69a0e5c31b
BUG: Getting continuous future current contract failed on None
2017-03-30 12:09:55 -04:00
f0f8bac2ab
EHN: Make continuous future adjustment style an argument
2017-03-29 08:49:12 -04:00
066a7776d2
BUG: Open and close resampling code could hit index errors
2017-03-28 16:06:29 -04:00
81b943c61d
ENH: Allow override of order amount rounding. ( #1722 )
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* 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
2010a7faf8
STY: Add newline
2017-03-27 09:59:08 -04:00
b81ddd7d73
TST: Test for adhoc holidays in CFEExchangeCalendar
2017-03-27 09:56:40 -04:00
24ce67a7cf
ENH: Adding CFE Adhoc Holidays
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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
7ef17ae3af
Merge pull request #1718 from quantopian/more-generic
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Add ContinuousFuture to lookup_generic
2017-03-25 09:23:35 -04:00
c0355af316
ENH: Add ContinuousFuture to lookup_generic
2017-03-25 09:04:17 -04:00
8a25ac3af0
ENH: Allow DataPortal.get_spot_value to accept multiple assets
2017-03-25 09:02:10 -04:00
c0a76a5303
ENH: Adds StaticSids pipeline filter ( #1717 )
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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
825ba5717e
ENH: Better error message for non-existent root symbol
2017-03-16 11:18:17 -04:00
83756d4660
Merge pull request #1710 from quantopian/sort-pipeline-data-on-asofdate
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Sort pipeline data on asofdate
2017-03-15 14:40:11 -04:00
58fb830ebd
BUG: sort data on asof_date to resolve ts conflicts
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MAINT: fix arg default and update docstring
2017-03-15 14:10:58 -04:00
c9254d395d
ENH: teach BarData about current session's minutes
2017-03-15 13:40:33 -04:00
beb4bd8c6e
BUG: fix label array code dtype condense
2017-03-08 20:54:57 -05:00
9252b62b2b
TST: Add tests for winsorize factor
2017-03-07 17:14:27 -05:00
799bad957d
ENH: Add winsorize factor
2017-03-06 14:08:28 -05:00
cfdbe883b1
Merge pull request #1672 from quantopian/narrow-labelarray
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narrow labelarray
2017-03-02 19:32:56 -05:00
44563d351b
TST: add roundtrip check
2017-03-01 15:15:16 -05:00
cf063abcf1
Rename _attrs_to_check to asdict
2017-02-23 11:32:04 -05:00
8e1f8d75f5
MAINT: Removes unnecessary capital_base arg to TradingAlgorithm ( #1677 )
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Capital base is included in the sim params, so we should define the
value there, or use the default.
This change also unifies the default capital base as 1e5, as was
previously defined in algorithm.py.
2017-02-17 09:04:50 -05:00
63063aa709
ENH: Eliminate potential look-ahead bias in volume rolls
2017-02-16 09:01:16 -05:00
5ab0880ad7
Merge pull request #1684 from quantopian/fix-earnings-estimates-1-day-bug
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BUG: fix loader bug for 1 day
2017-02-15 17:20:31 -05:00
59acadbccf
BUG: fix loader bug for 1 day
2017-02-15 16:44:45 -05:00
c2560c6079
TST: Adds TestingSlippage slippage model ( #1679 )
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Allows specifying a constant number of shares filled per tick.
Also adds the WithConstantEquityMinuteBarData fixture, relocated from
internal repo.
2017-02-09 08:56:15 -05:00
8878d0ddd5
STY: Wrap/reformat lines over 80 chars.
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Newer versions of flake8 detect these versions, though current zipline version
of flake8 does not.
2017-02-08 00:47:33 -05:00
735d98fb6e
TST: add tests for inferred width labelarray
2017-02-07 16:28:13 -05:00
db2440871e
Change to a 10.5 hour futures calendar
2017-02-06 11:41:29 -05:00
26558743ba
Bump empyrical to 0.2.2 ( #1674 )
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* Bump empyrical to 0.2.2
* Update example data for tests
2017-02-04 16:14:33 -05:00
11a406c67a
TST: Remove duplicate key in fixture config.
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Should be no functional change.
2017-02-02 23:10:14 -05:00
d378c9fca3
ENH: store the 'codes' for a labelarray in the narrowest int type possible
2017-02-02 20:58:36 -05:00
bb36ec1224
Merge pull request #1661 from quantopian/optionally-apply-deltas-adjustments
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Optionally apply deltas adjustments
2017-01-31 15:40:43 -05:00
dda5334580
TST: add arg to test assertion
2017-01-31 15:19:05 -05:00
58850b86ad
Merge pull request #1667 from quantopian/pricing-fixture-cleanups
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Pricing fixture cleanups
2017-01-31 10:32:17 -05:00
9786483ec0
Merge pull request #1665 from quantopian/determine_overwrite_type_dynamically
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Determine overwrite type dynamically
2017-01-31 10:06:21 -05:00
9cdd696467
TST: add test cases for int and object dispatching
2017-01-31 09:43:39 -05:00
08b159d5da
ENH: add Int64Overwrite and dispatching for it
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BUG: column value should be float
DOC: update docs
2017-01-31 09:43:37 -05:00
98a8fdfb09
MAINT: determine core loader overwrite types dynamically
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TST: update test to reflect adjustment mapping change
2017-01-31 09:43:34 -05:00
e5f403deca
ENH: Add direct methods for session start/end.
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Rather than having to do 'start, _ = cal.open_and_close_for_session(dt)'
to get just the start, we can now do 'start = cal.session_start(dt)'.
2017-01-30 13:00:45 -05:00
1302d4152f
ENH: Add futures support for generic asset lookup.
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Attempt to lookup up the symbol in the futures table, after attempting to look
up the symbol in the equities table.
2017-01-26 21:08:30 -05:00
44088dd4d5
BUG: Multipliers were not removed when closing a position
2017-01-25 17:23:09 -05:00
ccddc86d6b
ENH: Solidify equality comparisons for SlippageModel classes
2017-01-24 11:28:32 -05:00
b90091e494
BUG: Fix end session metadata for minute bar writer.
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When opening with a new `end_session`, i.e. opening for append, write the new
end session to the metadata.
Fixes an issue where the calendar on minute bar readers did not include the
recently appended day, causing reads on the last values to fail.
According, update append test to read a value, instead of checking table length.
2017-01-22 15:14:05 -05:00
364f5cc199
Merge pull request #1644 from quantopian/closed-means-closed
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Don't allow ordering assets after their auto close date
2017-01-20 10:19:27 -05:00
83a221e986
BUG: can_trade was true for assets after their auto close date
2017-01-20 09:54:30 -05:00
efcc87e089
BUG: fix a py3 invalid char
2017-01-19 20:43:48 -05:00
1f56f20a7f
ENH: add current_session property to BarData
2017-01-19 16:53:49 -05:00
25f826d5c7
Merge pull request #1643 from quantopian/events-loader-handle-empty-raw-data
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Events loader handle empty raw data
2017-01-19 13:01:43 -05:00
ecbc7f890b
BUG: make the events loader handle empty raw data
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TST: add test case for empty raw events data
BUG: update for python compatibility
MAINT: Simplify assertion for empty events case.
DOC: Add comments on indexer unpacking.
MAINT: move some config to test method
2017-01-19 12:00:49 -05:00
dmichalowicz