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
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
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
Eddie Hebert
bbf2317c57
Saving point for adding license files.
2012-10-08 17:32:40 -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
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
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
fawce
518d471a93
fixed slippage was ignoring order direction.
2012-09-17 15:31:59 -04:00
fawce
1267f66dbe
removed old refs
2012-09-14 19:42:55 -04:00
fawce
fe8e107c59
dropping max drawdown, adding pytz to whitelist.
2012-09-14 16:00:13 -04:00
fawce
0bb0df525a
pluggable slippage.
2012-09-14 12:33:10 -04:00
fawce
57a1834c5a
refactored so that slippage is implemented as pluggable classes.
2012-09-13 21:22:01 -04:00
Eddie Hebert
215a64ed6a
Removes unused import of zmq.
2012-08-23 23:48:24 -04:00
scottsanderson
22523b5c12
clean up cruft and fix bugs from timeout rename
2012-08-23 13:09:31 -04:00
scottsanderson
55ffa2b391
fix bug where trading environment enters infinite loop on invalid dates
2012-08-23 10:47:35 -04:00
scottsanderson
24fddfbde0
tradingcalender, attempt #2
2012-08-22 02:50:16 -04:00
scottsanderson
1f78a07d30
refactor tradesimulation client to not use StatefulTransform unnecessarily
2012-08-21 19:55:40 -04:00
fawce
1479adf519
fixed infinite looking loop in risk reporting, thanks to groupby
2012-08-21 19:26:46 +00:00
scottsanderson and Eddie Hebert
7ce3667bc2
hard coded one-day warmup
2012-08-14 17:03:49 -04:00
fawce
19f00e867b
indentation bug
2012-08-12 00:53:23 -04:00
fawce
500e6a9f24
fixed #563
2012-08-12 00:48:00 -04:00
fawce
196c681d4b
fixes for max drawdown
2012-08-09 21:43:26 -04:00
fawce
cf6bef6ed8
purging
2012-08-08 22:58:54 -04:00
scottsanderson
74859751ff
whitespace
2012-08-07 18:25:22 -04:00
scottsanderson
23a62a942a
Merge branch 'new_world_order' of github.com:quantopian/zipline into new_world_order
...
Conflicts:
tests/test_transforms.py
zipline/finance/returns.py
2012-08-07 17:08:08 -04:00
scottsanderson
1d9da39fbb
new-style returns
2012-08-07 16:54:55 -04:00
fawce
aeb50da170
fixes for unit tests, back to 50/51 passing.
2012-08-07 14:42:43 -04:00
scottsanderson
ed206de84a
abstract eventwindow and trading calendar utility
2012-08-07 10:32:10 -04:00
scottsanderson
8437a28c14
generator-style perf now sends a risk report on receipt of DONE
2012-08-03 21:09:05 -04:00
scottsanderson
ace5d05fab
tradesim as generator v. 2.0
2012-08-03 14:07:05 -04:00
scottsanderson
56177a7c4f
end to end zipline with pure generators
2012-08-02 00:49:48 -04:00
scottsanderson
14067d8323
commit for fawce
2012-08-01 21:42:55 -04:00
scottsanderson
4768bea646
more progress on tsc
2012-08-01 18:53:09 -04:00
fawce
6de01a1c6e
added support for any component to relay exceptions through monitor.
2012-08-01 14:56:17 -04:00
scottsanderson
6cb3516b6b
save for attempted merge
2012-08-01 11:12:09 -04:00
fawce
146dc822c4
Merge branch 'byebye_threadsim' of github.com:quantopian/zipline into byebye_threadsim
2012-07-30 13:53:09 -04:00
scottsanderson
71cc67e123
generator random equity trades
2012-07-28 01:03:09 -04:00
fawce
80f2acc674
test fixes
2012-07-27 23:33:43 -04:00
fawce
5dd35a4709
added default positions for portfolio object.
2012-07-19 23:31:14 -04:00
fawce
1262dcdef1
logging converted to share socket with performance
2012-07-17 11:04:32 -04:00
fawce
18cd9a02df
added more frequent heartbeating between requests from monitor. seems to work.
2012-07-17 11:04:32 -04:00
Eddie Hebert