762787a4fe
DOC: Tweaks to pipeline language.
2015-10-06 06:56:06 -04:00
5f495f91fc
DOC: Restructure example slightly.
2015-10-06 06:56:06 -04:00
b949748467
BUG/DOC: Subtraction is what I meant there...
2015-10-06 06:56:06 -04:00
7ea24c20c8
MAINT: Updates to docstrings.
2015-10-06 06:56:06 -04:00
99dfb6573e
DOC: Docstrings for Pipeline and CustomFactor.
2015-10-06 06:56:06 -04:00
3ef0ddf0c6
ENH: Add future_symbol API method
2015-10-05 11:19:04 -04:00
3cfdd6cf8c
ENH: Add lookup_future_symbol method
2015-10-05 10:25:08 -04:00
557bdcd69d
MAINT: Don't name pipelines.
...
`Pipeline()` no longer takes a name.
`attacH_pipeline` now takes a name.
This is mainly for uniformity with how `Factors` and `Filters` are
handled.
2015-10-02 16:31:29 -04:00
720d9382bd
Merge pull request #746 from quantopian/write_faster
...
Write faster
2015-10-02 12:21:27 -04:00
027d4009d8
MAINT: Share constant across modules
2015-10-02 11:53:04 -04:00
c8c83a9f2b
MAINT: Don't bother looping through all the keys
2015-10-02 11:53:04 -04:00
a30c4fc689
PERF: Don't build an AssetFinder if no engine is provided
...
This is an optimization where we're building an environment but not
using its finder. Ideally, the consumer would use just the calendar,
but it's not fully featured quite yet.
2015-10-02 11:53:04 -04:00
e8c5203e31
MAINT: constraints is always True
2015-10-02 11:53:04 -04:00
8b98ca7d71
PERF: Reflect the db schema once instead of per table
2015-10-02 09:58:59 -04:00
beac4d6f16
MAINT: Delegate to sqlalchemy metadata
...
instead of maintaining our own
2015-10-02 09:58:59 -04:00
ea02dcfb14
MAINT: Format the list when making error message
2015-10-02 09:58:59 -04:00
9a745450cc
MAINT: De-dupe retrieving assets
2015-10-02 09:58:59 -04:00
906b68f2da
MAINT: Forward along default_none
2015-10-02 09:58:59 -04:00
21366e8529
PERF: Convert to ns since epoch vector-wise instead of dt by dt
...
No longer storing NULL, so make columns not nullable. Instead we're storing NaT.
2015-10-02 09:58:58 -04:00
702cce4fea
MAINT: Simplified set and dict manipulations
2015-10-02 09:58:58 -04:00
b9f2203eed
MAINT: Removed unused parameter
2015-10-02 09:58:58 -04:00
3c8370114f
PERF: Write in chunks of 999 instead of chunks of 1
2015-10-02 09:58:58 -04:00
9d61573e52
MAINT: Instance attribute isn't used
2015-10-02 09:58:58 -04:00
7424c61ada
MAINT: De-duplicate AssetDBWriter subclass initialization
2015-10-02 09:58:58 -04:00
096a0d49fd
MAINT: Rename drain_pipeline -> pipeline_output.
...
More boring, but *drain* carries a connotation of "get everything",
which is misleading.
2015-10-01 18:03:54 -04:00
4f2d3d783a
TEST: Template in module name.
...
Fixes failures when tests are invoked from different paths.
2015-10-01 18:03:54 -04:00
2034c65599
MAINT: Pluralize top-level term namespaces.
...
zipline.pipeline.factor -> zipline.pipeline.factors
zipline.pipeline.filter -> zipline.pipeline.filters
2015-10-01 18:03:54 -04:00
a40d7e47c1
MAINT: Re-export CustomFactor in zipline.pipeline.
2015-10-01 18:03:54 -04:00
1f6c7ff31f
MAINT: Rename ffc_loader -> pipeline_loader.
2015-10-01 18:03:54 -04:00
2d683961bd
MAINT: More renaming.
...
s/FFCEngine/PipelineEngine/
s/FFCLoader/PipelineLoader/
2015-10-01 18:03:54 -04:00
f82a01841b
MAINT: Rename ALL the things.
...
zipline.modelling.* -> zipline.pipeline.*
zipline.data.ffc.loaders -> zipline.pipeline.loaders
tests/modelling -> tests/pipeline
2015-10-01 18:03:53 -04:00
1d1092152c
BUG: Use numbers.Number to check numbers.
