Commit Graph

6 Commits

Author SHA1 Message Date
Scott Sanderson 2235a53581 ENH: Add EWMA and DollarVolume factors. 2015-12-11 22:13:27 -05:00
Scott Sanderson 8220d1ee86 ENH: Adds support for different typed adjusted arrays and adds an
EarningsCalendar loader.

- Moves most of AdjustedArray back into Python. The window iterator is
  the only part that's performance-intensive.

- Adds a bootleg templating system for creating specialized versions of
  AdjustedArrayWindow for each concrete type we care about.

- Adds support for differently dtyped terms in pipeline. This allows us
  to use datetime64s which are needed in the EarningsCalendar.

- Adds EarningsCalendar dataset for the next and previous earnings
  announcements in pipeline.

- Adds in memory loader for EarningsCalendar.

- Adds blaze loader for EarningsCalendar.
2015-12-08 20:24:06 -05:00
Tim Shawver 631a1879a3 Adding a built in Returns factor to the pipeline API. 2015-12-01 13:24:41 -05:00
Scott Sanderson 1336dfc181 BUG: RSI wasn't even close to working.
Fixed and added tests.
2015-10-09 20:10:30 -04:00
Scott Sanderson 2d683961bd MAINT: More renaming.
s/FFCEngine/PipelineEngine/
s/FFCLoader/PipelineLoader/
2015-10-01 18:03:54 -04:00
Scott Sanderson f82a01841b MAINT: Rename ALL the things.
zipline.modelling.* -> zipline.pipeline.*
zipline.data.ffc.loaders -> zipline.pipeline.loaders
tests/modelling -> tests/pipeline
2015-10-01 18:03:53 -04:00