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Author SHA1 Message Date
dmichalowicz 276b65f527 CRUFT: Remove ContinuousFuture adjustment method 2017-04-05 15:25:50 -04:00
Freddie VargusandGitHub 18b0def1a1 Merge pull request #1731 from quantopian/update-assetdbwriter-docs 
DOC: Show exchange as required for equities
 2017-04-04 23:27:50 -04:00
Scott SandersonandGitHub e914b23c80 Merge pull request #1740 from quantopian/guarantee-can-trade-order 
BUG: Return from can_trade in same order as input.
 2017-04-04 18:39:53 -04:00
David MichalowiczandGitHub 340a66afd5 Merge pull request #1729 from quantopian/us-futures-cal-in-tests 
Use 'us_futures' calendar in test fixtures
 2017-04-04 17:49:51 -04:00
Scott Sanderson d289e86895 MAINT: Guarantee bool dtype for can_trade. 2017-04-04 17:26:38 -04:00
dmichalowicz c701f200c2 REV: Only use benchmark csv files in source for testing 2017-04-04 17:18:49 -04:00
Scott Sanderson 65381ecbcd BUG: Return from can_trade in same order as input. 
This matches the behavior of history and data.current.
 2017-04-04 17:12:21 -04:00
Maya Tydykov 63ad5a5b55 BUG: address pandas normalization bug on non-sorted DT index 2017-04-04 17:00:32 -04:00
Maya Tydykov 63951ad9e9 BUG: test DatetimeIndex equality correctly 2017-04-04 17:00:16 -04:00
Freddie Vargus 3dfc20ec1c DOC: Show exchange required for equities 2017-04-04 15:02:00 -04:00
dmichalowicz dee19a0d8b TST: Make TradingEnvironment resources static 2017-04-04 10:58:45 -04:00
Maya Tydykov a89d05dd56 BLD: bump blaze 2017-04-03 15:20:49 -04:00
dmichalowicz 0c49c5bbc7 TST: Use 'us_futures' calendar in test fixtures 2017-04-03 10:18:03 -04:00
Eddie HebertandGitHub 84b24d2cee Merge pull request #1734 from quantopian/prepare-for-validity-checks 
MAINT: Prepare parameter check for adding an additional check.
 2017-03-30 14:02:03 -04:00
David MichalowiczandGitHub 0182d62cc8 Merge pull request #1730 from quantopian/no-current-contract 
Add safeguard if current contract of continuous future is None
 2017-03-30 13:32:15 -04:00
dmichalowicz 69a0e5c31b BUG: Getting continuous future current contract failed on None 2017-03-30 12:09:55 -04:00
Eddie Hebert fc65ac33ca MAINT: Prepare parameter check for adding an additional check. 
Should be no functional change.

By making the raise on `if not isinstance` instead of doing a continue on `if
isinstance` (with a raise at the end of the loop if no 'good' conditions were
met'), the function should be more amenable to adding an additional validity
check, after the type check passes.

This is on the path to adding an additional validity checks parameter to
`check_parameters`, e.g. adding an 'is positive' check.
 2017-03-30 10:47:29 -04:00
David MichalowiczandGitHub 0bcdb640ca Merge pull request #1726 from quantopian/cf-adjustment-arg 
Make continuous future adjustment style an argument
 2017-03-29 09:15:22 -04:00
dmichalowicz f0f8bac2ab EHN: Make continuous future adjustment style an argument 2017-03-29 08:49:12 -04:00
David MichalowiczandGitHub 0d0473cb44 Merge pull request #1721 from quantopian/out-of-bounds-price 
Negative indexing in cython without wraparound
 2017-03-29 08:46:50 -04:00
dmichalowicz 066a7776d2 BUG: Open and close resampling code could hit index errors 2017-03-28 16:06:29 -04:00
Eddie HebertandGitHub 35203c6904 Merge pull request #1728 from quantopian/rework-resample-close 
MAINT: Clear up naming and logic in resample close.
 2017-03-28 14:02:27 -04:00
Eddie Hebert 2792de1f92 MAINT: Clear up naming and logic in resample close. 
- Instead of maintaining a separate `j` value, set the bounds of the range so
that `i` is the values emitted by the range.
- Change `close_loc` to `prev_close_loc` since the market close location is used
to ensure that the data index stops at the market open if the entire day is
nans.
- Change the setting of `loc` to be done before the loop which check for nans,
instead of setting to the previous close loc at the end of the loop.

This prepares for a separate fix to prevent out of bounds access when the first
session has nans for all minutes.
 2017-03-28 13:30:12 -04:00
Eddie HebertandGitHub ee19186e51 Merge pull request #1727 from quantopian/resample-whitespace-cleanup 
STY: Cleanup trailing whitespace in resample module.
 2017-03-28 13:00:33 -04:00
Eddie Hebert 63c80109ec STY: Cleanup trailing whitespace in resample module. 2017-03-28 12:16:39 -04:00
Jean BredecheandPaul Sutherland 81b943c61d ENH: Allow override of order amount rounding. (#1722) 
* ENH: Use regular rounding to calculate order amounts.

We previously tried to prevent accidental over-ordering by truncating
orders down unless they were within 1e-4 of the next higher integer.
Unfortunately, this makes it easy for a sell order to be one share short
of the desired position.

Using regular rounding treats both buys and sells in the same way.

