8df1426056
Merge pull request #1654 from quantopian/tell-me-the-current-session
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ENH: add current_session property to BarData
2017-01-19 17:09:30 -05:00
b5438ac94e
ENH: add current_session property to BarData
2017-01-19 16:53:49 -05:00
8cbad56d79
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
51eb11fbc9
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
a762c5bc79
Merge pull request #1650 from quantopian/slippage-cleanup
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ENH: Small refactoring of fill price check.
2017-01-18 09:57:03 -05:00
a9c0ce1dde
ENH: Small refactoring of fill price check.
2017-01-18 09:22:05 -05:00
b8501d0704
Merge pull request #1649 from quantopian/easier-open-minute-bars-for-append-truncate
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Easier open minute bars for append and truncate
2017-01-17 17:56:17 -05:00
fd25395a92
ENH: Add sorted to sid list when truncating.
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For repeatable order of truncates between invocations.
2017-01-17 17:25:28 -05:00
261803b622
ENH: Add a method to open existing minute bar directory.
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Remove need for a consumer that is editing an existing minute bars directory to
reread the values which should not change from the metadata.
Add a test to the append on new day and truncate, which would be the common
usage of this method.
2017-01-17 17:25:27 -05:00
e27833c362
Merge pull request #1646 from quantopian/update-toolz
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BLD: Use latest version of toolz.
2017-01-13 16:09:55 -05:00
d704851489
BLD: Use latest version of toolz.
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Also, add requirement of cytoolz to blaze reqs so that toolz and cytoolz are
on the same version.
2017-01-13 15:42:59 -05:00
790f307485
Merge pull request #1645 from quantopian/nitpick-some-more-why-dont-you
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STY: Simplify style in conditional.
2017-01-12 22:26:21 -05:00
bb1b3e39e7
STY: Simplify style in conditional.
2017-01-12 22:03:35 -05:00
70b5d675ce
MAINT: Update and pin more dev requirements
2017-01-08 14:07:55 -05:00
5d4783966a
MAINT: Pin exact versions of Mako, MarkupSafe, requests-file
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which are transitive dependencies of zipline
2017-01-07 17:57:29 -05:00
9f60524e14
STY: Use def statements instead of lambda assignment. ( #1639 )
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From pep-0008:
```
Always use a def statement instead of an assignment statement that binds a
lambda expression directly to an identifier.
Yes:
def f(x): return 2*x
No:
f = lambda x: 2*x
The first form means that the name of the resulting function object is
specifically 'f' instead of the generic '<lambda>'. This is more useful for
tracebacks and string representations in general. The use of the assignment
statement eliminates the sole benefit a lambda expression can offer over an
explicit def statement (i.e. that it can be embedded inside a larger expression)
```
2017-01-06 13:39:07 -05:00
2259297179
Merge pull request #1638 from luca-s/IchimokuKinkoHyo_fix
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BUG: IchimokuKinkoHyo techinical factor has wrong default inputs
2017-01-06 13:23:52 -05:00
126d4aae45
BUG: IchimokuKinkoHyo techinical factor has wrong default inputs
2017-01-06 16:06:05 +01:00
8ef2279ee4
BLD: Update numexpr to latest to satisfy tables deps. ( #1636 )
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* BLD: Update numexpr to latest to satisfy tables deps.
tables 3.3.0 requires numexpr >= 2.5.2
Also remove numexpr conda recipe.
2017-01-05 15:27:24 -05:00
f143a83a44
BUG: Datetimes should be converted in utc. ( #1635 )
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* BUG: Datetimes should be converted in utc.
* DOC: Making note of UTC req. and moving comment.
2017-01-05 14:13:23 -05:00
5121e3f8fd
Remove tables from custom conda scripts.
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Use anaconda hosted instead.
2017-01-04 12:09:10 -05:00
ca07dfb8fb
Swap name instead.
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Package is named pytables on conda.
2017-01-04 12:09:10 -05:00
2af8e5520a
Add hdf5 install.
