Stephen Diehl
6df73110ff
Remove old component.py
2012-05-14 10:20:04 -04:00
Stephen Diehl
ca60d3f8e0
Refactor component tree.
2012-05-14 09:14:26 -04:00
Stephen Diehl
7d1ddb19f7
Refactored dirs & logging.
2012-05-14 08:27:34 -04:00
Stephen Diehl
d7431f189f
Updated refs.
2012-05-10 17:42:17 -04:00
Stephen Diehl
81d9214b40
Updated toplevel & logging.
2012-05-10 17:31:16 -04:00
Stephen Diehl
133d9c03af
One test passing, progress!
2012-05-10 16:38:04 -04:00
Stephen Diehl
00de461da8
Made more submodules.
2012-05-10 15:46:19 -04:00
Stephen Diehl
62ec591d90
Moved the test folder.
2012-05-09 13:34:13 -04:00
Stephen Diehl
54ee77827e
Merge branch 'master', remote-tracking branch 'origin' into refactor
2012-05-09 09:15:07 -04:00
Stephen Diehl
f60794067e
reworked directory
2012-05-09 09:12:11 -04:00
fawce
9b42a1e63f
draft of a vwap transform.
2012-05-04 13:32:29 -04:00
fawce
4da50156e7
added a test to mix long/short orders
2012-05-02 21:05:02 -04:00
fawce
a60154dd6b
intersticial commit for transforms
2012-05-02 21:05:02 -04:00
fawce
e4a0c7af7f
added initialize method to the algorithm protocol.
2012-05-02 21:05:01 -04:00
Stephen Diehl
ceab47b59e
Merge pull request #41 from quantopian/cancellation2
...
Cancellation2
2012-05-01 10:32:55 -07:00
Stephen Diehl
0cf48698b8
Dispatch cancellation in REQ/REP
2012-04-27 15:56:30 -04:00
Stephen Diehl
d9294d2ff9
Base class for transitions.
2012-04-26 21:21:57 -04:00
Stephen Diehl
cfe71196c5
Fail on timeouts & timeout handlers.
2012-04-26 14:45:28 -04:00
Stephen Diehl
08f7b115ac
Cleaner exception/shutdown procedures.
2012-04-26 14:42:38 -04:00
Stephen Diehl
e0d3811aed
Fail fast in monitor on errors.
2012-04-26 14:26:06 -04:00
Stephen Diehl
d09aa1ad93
Make monitor have proper state transitions.
2012-04-26 13:52:46 -04:00
Stephen Diehl
0bf425a8dc
initial work on new protocol
2012-04-25 19:52:14 -04:00
fawce
54f8d7d013
removed lines sending messages to the control channel, simplified logic for handling max loss case, DONE'ing trading client on max loss. Zipline continues to run until all components are finished.
2012-04-24 17:51:02 -04:00
fawce
1f04ee4ece
committed a set_trace...
2012-04-23 21:04:51 -04:00
fawce
fe793b503d
hotpatching a merge error (duplication of the max dd check).
2012-04-23 20:50:08 -04:00
fawce
54d3579ceb
added boolean to results for exceeding max losses in a single simulated day.
2012-04-23 15:10:44 -04:00
fawce
1d9953255a
added stop out for max drawdown.
2012-04-20 23:41:23 -04:00
fawce
bab0e2bd19
made distinction between cumulative behavior and daily behavior a bit more clear.
2012-04-20 15:08:39 -04:00
fawce
bc14e7e3b7
zipline, now a cold, heartless, http://open.spotify.com/track/1xshgoh575otNXRfeYgh9D
...
Pretty fast too...
2012-04-20 12:21:03 -04:00
fawce
28c380c245
removed heartbeat on every iteration, resulted in a 50% reduction in processing time per day.
...
However, the big lesson from this experiment is that the major bottleneck is in the feedback loop. By eliminating the feedback loop and instead putting the transaction simulation into the client end of the zipline, I think we could accelerate by 10x.
2012-04-20 12:21:03 -04:00
fawce
6f5e9b0559
fixed documentation
2012-04-19 23:32:37 -04:00
fawce
08a5bd5a0d
re-arranged fields so that history includes daily snapshots for cumulative measures.
2012-04-19 23:27:35 -04:00
fawce
ddb1c51569
moved epoch_now to date_utils
2012-04-18 23:14:21 -04:00
fawce
68040bad9a
consolidated some of the date util methods. added iso8061 support
2012-04-18 17:11:01 -04:00
fawce
1b5b92d75f
dropped unwanted fields.
2012-04-18 12:36:46 -04:00
fawce
6561292e4c
some efficiency changes - no longer transferring the list of daily returns, no longer holding transactions in the daily and the cumulative performance periods.
2012-04-18 12:36:46 -04:00
fawce
7eb0ba67ac
clarifying the results protocol for the backtest.
2012-04-18 12:36:46 -04:00
fawce
309f78a030
modification of the transport protocol -- keeping it close to the export of data from the performance tracker.
2012-04-18 12:36:46 -04:00
fawce
5fd30216e5
revised protocol to maintain original structure.
2012-04-18 12:36:46 -04:00
fawce
2fcb68f59e
Merge branch 'master' of github.com:quantopian/zipline
2012-04-18 12:36:32 -04:00
Stephen Diehl
864899003b
Clean up test case.
2012-04-18 12:29:40 -04:00
Stephen Diehl
28f975fd55
Don't replace right now.
2012-04-18 11:19:10 -04:00
Stephen Diehl
b3de0a2fcc
Added ndict test suite.
2012-04-18 11:18:48 -04:00
Stephen Diehl
e2638f1cbb
Fixed arguments on magic methods.
2012-04-18 11:01:12 -04:00
Stephen Diehl
daaa45e9c1
Namedicts edges fixed, and awesomer ndict
2012-04-18 10:53:04 -04:00
fawce
9db18846c9
fixed type-os in serialization code
2012-04-16 13:37:54 -04:00
fawce
bd616a9ec0
eliminated special handling for non-blocking components.
2012-04-16 12:06:39 -04:00
fawce
02d7f0a4c8
heavy work on the feedback loop from trade client to order source. tests are passing using a busy wait inside the trade client. hopefully we can find a more elegant approach.
2012-04-14 15:09:52 -04:00
fawce
4486dd0cad
removed some straggling test code.
2012-04-13 16:54:49 -04:00
fawce
38982fcdab
major fix is with the non-blocking behavior of order source. also fixed time-compression in the trading client.
2012-04-13 15:08:17 -04:00
Stephen Diehl