6b4287c390
BLD: Cap numpy at 1.9 and don't use exact version with other conda reqs
2016-01-05 21:10:38 -05:00
6d83b06133
MAINT: De-dupe regex usage
2015-12-31 14:22:25 -05:00
4dd04b5bb6
BLD: Updated dependency recipes
2015-12-31 14:22:25 -05:00
9896c3cdb6
BLD: Build zipline conda package from source
2015-12-31 12:47:43 -05:00
7a6ba4f249
Merge pull request #924 from quantopian/dataset-subclassing
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ENH: Make datasets have subclass relationships
2015-12-29 11:43:55 -05:00
54c58d1205
DOC: add comments about the column collection in DataSetMeta
2015-12-29 10:13:00 -05:00
68cf236944
TST: Add test case for adding columns in subclass
2015-12-29 10:12:39 -05:00
1f137d4dd8
Merge pull request #927 from quantopian/dollar-volume-update
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ENH: Change DollarVolume to AverageDollarVolume.
2015-12-28 16:14:16 -05:00
72887f0065
ENH: Change DollarVolume to AverageDollarVolume.
2015-12-28 16:12:11 -05:00
7b6ea9dd26
DOC: add whatsnew entry for exception changes
2015-12-22 12:31:15 -05:00
a3fecd6527
ENH: support subclassing in the earningscalendar loader
2015-12-22 12:25:30 -05:00
f933d6b44e
DOC: whatsnew entry
2015-12-22 12:25:30 -05:00
32baac4e4b
ENH: Make datasets have subclass relationships
2015-12-22 12:25:30 -05:00
825f7b3cd5
Merge pull request #923 from quantopian/rename-error-cases
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MAINT: fix error messages for set_(commission|slippage)
2015-12-22 12:24:17 -05:00
2b4ffedd09
Merge pull request #922 from quantopian/log-noise
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Benchmark and treasury curves data missing on first download
2015-12-21 16:58:05 -05:00
e2d088c2be
DOC: Update whatsnew
2015-12-21 16:49:01 -05:00
4f24a32c45
BUG: Benchmark and treasury curves data missing on first download
2015-12-21 13:38:24 -05:00
c4f3f51ea5
Merge pull request #925 from quantopian/rename-moments
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DOC: Rename exponential stddev.
2015-12-18 15:07:41 -05:00
8abef95bb5
DOC: Rename exponential stddev.
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ExponentialWeightedStandardDeviation -> ExponentialWeightedMovingStdDev.
This is more consistent with the other moving moment factors.
2015-12-18 14:30:28 -05:00
58906c74f9
Merge pull request #920 from quantopian/make-pos-stats-a-method
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MAINT: Make tracker stats a method.
2015-12-18 13:19:13 -05:00
5ad93d7568
Merge pull request #921 from quantopian/reformat-ext-modules
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STY: Align all build_ext definitions the same way.
2015-12-18 13:18:07 -05:00
c2091cf79e
MAINT: fix error messages for set_(commission|slippage)
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These called the functions 'update_(commission|slippage) leading to
confusing messages when you called them post init.
2015-12-18 13:05:03 -05:00
93c9f01b5a
STY: Align all build_ext definitions the same way.
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No functional change.
2015-12-18 10:37:27 -05:00
d07d42263a
MAINT: Make tracker stats a method.
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Instead of calling a function, where the only parameter is the tracker
object, make it a method, so that the snapshot of position tracker stats
can be more easily called as `pt.stats()`.
2015-12-18 09:52:53 -05:00
4bb269490f
Merge pull request #919 from quantopian/prepare-for-removal-of-event
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Make commission and split handling compatible with event removal
2015-12-17 15:31:54 -05:00
104245bb19
MAINT: Make split method coarse.
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In preparation for removal of widespread events, change the split
methods to use params for sid and cost, instead of an event, for
compatibility with lazy branch.
co-author: @jbredeche <jean@quantopian.com >
2015-12-17 15:11:09 -05:00
7eae960b21
MAINT: Make commission methods coarse.
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In preparation for removal of widespread events, change the commission
methods to use params for sid and cost, instead of an event, for
compatibility with lazy branch.
co-author: @jbredeche <jean@quantopian.com >
2015-12-17 15:09:12 -05:00
71395d4ea1
DOC: Fix typo in CustomFactor docstring.
