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Author SHA1 Message Date
Elizaveta239 8a32c2b7ce ENH: Add Rate of change Percentage indicator 2016-07-13 18:07:20 -04:00
Joe Jevnik 4a0629b894 Merge pull request #1263 from quantopian/cloud-computing 
Ichimoku Cloud
 2016-07-13 15:27:58 -04:00
Joe Jevnik 0f1c08024a ENH: Adds the ichimoku cloud factor 2016-07-12 18:49:24 -04:00
Joe Jevnik 958d455a7a ENH: Support default params for terms 2016-07-12 18:49:24 -04:00
Eddie Hebert db4e06055c Merge pull request #1317 from quantopian/reduce-number-of-days-for-test-misc-api 
TST: Speed up TestMiscellaneousAPI
 2016-07-11 15:47:51 -04:00
Eddie Hebert 4840e124af TST: Speed up TestMiscellaneousAPI 
Limit the date range to one day, instead of a year.

On my local machine the following goes from taking 12 seconds to 0.6 seconds.

`$ nosetests -x tests/test_algorithm.py:TestMiscellaneousAPI`
 2016-07-11 10:34:08 -04:00
Richard Frank 7c170274a3 Merge pull request #1310 from quantopian/vagrantf 
VagrantFile for Ubuntu 14.04 that includes all the development requirements
 2016-07-07 16:25:29 -04:00
Richard Frank 424d7747da DOC: Updated whatsnew with VagrantFile update 2016-07-07 16:01:48 -04:00
Richard Frank 8f9bc98eb1 DEV: Added cleaning of cython assets to dev Dockerfile as well 
Added same comment to vagrant init
 2016-07-07 15:56:46 -04:00
Richard Frank 95d59c1ddb DOC: Include info about location of zipline repo inside vagrant 2016-07-07 15:56:46 -04:00
Richard Frank bd45bb0230 MAINT: Tee output to console and log file 2016-07-07 15:56:46 -04:00
Richard Frank ec4336ff0c DEV: Exit on error 2016-07-07 15:56:45 -04:00
Richard Frank a728ef2bf1 DEV: Merged updated Vagrantfile with vagrant_init.sh 2016-07-07 15:56:45 -04:00
Eric LaFevers 86938d4457 DEV: VagrantFile for Ubuntu 14.04 that includes the development environment. 2016-07-07 15:56:45 -04:00
David Michalowicz 459366c17a Merge pull request #1301 from quantopian/blaze-loader-single-columns 
Return column vector for datasets with no sids
 2016-07-01 13:35:49 -04:00
dmichalowicz d8e9fa91bd Loader return column vector for no sids case 2016-07-01 12:18:32 -04:00
David Michalowicz d6c1c5fce9 Merge pull request #1309 from nathanwolfe/adv-fix 
BUG: Correct AverageDollarVolume NaN handling
 2016-06-30 14:04:43 -04:00
Eddie Hebert 65a1e3465c Merge pull request #1311 from quantopian/prefix-equity-bar-fixtures 
MAINT:  Add equity to naming of bar data classes.
 2016-06-30 09:55:35 -04:00
Eddie Hebert 51eda06323 MAINT: Add equity to naming of bar data classes. 
In preparation of adding futures, add equity to the names of both the
classes and methods for writing bcolz data. Futures data will use a
different minutes per day with a separate reader. This change will allow
both equity and futures fixtures to be side by side.

Also, break out the method which generates the dataframes and trading
days member into fixtures (`EquityMinuteBarData` and
`EquityDailyBarData`) on which the `*BarReader` fixture depends.  This
fixture is separated out to enable reader/writers in different formats
to use the same data setup. (There is internal code which needs to write
minute and daily bar data in a database format.)
 2016-06-30 08:21:42 -04:00
Nathan Wolfe e0e18bc328 DOC: Add AverageDollarVolume change to release notes. 2016-06-29 13:47:56 -04:00
Nathan Wolfe 985e6bafee DOC: Add comment explaining ADV NaN test expected result calculation. 2016-06-29 11:34:21 -04:00
Nathan Wolfe e67b5e5516 TST: Change AverageDollarVolume test to check case of partial NaNs 2016-06-29 11:16:39 -04:00
Nathan Wolfe ebbcca73e8 TST: Add NaN cases to AverageDollarVolume factor test. 2016-06-29 10:12:35 -04:00
Nathan Wolfe e70490a415 BUG: Correct AverageDollarVolume NaN handling 
`AverageDollarVolume` used `nanmean`, which discards NaNs before
averaging, giving an ADV which is too high for any equities that have
any NaNs.