2017-01-04 12:09:10 -05:00
129fd156a9
Remove tables from travis.
2017-01-04 12:09:10 -05:00
e03ddf72b2
Use tables instead of pytables.
2017-01-04 12:09:10 -05:00
96d3e73e17
Use conda skeleton for pytables.
2017-01-04 12:09:10 -05:00
080e4e6eac
Attemp to add conda package.
2017-01-04 12:09:10 -05:00
8243fd7fa4
Fix double equals in conda pytables.
2017-01-04 12:09:10 -05:00
838171a490
Update tables.
2017-01-04 12:09:10 -05:00
ab0405bb68
Add pytables for travis.
2017-01-04 12:09:10 -05:00
d7d2214756
ENH: Add a reader writer pair for HDF5 minute bar updates.
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This format is intended for storing data for all sids of an asset type,
e.g. equities or futures for a session. bcolz is not used to avoid the overhead
of creating the directories and files for each asset (which numbers around ~8000
for active equities) can be removed since the update is meant to be read at
once, instead of supporting the random access pattern needed by the simulation.
This patch only adds the reader/writer pair, with the management of finding the
paths to delta files and the application of the updates to the bcolz write left
to internal loader code.
Also, the update reader interface is intentionally constrained to the data for
an entire session to allow for an implementation that allows for mid-session updates.
2017-01-04 12:09:10 -05:00
54d78d002d
Merge pull request #1627 from quantopian/vectorized-symbol-map
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ENH: Add vectorized lookup_symbol.
2016-12-28 15:10:14 -05:00
e9b378fdda
DOC: Add note on lookup_symbols.
2016-12-28 14:43:15 -05:00
64029a9e7e
TEST: Tweaks to vectorized symbol tests.
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- Test against an empty list.
- Don't test empty share class lookups.
- Add another comprehension test for completeness.
2016-12-28 14:40:18 -05:00
876b9c74c9
ENH: Add vectorized lookup_symbol.
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Currently only supports one as_of date.c
2016-12-28 12:31:50 -05:00
5025101d37
Adjustments to Component Dfs ( #1620 )
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* ENH: SQLiteAdjustmentReader can return DF versions of tables.
2016-12-27 13:44:17 -05:00
62f1c19510
Merge pull request #1623 from quantopian/futures-scaling-factor
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TST: Extra test for reading/writing ohlc ratios
2016-12-22 15:01:42 -05:00
ba81f12370
TST: Extra test for reading/writing ohlc ratios
2016-12-22 14:34:46 -05:00
29aed9ea97
TST: Populate equity_supplementary_mappings from WithAssetFinder ( #1622 )
2016-12-22 11:07:30 -05:00
3350227f44
Merge pull request #1596 from quantopian/order_batch
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Order batch
2016-12-21 20:41:35 -05:00
e674e4e26a
MAINT: Filter out null orders
2016-12-20 19:27:29 -05:00
d9a1479db7
MAINT: Some cleanup while working on batch ordering
2016-12-20 19:27:28 -05:00
581e827208
TST: Ensure batch_order_target_percent orders like order_target_percent
2016-12-20 19:27:28 -05:00
1cb85b70f2
DOC: Updated return types in docstrings
2016-12-20 19:27:28 -05:00
8ea3226a5c
ENH: Renamed to batch_order and added batch_order_target_percent
2016-12-20 11:58:05 -05:00
74a3247892
MAINT: Renamed order_batch parameter and added docs
2016-12-20 11:57:27 -05:00
7aefa9c311
MAINT: Allow for orders with id 0
2016-12-20 11:57:26 -05:00
f4773053cb
TST: Added test for order_batch
2016-12-20 11:57:26 -05:00
3fd34127c0
MAINT: Moved common asset lookup to fixture init
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Also can use class's asset_finder instead of via env
2016-12-20 11:57:26 -05:00
6c04f30eca
MAINT: Removed unnecessary override
2016-12-20 11:57:26 -05:00
Jean Bredeche