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Author SHA1 Message Date
Jean Bredeche 657e5f92e7 Merge pull request #1497 from quantopian/you-count-way-too-slowly 
PERF: Be smarter about counting the number of minutes across a contiguous bunch of sessions.
 2016-09-19 14:34:11 -04:00
Jean Bredeche 8048cdcfb0 PERF: Be smarter about counting the number of minutes across a contiguous bunch of sessions. 2016-09-19 13:25:03 -04:00
Andrew Daniels 4a2faa3e13 ENH: Adds truncate method to BcolzMinuteBarWriter (#1499) 2016-09-19 13:02:48 -04:00
Eddie Hebert 72a8316ca7 Merge pull request #1496 from quantopian/revert-load-adjustments 
Revert "Merge pull request #1490 from quantopian/use-load-adjustments…
 2016-09-19 09:38:02 -04:00
Eddie Hebert 6486e64530 Revert "Merge pull request #1490 from quantopian/use-load-adjustments-for-history" 
This reverts commit 86c7635b45, reversing
changes made to c77f2b92df.

Some real world cases hit errors with this change, due to the new offset
logic attempting to create Adjustments with invalid parameters.

Will identify exact conditions that cause this error and add as a test
case before remerging.
 2016-09-19 08:53:31 -04:00
Jean Bredeche e21fa37e22 Merge pull request #1492 from quantopian/cache-minute-to-session-lookups 
PERF: Save up to 80% of the calls to minute_to_session_label
 2016-09-16 16:07:13 -04:00
Jean Bredeche 31cbdde7f0 PERF: Save up to 75% of the calls to minute_to_session_label 
One year NYSE test that buys a lot triggers 492,963 calls to
minute_to_session_label.  Only 98924 ~(390 * 252) make it past the
cache and trigger the heavier computation.
 2016-09-16 15:18:50 -04:00
Jean Bredeche 0cf276d14a Merge pull request #1491 from quantopian/faster-lru-cache-take-2 
ENH: Switching from cachetools.LRUCache to lru-dict's LRU cache.
 2016-09-16 11:29:45 -04:00
Jean Bredeche a7f345e651 ENH: Switching from cachetools.LRUCache to lru-dict's LRU cache. 
lru-dict is written in C and seems much more performant.
 2016-09-16 11:03:13 -04:00
Eddie Hebert f2a1263d90 Merge pull request #1490 from quantopian/use-load-adjustments-for-history 
MAiNT: Use load_adjustments for history.
 2016-09-15 16:01:23 -04:00
Jean Bredeche ed08f25224 Merge pull request #1488 from quantopian/who-said-you-could-forward-fill-stop-that 
ENH: Make reader.get_value raise NoDataOnDate if the date is not in the calendar.
 2016-09-15 15:41:36 -04:00
Eddie Hebert 1d06a779b3 MAiNT: Use load_adjustments for history. 
Instead of `HistoryLoader` containing separate adjustment calculation
logic, use `SQLiteAdjustmentReader.load_adjustments`.

This change required the addition of two offset parameters to
`load_adjustments` since the perspective on the data from within
`schedule_function` is skewed from how Pipeline looks at historical
data.

This is working towards creating an `AdjustmentReader` abc which
`SQLiteAdjustmentReader` and a upcoming continuous future adjustment
reader will share.
 2016-09-15 15:32:10 -04:00
Jean Bredeche 0fd35e7fd1 ENH: Make reader.get_value raise NoDataOnDate if the date is not in the calendar. 
DataPortal now catches the NoDataOnDate exception and returns nan for
OHLC and 0 for V.

Price is still forward filled, unchanged.
 2016-09-14 22:21:43 -04:00
Richard Frank 644a33e11b BLD: empyrical doesn't have a binary dependency on numpy 
so we don't need to tag its conda packages with the numpy version
 2016-09-14 21:04:07 -04:00
Scott Sanderson 7ac024fb5c Merge pull request #1484 from quantopian/refcount-pipelines 
PERF: Release unneeded pipeline terms.
 2016-09-14 20:24:10 -04:00
Scott Sanderson 7c58bf1e5b STY: Flake8 and parameter rename. 2016-09-14 14:45:00 -04:00
Jean Bredeche cfd08f8d6b Merge pull request #1486 from quantopian/all-the-readers-unite 
MAINT: Add BarReader base class for both minute and session readers
 2016-09-14 14:32:01 -04:00
Jean Bredeche 2856fd0ecf MAINT: Add BarReader base class for both minute and session readers 2016-09-14 13:47:12 -04:00
Scott Sanderson a0e1b881aa MAINT: Move refcount management into TermGraph. 2016-09-14 11:16:40 -04:00
Scott Sanderson 6aa885dbeb PERF: Release unneeded pipeline terms. 
Refcount pipeline terms during execution and release terms once they're
no longer needed.

This dramatically reduces memory usage on large pipelines.
 2016-09-13 23:28:25 -04:00
John Ricklefs 1f859d34e5 MAINT: Add additional fields to __getitem__ for Order (#1483) 
These were previously available like the others.
 2016-09-13 15:49:16 -04:00
John Ricklefs e6a647edf1 Revert "added DGZ to delete list" (#1481) 
This reverts commit a5ecaf4c3a.

