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Author SHA1 Message Date
Scott Sanderson 653e7cbbf2 Merge pull request #690 from quantopian/time-tests 
TEST: Run nosetests with timings.
 2015-10-25 16:50:02 -04:00
Jean Bredeche 0bc96a772d Merge pull request #794 from quantopian/vectorize-final-risk-calc 
ENH: vectorize mean algorithm returns calculation
 2015-10-25 10:07:26 -04:00
Jean Bredeche b0b159e12d ENH: vectorize mean algorithm returns calculation 
In a sample backtest on my machine, this takes the final risk
calculations down from ~10 seconds to ~0.8 seconds.
 2015-10-24 13:18:52 -04:00
Stewart Douglas 358ab41569 TST: test history() in before_trading_start() 2015-10-23 13:32:36 -04:00
Stewart Douglas 6795ea74c9 ENH: Update next_market_minute() & previous_market_minute() 
Previously we were not accounting for cases where we would invoke
next_market_minute() with a time on a trading day *before* the
market open, or previous_market_minute() with a time on a trading
day *after* the market close.
 2015-10-23 10:30:06 -04:00
John Ricklefs f599795d27 ENH: Allow pipelines to run with matching start/end dates 2015-10-22 14:23:00 -04:00
Scott Sanderson acce0779c9 DOC: Better docstring descriptions for mask. 2015-10-21 22:53:03 -04:00
Eddie Hebert 8543b32468 Merge pull request #791 from quantopian/pipeline-effective-dates 
MAINT: Set dividend effective date to ex_date.
 2015-10-21 16:44:07 -04:00
Eddie Hebert 55b25bdd3f MAINT: Set dividend effective date to ex_date. 
The price shock occurs on the effective_date. Had changed the effective_date to
be day before the ex_date with the belief that pipeline was applying values up
and until the effective_date, but the lookback windows apply before the
effective_date. Thus, the price shock calculation should still use the previous
days data but be dated on the ex_date to stay aligned with splits and
merger dating.
 2015-10-21 16:43:13 -04:00
llllllllll 420df53d78 ENH: pull sentinel construction into a function 2015-10-19 16:55:32 -04:00
llllllllll 5112421334 BUG: Fix the firstlineno of the validated functions 2015-10-19 16:55:32 -04:00
llllllllll b8452b88c3 TST: test case where there are more sids requested than available 2015-10-19 16:35:03 -04:00
llllllllll 1371bf2cd0 BUG: support case there are more sids requested than available in a blaze dataset 2015-10-19 16:35:03 -04:00
llllllllll 4238391f6f DOC: docstring cleanup 2015-10-19 16:35:03 -04:00
llllllllll 7afe7d6b45 ENH: remove blazeloader repr, too verbose 2015-10-19 16:35:03 -04:00
llllllllll c714fe58d1 BUG: Makes macro dataset loader return a concrete ndarray. 
We cannot use fancy strided arrays with pipeline yet.
 2015-10-19 16:35:03 -04:00
llllllllll aedbbcc6f0 BLD: blaze ecosystem commits 2015-10-19 16:35:03 -04:00
llllllllll e4abddd286 ENH: updates tests to use first and last col 2015-10-19 16:35:03 -04:00
llllllllll 3fb91e4d39 MAINT: cleanup doctests 2015-10-19 16:35:03 -04:00
llllllllll c58f0137e4 MAINT: map(retrieve_asset) -> retrieve_all 2015-10-19 16:35:03 -04:00
llllllllll e9ec709453 MAINT: expect_value doctest and lambda over toolz 2015-10-19 16:35:03 -04:00
llllllllll 0fff04d9c1 DOC: update doctest 2015-10-19 16:35:03 -04:00
llllllllll 1db29a9f0f ENH: handle amendments between trading days 2015-10-19 16:35:03 -04:00
llllllllll 0183d0a914 ENH: Allows Float64Adjustments to act on a range of columns 2015-10-19 16:35:03 -04:00
llllllllll c7ca0166cc MAINT: refactor tmp_db_uri to use make_simple_assetinfo 2015-10-19 16:35:03 -04:00
llllllllll 971848f38b MAINT: reshuffle logic in from_blaze to make the control flow easier 2015-10-19 16:35:03 -04:00
llllllllll f897bcdfed rename expr to dataset in type error 2015-10-19 16:35:03 -04:00
llllllllll 1e05a1c4ae TST: fix py2 compat for test 2015-10-19 16:35:03 -04:00
llllllllll d3c0463941 ENH: Addresses comments 2015-10-19 16:35:03 -04:00
llllllllll 22ffe3fe49 ENH: adds expect_element preprocessor 2015-10-19 16:35:03 -04:00
llllllllll a7763673aa MAINT: remove from_function. We can revisit this later 2015-10-19 16:35:03 -04:00
llllllllll 1e8d4dd7fb ENH: Allows blaze loader to be used as a loader_dispatcher 2015-10-19 16:35:03 -04:00
llllllllll 11ba76874c ENH: allow columns from different datasets 2015-10-19 16:35:03 -04:00
llllllllll 345a7eaf31 ENH: Fix nop adjustments 2015-10-19 16:35:03 -04:00
llllllllll fca637a40b ENH: Adds a better error if root mask is empty 2015-10-19 16:35:02 -04:00
llllllllll a18b1d7adb ENH: PY2 compat with blaze loader 2015-10-19 16:35:02 -04:00
llllllllll 9c37011a38 BUG: Only simple expressions for array-like dshape 2015-10-19 16:35:02 -04:00
llllllllll 8ec562e2ed DOC: blaze loader docstring 2015-10-19 16:35:02 -04:00
llllllllll 2df4dfd1bb MAINT: name filter predicate 2015-10-19 16:35:02 -04:00
llllllllll 78101fde75 MAINT: Cleanup docstrings and comments 2015-10-19 16:35:02 -04:00
llllllllll 26b47a1234 MAINT: treat Pipeline API as a proper noun 2015-10-19 16:35:02 -04:00
llllllllll 0ec1cbc604 MAINT: rename pipeline_api_from_blaze to from_blaze 2015-10-19 16:35:02 -04:00
llllllllll a58fe4b492 BUG: python2 implicit import is the worst feature ever 2015-10-19 16:35:02 -04:00
llllllllll 8c1bcd684e BLD: show versions on travis 2015-10-19 16:35:02 -04:00
llllllllll f7ad82f38e TST: updates tests after rebasing 2015-10-19 16:35:02 -04:00
llllllllll 898fbad6ac BLD: Can't use setup.py with git reqs unless you want to do a lot of work 2015-10-19 16:35:02 -04:00
llllllllll e3bf786bd5 BLD: blaze it up 2015-10-19 16:35:02 -04:00
llllllllll d621f1e87c ENH: Updates the blaze loader and adds more tests 2015-10-19 16:35:02 -04:00
llllllllll 22a227710d ENH: adds CustomFactor.from_function 2015-10-19 16:35:02 -04:00
llllllllll 4c98c947fb ENH: Adds repr for datasets 2015-10-19 16:35:02 -04:00