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
9500163ed8
Adds Apache 2.0 license header to source files.
2012-10-08 17:32:41 -04:00
Eddie Hebert
77af1ca632
Applies PEP-8 and pyflakes style to tests and zipline.
...
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
Thomas Wiecki
188a9502b0
Added passing of arguments to algorithm initialize and batch transform.
2012-09-25 11:48:37 -04:00
Thomas Wiecki
3be2f313cd
Shortened test window. Renamed functions in window transform.
2012-09-19 18:39:42 -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
280f122353
WIP: Lot of refactoring and bugfixing.
2012-09-17 18:35:21 -04:00
Thomas Wiecki
ea5cbaba56
Commented out handle_data().
2012-09-17 10:30:22 -04:00
Thomas Wiecki
784fc72569
WIP: Changed Batch event window to inheritance for now. Added example covariance.
2012-09-12 22:06:19 -04:00
Thomas Wiecki
b74721421e
WIP: First naive implementation of BatchWindow.
2012-09-07 16:55:01 -04:00
Eddie Hebert
d6ddc1390d
Ensures that EventWindow is a new style object.
2012-09-06 02:51:02 -04:00
Eddie Hebert
680f86ceb3
Removes unused imports.
2012-09-06 02:50:11 -04:00
scottsanderson and Eddie Hebert
c0694827d6
add the TransformMeta metaclass
2012-09-04 17:16:36 -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
scottsanderson
7051d6826d
remove unnecessary copying
2012-08-21 12:18:26 -04:00
scottsanderson
9537067138
fix comment in EventWindow
2012-08-15 13:31:15 -04:00
scottsanderson
4bfbaa8c26
minor protocol change
2012-08-10 01:18:55 -04:00
scottsanderson
7bb4e754b0
added logs
2012-08-09 16:21:49 -04:00
scottsanderson
0489bc4216
tests for eventwindow
2012-08-07 21:46:56 -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
172ed2aafe
removed the set_trace
2012-08-07 15:49:04 -04:00
scottsanderson
1959a8388c
re-commit for fawce
2012-08-07 15:42:33 -04:00
scottsanderson
c45b49a315
fix method name typo in eventwindow
2012-08-07 15:11:22 -04:00
scottsanderson
1f0e760856
finish eventwindow ABS, and speedups for tradingcalendar
2012-08-07 14:50:09 -04:00
scottsanderson
ed206de84a
abstract eventwindow and trading calendar utility
2012-08-07 10:32:10 -04:00
scottsanderson
e061cb3a07
new-style vwap
2012-08-06 15:35:56 -04:00
scottsanderson
10ff5effbf
moved MovingAverage state class to its own file
2012-08-06 13:54:07 -04:00
scottsanderson
45bfb3e8cd
moving average using eventwindow abc
2012-08-06 13:38:45 -04:00
scottsanderson
1073696965
moving toward abstract base for event window tnfms
2012-08-06 13:11:16 -04:00
scottsanderson
4655e643a4
api changes and refactor of sorting tests
2012-08-06 11:05:25 -04:00
fawce
4a582e8952
modified zmq_gen method to yield None when there is no waiting message. This prevents blocking in the next() method of a component. But it requires generators wrapping the component to handle None.
...
Also modified component's receiver creation to be triggered on the first call to next, rather than iter.
This change means that the zmq context and socket for the component's receiver should always be created in
the same process as the consumer of the generator. Chaining together component wrapped generators will
result in the send process of the last component actually instantiating the receive socket of the prior component.
In this way, the components are actually communicating directly via zmq.
Component's send method now calls the wait_ready(), which waits for the monitor's GO message, inside
the generator loop. This guarantees that the generator's next method is called before the send loop blocks
on the monitor. As a result, components will call __init__ and next() without blocking, mimicking the
behavior of plain generators.
2012-08-04 12:58:07 -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
18d327069a
stateful transform as class
2012-08-02 18:01:16 -04:00
scottsanderson
14067d8323
commit for fawce
2012-08-01 21:42:55 -04:00
scottsanderson
9e1a5c11cb
fix syntax in transform
2012-08-01 18:56:29 -04:00
scottsanderson
4768bea646
more progress on tsc
2012-08-01 18:53:09 -04:00
scottsanderson
9f7293e2d2
pipeline through merge
2012-08-01 17:19:08 -04:00
scottsanderson and fawce
211cd0271f
new world order
2012-08-01 11:03:40 -04:00
fawce
29760dde3a
renaming and such for the PR.
2012-07-30 16:13:47 -04:00
scottsanderson
5d9bfe6b92
full sequencing system (minus done from xforms)
2012-07-30 13:51:10 -04:00
scottsanderson
fe1740a3ce
updates for transforms
2012-07-29 19:56:10 -04:00
scottsanderson
f0cb4eaaed
movingaverage implemented as transform
2012-07-27 17:06:07 -04:00
scottsanderson
4ff943eb34
added generator-style transforms
2012-07-27 15:04:41 -04:00
