d1077a36c2
TST: Fix broken tests, updated example data
2016-08-04 09:38:18 -04:00
e6af4e4f1b
ENH: made exchange a required parameter to Asset and its subclasses
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This required updating a lot of tests.
2016-08-02 23:21:39 -04:00
9ae725b940
ENH: update register_calendar API to take a specific name
2016-08-02 23:12:07 -04:00
97ccb54326
MAINT: PR cleanup
2016-08-02 23:12:07 -04:00
6020752a1d
TST: Filter out pandas performance warnings in tests (for now)
2016-08-02 23:12:07 -04:00
fd03004d9f
TST: Add tests to verify that we check the correct exchange calendar for can_trade
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Also added temporary code to skip trying to get the last price of a
Future until we have finished the Futures data layer.
2016-08-02 23:12:07 -04:00
2854c77d55
ENH: Clock now fires a BEFORE_TRADING_START_BAR event.
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`AlgorithmSimulator` listens to that event to call the algorithm's
`before_trading_start` method.
2016-08-02 23:12:07 -04:00
d8af3fb92e
ENH: Augment data.can_trade to check whether the asset's exchange is currently
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open.
2016-08-02 23:11:10 -04:00
1f10fff1c4
BUG: support querying more than 999 assets at a time
2016-08-02 18:53:57 -04:00
483397e554
ENH: Added AtLeastN filter
2016-08-02 16:34:32 -04:00
74c46732e5
Merge pull request #1361 from quantopian/point-in-time-assets-db-again
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Point in time assets db again
2016-08-02 15:35:56 -04:00
6708ef1bdf
ENH: update assets-db-error-msg
2016-08-02 14:25:10 -04:00
4265a13edf
Revert "Merge pull request #1354 from quantopian/revert-1302-point-in-time-asset-db"
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This reverts commit 3b633011c670ac5323de
2016-08-02 14:25:10 -04:00
5b9d2e2d04
Merge pull request #1353 from quantopian/yield_capital_changes2
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ENH: Yield capital change information
2016-08-02 14:19:55 -04:00
ecac6e9e08
Merge pull request #1360 from quantopian/shorten-equity-exchange
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ENH: Adding `exchange_full` to equity asset column
2016-08-02 11:35:27 -04:00
c54ede896c
rebuilt in py3/pandas16
2016-08-02 10:43:04 -04:00
129d16fd3d
Merge pull request #1358 from quantopian/smoothing
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ENH: added smoothing to zipline
2016-08-02 10:32:11 -04:00
33bef2165c
rebuilt data in py3
2016-08-02 10:17:19 -04:00
a40d205afa
ENH: Adding exchange_full to equity asset column
2016-08-02 09:35:08 -04:00
f13294de4e
ENH: Rename StrictlyTrue to All and add Any().
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Also, moved All() and Any() to `zipline.pipeline.filters.smoothing`.
2016-08-01 22:10:28 -04:00
574d7b197f
TEST: test for rolling nature of smoothing filter
2016-08-01 15:35:22 -04:00
5904ecb40f
ENH: Yield capital change information
2016-08-01 15:19:11 -04:00
18aba63da9
Merge pull request #1359 from quantopian/refactor_subperiod
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MAINT: Refactor application of capital changes
2016-08-01 14:00:48 -04:00
7623c0f6eb
MAINT: .sum() behaviour
2016-08-01 13:48:14 -04:00
98f3fc9326
MAINT: Refactor application of capital changes
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Previously, on the dt of a capital change, we use the un-updated
prices to find the ending performance of the previous subperiod and
then got the new prices to determine the portfolio value used to
calculate the delta, without actually updating the performance
before applying the capital change. This logic is confusing and
unintuitive. Instead, save the ending performance as we do previously,
but have temp values for the starting current subperiod value.
Update those temp values after processing the capital change
2016-08-01 11:51:45 -04:00
c10af2a0b9
TEST: more thorough testing
2016-08-01 11:40:14 -04:00
73de8e6182
STY: style changes and strictly_true_filter
2016-08-01 11:16:02 -04:00
694d9e952a
ENH: added smoothing to zipline
2016-08-01 08:20:10 -04:00
9103516e82
Merge pull request #1313 from nathanwolfe/master
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BUG: Add support for Panel data in accordance with documentation
2016-07-29 20:11:56 -04:00
0a196c7a69
MAINT: Correct PanelBarReader sessions property, expand test
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`tests/test_panel_daily_bar_reader.py` expanded to cover minute
frequency as well, using the same tests. Renamed to
`test_panel_bar_reader.py`.
