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Author SHA1 Message Date
Jean Bredeche 7ba070f640 Merge pull request #1757 from quantopian/futures-commissions 
Assets everywhere ... and a futures fix.
 2017-04-24 16:31:57 -04:00
Jean Bredeche 7196e1e498 MAINT: PR feedback. 2017-04-24 15:41:23 -04:00
Jean Bredeche 5b8b2f68bc BUG: Blotter should process as many splits as it can 2017-04-24 15:41:23 -04:00
Jean Bredeche 825866948b BUG: get_splits should return empty list, not empty dict 2017-04-24 15:41:23 -04:00
Jean Bredeche fe84ff3582 REF: Remove assetfinder from PerformancePeriod 2017-04-24 15:41:22 -04:00
Jean Bredeche 0b4b058065 REF: Remove asset_finder and multipliers from PositionTracker 2017-04-24 15:41:22 -04:00
Jean Bredeche b7b8c46d74 REF: Blotter no longer needs AssetFinder 2017-04-24 15:41:21 -04:00
Jean Bredeche 483012ccf6 REF: Make dataportal emit splits that hold Assets, not sids 2017-04-24 15:41:21 -04:00
Jean Bredeche 450690801a BUG: Position cost basis was calculated incorrectly for Futures 
For futures, we need to divide the position’s commission by the
contract size to get a per-unit commission in order to properly update
the position’s cost basis.
 2017-04-24 15:41:20 -04:00
Jean Bredeche 8d275d8d83 REF: Explicitly use Assets in Position, Order, Transaction 
(Instead of `sid`, which were already usually assets)

Perf packets are unchanged and still emit `sid`: int
 2017-04-24 15:41:13 -04:00
Jean Bredeche 21976dd651 Merge pull request #1760 from quantopian/constant-futures 
TST: New fixture for constant futures data
 2017-04-24 14:33:47 -04:00
Jean Bredeche e0060f61e8 TST: New fixture for constant futures data 2017-04-24 14:15:26 -04:00
David Michalowicz 1d1c244e84 Merge pull request #1755 from quantopian/schedule-function-calendar 
Add calendar factory for the schedule_function API
 2017-04-24 10:07:30 -04:00
dmichalowicz 2f33ddb023 API: Add factory for calendars 2017-04-24 09:37:32 -04:00
David Michalowicz cd91d518bb Merge pull request #1754 from quantopian/premature-continuous-futures-2 
Allow gaps between auto close and start date
 2017-04-21 16:34:53 -04:00
dmichalowicz 0ec8841ea0 BUG: Ordered contracts could end prematurely 2017-04-21 15:52:21 -04:00
Andrew Daniels acf345e1d3 PERF: Optimize session close lookups in resample bar reader (#1749) 
Optimize session close lookups in MinuteResampleSessionBarReader:

- Adds `session_closes_in_range` method (along with
  `session_opens_in_range`) to TradingCalendar to allow vectorized
  retrieval of all values in a range of sessions.
- Improves code path for resampling a single session's worth of data (as
  is the case when calling `get_value`), since we don't actually need to
  look up the close minute.
 2017-04-11 16:35:04 -04:00
Andrew Daniels 26ffda9ca1 Merge pull request #1747 from quantopian/calendar-perf-improvements 
Improve TradingCalendar perf with scalar-optimized accesses
 2017-04-11 10:15:28 -04:00
Andrew Daniels 1d7d3fe33f PERF: Only get session close in MinuteResampleSessionBarReader 
We only need the close, not the open.
 2017-04-10 17:23:07 -04:00
Andrew Daniels 12f1429a8c PERF: Use scalar lookups for TradingCalendar.schedule 
When retrieving the open and close for a given session, we only care
about the scalar values, so using DataFrame.at instead of DataFrame.loc
is significantly faster.
 2017-04-10 17:23:07 -04:00
Maya Tydykov 0c88ba21b9 Merge pull request #1737 from quantopian/bump-blaze 
BLD: bump blaze
 2017-04-10 16:22:09 -04:00
David Michalowicz 9e0cf08c18 Merge pull request #1738 from quantopian/slippage-and-commissions-futures 
Add preliminary support for Futures slippage models
 2017-04-10 15:05:28 -04:00
Andrew Daniels f9d55cf9cd Merge pull request #1742 from quantopian/only-get-value-once 
MAINT: Refactor DataPortal._get_minute_spot_value to avoid two lookups
 2017-04-10 14:56:29 -04:00
dmichalowicz bc27e369ff ENH: Preliminary support for Futures slippage and commission models 2017-04-10 14:37:20 -04:00
David Michalowicz d5aa5b0c36 Merge pull request #1745 from quantopian/reconcile-default-args 
Make certain continuous future arguments optional
 2017-04-10 11:24:50 -04:00
dmichalowicz ec8880a066 API: Make certain continuous future arguments optional 2017-04-07 14:02:36 -04:00
Maya Tydykov 9350759119 Merge pull request #1739 from quantopian/fix-zipline-and-pandas-bug 
Fix zipline and pandas bug
 2017-04-07 12:22:06 -04:00
David Michalowicz b35ec1b5cd Merge pull request #1743 from quantopian/premature-continuous-futures 
OrderedContracts chain could sometimes terminate on first contract
 2017-04-07 11:03:33 -04:00
dmichalowicz 845dea3e5b BUG: OrderedContracts chain could sometimes terminate on first contract 2017-04-07 10:01:22 -04:00
Joe Jevnik e6f2f562b3 BUG: reload_symbol_maps should clear the equity_supplementary_maps 2017-04-06 19:04:09 -04:00
Andrew Daniels 569998179a Merge pull request #1735 from quantopian/speedup-daily-history-aggregator-closes 
PERF: Avoid repeated recursive calls when getting forward-filled close
 2017-04-06 10:24:29 -04:00
Andrew Daniels f8eced41bf PERF: Avoid repeated recursive calls when getting forward-filled close 
Instead of recursively calling `DailyHistoryAggregator.closes` until we
find a non-nan close, we can instead call `load_raw_arrays` once, and
find the value from the returned array.
 2017-04-06 09:51:01 -04:00
Andrew Daniels ad7f727c47 MAINT: Refactor DataPortal._get_minute_spot_value to avoid two lookups 2017-04-06 08:54:17 -04:00
David Michalowicz 1212d2f0a1 Merge pull request #1741 from quantopian/remove-adj-method 
Remove ContinuousFuture adjustment method
 2017-04-05 16:24:24 -04:00
dmichalowicz 276b65f527 CRUFT: Remove ContinuousFuture adjustment method 2017-04-05 15:25:50 -04:00
Freddie Vargus 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 Sanderson 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 Michalowicz 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 Hebert 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 Michalowicz 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