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Author SHA1 Message Date
Andrew LiangandGitHub 8579ce7b1a Merge pull request #1782 from quantopian/no_slippage_comparison 
MAINT: Remove __eq__ implementation from slippage
 2017-05-23 15:39:36 -04:00
Andrew Liang 8d5a2dd0ce MAINT: Remove __eq__ implementation from slippage 2017-05-22 23:00:24 -04:00
Scott SandersonandGitHub 8905051736 Merge pull request #1802 from Peque/calendar_bug 
Fix bug in TradingCalendar initialization
 2017-05-22 16:47:51 -07:00
Freddie VargusandGitHub 7412aa54f5 Merge pull request #1701 from quantopian/py35-support 
BLD: Update CI files for py35
 2017-05-22 14:48:35 -07:00
Freddie VargusandFreddie Vargus 268b1cb6ad DOC: Update beginner tutorial 2017-05-22 12:56:10 -07:00
Miguel Sánchez de León Peque 35143c3e1b Fix bug in TradingCalendar initialization 
A TypeError exception was raised with message "Cannot join tz-naive with
tz-aware DatetimeIndex". Removing old unnecessary workaround in
`holidays_at_time` function (Pandas already fixed that before 0.18)
fixes this issue.
 2017-05-22 13:27:01 +02:00
Freddie VargusandFreddie Vargus d6034682f1 MAINT: Remove .bumpversion.cfg because we haven't used it lately 2017-05-21 11:32:08 -07:00
Ana RuelasandGitHub dcae4bf8a3 Merge pull request #1798 from quantopian/with-equity-pipeline-engine 
With equity pipeline engine
 2017-05-19 10:48:15 -04:00
Ana Ruelas a72d7a7b34 ENH: Add WithEquityPricingPipelineEngine test fixture 2017-05-19 10:04:30 -04:00
Scott SandersonandGitHub a3edae9845 Merge pull request #1794 from Peque/peque 
Fix docstring in TradingEnvironment class
 2017-05-19 05:52:56 -07:00
Richard FrankandGitHub 9f128cbde1 Merge pull request #1793 from quantopian/tests-without-yahoo 
TST: Don't require downloading of data for tests
 2017-05-18 13:27:08 -04:00
Richard Frank ec396bd1ea TST: Use testing market data with run_algorithm 
so env doesn't need to download it
 2017-05-18 12:54:06 -04:00
Richard Frank 0f6dbcef3c TST: Use fixture's data with tmp_trading_env 
instead of env needing to download it
 2017-05-18 12:54:05 -04:00
Richard Frank c5b3ceecc1 TST: Use fixture's trading env for FakeDataPortal or TradingAlgo 
to avoid a new trading env needing to download data unnecessarily
 2017-05-18 11:55:48 -04:00
Miguel Sánchez de León Peque 3b3854c3bf Fix docstring in TradingEnvironment class 2017-05-17 18:42:36 +02:00
Freddie Vargus 8cc97d75b5 BLD: Update CI files for py35 
BLD: Move setuptools_scm recipe earlier

in build process. We order alphabetically.

BLD: Update to newest Cython version

BLD: Update version of matplotlib

BLD: Pin matplotlib dependency
 2017-05-16 15:33:27 -04:00
Scott SandersonandGitHub dde4974705 Merge pull request #1791 from quantopian/cleanup-latest-flake8 
MAINT/STY: Upgrade flake8 and fix new failures.
 2017-05-15 11:39:51 -07:00
Scott Sanderson 616f6e5e5d MAINT/STY: Upgrade flake8 and fix new failures. 2017-05-15 11:45:04 -04:00
David MichalowiczandGitHub c70244fe7f Merge pull request #1789 from quantopian/more-commission-cleanup 
Refactor commission model class hierarchies
 2017-05-12 13:55:39 -04:00
David Michalowicz 5678d2d37b MAINT: Refactor commission model class hierarchies 2017-05-12 12:31:36 -04:00
Scott SandersonandGitHub 705044830b Merge pull request #1750 from quantopian/remove-batch-otp 
MAINT: batch_order_target_percent -> batch_market_order.
 2017-05-11 11:30:35 -07:00
Scott Sanderson d39f012198 MAINT: Mark .ipynb files as binary. 
Makes `git grep` not print the binary content of png files.
 2017-05-09 13:52:57 -04:00
Scott Sanderson 86fa28f9e8 MAINT: batch_order_target_percent -> batch_market_order. 
The only downstream contex that was using batch_order_target_percent
already had all necessary prices, so calling batch_order_target_percent
was wasteful.
 2017-05-09 13:52:57 -04:00
David MichalowiczandGitHub 281a17c592 Merge pull request #1767 from quantopian/no-slippage-history 
More futures slippage cleanup
 2017-05-09 13:17:28 -04:00
dmichalowicz 5327fc9a05 MAINT: Various futures slippage model fixes and cleanup 
- Handle history lookback error before start date
- Adjust default futures slippage volume limit
- Allow subclassing EquitySlippageModel and FutureSlippageModel together.
 2017-05-09 11:47:55 -04:00
Richard Frank b246f6a03b SEC: Rotate secure vars for anaconda tokens 2017-05-09 11:28:55 -04:00
Andrew DanielsandGitHub 072466e08c Merge pull request #1785 from quantopian/reindex-reader-get-value 
Fixes equity history calls on the futures calendar
 2017-05-09 10:33:58 -04:00
Andrew Daniels a416662a9c MAINT: Pass data_frequency to get_history_window 
This allows us to remove the check for whether the provided dt had a
time of midnight, which was a flimsy way to infer if the data frequency
was 'daily'. Besides the explicit check being preferable, this method
was broken on the futures calendar, since midnight is a valid market
minute.
 2017-05-09 09:34:39 -04:00
Andrew Daniels 43e0545856 BUG: Fix _handle_minute_history_out_of_bounds for future calendar 
Need to use minute_to_session_label to retrieve the proper session.
 2017-05-09 09:34:38 -04:00
Andrew Daniels bffb4bfea5 TST: Adds MinuteEquityHistoryFuturesCalendarTestCase 
Added as a subclass of MinuteEquityHistoryTestCase, where the primary
calendar is 'us_futures'.

