Eddie Hebert
69a4e542ea
Filters out orders in the future.
...
Enforcing filling open orders that exist on or before the current event.
2012-10-10 16:19:06 -04:00
Eddie Hebert
a220bc4e8f
Removes expiration from orders.
...
Expiration is something that way may want to have in the future,
but this current is implementation is dropping orders that
aren't meant to be expired. So removing expiration, so that all
expected orders are executed.
2012-10-10 16:18:46 -04:00
Eddie Hebert
29a87ef7a2
Normalizes indentation before editing.
2012-10-10 16:11:27 -04:00
Eddie Hebert
98f063464e
Adds extra constraint of year to check for day inequality.
...
The .day member of datetime only gives the number of the day of the
year, which is insufficient when checking for < than.
However in this use, we may just want to check for an 'not equals'
2012-10-10 16:11:16 -04:00
Eddie Hebert
0f819474e0
Normalizes indentation to 4 spaces.
2012-10-10 16:11:03 -04:00
Eddie Hebert
ca78b1b9e1
Makes ordering of transaction parameters consistent.
...
The order of open_orders and event were inconsistent across
invocations. Standardizing on one order.
2012-10-10 16:10:52 -04:00
fawce and Eddie Hebert
e11b35f149
added messages file...
2012-10-10 16:10:30 -04:00
fawce and Eddie Hebert
96fed05fc0
support for test fixes in qexec
2012-10-10 16:09:40 -04:00
fawce and Eddie Hebert
815c9f2cf6
providing default behavior for positions dictionary. non-existent positions are
...
returned as zero size/value positions.
2012-10-10 16:08:14 -04:00
fawce and Eddie Hebert
d9cf193ce0
fixes to unit tests
2012-10-10 16:07:11 -04:00
fawce and Eddie Hebert
e3f750014e
__missing__ needs to put the value into the dictionary
2012-10-10 16:06:55 -04:00
Eddie Hebert
5650a99fe1
Removes now unused lines.py
2012-10-10 16:06:35 -04:00
fawce and Eddie Hebert
16b0d71506
refactoring of algorithm to make it work for both batch style run method, and generator style consumption. removed the portfolio property from the data parameter. added set_slippage and set_commission methods to algorithm. removed timeout tracking.
2012-10-10 16:06:32 -04:00
fawce and Eddie Hebert
d2e639c2da
quarterly conversions
2012-10-10 16:05:02 -04:00
Eddie Hebert
d98190daf7
Removes unused kwarg btrid to create_txn.
2012-10-09 14:16:48 -04:00
Eddie Hebert
9500163ed8
Adds Apache 2.0 license header to source files.
2012-10-08 17:32:41 -04:00
Eddie Hebert
bbf2317c57
Saving point for adding license files.
2012-10-08 17:32:40 -04:00
fawce
8bd6b675b2
fixed weird indentation bug
2012-10-08 12:06:22 -04:00
Eddie Hebert
15604134c7
Removes unused random source method.
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Method was unused and used an unimported module.
2012-10-05 12:14:39 -04:00
Eddie Hebert
77af1ca632
Applies PEP-8 and pyflakes style to tests and zipline.
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Mostly whitespace, line width and other spacing changes.
Also, removes use of deprecated has_key in favor of `in`
Going forward new patches should pass running `flake8` before
submission.
2012-10-05 12:14:09 -04:00
Eddie Hebert
3f2f16dba2
Removes unused import.
2012-10-03 12:02:46 -04:00
Eddie Hebert
2c380e5abc
Removes unused imports.
2012-10-03 12:01:25 -04:00
Eddie Hebert
891a283c39
Whitespace tweaking. PEP-8 conventions.
2012-10-03 11:53:36 -04:00
Eddie Hebert
64363fae31
Applies pep8 and pyflakes recommendations.
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White space tweaking.
2012-10-03 11:40:14 -04:00
Eddie Hebert
aa24701c30
Removes 'core' submodule.
...
The last use of AddressAllocator has been removed.
(since zipline no longer uses zmq)
Also removes unused command line harness.
2012-10-03 10:50:53 -04:00
fawce
9f8fd52b7d
fixed bug where commission ignored order direction
2012-10-01 21:46:48 -04:00
fawce
7a8697f0e5
updated based on PR feedback.
2012-09-30 22:12:00 -04:00
fawce
ebde40ab05
patched up tradesim from master.
2012-09-28 23:19:39 -04:00
fawce
1caefbff43
tests are passing for independent commission model
2012-09-28 23:12:41 -04:00
fawce
e6b3e8e7b1
adding independent commission modeling.
2012-09-28 23:02:29 -04:00
Thomas Wiecki
39c3cf88ce
Added profiling shell script.
2012-09-25 16:54:42 -04:00
Thomas Wiecki
e353900010
Added 2 year data file.
2012-09-25 16:53:57 -04:00
Thomas Wiecki
e09695819e
Cleaned up example.py code.
2012-09-25 16:10:50 -04:00
Thomas Wiecki
53de4effd3
stdout_capture was causing problems for ipython notebook.
2012-09-25 14:53:13 -04:00
Thomas Wiecki
79ab1d13c0
Fixes circular import problem.
2012-09-25 13:35:47 -04:00
Thomas Wiecki
2e9947ab8c
Accidentally commented out logging capture.
2012-09-25 12:21:26 -04:00
Thomas Wiecki
188a9502b0
Added passing of arguments to algorithm initialize and batch transform.
2012-09-25 11:48:37 -04:00
Thomas Wiecki
4324f95f36
Better unittest coverage. DataFrameSource is now filtering sids. Fixed outstanding issues.
2012-09-21 11:59:46 -04:00
Thomas Wiecki
4526cde4c5
Fixed weird regression in TestAlgorithm.
2012-09-19 19:37:21 -04:00
Thomas Wiecki
a185a014db
Merge branch 'master' into batch_window
2012-09-19 18:41:17 -04:00
Thomas Wiecki
3be2f313cd
Shortened test window. Renamed functions in window transform.
2012-09-19 18:39:42 -04:00
Thomas Wiecki
2fe37fa34c
Fixed pandas depracation.
2012-09-19 18:02:09 -04:00
Thomas Wiecki
729a4d9058
Large refactoring and documentation of new algorithm base class and batch transform.
2012-09-19 17:49:39 -04:00
Thomas Wiecki
7242a4ee86
BUG: asserting for correct index type.
2012-09-18 13:56:58 -04:00
Thomas Wiecki
280f122353
WIP: Lot of refactoring and bugfixing.
2012-09-17 18:35:21 -04:00
Thomas Wiecki
35a7da6ee7
Cleaned up depracated merged_transforms.
2012-09-17 17:13:20 -04:00
fawce
518d471a93
fixed slippage was ignoring order direction.
2012-09-17 15:31:59 -04:00
Thomas Wiecki
5b58318919
Merge branch 'optimize3' into batch_window
2012-09-17 12:49:56 -04:00
Thomas Wiecki
a729435964
Merge branch 'master' into batch_window
2012-09-17 12:49:02 -04:00
Thomas Wiecki
5d00099243
example code now retrieves data from yahoo finance.
2012-09-17 12:15:36 -04:00
Eddie Hebert