97298d1ad4
ENH: upgrade ffill logic to look back as far as needed
2016-01-21 12:43:02 -05:00
4ee919aeb2
Merge pull request #959 from quantopian/asset_keyerror
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Asset KeyError
2016-01-21 12:38:53 -05:00
2eeb6e78f6
BUG: Enable comparison of an Asset to an int64 on 32-bit python
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We use a number of mappings keyed by int64, which otherwise raised
KeyErrors for Assets.
2016-01-21 11:47:29 -05:00
2cb3a7235e
Merge pull request #890 from grundgruen/future_chain_order
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BUG: orders future chain by min of notice and expiry
2016-01-21 11:18:57 -05:00
603a345e2d
BUG: Allow writing on first day.
2016-01-21 11:10:57 -05:00
3a8be8c624
BUG: Need to be able to append to minute ctable.
2016-01-21 11:10:07 -05:00
85be1b0a40
Merge pull request #963 from quantopian/minute-writer-for-one-per-sid-2
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ENH: Add writer for minute bcolz format.
2016-01-21 10:59:38 -05:00
d5c3b5a15c
ENH: Add writer for minute bcolz format.
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Implement a writer for minute data into a format comprised of multiple
ctables, one for each individual asset, with a common 'index' shared by
all ctables where a given a dt maps to the same array index for all
equities and fields.
This format is pulled from the lazy-mainline/Q2.0 branch, with some
changes to the interface.
Add basic retrieval of values at a given dt to reader. Not yet used by
Zipline simulations, but added to support unit tests.
Also, rename stubbed out us_equity_minutes to minute_bars, since the
writer can be agnostic to asset type.
2016-01-21 10:54:27 -05:00
daf05c6b59
BUG: Ensure that current_sids() returns Assets instead of identifiers
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Also batch lookup sids in algo.run
2016-01-21 10:32:07 -05:00
b8b7049f39
BUG: Fixes incorrect value assignment in perf period
2016-01-19 16:11:22 -05:00
3b76981270
Merge pull request #846 from grundgruen/data_test
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TST: tests removing of expired data and removes ffill in DataPanelSource
2016-01-19 13:05:15 -05:00
a963270471
BUG: orders future chain by min of notice an expiry
2016-01-18 12:20:58 +01:00
a3dbf7590e
TST: doctest failure
2016-01-13 16:36:20 -05:00
6280614a69
DOC: whatsnew
2016-01-13 16:36:20 -05:00
9d2ab48fb5
MAINT: pull the data query bounds logic into a helper
2016-01-13 16:08:29 -05:00
2caa9277c4
ENH: Make the data_query_time arguments optional
2016-01-13 15:26:37 -05:00
5351b60a4c
ENH: adds optionally for preprocessors
2016-01-13 15:26:37 -05:00
220cf1ae4e
MAINT: reduce code duplication
2016-01-13 15:26:13 -05:00
5a235bdaef
ENH: allows users to specify the cutoff time for data query in blaze
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loaders
This allows people to set their cutoff time to the time they will
actually execute 'before_trading_start'. Currently this is just passed
to the constructor of the loader; however, I would like to make this
managed by the algorithm simulation runner. This would help keep all of
the loaders in sync and lock 'before_trading_start's execution to the
time the data is queried for.
2016-01-13 15:26:13 -05:00
b6175de5f1
DOC/TEST: Add doctest and docs for coerce kwargs.
2016-01-12 17:51:13 -05:00
ec0abf1822
MAINT: Use coerce_string in BcolzDailyBarReader.
2016-01-12 17:39:44 -05:00
c8b80dddb0
BUG: Handle unicode adjustments path in py2.
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In Python 2, passing unicode to SQLiteAdjustmentReader would fail to
coerce.
2016-01-12 17:39:36 -05:00
43b6344d5f
ENH: Add `coerce` preprocessor.
