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
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
3fb91e4d39
MAINT: cleanup doctests
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
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
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
llllllllll
f88cd17028
TST: adds tmp_assets_db and tmp_asset_finder so we don't need an entire trading env
2015-10-19 16:35:02 -04:00
llllllllll
6e4335820e
ENH: preallocate the output dataframe
2015-10-19 16:35:02 -04:00
llllllllll
8f661387df
ENH: allows any iterator to be the return of load_adjusted_arrays
2015-10-19 16:35:02 -04:00
llllllllll
b032b68a43
ENH: Adds a blaze pipeline loader.
2015-10-19 16:35:02 -04:00
jfkirk
915c8e800f
MAINT: Removes unneeded knowledge_date logic from future_chain
2015-10-19 11:37:56 -04:00
Thomas Wiecki
659a367b09
STY Remove unused import of to_datetime.
2015-10-16 16:15:28 +02:00
Thomas Wiecki
d21aec17e2
MAINT Change relativedelta to Timedelta as pandas 0.17.0 deprecated relativedelta.
2015-10-16 16:15:25 +02:00
Eddie Hebert
85c49afe4c
Merge pull request #774 from quantopian/filter-out-dates-with-no-data
...
BUG: Filter out payout rows with no prev close.
2015-10-15 13:30:46 -04:00
Eddie Hebert
6b9476d346
BUG: Filter out payout rows with no prev close.
...
When the prev_close is 0 or does not exist, the resulting ration was either +inf
or nan, respectively.
Create a mask on the non-zero effective dates, where effective date is only
written when the prev close is sufficient for a valid ratio; and use that mask
to filter out the bad rows.
Also, use prev close as the effective date.
2015-10-15 13:30:05 -04:00
jfkirk
2686e3875a
MAINT: Removes unnecessary benchmark load on some TradingEnvironments
2015-10-14 12:04:58 -04:00
Eddie Hebert
9a2767ad07
Merge pull request #765 from quantopian/add-spot-price-and-write-adjustments
...
Add spot price and write adjustments
2015-10-13 14:02:44 -04:00
Jean Bredeche