Thomas Wiecki
9bdc2c8734
BUG: Support algo_filename being None. Fixes #480 .
2015-02-03 11:36:00 +01:00
Thomas Wiecki
65c038d0da
Revert "MAINT Update pandas to 0.15.2."
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This reverts commit b121759c68
2015-01-28 10:39:41 +01:00
fawce
575abf747f
Merge pull request #471 from quantopian/add_risk_to_datapanel
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ENH: risk measures in datapanel
2015-01-27 13:13:31 -05:00
fawce
9ccb2c571f
added cumulative risk measures to the
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datapanel produced from perf frames.
2015-01-22 22:31:40 -05:00
Thomas Wiecki
a5eefc7f8c
TST: Add nose-timer to travis.
2015-01-21 18:25:14 +01:00
Thomas Wiecki
b121759c68
MAINT Update pandas to 0.15.2.
2015-01-18 00:11:40 +01:00
fawce
ec055b62bc
Merge pull request #464 from quantopian/expand_perf_packet
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adding net leverage, long/short exposure, long/short position count
2015-01-08 17:33:22 -05:00
fawce
893e8bec09
added notes for new perf fields.
2015-01-08 13:31:48 -05:00
fawce
6c3e1e1ba4
added tests for performance pack fields
2015-01-07 21:47:13 -05:00
fawce
7ed5461f8f
de-linting
2015-01-07 21:47:01 -05:00
fawce
7668858c17
adding net leverage, long/short exposure, long/short position count
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to performance packets.
2015-01-06 22:33:28 -05:00
Thomas Wiecki
6a41faf474
MAINT: Make beta calculation robust to missing values.
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Risk calculations are robust to nans, except for
beta which calls numpy with the complete list of
algorithm_returns. If nans are present the result
of covar will be nan.
This is fixed by filtering out nans in
algorithm_returns.
2015-01-02 16:00:37 +01:00
Jeremiah Lowin and Thomas Wiecki
82c94b1dc4
DOC: Fix typo in midnight
2015-01-01 13:54:04 +01:00
Thomas Wiecki
f474ee7eed
BUG: Various functions were missing from the API.
2014-12-31 09:43:35 +01:00
John Ricklefs
994f7ceee5
BUG: 'inf' is in Numpy, not Pandas.
2014-12-29 21:23:34 -05:00
John Ricklefs
96cbec3f54
BUG: Fix division-by-zero error if net_liquidation was 0.
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Converted _net_liquidation_value to a property to
streamline it a bit, too.
2014-12-29 14:52:31 -05:00
llllllllll
38e4d10c65
BUG: Fixes a bug that caused NDaysBeforeLastTradingDayOfMonth to not
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fire on the last day of december.
2014-12-26 18:20:30 -05:00
Jonathan Kamens
a3d7483488
MAINT: Upgrade to requests 2.5.1
2014-12-26 10:02:28 -05:00
Thomas Wiecki
d0eba3d1ca
DOC: Fix typo in TradingAlgorithm doc string.
2014-12-26 13:13:53 +01:00
Thomas Wiecki
8f3671bf24
DOC: Fix typo in TradingAlgorithm doc string.
2014-12-26 13:12:52 +01:00
fawce
e1ce6ff34e
Merge pull request #452 from quantopian/leverage
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ENH: Adding Leverage to performance tracking
2014-12-24 11:20:04 -05:00
Nicholas Pezolano and Thomas Wiecki
afd95b72e1
CAL: Add world cup closing day to bmf calendar. Closes #390 .
2014-12-24 09:16:21 +01:00
fawce
3d4d3d0c2b
adding gross leverage to the perf packet.
2014-12-19 11:31:59 -05:00
Thomas Wiecki
71effa5e98
MAINT: Replace old ema_talib example with new one.
2014-12-19 14:04:27 +01:00
Mete Atamel and Thomas Wiecki
9d8bb3dfa9
DEV: Add quantopian_dual_ema_talib.py
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This file is identical to dual_ema_talib.py but it's in Quantopian syntax for easy copy/paste to Quantopian.
2014-12-19 14:04:27 +01:00
fawce
22cb6dcb40
added leverage and gross leverage to account.
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added tests and conditions for account values.
2014-12-18 17:07:19 -05:00
Delaney Granizo-Mackenzie
a0c041dca6
Merge pull request #451 from quantopian/risk-metrics-float-cast
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BUG: Assigned dtypes to the cumulative risk metrics DataFrame.
2014-12-17 15:13:11 -05:00
Delaney Granizo-Mackenzie
bed1ff3bce
BUG: Miniconda was breaking the travis build. Updated version.
2014-12-17 14:22:31 -05:00
Delaney Granizo-Mackenzie
05903a2031
BUG: Assigned dtypes to the cumulative risk metrics DataFrame.