2015-12-17 13:18:20 -05:00
a28236aef2
Merge pull request #917 from quantopian/pass-leverage-to-cumulative
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MAINT: Pass leverage instead of account to risk.
2015-12-16 17:12:25 -05:00
7df0f9e4b0
MAINT: Pass leverage instead of account to risk.
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The only value used in the account is leverage, so pass the leverage
value directly.
Also, remove account from risk init, since it is not used.
2015-12-16 15:32:48 -05:00
8c1e52385f
MAINT: Raise NotImplementedError in data_portal
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The patch that added data_portal intended for NotImplementedError to be
raised if one of the functions was invoked, but the raise was omitted.
2015-12-15 17:08:19 -05:00
78dc0f2e47
Merge pull request #914 from quantopian/move-order-module
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Move order and transaction classes
2015-12-15 16:42:14 -05:00
82affb639f
TST: Explicitly skip versioning tests.
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The test had a check for a pandas version (0.12.0) which was out of date
with the version in requirements, meaning the tests have not been run
regularly and unstable.
Skip via the decorator to make it more noticeable that tests are not
being run.
2015-12-15 16:23:59 -05:00
bbb9cc87a9
REF: Move transaction class to own module.
2015-12-15 16:23:59 -05:00
fc9d13ca0c
REF: Move check_order_triggers to method of order.
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The function takes order as a first parameter, which lends itself to
being an instance method.
2015-12-15 16:23:59 -05:00
b863733953
REF: Move order class to distinct module.
2015-12-15 16:23:59 -05:00
5ecb277d84
Merge pull request #915 from quantopian/remove-perf-periods
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MAINT: Remove perf_periods member.
2015-12-15 15:34:36 -05:00
06d4d7e74b
MAINT: Remove perf_periods member.
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Refer to cumulative and todays performance explicitly instead of always
looping through.
The third value (minute) for which this was useful, has been removed.
Also, there are some actions where only cumulative may need application,
e.g. application of dividends. (However, this patch does not remove
dividend processing from todays performance, but opens up later patches
to make that distinction.)
2015-12-15 13:47:38 -05:00
6106cb98a5
REF: Remove unused parameter.
2015-12-14 14:26:06 -05:00
e4fe44642d
Merge pull request #912 from quantopian/data-portal-init-2
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ENH: Add initial commit for DataPortal and readers
2015-12-14 14:23:47 -05:00
e5b5023d42
ENH: Add initial commit for DataPortal and readers
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Moved from the `lazy-mainline` branch,
https://github.com/quantopian/zipline/pull/858
The intent of this patch to provide the basic class and readers
interfaces, developed on that branch, so that the use of creating the
object and opening paths etc. can be tested internally.
Additional changes beyond the lazy-mainline branch, addition of future
minute reader, and daily bar reader.
Also allow an argument of the future_daily_reader, though no such reader
yet exists.
It may be that future and equity readers share an interface, and a
further improvement would be providing an abstract base class.
co-author: @jbredeche <jean@quantopian.com >
2015-12-14 14:23:20 -05:00
bd85f59fc0
DOC: Docs updates for EWMA/EWMSTD.
2015-12-14 13:32:28 -05:00
84d8cc4d41
DOC: Add simple buy and hold example.
2015-12-13 15:06:15 -05:00
323695f959
Merge pull request #910 from quantopian/new-factors
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New factors
2015-12-13 12:15:25 -05:00
7305f0c3b9
DOC: Miscellaneous docs updates.
2015-12-11 22:29:41 -05:00
7996c07107
DOC: Add whatsnew.
2015-12-11 22:20:38 -05:00
b91f9697b9
ENH: Add ExponentialWeightedStandardDeviation.
2015-12-11 22:13:27 -05:00
2235a53581
ENH: Add EWMA and DollarVolume factors.
2015-12-11 22:13:27 -05:00
ebb4fbdcf8
Merge pull request #905 from quantopian/refactor-adjusted-array
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Adds support for different typed adjusted arrays and adds an EarningsCalendar loader
2015-12-11 13:59:20 -05:00
b5d3f2be0a
DOC: Update whatsnew.
2015-12-11 13:54:57 -05:00
Richard Frank