2016-07-29 17:36:18 -04:00
ab9a899c5b
MAINT: Switch PanelBarReader to take trading calendar and freq args
2016-07-29 17:36:08 -04:00
763f2ab8b4
MAINT: Combine daily and minute into PanelBarReader.
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Also simplify `load_raw_arrays` and `get_last_traded_dt`.
2016-07-29 17:34:28 -04:00
bdce4ef257
TST: Expand Panel data test to test for multiple sids.
2016-07-29 17:32:00 -04:00
55b79e8f32
TST: Test TradingAlgorithm.run and run_algorithm on raw Panel data
2016-07-29 17:15:35 -04:00
a937d6e6b1
Merge pull request #1352 from quantopian/move-daily-aggregator
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MAINT: Move daily aggregator to own module.
2016-07-28 09:45:50 -04:00
814a2be7b7
Revert "Point in time asset db"
2016-07-27 23:29:08 -04:00
e00a25568d
MAINT: Move daily aggregator to own module.
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Break out the daily history aggregator into its own module, instead of
being collocated with DataPortal.
2016-07-27 16:59:26 -04:00
3305933089
DEV: Change daily mode to use last minute of session instead of session itself.
2016-07-27 09:20:24 -04:00
2462929368
Revert "Merge pull request #1340 from quantopian/by-daily-i-mean-minutely"
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This reverts commit f4456719b04be07e4628
2016-07-26 16:20:14 -04:00
fb532c3fe8
TST: Adds test for symbol changes
2016-07-26 13:34:58 -04:00
7fd8c29880
ENH: add point in time aspect to equity symbol mapping
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Changes the overlap behavior so that it is an error to write data which
would have two companies holding the same ticker. Other than one test
around which company would win in that case, all the other tests are
passing. That single test has been changed to check the write-time
error.
2016-07-26 13:34:58 -04:00
bcb547d5a8
DEV: Change daily mode to use last minute of session instead of session itself.
2016-07-26 12:49:49 -04:00
49bb8264dc
ENH: Finish adding groupby to rank/top/bottom.
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- Added test coverage for grouped and masked top/bottom.
- Added test coverage for grouped rank on datetime factors.
- Fixed an issue where grouped rank would fail on datetime inputs
because unary-negative isn't defined for datetimes. We now instead
directly invoke a function from rank.pyx that does the normalizations
as neeeded.
- Fixed an issue where GroupedRowTransform assumed that it produced the
same dtype as its input. This isn't true for rank() of a
datetime-dtype factor. GroupedRowTransform now takes a required dtype
parameter.
- Similarly, fixed an issue where GroupedRowTransform assumed that its
missing_value was the same as its parent's, which isn't true for
rank() of a datetime-dtype factor. GroupedRowTransform now takes a
required dtype parameter.
- Fixed an issue where Factor.demean() and Factor.zscore() weren't
properly cached because their static_identity included a closure that
was dynamically generated on each invocation. They both now always
use a function defined at module scope.
2016-07-26 02:57:35 -04:00
9e3404646e
add groupby to rank, top, and bottom
2016-07-25 23:53:33 -04:00
161922897e
Merge pull request #1282 from quantopian/fix-data-tests-discovery
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TST: fix bundle test discovery
2016-07-25 18:36:38 -04:00
ec0ecfc1b9
TST: don't use showprogress in tests
2016-07-25 13:09:55 -04:00
e8728c0cd4
TST: fix data tests
2016-07-25 13:09:55 -04:00
ef4eafbbb8
TST: fix bundle test discovery
2016-07-25 13:09:55 -04:00
5888cf1657
ENH: add true range technical factor
2016-07-25 12:37:25 -04:00
2fe94d0c29
Merge pull request #1337 from quantopian/margin_changes
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Capital Changes Refactoring
2016-07-25 10:54:34 -04:00
Jean Bredeche