This causes downstream problems; unsure why, Jamie advised
reverting.
 2016-09-13 14:45:12 -04:00
Richard Frank b729ddd54f Merge pull request #1479 from quantopian/run_algo-defaults 
BUG: run_algorithm with no data source should default
 2016-09-12 13:00:33 -04:00
Richard Frank 6afdb318ee BUG: run_algorithm with no data source should default 
to 'quantopian-quandl' bundle
 2016-09-12 12:17:17 -04:00
Richard Frank 7a10d9392d Merge pull request #1467 from quantopian/check_param-string_types 
Check param string types
 2016-09-08 14:59:38 -04:00
Kathryn Glowinski 9ad670bd46 More Fuzzy Symbol Fixes (#1475) 
* REF: More options before raise MultiFound.

* TST: Checks corner case for fuzzy matching.
 2016-09-08 14:52:57 -04:00
Scott Sanderson c66d3ad820 Merge pull request #1471 from quantopian/fix-slow-startup 
PERF: Remove import-time calendar creations.
 2016-09-08 10:21:00 -04:00
Scott Sanderson ff1bc51bd1 STY: Fix flake8. 2016-09-07 21:58:15 -04:00
Scott Sanderson 85ce093270 MAINT: Updates from Joe's PR feedback. 2016-09-07 20:42:19 -04:00
James McCorriston bb22af747d Merge pull request #1434 from quantopian/update-leveraged-etfs 
MAINT: Update leveraged ETF list
 2016-09-07 13:48:12 -04:00
Jamie McCorriston e6ef82fc4c added DGZ to delete list 2016-09-07 13:12:34 -04:00
Eddie Hebert 6c7af70155 Merge pull request #1473 from quantopian/release-1.0.2 
REL: Prepare for 1.0.2 release.
 2016-09-06 21:33:49 -04:00
Eddie Hebert b1e50b3434 REL: Prepare for 1.0.2 release. 
Update release notes.

Generate api stubs.
 2016-09-06 16:59:34 -04:00
Joe Jevnik 07cdd291a1 Merge pull request #1472 from quantopian/branch-protect-hook-stopped-me-from-pushing-this-commit-directly-;_; 
ENH: improve warning for protocol getitem
 2016-09-06 15:42:14 -04:00
Joe Jevnik 863e2ffbea ENH: improve warning for protocol getitem 2016-09-06 15:11:43 -04:00
Scott Sanderson bd420f938b MAINT/TEST: Update default calendar smoketest. 2016-09-06 14:13:32 -04:00
Joe Jevnik 1e030c77b2 Merge pull request #1449 from quantopian/getitem-is-not-getattr 
MAINT: remove __getitem__ as alias of __getattr__
 2016-09-06 13:48:17 -04:00
Joe Jevnik b66d9ae976 DEV: update copyright in protocol.py (added code) 2016-09-06 12:42:06 -04:00
Joe Jevnik 631984e1f5 ENH: just deprecate __getitem__, don't remove 2016-09-06 12:39:29 -04:00
Kathryn Glowinski 6a3db75a92 Merge pull request #1462 from quantopian/symbol-lookup-raises 
Symbol lookup raises
 2016-09-06 11:02:07 -04:00
kglowinski e7e4db0701 BUG: Fixing 2/3 compat. 2016-09-06 10:12:01 -04:00
kglowinski 15ab8ac95e BUG: Handle case with mult symbol options for same sid. 2016-09-06 10:12:01 -04:00
kglowinski 8056dd8a90 BUG: Fixing SymbolNotFound to be raised. 2016-09-06 10:12:00 -04:00
Scott Sanderson a8a2cc1582 PERF: Remove module-scope calendar creations. 
Remove module scope invocations of `get_calendar('NYSE')`, which cuts
zipline import time in half on my machine. This make the zipline CLI
noticeably more responsive, and it reduces memory consumed at import
time from 130MB to 90MB.

Before:

$ time python -c 'import zipline'

real    0m1.262s
user    0m1.128s
sys     0m0.120s

After:

$ time python -c 'import zipline'

real    0m0.676s
user    0m0.536s
sys     0m0.132s
 2016-09-06 09:57:23 -04:00
John Ricklefs 43b9fa84d7 Revert "BUG: Capital change deltas rely on cash, not portfolio_value" (#1470) 
This reverts commit 5b1aa5ec55.

The paradigm is: we're calculating a new capital base for the
performance period. We are therefore using the total
portfolio_value, not just the cash, to calculate the
difference from the specified target as the algorithm
has meaningful holdings.
 2016-09-05 14:12:04 -04:00
Richard Frank 7f6db68fc6 BUG: Fix up check_parameters usage of string_types 
and corresponding tests
 2016-09-02 16:47:32 -04:00
phil.zhang eb6b6d046d BUG: Change str to string_types to avoid errors 
When in python2.7, and unicode_literals is imported
type check will raise error because 'type' is not str but unicode
 2016-09-02 16:47:13 -04:00
Scott Sanderson 548e0675be Merge pull request #1466 from quantopian/disallow-length-1-regressions 
ENH: Dont allow length=1 regressions/correlations.
 2016-09-02 15:49:03 -04:00
Eddie Hebert ddcba8733d Merge pull request #1464 from quantopian/add-coverage-for-last-traded-dt 
TST: Add direct coverage for get last traded dt
 2016-09-02 14:59:21 -04:00
Scott Sanderson b946c657b7 Merge pull request #1420 from quantopian/add-cython-cleanup 
MAINT: Add script to clean out compiled files.
 2016-09-02 14:16:18 -04:00