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6979ae8d6aeb4e4cd825810259c182e0f855e987
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2602 Commits
Author SHA1 Message Date
Jonny Elliott 6979ae8d6a ENH: fast stochastic oscillator added (#1255) 
ENH: fast stochastic oscillator added.

A fast stochastic oscillator has been added to the technical
factors. This is the simplest of the stochastic oscillators,
and can be used to build the others.

Tests have been added that compare against the values expected
from that of ta-lib STOCHF.

FastStochasticOscillator is marked as window_safe=True to allow taking
moving averages for smoothing.
 2016-06-06 17:06:34 -04:00
Eric Batalden 696e81b911 ENH: Add Aroon indicator. 2016-06-03 16:28:13 -07:00
Andrew Liang 7d1c79715d Merge pull request #1221 from quantopian/schedule_func_args 
Support the passing of a time rule positionally on the date_rule arg
 2016-06-03 17:44:28 -04:00
Eddie Hebert b0827f44db Merge pull request #1257 from quantopian/remove-data-source-tables-gen 
MAINT: Remove unused data conversion script.
 2016-06-03 17:09:52 -04:00
Andrew Liang 1056501b27 MAINT: Support the passing of a time rule positionally on the date_rule arg 
But log a warning to the user
 2016-06-03 15:28:53 -04:00
Eddie Hebert e75c4650b0 MAINT: Remove unused data conversion script. 
The file format converted by this script has no support for reading in
Zipline. Remove since it requires import of a library not defined in
requirements.
 2016-06-03 15:13:45 -04:00
Richard Frank bcc187605c MAINT: Break reference cycle between algorithm and simulator 
when simulation finishes, so that resources are cleaned up
deterministically.
 2016-06-03 11:24:43 -07:00
Joe Jevnik cf1687ec72 Merge pull request #1227 from quantopian/blaze-loader-perf 
ENH: improve performance of blaze core loader
 2016-06-03 14:15:33 -04:00
Jason Wirth 4dd6e4fb61 correct CLI command 2016-06-02 19:36:18 -07:00
Jason Wirth 850ce33961 Correct typo 2016-06-02 18:51:04 -07:00
Joe Jevnik 1f327f5b51 Merge pull request #1246 from jeremyblow/fix_namespace_del 
BUG: Don't delete namespace if import fails.
 2016-06-02 15:47:21 -04:00
Andrew Daniels 1cf8e46ae6 Merge pull request #1245 from quantopian/daily-bars-first-day-attr 
BUG: Fixes reading and writing of daily bars first_trading_day attr
 2016-06-02 15:09:12 -04:00
Jeremy Blow acc49ef9aa BUG: Don't delete namespace if import fails. 
datashape should be optional, this ensures it is actually optional.
 2016-06-02 11:05:53 -07:00
Andrew Daniels 8e6c98e9aa BUG: Fixes reading and writing of daily bars first_trading_day attr 
When writing first_trading_day, it is already in the correct frame of
reference (seconds since epoch) and does not need to be transformed
further. Adjusts the reader to expect this value.
 2016-06-02 13:41:09 -04:00
Andrew Daniels 71f12ec272 MAINT: Adds first_trading_day arg to DataPortal 
Instead of inferring it from the minute/daily writer, we now require the
first trading day to be passed explicitly, so the creator of the
DataPortal controls what is used as the first trading day.
 2016-06-02 13:16:43 -04:00
Eddie Hebert 2f80e94203 TST: Enable sourcing daily data from minute data. 
Allow `WithBcolzDailyBarData` to opt-in to reading data defined by
`WithBcolzMinuteBarData`, so that the daily and minute test for the same
asset and dts correlate between the two readers.
The correlation is relevant for history tests which blend daily and
minute data.

Also, make the test data for the split and mergers assets in the minute
suite align at the thousands place if the adjustmets are applied
correctly, by starting the prices with a base of 4000 and then halving
the start value each day.
 2016-06-02 12:28:53 -04:00
Scott Sanderson 24f30803bd REL: 1.0.1. 
Update docs, whatsnew, and stub files for the release.
 2016-05-27 16:41:47 -04:00
Joe Jevnik 9448117b6e MAINT: update mask_between_time and attribute the original to pandas 2016-05-27 14:34:19 -04:00
Stewart Douglas 71bcc7f911 DOC: Update comments to reflect new behavior 2016-05-26 09:38:25 -04:00
Scott Sanderson 5caccaeed5 Merge pull request #1230 from quantopian/pipeline-example 
DOC/TEST: Add example algo using Pipeline.
 2016-05-25 22:35:59 -04:00
dmichalowicz 86486803b6 BUG: custom factor outputs naming collisions 2016-05-25 15:41:16 -04:00
Andrew Daniels f1cfe1f2db BUG: Fixes bcolz padding to not always pad 390 minutes 
If minutes already exist for the last existing day, adjust the number of
minutes padded to account for them. Previously we would always pad 390,
leading to a mismatch in the number of rows.
 2016-05-25 14:26:16 -04:00
Scott Sanderson c03bbbc928 BUG: Delete attrs before firing callbacks. 
Prevents failures to remove sqlite files when cleaning up temporary
directories.
 2016-05-25 14:17:57 -04:00
Joe Jevnik c569a3d571 STY: unused imports 2016-05-25 13:21:55 -04:00
Joe Jevnik 163ba8d76d ENH: remove the ffill lower bound query in blaze loader 
This query is often only cutting out a couple of months or a week of
data. The cost of computing this lower bound does not outway the cost of
sending back too much data.
 2016-05-25 13:21:26 -04:00
Joe Jevnik 2d36a58add ENH: improve performance of time comparisons 
Adds `mask_time_between` to do more efficient comparisons between
pandas.DatetimeIndex and datetime.time objects.