Notes on modifications to MinuteEquityHistoryTestCase:

- To work on generic calendars, many tests now use set minutes for
  window start and end, and check the values on active equity minutes.
- test_minute_regular should test against active equity minutes
- Adapts test_minute_midnight to work with futures calendar
  - Use a method of getting the last open minute that works with
    calendars that are open at midnight
  - Test against Sunday at midnight, since the real intention of this
    test is to check that given a non-open minute, we fall back to the
    last open minute.
 2017-05-09 09:34:38 -04:00
Andrew Daniels 78ae3474ad TST: Adds DailyEquityHistoryOnFuturesCalendarTestCase 
Added as a minimal subclass of DailyEquityHistoryTestCase, swapping out
just the primary calendar. This requires significant modifications to
DailyEquityHistoryTestCase, to allow for a generic primary calendar.
 2017-05-09 09:34:38 -04:00
Andrew Daniels da63a117e0 MAINT: Modify ReindexBarReader.get_value to handle missing data 
Instead of raising an exception, return 0.0 for volume, and nan for
everything else.
 2017-05-09 09:34:37 -04:00
Freddie VargusandGitHub 18ee06f0d4 Merge pull request #1746 from quantopian/update-transaction-repr 
MAINT: Add better repr for transactions
 2017-05-08 14:54:24 -04:00
Richard FrankandGitHub d733605327 Merge pull request #1783 from quantopian/slippage-cleanup 
Slippage cleanup
 2017-05-05 14:36:25 -04:00
Richard Frank 035311213e MAINT: allowed_asset_types is already defined in the base class 2017-05-05 14:09:02 -04:00
Richard Frank 56a993bfc6 BUG: Fixed abstractness of MarketImpactBase 2017-05-05 14:09:02 -04:00
Richard Frank a1d055abb1 MAINT: process_order is a method 
and call super's __init__ to set up base state
 2017-05-05 14:09:01 -04:00
Andrew DanielsandGitHub 07561469bc Merge pull request #1780 from quantopian/include-diff-in-daily-bars-assertion 
MAINT: Display diff if input to daily bar writer has gaps/extra bars
 2017-05-04 10:48:08 -04:00
Andrew Daniels 560ff3cacf MAINT: Display diff if input to daily bar writer has gaps/extra bars 2017-05-04 10:19:09 -04:00
Andrew DanielsandGitHub 52667b4a90 MAINT: Handle gaps in input to daily bars writer (#1778) 
Previously, a dataframe passed into BcolzDailyBarWriter.write that was
missing an expected session between its first and last sessions would be
written incorrectly. Upon converting the dataframe to a ctable, the
values for all days following the gap would be shifted backwards, and
nans would be shifted in at the end.

This commit handles the issue by asserting that the number of rows in
the input table matches the number of sessions in the calendar between
the table's first and last sessions.

Also fixes a test that was mistakenly using minutes_in_range where it
should have been using sessions_in_range (uncovered by this change).
 2017-05-03 20:49:22 -04:00
David MichalowiczandGitHub f0e100bcf3 Merge pull request #1779 from quantopian/silver-chains 
Gold/Silver futures contracts only trade certain months
 2017-05-03 17:18:56 -04:00
dmichalowicz cb3926f81c BUG: Gold and silver futures contracts only trade certain months 2017-05-03 16:34:01 -04:00
Freddie Vargus 9095b241f2 MAINT: Add better repr for transactions 
Flake8
 2017-04-28 11:13:40 -04:00
David MichalowiczandGitHub c0123b9caa Merge pull request #1770 from quantopian/zero-transaction-volume 
Futures slippage model could have zero transaction volume
 2017-04-26 13:59:33 -04:00
dmichalowicz 3ff281079a BUG: Futures slippage model could have zero transaction volume 2017-04-26 13:35:00 -04:00
Jean BredecheandGitHub 06d8ddc3cc Merge pull request #1769 from quantopian/py3-warnings 
BUG: Python3 compatibility.
 2017-04-26 10:46:34 -04:00
Jean Bredeche 04cf61d03d BUG: Python3 compatibility. 2017-04-26 10:47:27 -04:00
Jean BredecheandGitHub a11574c942 Merge pull request #1768 from quantopian/shim-portfolio-access-by-int 
BUG: Add backwards compatibility for position lookup by int.
 2017-04-26 10:13:16 -04:00
Jean Bredeche dead9651b2 BUG: Add backwards compatibility for position lookup by int. 2017-04-26 09:55:05 -04:00
Scott SandersonandGitHub e3a50dee8f Merge pull request #1764 from quantopian/fix-docstring-typo2 
DOC: Close backticks in docstring.
 2017-04-25 22:52:28 -04:00