2014-12-17 13:56:42 -05:00
fawce
cd976ee2dd
Merge pull request #449 from quantopian/bug_5089
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expand get_environment
2014-12-12 17:42:58 -05:00
Scott Sanderson
51e43e3d61
BUG: Use string_types instead of basestring for py3 compat.
2014-12-09 11:17:28 -05:00
Scott Sanderson
a701d0c47c
DEV: Explicitly convert string to timezones in get_datetime.
2014-12-09 11:17:28 -05:00
Scott Sanderson
44f993c64e
BUG: Use astimezone instead of tz_convert.
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Makes get_datetime agnostic as to whether its input is a datetime or a
Timestamp. (astimezone is an alias to tz_convert when the input is a
Timestamp).
2014-12-09 11:17:28 -05:00
fawce
34647ec6c4
added tests to confirm the full environment returns as expected.
2014-12-08 16:47:11 -05:00
fawce
0411627169
Modified get_environment to provide multiple fields.
2014-12-07 08:26:13 -05:00
Eddie Hebert
eaea8e5317
Remove bottleneck caused by unnecessary check of the position index.
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Instead of checking the positions indexes every time either
`_position_amounts` or `_position_last_sale_prices` is updated, check
and grow the individual Series on each update.
This gain with this patch is by reducing the following bottlenecks:
- Checking both vectors when only one is updated.
- Using try/except to trigger the growth, instead of incurring the cost
of checking the Index contains on every update.
In testing this change results in about a 33% speedup of the
`update_last_sale` algorithm when run with a buy and hold algorithm with
160 equities, resulting in a 20% speedup overall.
2014-12-04 12:08:00 -05:00
David Edwards
17dd0d207d
MAINT: Refactored RandomWalkSource
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This makes the drift and standard deviation used in RandomWalkSource
keyword args to give the user more control over the price series that
are emitted.
The standard deviation of prices is very different at different frequencies,
users should have the ability to specify the standard deviation used.
The drift term should also be configurable to give the user more control.
2014-11-22 15:21:43 -08:00
Joe Jevnik
e7a5e097c4
BUG: Explicitly guard against empty bar data in history container
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contstruction.
BarData can be falsey. in create_buffer_panel, the intention of the
check against bar_data was to see if it was passed at all, not if it was
truthey. In order to make that check more explicit, the check now
asserts that bar_data is not None.
2014-11-19 11:55:13 -05:00
Joe Jevnik
fcea785b01
MAINT: Makes RandomWalkSource emit midnight UTC events in daily mode.
2014-11-19 11:55:13 -05:00
Joe Jevnik
f7b4d3100d
ENH: Makes the offset of market_close relative to 20:00 UTC
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Changed from relative to 20:01 UTC.
2014-11-19 11:38:26 -05:00
Luke Schiefelbein and Thomas Wiecki
1542b41fbd
BUG: Fix price caching for tickers with '/' char
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On Ubuntu (assume this is true for all posix) tickers containing a slash char ("CRD/A", "BRK/A", both valid tickers with yahoo api accessible timeseries) lead to a path error in loader.py line 286.
2014-11-19 11:26:27 +01:00
Thomas Wiecki
8dd74b15b2
DOC: Fix tutorial import. Closes #430 .
2014-11-19 11:18:30 +01:00
Joe Jevnik
68e44353ce
MAINT: Make RandomWalkSource accept the standard daily instead of day for the frequency
2014-11-18 15:23:10 -05:00
Joe Jevnik
aac87ada5d
BUG: Ensure that the bar count is an integer in minutely mode simple
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transforms
total_seconds can return a float, which when divided by `60` would
still yield a float causing a value error when passed to range.
2014-11-18 11:25:23 -05:00
Joe Jevnik
9e94193d4b
BUG: Off by one error in runtime construction of digest panel
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When a history minute digest panel was constructed at runtime, there
would be 1 minute missing between the current minute at iloc[-1] and the
next prior minute at iloc[-2].
2014-11-18 11:22:17 -05:00
Joe Jevnik
39eb80ef0c
DOC: Adds the new transform work to the release notes.
2014-11-17 13:16:30 -05:00
Joe Jevnik
25c3297c9d
BUG: Fixes a bug in the test date_gen for non-daily timedeltas
2014-11-17 13:16:30 -05:00
Joe Jevnik
a2fb729c00
DOC: Updates the comments around the caching in siddata
2014-11-17 13:16:30 -05:00
Joe Jevnik
82dffe8360
MAINT: Updates the add_trading_days to use the index of the date for a
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more efficient means of jumping larger gaps of dates.
Adds a docstring to explain the usage of the function.
2014-11-17 13:16:30 -05:00
Joe Jevnik
df3af31fc1
MAINT: Makes the date_gen skip non-market times.
2014-11-17 13:16:30 -05:00
Thomas Wiecki