancePeriod
2017-04-24 15:41:22 -04:00
0b4b058065
REF: Remove asset_finder and multipliers from PositionTracker
2017-04-24 15:41:22 -04:00
b7b8c46d74
REF: Blotter no longer needs AssetFinder
2017-04-24 15:41:21 -04:00
483012ccf6
REF: Make dataportal emit splits that hold Assets, not sids
2017-04-24 15:41:21 -04:00
450690801a
BUG: Position cost basis was calculated incorrectly for Futures
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For futures, we need to divide the position’s commission by the
contract size to get a per-unit commission in order to properly update
the position’s cost basis.
2017-04-24 15:41:20 -04:00
8d275d8d83
REF: Explicitly use Assets in Position, Order, Transaction
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(Instead of `sid`, which were already usually assets)
Perf packets are unchanged and still emit `sid`: int
2017-04-24 15:41:13 -04:00
21976dd651
Merge pull request #1760 from quantopian/constant-futures
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TST: New fixture for constant futures data
2017-04-24 14:33:47 -04:00
e0060f61e8
TST: New fixture for constant futures data
2017-04-24 14:15:26 -04:00
1d1c244e84
Merge pull request #1755 from quantopian/schedule-function-calendar
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Add calendar factory for the schedule_function API
2017-04-24 10:07:30 -04:00
2f33ddb023
API: Add factory for calendars
2017-04-24 09:37:32 -04:00
cd91d518bb
Merge pull request #1754 from quantopian/premature-continuous-futures-2
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Allow gaps between auto close and start date
2017-04-21 16:34:53 -04:00
0ec8841ea0
BUG: Ordered contracts could end prematurely
2017-04-21 15:52:21 -04:00
acf345e1d3
PERF: Optimize session close lookups in resample bar reader ( #1749 )
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Optimize session close lookups in MinuteResampleSessionBarReader:
- Adds `session_closes_in_range` method (along with
`session_opens_in_range`) to TradingCalendar to allow vectorized
retrieval of all values in a range of sessions.
- Improves code path for resampling a single session's worth of data (as
is the case when calling `get_value`), since we don't actually need to
look up the close minute.
2017-04-11 16:35:04 -04:00
26ffda9ca1
Merge pull request #1747 from quantopian/calendar-perf-improvements
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Improve TradingCalendar perf with scalar-optimized accesses
2017-04-11 10:15:28 -04:00
1d7d3fe33f
PERF: Only get session close in MinuteResampleSessionBarReader
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We only need the close, not the open.
2017-04-10 17:23:07 -04:00
12f1429a8c
PERF: Use scalar lookups for TradingCalendar.schedule
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When retrieving the open and close for a given session, we only care
about the scalar values, so using DataFrame.at instead of DataFrame.loc
is significantly faster.
2017-04-10 17:23:07 -04:00
0c88ba21b9
Merge pull request #1737 from quantopian/bump-blaze
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BLD: bump blaze
2017-04-10 16:22:09 -04:00
9e0cf08c18
Merge pull request #1738 from quantopian/slippage-and-commissions-futures
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Add preliminary support for Futures slippage models
2017-04-10 15:05:28 -04:00
f9d55cf9cd
Merge pull request #1742 from quantopian/only-get-value-once
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MAINT: Refactor DataPortal._get_minute_spot_value to avoid two lookups
2017-04-10 14:56:29 -04:00
bc27e369ff
ENH: Preliminary support for Futures slippage and commission models
2017-04-10 14:37:20 -04:00
d5aa5b0c36
Merge pull request #1745 from quantopian/reconcile-default-args
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Make certain continuous future arguments optional
2017-04-10 11:24:50 -04:00
ec8880a066
API: Make certain continuous future arguments optional
2017-04-07 14:02:36 -04:00
9350759119
Merge pull request #1739 from quantopian/fix-zipline-and-pandas-bug
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Fix zipline and pandas bug
2017-04-07 12:22:06 -04:00
b35ec1b5cd
Merge pull request #1743 from quantopian/premature-continuous-futures
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OrderedContracts chain could sometimes terminate on first contract
2017-04-07 11:03:33 -04:00
845dea3e5b
BUG: OrderedContracts chain could sometimes terminate on first contract
2017-04-07 10:01:22 -04:00
e6f2f562b3
BUG: reload_symbol_maps should clear the equity_supplementary_maps
2017-04-06 19:04:09 -04:00
569998179a
Merge pull request #1735 from quantopian/speedup-daily-history-aggregator-closes
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PERF: Avoid repeated recursive calls when getting forward-filled close
2017-04-06 10:24:29 -04:00
f8eced41bf
PERF: Avoid repeated recursive calls when getting forward-filled close
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Instead of recursively calling `DailyHistoryAggregator.closes` until we
find a non-nan close, we can instead call `load_raw_arrays` once, and
find the value from the returned array.