...
Fixes a bug on Python3 due to the fact that numpy.int64 isn't an
instance of int on Py3.
2015-10-01 18:03:53 -04:00
0a39225c1e
MAINT: Add Pipeline to zipline.modelling namespace.
2015-10-01 18:03:53 -04:00
01ea88c225
TEST: Test screen handling in test_handle_split.
2015-10-01 18:03:53 -04:00
98d2ed9940
TST: Refactor test_handle_adjustment.
...
Pull all the expected_result calculations into a helper.
2015-10-01 18:03:53 -04:00
eb997bb5f8
TEST: Pass cls.env for test_handle_adjustment.
...
Otherwise we inseret random assets into a new TradingEnvironment, which
is surprising in debugging.
2015-10-01 18:03:53 -04:00
8e59d12daf
ENH: Pipeline API
...
- Adds `zipline.pipeline.Pipeline`, a new user-facing class for managing
pipelines of Modeling API expressions.
- Adds `attach_pipeline` and `drain_pipeline` as API methods
- Removes `add_factor` and `add_filter` as API methods. These have been
replaced two new methods on `Pipeline`: `add`, and `apply_screen`.
- Adding a `Filter` as a column no longer implicitly truncates rows from
the Modelling API output. It simply causes a new column, of dtype
`bool` to show up in the output. Removal of rows is now handled by the
new `apply_screen` method of `Pipeline`.
- Refactors the existing Modeling API tests to reflect the new APIs.
2015-10-01 18:03:53 -04:00
0e0dec49e5
TST: Rename test method.
2015-10-01 18:03:53 -04:00
b71db4267c
TST: Add missing tests from test_rank_descending.
2015-10-01 18:03:53 -04:00
524c7a0bb1
DOC: Fix example for require_not_initialized.
2015-10-01 18:03:53 -04:00
a483455183
ENH: Add zipline.utils.numpy_utils.
...
Currently provides two functions for doing fancy things with array
strides: `repeat_first_axis` and `repeat_last_axis`.
2015-10-01 18:03:53 -04:00
b766ce6ebd
ENH: Add zipline.utils.cache.
...
Implements a `CachedObject` utility class for wrapping cached results
with an expiration date.
2015-10-01 18:03:53 -04:00
00c413e9d4
ENH: Add zipline.utils.preprocess.
...
Implements tools for preprocessing the arguments to user-facing
functions.
2015-10-01 18:03:53 -04:00
75138343ba
BUG: Use IGNORE_EXCEPTION_DETAIL in test_doctests.
...
Causes doctest to not care about the module of the raised exception.
This matters because Python3 includes the module in the formatted
exception, but Python3 doesn't, so the doctest will always fail on one
or the other without this flag.
2015-10-01 18:03:53 -04:00
670706158a
ENH: Don't write files when rendering TermGraphs.
...
Overhauls `zipline.modelling.visualize` to use in-memory buffers when
shelling out to `dot` and friends.
Also adds `svg`, `png`, and `jpeg` attributes to `TermGraph`, and adds a
`_repr_png_` so that `TermGraph` renders as a PNG by default.
2015-10-01 18:03:53 -04:00
e33fa988f2
DEP: Remove _convert_asset_str_fields
...
_convert_asset_str_fields was added to address the fact that the
unicode returned by SQLAlchemy was causing test failures, in
particular test_repr and test_root_symbols failed because of the
leading 'u' character in the unicode of python-2.x. Later it was
pointed out that this method would behave differently in python 2
and 3, in particular the str() method would return bytes in python
2 and unicode in python 3. After investigating it was found that
the _convert_asset_str_fields was no longer necessary. It is unclear
why the original tests were failing. It is not due to SQLAlchemy
versions, as tests pass for version >1 and <1.
2015-10-01 15:02:23 -04:00
8ba15a6f72
BUG: Correctly test for duplicate symbols
2015-10-01 15:02:23 -04:00
39fff4aa43
Merge pull request #735 from quantopian/remove-minute-performance
...
MAINT: Remove unused minute performance period.
2015-10-01 10:16:52 -04:00
a4da2761a2
Merge pull request #738 from grundgruen/asset_ts_bug
...
BUG: missing comma in _asset_timestamp_fields
2015-10-01 09:25:49 -04:00
66b36919a3
BUG: missing comma in _asset_timestamp_fields
2015-10-01 10:57:54 +02:00
Scott Sanderson