* ENH keep non-rounding behavior consistent, but leave code structured to make easier to override

* DOC make round_order public and describe behavior in docstring
 2017-03-27 20:44:12 -04:00
Freddie VargusandGitHub 4916fb5fcc Merge pull request #1723 from quantopian/deploy-docs-without-path.py 
ENH: Remove path.py as its not a dependency
 2017-03-27 19:26:20 -04:00
Freddie Vargus 3e1f3c1e54 ENH: Remove path.py as its not a dependency 
MAINT: Add try finally block to deal with exceptions
 2017-03-27 18:53:09 -04:00
Freddie VargusandGitHub 0e3421ead8 Merge pull request #1725 from quantopian/adhoc-cfe-calendar-test 
TST: Adhoc holidays in CFEExchangeCalendar
 2017-03-27 18:17:09 -04:00
Freddie VargusandGitHub 2010a7faf8 STY: Add newline 2017-03-27 09:59:08 -04:00
Freddie Vargus b81ddd7d73 TST: Test for adhoc holidays in CFEExchangeCalendar 2017-03-27 09:56:40 -04:00
Freddie VargusandGitHub 02b26a97a5 Merge pull request #1698 from trical09/master 
ENH: Add CFE Adhoc Holidays
 2017-03-26 19:30:04 -04:00
Maxwell RoundsandMaxwell Rounds 24ce67a7cf ENH: Adding CFE Adhoc Holidays 
The CFE was closed along with the NYSE in observation of the days of
mourning in honor of the passing of presidents Gerald Ford and Ronald
Reagan. The CFE also observed the closures due to Hurricane Sandy,
along with NYSE. Adding those adhoc holidays to exchange_calendar_cfe
and removing them from cfe.csv in tests. To fit with
USNationalDaysofMourning, also removing the closure in observation of
the day of mourning in honor of the passing of president Nixon in
1994, despite the fact that the exchange did not exist at that time.

Signed-off-by: Maxwell Rounds <maxwell.j.rounds@gmail.com>
 2017-03-26 15:54:14 -07:00
David MichalowiczandGitHub 7ef17ae3af Merge pull request #1718 from quantopian/more-generic 
Add ContinuousFuture to lookup_generic
 2017-03-25 09:23:35 -04:00
David MichalowiczandGitHub 5b27790126 Merge pull request #1719 from quantopian/vectorize-spot-value 
Allow DataPortal.get_spot_value to accept multiple assets
 2017-03-25 09:22:59 -04:00
dmichalowicz c0355af316 ENH: Add ContinuousFuture to lookup_generic 2017-03-25 09:04:17 -04:00
dmichalowicz 8a25ac3af0 ENH: Allow DataPortal.get_spot_value to accept multiple assets 2017-03-25 09:02:10 -04:00
Andrew DanielsandGitHub c0a76a5303 ENH: Adds StaticSids pipeline filter (#1717) 
Useful for avoiding the need to create Asset objects when sids are
easier to use.

This is based off the existing implementation of StaticAssets, and
StaticAssets is now implemented as a wrapper around StaticSids.
 2017-03-22 14:28:54 -04:00
Freddie VargusandGitHub 2860708a44 Merge pull request #1683 from shadiakiki1986/bugfix_index_should_be_int 
BUG: Convert index to int so that the pandas indexing doesnt fail
 2017-03-16 13:36:10 -04:00
David MichalowiczandGitHub 78e56c33ef Merge pull request #1715 from quantopian/missing-cf-error 
Better error message for non-existent root symbol
 2017-03-16 12:02:15 -04:00
dmichalowicz 825ba5717e ENH: Better error message for non-existent root symbol 2017-03-16 11:18:17 -04:00
David MichalowiczandGitHub f561e2ea54 Merge pull request #1714 from quantopian/test-fixture-fix 
Equity daily data test fixture was using wrong sids
 2017-03-15 16:44:05 -04:00
Maya TydykovandGitHub 83756d4660 Merge pull request #1710 from quantopian/sort-pipeline-data-on-asofdate 
Sort pipeline data on asofdate
 2017-03-15 14:40:11 -04:00
Maya Tydykov 58fb830ebd BUG: sort data on asof_date to resolve ts conflicts 
MAINT: fix arg default and update docstring
 2017-03-15 14:10:58 -04:00
Jean BredecheandGitHub 8292264229 Merge pull request #1713 from quantopian/teach-data-about-current-session-minutes 
ENH: teach BarData about current session's minutes
 2017-03-15 14:02:17 -04:00
Jean Bredeche c9254d395d ENH: teach BarData about current session's minutes 2017-03-15 13:40:33 -04:00
dmichalowicz fa56fe4954 TST: Equity daily data test fixture was using wrong sids 2017-03-15 13:16:45 -04:00
Eddie HebertandGitHub 3909269806 Merge pull request #1712 from quantopian/adjustment-cython-checker-recs 
MAINT: Apply linter recommendations to adjustments module.
 2017-03-15 12:38:00 -04:00
Eddie Hebert 4071a52702 MAINT: Apply linter recommendations to adjustments module. 
Remove unused variables.

Add type for values used to access arrays.
 2017-03-15 11:26:38 -04:00
Shadi Akiki 9a7e847ab7 BUG: use integer division for index so that pandas indexing doesnt fail 2017-03-13 07:42:51 +00:00