2017-04-06 09:51:01 -04:00
ad7f727c47
MAINT: Refactor DataPortal._get_minute_spot_value to avoid two lookups
2017-04-06 08:54:17 -04:00
1212d2f0a1
Merge pull request #1741 from quantopian/remove-adj-method
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Remove ContinuousFuture adjustment method
2017-04-05 16:24:24 -04:00
276b65f527
CRUFT: Remove ContinuousFuture adjustment method
2017-04-05 15:25:50 -04:00
18b0def1a1
Merge pull request #1731 from quantopian/update-assetdbwriter-docs
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DOC: Show exchange as required for equities
2017-04-04 23:27:50 -04:00
e914b23c80
Merge pull request #1740 from quantopian/guarantee-can-trade-order
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BUG: Return from can_trade in same order as input.
2017-04-04 18:39:53 -04:00
340a66afd5
Merge pull request #1729 from quantopian/us-futures-cal-in-tests
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Use 'us_futures' calendar in test fixtures
2017-04-04 17:49:51 -04:00
d289e86895
MAINT: Guarantee bool dtype for can_trade.
2017-04-04 17:26:38 -04:00
c701f200c2
REV: Only use benchmark csv files in source for testing
2017-04-04 17:18:49 -04:00
65381ecbcd
BUG: Return from can_trade in same order as input.
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This matches the behavior of history and data.current.
2017-04-04 17:12:21 -04:00
63ad5a5b55
BUG: address pandas normalization bug on non-sorted DT index
2017-04-04 17:00:32 -04:00
63951ad9e9
BUG: test DatetimeIndex equality correctly
2017-04-04 17:00:16 -04:00
3dfc20ec1c
DOC: Show exchange required for equities
2017-04-04 15:02:00 -04:00
dee19a0d8b
TST: Make TradingEnvironment resources static
2017-04-04 10:58:45 -04:00
a89d05dd56
BLD: bump blaze
2017-04-03 15:20:49 -04:00
0c49c5bbc7
TST: Use 'us_futures' calendar in test fixtures
2017-04-03 10:18:03 -04:00
84b24d2cee
Merge pull request #1734 from quantopian/prepare-for-validity-checks
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MAINT: Prepare parameter check for adding an additional check.
2017-03-30 14:02:03 -04:00
0182d62cc8
Merge pull request #1730 from quantopian/no-current-contract
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Add safeguard if current contract of continuous future is None
2017-03-30 13:32:15 -04:00
69a0e5c31b
BUG: Getting continuous future current contract failed on None
2017-03-30 12:09:55 -04:00
fc65ac33ca
MAINT: Prepare parameter check for adding an additional check.
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Should be no functional change.
By making the raise on `if not isinstance` instead of doing a continue on `if
isinstance` (with a raise at the end of the loop if no 'good' conditions were
met'), the function should be more amenable to adding an additional validity
check, after the type check passes.
This is on the path to adding an additional validity checks parameter to
`check_parameters`, e.g. adding an 'is positive' check.
2017-03-30 10:47:29 -04:00
0bcdb640ca
Merge pull request #1726 from quantopian/cf-adjustment-arg
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Make continuous future adjustment style an argument
2017-03-29 09:15:22 -04:00
Jean Bredeche