This is used in the loader utils to more efficiently normalize datetimes
around the query time.
 2016-05-25 13:21:26 -04:00
Andrew Liang fb9e1abb92 LOG: Log the dt and amount when each capital change executes 2016-05-25 11:58:05 -04:00
Scott Sanderson 392ac2f9d6 DOC/TEST: Add example algo using Pipeline. 2016-05-24 22:34:05 -04:00
Scott Sanderson 244664b6a3 MAINT: Clean up default handling in TradingAlgorithm. 2016-05-24 22:17:01 -04:00
Andrew Liang 40f42b43f5 DEV: Adjust performance calculations for capital changes 
Refactor PerformancePeriod so that it creates a sub-period every
time a capital change happens within the period
 2016-05-24 17:23:36 -04:00
Jean Bredeche 1630dc65d6 Merge pull request #1213 from quantopian/youre-charging-me-what 
DEV: Re-implement commission models to return correct results in the case of multiple fills
 2016-05-24 13:24:53 -04:00
Joe Jevnik 533233fae4 BUG: fix cell magic 2016-05-24 02:04:47 -04:00
Jean Bredeche 39bf1dbd7b DEV: Re-implement commission models to return correct results in the case of multiple fills. 2016-05-23 21:19:06 -04:00
Maya Tydykov 3ca294d494 Merge pull request #1186 from quantopian/remove_type_restrictions_for_generic_loader 
Remove type restrictions for generic loader
 2016-05-23 17:24:13 -04:00
Maya Tydykov e5039a43b0 TST: add tests to ensure no forward filling of non-missing values 
STY: fix indentation

DOC: add docs to clarify test input/output
 2016-05-23 16:48:52 -04:00
dmichalowicz a446401d03 DOC: Regression factor docstring fix 2016-05-23 16:40:22 -04:00
Maya Tydykov 3a3c7db844 MAINT: remove filling in missing value and ffill before coercing column 2016-05-23 15:53:55 -04:00
Maya Tydykov c0eb798cc6 TST: modify test class to use WithAssetFinder fixture. 
BUG: assign result to var

TST: remove obsolete assertion

STY: fix line length
 2016-05-23 15:53:55 -04:00
Maya Tydykov c94f3d0c9b BUG: fix replacement of NaN with None 
TST: finish test with expected data

STY: alphabetize imports

MAINT: simplify condition - remove unnecessary statement
 2016-05-23 15:53:55 -04:00
Maya Tydykov 8e630bff77 TST: remove obsolete test and update test 2016-05-23 15:53:55 -04:00
Maya Tydykov 0f8738ef32 MAINT: remove restrictions on strings for generic loader 
MAINT: remove catch for NonNumpyCompatible since it's a subset of NonPipelineCompatible
 2016-05-23 15:53:55 -04:00
Joe Jevnik 5664d80c92 Merge pull request #1219 from quantopian/suggest-ingest 
ENH: suggest running ingest if no data exists
 2016-05-20 12:38:26 -04:00
Joe Jevnik a0f9915290 Merge pull request #1218 from quantopian/datareader-replace 
MAINT: replace usages of pandas.io.data.DataReader with pandas_datare…
 2016-05-20 12:36:00 -04:00
Joe Jevnik eda751cf88 ENH: suggest running ingest if no data exists 2016-05-20 11:37:48 -04:00
Joe Jevnik 0bd790d122 MAINT: replace usages of pandas.io.data.DataReader with pandas_datareader.data.DataReader 2016-05-20 11:23:28 -04:00
Maya Tydykov 751a08a8a1 MAINT: move constants to appropriate files 2016-05-20 10:47:56 -04:00
Maya Tydykov 3d0764a50c ENH: add dividend type column 
BUG: add back constant
 2016-05-20 10:47:56 -04:00
Maya Tydykov 8a3b82c536 ENH: add column for currency type 2016-05-20 10:47:55 -04:00
Joe Jevnik 3bc639ac67 REL: 1.0.0 2016-05-19 20:35:07 -04:00
Joe Jevnik 664a0d234c DOC: document limit and stop price args 2016-05-19 20:10:38 -04:00