Because we use ordered_pip.sh to install requirements files, we want
dependencies in requirements_dev.txt to be listed _before_ the things
that depend on them, rather than after. Otherwise, with
ordered_pip.sh, stuff will get installed implicitly, and perhaps the
wrong version.
Only fill limit order if impacted fill price is better than the limit price.
If a limit order is partially filled, only fill the remaining shares if the
impacted fill price is better than the limit price.
If a SID hasn't started trading yet, pandas' convention is to use nans.
Before this change, zipline would raise an exception if there were nans in the
input data.
We now skip events where the prices contains a nan and has not been traded
before (in which case forward fill).
Fixes#446.
In Python 3 builds, the miniconda version of nose was being used, which
was not finding the pip installed plugins.
Force the install of nose into the non-miniconda part of the
environment where the plugns are installed.
Now that the pandas and numpy upgrade is complete, no longer need to
test for forwards and backwards compatibility.
Also, now that Cython is part of the build, the existence of Cython can
be assumed for building cyordereddict.
Remove pieces that are no longer used now that the simple transforms are
wrappers around history via the SIDData object.
Move window length related pieces into batch_transform, since the rest
of the utils module is no longer used.
This commit refactors the Security cython class to Asset, and refactors some fields of the class accordingly. This change is so the terminology is consistent and correct when Asset is extended to asset types that are not securities, such as futures.
on the number of per-tick update that occur since they were duplicated
per each PerformancePeriod. Also opens up the path to cythonizing the
entire object
A cython __richcmp__ function isn't allowed to assume that its first
argument is the same as the type of the class to which it belongs, so
our code needs to account for either of its two arguments being of the
wrong type.
Furthermore, the correct way for __richcmp__ to handle when it doesn't
know how to do a comparison is to return NotImplemented.
Python 3 for some reason doesn't like usage of the cmp() built-in, so
instead of using cmp(), just subtract the two ints being compared.
In addition to making this work with Python 3, it should also be more
performant since it no longer requires calling the cmp() method.
The >= comparison for the Cythonized Security object was actually
doing <=. Fix this and add unit tests for all the Security object rich
comparison operators.
Jonathan Kamens