wassname/catalyst
1
0
Fork 0
mirror of https://github.com/wassname/catalyst.git synced 2026-07-15 11:22:18 +08:00
Code Issues Packages Projects Releases Wiki Activity
3,200 Commits 16 Branches 39 Tags
71395d4ea1fefcb8c465c79fd0d7de9bcacd28ec
Commit Graph
3200 Commits
This Branch
This Branch
All Branches
Author SHA1 Message Date
Scott Sanderson 71395d4ea1 DOC: Fix typo in CustomFactor docstring. 2015-12-17 13:18:20 -05:00
Eddie Hebert a28236aef2 Merge pull request #917 from quantopian/pass-leverage-to-cumulative 
MAINT: Pass leverage instead of account to risk.
 2015-12-16 17:12:25 -05:00
Eddie Hebert 7df0f9e4b0 MAINT: Pass leverage instead of account to risk. 
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
Eddie Hebert 8c1e52385f MAINT: Raise NotImplementedError in data_portal 
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
Eddie Hebert 78dc0f2e47 Merge pull request #914 from quantopian/move-order-module 
Move order and transaction classes
 2015-12-15 16:42:14 -05:00
Eddie Hebert 82affb639f TST: Explicitly skip versioning tests. 
The test had a check for a pandas version (0.12.0) which was out of date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
Eddie Hebert bbb9cc87a9 REF: Move transaction class to own module. 2015-12-15 16:23:59 -05:00
Eddie Hebert fc9d13ca0c REF: Move check_order_triggers to method of order. 
The function takes order as a first parameter, which lends itself to
being an instance method.
 2015-12-15 16:23:59 -05:00
Eddie Hebert b863733953 REF: Move order class to distinct module. 2015-12-15 16:23:59 -05:00
Eddie Hebert 5ecb277d84 Merge pull request #915 from quantopian/remove-perf-periods 
MAINT: Remove perf_periods member.
 2015-12-15 15:34:36 -05:00
Eddie Hebert 06d4d7e74b MAINT: Remove perf_periods member. 
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
Eddie Hebert 6106cb98a5 REF: Remove unused parameter. 2015-12-14 14:26:06 -05:00
Eddie Hebert e4fe44642d Merge pull request #912 from quantopian/data-portal-init-2 
ENH: Add initial commit for DataPortal and readers
 2015-12-14 14:23:47 -05:00
Eddie Hebert e5b5023d42 ENH: Add initial commit for DataPortal and readers 
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
Scott Sanderson bd85f59fc0 DOC: Docs updates for EWMA/EWMSTD. 2015-12-14 13:32:28 -05:00
Scott Sanderson 84d8cc4d41 DOC: Add simple buy and hold example. 2015-12-13 15:06:15 -05:00
Scott Sanderson 323695f959 Merge pull request #910 from quantopian/new-factors 
New factors
 2015-12-13 12:15:25 -05:00
Scott Sanderson 7305f0c3b9 DOC: Miscellaneous docs updates. 2015-12-11 22:29:41 -05:00
Scott Sanderson 7996c07107 DOC: Add whatsnew. 2015-12-11 22:20:38 -05:00
Scott Sanderson b91f9697b9 ENH: Add ExponentialWeightedStandardDeviation. 2015-12-11 22:13:27 -05:00
Scott Sanderson 2235a53581 ENH: Add EWMA and DollarVolume factors. 2015-12-11 22:13:27 -05:00
Scott Sanderson ebb4fbdcf8 Merge pull request #905 from quantopian/refactor-adjusted-array 
Adds support for different typed adjusted arrays and adds an EarningsCalendar loader
 2015-12-11 13:59:20 -05:00
Scott Sanderson b5d3f2be0a DOC: Update whatsnew. 2015-12-11 13:54:57 -05:00
Scott Sanderson 4469fbef76 MAINT: Just the value if dtype doesn't have a name. 2015-12-10 17:34:38 -05:00
Scott Sanderson 4b897a22f4 MAINT: Use full_like instead of full. 2015-12-10 17:19:49 -05:00
Scott Sanderson 67d546f000 MAINT: Use an enum for the AdjustmentKind. 2015-12-10 16:21:46 -05:00
Scott Sanderson 77bce4ec9d MAINT: Refactor next_adj logic into method. 2015-12-10 16:12:51 -05:00
llllllllll 4963b2ca72 TST: Adds tests for infer_timestamp 2015-12-10 15:14:27 -05:00
Scott Sanderson e3d19bab25 MAINT: Fix failing blaze expr test. 2015-12-10 14:19:32 -05:00
Scott Sanderson dacbc0731e MAINT: Simplify BlazeEarningsCalendarLoader. 
Removes codepaths that add implicit timestamps.
 2015-12-10 13:53:21 -05:00
llllllllll 366e796975 MAINT: remove extra checks around empty odo_kwargs 2015-12-10 13:01:16 -05:00
Scott Sanderson f719fef55e STY: Many people prefer to read words with vowels. 2015-12-10 12:50:36 -05:00
Scott Sanderson 64ce6d26aa BUG: Fix hardcoded type repr in test. 
Types repr differently in py2 vs py3.
 2015-12-09 15:29:57 -05:00
llllllllll f8ab8a5159 TST: py3 compat qualname in preprocess tests 2015-12-09 12:49:59 -05:00
llllllllll 48536add73 TST: fix doctests 2015-12-09 11:22:13 -05:00
Scott Sandersonandllllllllll 8220d1ee86 ENH: Adds support for different typed adjusted arrays and adds an 
EarningsCalendar loader.