2016-01-12 17:36:36 -05:00
b4ac87b344
MAINT: rename variables in (next|previous)_date_frame to be more general
2016-01-08 13:21:34 -05:00
280a0f55d2
STY: remove blank line
2016-01-08 13:11:31 -05:00
826115acdf
MAINT: generalize the (next|previous)_earnings_date_frame functions
2016-01-08 13:11:31 -05:00
b037a06576
MAINT: move some blaze utilities into a shared module
2016-01-08 13:11:31 -05:00
fb6d1ea3d1
MAINT: move some helpers to test_utils
2016-01-08 13:11:31 -05:00
a2d1fedffd
ENH: Adds classlazyval for computed values on a class
2016-01-08 13:11:31 -05:00
18db1904bc
BUG: Need to format message, not ValueError instance
2016-01-06 16:02:18 -05:00
1499051df7
BUG: TypeError message had only str of numpy.dtype class
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We want to use the dtype of the data that was passed in.
2016-01-06 15:29:58 -05:00
80a553d1c0
Merge pull request #938 from quantopian/futures-payouts-without-every-bar-update
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MAINT: Futures cash adjustment on change and calc.
2016-01-06 10:25:29 -05:00
1362f155c6
BUG: Make payout affect ending_cash.
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The payout should be reflected in ending cash, not just the total used
for pnl.
2016-01-06 10:17:37 -05:00
a524cf1880
BUG: fix bug that caused symbols to be added to the asset finder twice
2016-01-05 16:27:46 -05:00
7acd0d7a1d
MAINT: Refactors table assignment in AssetDBWriter
2016-01-05 13:48:00 -05:00
00879245a4
BUG: Adds version checking to AssetFinder init
2016-01-05 13:48:00 -05:00
468ecc357c
DOC: Adds schema update notes to assets db
2016-01-05 13:48:00 -05:00
004c8dc141
MAINT: Factors-out asset db schema
2016-01-05 13:48:00 -05:00
7a6c6695f7
MAINT: Factor out payout calculation.
2016-01-05 10:39:41 -05:00
962347318d
MAINT: Futures cash adjustment on change and calc.
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In preparation for the incoming changes which no longer push every bar
through the tradesimulation, remove the adjustment of the period's cash on
every pricing change of a held futures asset.
Instead hold the last sale price for each held future either:
- At the end of each peformance period update the last sale prices of
all held futures, so that the pnl for the next period uses values
derived from the cash difference between the end of the two periods.
- When a transaction is processed for the Future, so that the correct
amount is applied to each cash adjustment. (i.e. the cash adjustment
is reset on every change of amount of the Future being held, so that
multiple size and prices do not need to be tracked for the same asset.)
Also, remove now unused dict of payout calculation modifier, since new
calculation reads the value directly off of the asset.
Remove update_last_sale test, since the method no longer returns a cash
value.
2016-01-04 16:52:37 -05:00
0b588219af
Fix spelling error.
2015-12-31 15:18:03 -05:00
7a6ba4f249
Merge pull request #924 from quantopian/dataset-subclassing
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ENH: Make datasets have subclass relationships
2015-12-29 11:43:55 -05:00
54c58d1205
DOC: add comments about the column collection in DataSetMeta
2015-12-29 10:13:00 -05:00
1f137d4dd8
Merge pull request #927 from quantopian/dollar-volume-update
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ENH: Change DollarVolume to AverageDollarVolume.
2015-12-28 16:14:16 -05:00
72887f0065
ENH: Change DollarVolume to AverageDollarVolume.
2015-12-28 16:12:11 -05:00
a3fecd6527
ENH: support subclassing in the earningscalendar loader
2015-12-22 12:25:30 -05:00
32baac4e4b
ENH: Make datasets have subclass relationships
2015-12-22 12:25:30 -05:00
825f7b3cd5
Merge pull request #923 from quantopian/rename-error-cases
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MAINT: fix error messages for set_(commission|slippage)
2015-12-22 12:24:17 -05:00
4f24a32c45
BUG: Benchmark and treasury curves data missing on first download
2015-12-21 13:38:24 -05:00
8abef95bb5
DOC: Rename exponential stddev.
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ExponentialWeightedStandardDeviation -> ExponentialWeightedMovingStdDev.
This is more consistent with the other moving moment factors.
2015-12-18 14:30:28 -05:00
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