d6996b1e93
Refinements and documentation.
2017-09-23 04:49:13 -04:00
bc65c10fc6
Implemented and tested the history() method in backtest mode.
2017-09-22 23:17:38 -04:00
ddecd6bb48
First working version with the backtest and live modes executing the same algorithm.
2017-09-21 19:05:16 -04:00
10a5b5412e
Testing the same algo in live and backtest mode. Most of it works well. We need a commission model for the TradingPair currency type.
2017-09-20 23:48:57 -04:00
4e2d092123
Trying to fix an issue with periodical bars
2017-09-20 18:00:08 -04:00
3b655d466e
Unit tested exchange loader extension and backtest data portal refactoring
2017-09-20 05:11:54 -04:00
68546a0d8d
Experimenting with simpler bundle and data portal approach (works in unit testing)
2017-09-19 03:49:34 -04:00
b70ff3a740
Bug fixes and working on unit tests for the data portal
2017-09-18 22:19:27 -04:00
18bfaff7c9
Trying to stabilize refactoring an last few commits (still unstable)
2017-09-18 15:37:10 -04:00
555b7e95b5
Working on adjusted the DataPortal class (unstable)
2017-09-18 14:51:01 -04:00
c1d7022846
Fixed issue with Bittrex order
2017-09-01 10:39:49 -04:00
8b6a48633d
Poloshing unit tests and finalizing Bittrex implementation
2017-08-30 17:09:13 -04:00
d03ce37f6e
Poloshing unit tests and finalizing Bittrex implementation
2017-08-30 08:51:31 -04:00
c47e88c26f
More unit testing and refactoring related to the Bittrex addition
2017-08-29 16:05:38 -04:00
f4db9f7b1e
Working on Bittrex implementation and unit tests
2017-08-28 22:50:46 -04:00
1be39f97a1
Refactoring to optimize multiple exchanges
2017-08-28 16:19:03 -04:00
c01f2a39a4
Initial work on bittrex implementation
2017-08-28 00:27:10 -04:00
1cfcb1d96e
Initial work on bittrex implementation
2017-08-27 23:26:48 -04:00
2d26758fba
General improvements
2017-07-01 18:26:57 -07:00
99efa7a9f3
Fixed catalyst tests except example tests
2017-06-19 14:43:10 -07:00
be4e1b975d
TEST: Add test for window_safe propagation.
2017-06-08 10:59:56 -04:00
1e4a094fec
Merge pull request #1833 from quantopian/labelarray-map
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Add support for relabeling classifiers.
2017-06-07 17:57:18 -07:00
61feedbd16
TST: Add test for missing values in relabel.
2017-06-07 18:21:13 -04:00
3b8a6b543e
BUG: Fix NoneType comparisons in PY3.
2017-06-07 18:21:03 -04:00
09cc54e08a
ENH: Improve error message on bad return.
2017-06-07 17:07:19 -04:00
602a799a6b
Fix weights calculation to use portfolio value as denominator
2017-06-07 15:46:45 -04:00
709735de51
TEST: Test map returning None.
2017-06-07 15:28:15 -04:00
6bb31b2544
TEST: Test map ignores missing with None.
2017-06-07 14:16:17 -04:00
5b9d5fecfb
ENH: Add relabel method to string classifiers.
...
- Adds a `map` method to `LabelArray` that maps a unary function over
the categories of a LabelArray, shrinking the underyling codes if
possible.
- Adds a new `.relabel` method to string-dtype classifiers that maps a
unary function over the unique elements of the underlying LabelArray.
This is useful for things like cleaning noisy label data.
2017-06-07 13:14:12 -04:00
568bf0aa59
ENH: Add method for computing current portfolio weights
2017-06-07 13:13:14 -04:00
5160b11bc1
TST: Updated modified time of market data in test_examples
2017-06-07 11:00:55 -04:00
1e2874385e
Merge pull request #1826 from quantopian/add-engine-docs
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Add engine docs
2017-06-06 11:21:57 -04:00
092951470a
DOC: Fix invalid sphinx sections
2017-06-05 15:52:57 -04:00
cabe0b691c
Merge pull request #1812 from quantopian/google-finance-for-benchmarking
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BUG/MAINT: Switch over to Google for benchmarking
2017-06-05 12:09:55 -04:00
a12c34c39c
MAINT: Skip more rows to match change in treasury data format
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I'm not sure what the raw csv pulled from the federal reserve looked like before, but when trying to download fresh treasure data (data not stored in `./zipline`), there is an error that says "Time Period not in list". After checking the raw csv now, it looks like there are 5 header rows rather than just 1, so skipping those rows removes that error.
2017-06-05 11:44:01 -04:00
69d1269fc4
ENH: Include sharedoc function
2017-06-02 16:48:26 -04:00
a88df2be0d
ENH: Add run_chunked_pipeline method to PipelineEngine
2017-06-02 16:48:09 -04:00
bdd1f158a3
ENH: Add function for running pipelines in chunks
2017-06-02 16:47:55 -04:00
897de69a2c
ENH: Add function to concatenate list of dataframes with categoricals
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STY: Alphabetized import list
2017-06-02 16:47:37 -04:00
7a6f45b971
TST: Change start date to fit benchmark start date
2017-06-01 23:35:11 -04:00
f957545e47
TST: Sort test examples to debug more easily
2017-06-01 23:35:11 -04:00
776677fcdf
BUG/MAINT: Switch over to Google for benchmarking
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MAINT: Remove mentions of Yahoo & ^GSPC
MAINT: Fill in missing dates
MAINT/BLD: Rebuild example data to match new benchmark
2017-06-01 23:35:10 -04:00
c1280daaa3
MAINT: Remove environment as an argument to benchmark source. ( #1816 )
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MAINT: Remove environment as an argument to benchmark source.
To allow the BenchmarkSource class to be more easily used in contexts other than
a TradingAlgorithm, remove the TradingEnvironment as an argument to the
benchmark source.
Instead:
- Pass a benchmark Asset, instead of a bencmark sid; so that the asset_finder
does not need to be passed to the benchmark source.
- Pass the pre-calculated benchmark_returns instead of an env,
which contains the benchmark_returns; a consumer can let the benchmark_returns
stay as the default of `None` when using an asset.
We may want to further refactor and make two different classes, instead of
relying on a combination of existence/non-existence of benchmark_asset and
benchmark_returns. That refactoring should be easier to do with this change.
2017-05-25 16:11:25 -04:00
655bf0f4cb
ENH: Add get_range to BenchmarkSource
2017-05-25 10:14:40 -04:00
41aa212617
BUG: Some futures prices need more precision when rounding
2017-05-24 08:18:52 -04:00
a382dda034
MAINT: Remove __eq__ implementation from slippage
2017-05-22 23:00:24 -04:00
64f991b400
Fix bug in TradingCalendar initialization
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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
8734224701
TST: Use testing market data with run_algorithm
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so env doesn't need to download it
2017-05-18 12:54:06 -04:00
3ca5a15859
TST: Use fixture's data with tmp_trading_env
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instead of env needing to download it
2017-05-18 12:54:05 -04:00
955862b4b3
TST: Use fixture's trading env for FakeDataPortal or TradingAlgo
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to avoid a new trading env needing to download data unnecessarily
2017-05-18 11:55:48 -04:00
fredfortier