- Moves most of AdjustedArray back into Python. The window iterator is
  the only part that's performance-intensive.

- Adds a bootleg templating system for creating specialized versions of
  AdjustedArrayWindow for each concrete type we care about.

- Adds support for differently dtyped terms in pipeline. This allows us
  to use datetime64s which are needed in the EarningsCalendar.

- Adds EarningsCalendar dataset for the next and previous earnings
  announcements in pipeline.

- Adds in memory loader for EarningsCalendar.

- Adds blaze loader for EarningsCalendar.
 2015-12-08 20:24:06 -05:00
Scott Sanderson 1a595c00ef DOC: Fix formatting in homebrew link. 2015-12-08 15:25:57 -05:00
Scott Sanderson c4da85b34c DOC: Add libfreetype6-dev to debian reqs. 2015-12-08 13:30:25 -05:00
Scott Sanderson 060c176078 Merge pull request #883 from quantopian/install-docs 
Install docs
 2015-12-08 12:58:06 -05:00
Scott Sanderson fabac9e3b9 DOC: Add whatsnew. 2015-12-08 12:43:57 -05:00
Scott Sanderson 63af5273d1 DOC: Add docs section on installation. 2015-12-08 12:35:34 -05:00
Scott Sanderson c8ca48f7f2 Merge pull request #897 from quantopian/remove-unused-prev-env 
REF: Remove unused trading env member.
 2015-12-04 16:02:42 -05:00
Eddie Hebert 8b39bbab45 REF: Remove unused trading env member. 
Usage of `prev_environment` was removed by a previous commit,
dc964a7e7d
 2015-12-04 15:25:30 -05:00
Tim Shawver ce3727ba8d Merge pull request #884 from quantopian/returns-factor 
Adding a built in Returns factor to the pipeline API
 2015-12-02 09:34:21 -05:00
Tim Shawver d576a9dd3a Add the built-in factors to the API docs for zipline.io, so that I can link to the Returns factor from the release notes. 2015-12-01 15:54:19 -05:00
Tim Shawver 026ab30ea5 Added an entry to whatsnew for 0.8.4. 2015-12-01 15:26:10 -05:00
Tim Shawver 631a1879a3 Adding a built in Returns factor to the pipeline API. 2015-12-01 13:24:41 -05:00
Scott Sanderson efcb016f64 Merge pull request #887 from quantopian/fix-pad 
MAINT: Alias methods for 0.17 compat.
 2015-12-01 11:09:00 -05:00
Scott Sanderson 3fda7a7be5 MAINT: Alias methods for 0.17 compat. 2015-12-01 10:48:20 -05:00
James Kirk 7563265647 Merge pull request #849 from quantopian/futures-order-test-fix 
TST: Fixes test_order_methods_for_future
 2015-11-30 12:40:49 -05:00