Changing the method to `nansum` divided by window length so that the
denominator is the same no matter whether there are NaNs or not.
 2016-06-28 17:20:09 -04:00
Andrew Daniels c89e957905 Merge pull request #1308 from quantopian/fix-pipeline-calendar 
BUG: Don't use calendar from daily bars in USEquityPricingLoader
 2016-06-28 14:27:33 -04:00
Andrew Daniels 5ac66aa19e BUG: Don't use calendar from daily bars in USEquityPricingLoader 
This calendar only has up to the last trading day, use
default_nyse_schedule instead.
 2016-06-28 13:38:17 -04:00
Andrew Daniels 43f4c3a2d3 Merge pull request #1306 from quantopian/disable-tradingcalendar-deprecation 
MAINT: Disable deprecation warning for tradingcalendar
 2016-06-28 11:02:22 -04:00
Andrew Daniels 4fd444dbb2 MAINT: Disable deprecation warning for tradingcalendar 
The new calendar API is currently in flux, so disabling the deprecation
warning for tradingcalendar. To be re-enabled once the new API is
stabilized.
 2016-06-28 10:06:11 -04:00
Eddie Hebert a4298a9c72 Merge pull request #1304 from quantopian/remove-unused-data-source-code 
Remove unused data source code
 2016-06-27 13:41:47 -04:00
Eddie Hebert a721380664 MAINT: Remove unused test factory functions. 
`create_commission` and `create_minutely_trade_source` are no longer
used.
 2016-06-27 13:06:41 -04:00
Eddie Hebert ca58632815 MAINT: Remove DataSource and derived classes. 
The `DataSource` class and other classes derived from it are no longer
used. Instead `DataPortal` and various `MinuteBarReader` and
`DailyBarReaders` should be used.
 2016-06-27 13:06:41 -04:00
Joe Jevnik 28055ed36d Merge pull request #1303 from degtyarevalexey/master 
DOC: Fix typo in command line to ingest quandl
 2016-06-26 23:05:40 -04:00
Alexey Degtyarev 84afb997d3 DOC: Fix typo in command line to ingest quandl 
Usage: zipline ingest [OPTIONS]

  Ingest the data for the given bundle.

Options:
  -b, --bundle BUNDLE-NAME        The data bundle to ingest.  [default:
                                  quantopian-quandl]

  <...>
 2016-06-27 01:55:21 +03:00
Maya Tydykov c26e12bad8 Merge pull request #1288 from quantopian/pandas-tz-normalize-bug-workaround 
Pandas tz normalize bug workaround
 2016-06-23 14:20:35 -04:00
Scott Sanderson 07b84f87fb PERF: Speed up test_events. 
Use arrays in more places, and use permutations of indexers instead of
permutations of the values.

MAINT: add testing of boundary conditions

MAINT: use check_arrays to work with both pandas versions
 2016-06-23 13:54:37 -04:00
Maya Tydykov 321e6f719f TST: expand tests 
DOC: add comment to workaround line
 2016-06-23 12:14:24 -04:00
Maya Tydykov 9395a469f0 BUG: change timestamp normalization to account for pandas bug 
BUG: revert to old normalization algo with extra normalization
 2016-06-23 12:14:22 -04:00
David Michalowicz abd10d0ca2 Merge pull request #1267 from quantopian/pipeline-single-columns 
Pipeline single column capabilities
 2016-06-23 11:18:58 -04:00
dmichalowicz 393f82e81e ENH: Add single-column input/output capabilities to pipeline terms 2016-06-23 10:24:09 -04:00
Scott Sanderson e510cbbf7b Merge pull request #1280 from quantopian/bad-pipeline-columns 
BUG: Fail fast on invalid pipeline columns
 2016-06-22 18:44:40 -04:00
Richard Frank 000b64703a BUG: Fixes quandl bundle failing to download pricing data 
for invalid symbol
 2016-06-22 18:11:58 -04:00
Richard Frank 69b6cff964 Merge pull request #1289 from quantopian/wildcard 
wildcard object and doctests
 2016-06-22 18:09:57 -04:00
Joe Jevnik d608e0af4f Merge pull request #1276 from quantopian/blaze-loader-checkpoints 
ENH: add ffill checkpointing to blaze core loader
 2016-06-21 16:48:08 -04:00
Joe Jevnik ca37d73c7b TST: fix setup in test_flip_algo 2016-06-21 15:07:03 -04:00
Joe Jevnik bfa3e6f153 TST: 32b compat doctests 2016-06-21 15:07:03 -04:00
Joe Jevnik efd7bf72c3 TST: py3 compat doctests 2016-06-21 15:07:03 -04:00
Joe Jevnik 5925107052 TST: fix doctests to actually run 2016-06-21 15:07:03 -04:00
Joe Jevnik b210acb121 DOC: typo 2016-06-21 14:00:40 -04:00
Joe Jevnik cb266b983a TST: more test for checkpoints 2016-06-21 13:20:52 -04:00
Joe Jevnik c2723f3487 BUG: query everything if deltas are empty 2016-06-21 13:20:43 -04:00