Stephen Diehl
3ad1f250e6
Cleaned up OOP, first round.
2012-05-16 14:33:16 -04:00
Stephen Diehl
d399edd419
Fix ndict woes.
2012-05-14 13:49:45 -04:00
Stephen Diehl
e04415e63f
Remove all namedicts.
2012-05-14 11:35:43 -04:00
Stephen Diehl
133d9c03af
One test passing, progress!
2012-05-10 16:38:04 -04:00
fawce
54f8d7d013
removed lines sending messages to the control channel, simplified logic for handling max loss case, DONE'ing trading client on max loss. Zipline continues to run until all components are finished.
2012-04-24 17:51:02 -04:00
fawce
1f04ee4ece
committed a set_trace...
2012-04-23 21:04:51 -04:00
fawce
fe793b503d
hotpatching a merge error (duplication of the max dd check).
2012-04-23 20:50:08 -04:00
fawce
54d3579ceb
added boolean to results for exceeding max losses in a single simulated day.
2012-04-23 15:10:44 -04:00
fawce
1d9953255a
added stop out for max drawdown.
2012-04-20 23:41:23 -04:00
fawce
bab0e2bd19
made distinction between cumulative behavior and daily behavior a bit more clear.
2012-04-20 15:08:39 -04:00
fawce
bc14e7e3b7
zipline, now a cold, heartless, http://open.spotify.com/track/1xshgoh575otNXRfeYgh9D
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Pretty fast too...
2012-04-20 12:21:03 -04:00
fawce
6f5e9b0559
fixed documentation
2012-04-19 23:32:37 -04:00
fawce
08a5bd5a0d
re-arranged fields so that history includes daily snapshots for cumulative measures.
2012-04-19 23:27:35 -04:00
fawce
1b5b92d75f
dropped unwanted fields.
2012-04-18 12:36:46 -04:00
fawce
6561292e4c
some efficiency changes - no longer transferring the list of daily returns, no longer holding transactions in the daily and the cumulative performance periods.
2012-04-18 12:36:46 -04:00
fawce
309f78a030
modification of the transport protocol -- keeping it close to the export of data from the performance tracker.
2012-04-18 12:36:46 -04:00
fawce
5fd30216e5
revised protocol to maintain original structure.
2012-04-18 12:36:46 -04:00
fawce
9db18846c9
fixed type-os in serialization code
2012-04-16 13:37:54 -04:00
fawce
38982fcdab
major fix is with the non-blocking behavior of order source. also fixed time-compression in the trading client.
2012-04-13 15:08:17 -04:00
fawce
1559a84c7b
added simulation style to transation simulator, to facilitate tests. Fixed roll-over bug in max cap and max leverage calculation.
2012-04-13 09:53:20 -04:00
fawce
db7a4d2f91
Merge pull request #29 from quantopian/fawce_sprint1
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added transactions to the daily update objects.
2012-04-10 11:17:37 -07:00
fawce
368341ce61
moved transaction store to PerformancePeriod. added the position data to the performance message.
2012-04-10 14:12:03 -04:00
fawce
8ce5159e91
Merge pull request #30 from quantopian/stable_upstream
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Stable upstream
2012-04-10 08:00:39 -07:00
fawce
2eeb92442e
added transactions to the daily update objects.
2012-04-10 00:02:54 -04:00
fawce
57c39bf615
switching to only calculate the returns and risk on market close, rather than per trade.
2012-04-09 10:20:08 -04:00
fawce
237b42c11e
switched reporting to provide cash, equity, and total portfolio value
2012-04-08 13:53:40 -04:00
fawce
37a8bda4b2
fixed bogus initial portfolio value (should be zero).
2012-04-06 22:31:35 -04:00
fawce
30dfc86ba9
fixed dates front to back to be proper market open/close, and to use start/end first_open/last_close from the TradingEnvironment.
2012-04-06 20:49:56 -04:00
Stephen Diehl
80bfbd5dcb
Performance reports take either socket address or socket.
2012-04-06 13:31:39 -04:00
fawce
cad62346e7
updated zipline to fix missing fields in the performance and risk messages. also moved cumulative performance to be a sub component of the daily performance object.
2012-04-05 23:35:21 -04:00
fawce
78cceaa649
fixes and tests for result streaming.
2012-04-03 22:42:53 -04:00
fawce
ce6a91adb6
added a frame to get performance data written to the result stream. not complete, but functional.
2012-03-29 17:13:28 -04:00
fawce
4f87b4e98a
documentation fixes and tweaks.
2012-03-21 00:55:35 -04:00
fawce
dcc471cc93
refactoring tests to combine common code into factory for creation of test data sources. also created new zipline/lines module, which will
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hold classes that instantiate entire zipline topologies.
2012-03-17 23:15:38 -04:00
Stephen Diehl
ce16122be3
Remove dropout on dataframe.
2012-03-16 18:18:42 -04:00
Stephen Diehl
89485c6ae3
Hack to ignore dataframes in process_event, code seems to be written against namedicts.
2012-03-16 16:42:39 -04:00
Stephen Diehl
b61b69a8dd
Merge branch 'master' into dataflow
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Conflicts:
zipline/finance/risk.py
zipline/protocol_utils.py
2012-03-16 15:04:23 -04:00
fawce
65253737cd
taking code recommendations from @sdiehl PR notes... as always :)
2012-03-16 11:47:06 -04:00
fawce
77993ee6ca
trivial mod to force push to happen.
2012-03-16 09:52:08 -04:00
fawce
1ab84ae2ca
extended namedict and performance tracker to allow portfolio calculations to be accessed during a live test as a namedict.
2012-03-15 22:52:49 -04:00
Stephen Diehl
931f10fe32
Misc fixes, disabled Risk reporting until PR.
2012-03-15 18:33:34 -04:00
fawce
930ec57269
fixed bug with date handling in risk report
2012-03-15 16:52:44 -04:00
fawce
460e72ac7f
Merge branch 'dataflow' into reframing
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Conflicts:
zipline/finance/performance.py
2012-03-15 16:33:22 -04:00
Stephen Diehl and fawce
6630917da8
working on frame argument sent to algorithm.
2012-03-15 16:14:12 -04:00
Stephen Diehl
f980e7d22f
Interstitial commit for fawce.
2012-03-15 16:08:01 -04:00
Stephen Diehl
f4bdf1fc11
Rearrange docs & and fix some name conflicts.
2012-03-15 11:47:28 -04:00
Stephen Diehl
674f445cda
Fix spelling mishaps.
2012-03-14 23:48:59 -04:00
fawce
2742ffcc47
using pandas for the dataframe relayed to the algorithm. all unit tests are passing.
2012-03-14 15:13:32 -04:00
fawce
84bccbc67c
fixed a few type-os to repair document generation.
2012-03-13 23:31:22 -04:00
fawce
366405927d
changed date serialization to use a tuple of all properties rather than the epoch time to eliminate any timezone sensitivity.
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add performance tracker unit tests, made various fixes to perf tracker. still have a hang on exit for zipline/test/test_finance.py:FinanceTestCase.test_orders and zipline/test/test_finance.py:FinanceTestCase.test_performance. pinging realdiehl for help...
2012-03-11 16:21:10 -04:00
Stephen Diehl