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1266 Commits

Author SHA1 Message Date
Scott Sanderson bddb453272 BUG: F.window_safe implies f.demean().window_safe. 2016-09-22 12:41:50 -04:00
Andrew Daniels a5c7e93540 Merge pull request #1500 from quantopian/make-metadata-optional 
MAINT: Adds option for minute bar writer to not write metadata
 2016-09-21 12:40:19 -04:00
Eddie Hebert 25517e2b15 Merge pull request #1502 from quantopian/remove-future-chain 
MAINT: Remove `future_chain` API method.
 2016-09-21 11:44:57 -04:00
Andrew Daniels 96cc6b6588 MAINT: Adds option for minute bar writer to not write metadata 
With the addition of the truncate function, there are cases where we'll
want to construct a BcolzMinuteBarWriter to call truncate, without
gathering all the metadata. This commit adds a write_metadata arg to its
init, which is True by default. If False is specified, no metadata is
written.

Requires adding logic to truncate to update end_session in metadata to
the truncate date.
 2016-09-21 11:31:54 -04:00
Eddie Hebert 9fd8ddda53 MAINT: Remove future_chain API method. 
`future_chain` will be replaced by the as yet to be implemented method,
`data.current_chain`

Also removing `FutureChain` which will be replaced by another version
which only supports indexing and iteration.
 2016-09-21 11:08:34 -04:00
Scott Sanderson 9cc2ecf8d5 BUG: Remove set_trace and add test coverage. 2016-09-20 17:46:27 -04:00
Scott Sanderson 6e3bfe2d78 MAINT: Rebuild example data. 2016-09-20 17:12:09 -04:00
Scott Sanderson 2522ca28ae BUG: Don't fail on integral floats in event rules. 
Coerce and warn instead.
 2016-09-20 17:12:08 -04:00
Scott Sanderson ec89402a3e MAINT: Fix PerformanceWarning import. 2016-09-20 17:12:08 -04:00
Scott Sanderson 918de6ad26 MAINT: Use explicit floats in np.full. 2016-09-20 17:12:08 -04:00
Scott Sanderson 46cf54b180 MAINT: Remove outdated compat code. 2016-09-20 17:12:07 -04:00
Scott Sanderson 6aeba11176 STY: Fix flake8 failures. 2016-09-20 17:12:07 -04:00
Scott Sanderson 48a44f321a DOC: Note where cleanup happens. 2016-09-20 17:12:07 -04:00
Scott Sanderson 493e18252d MAINT: Temporarily ignore pandas warnings in categoricals. 
Pandas 0.18 doesn't like having null-ish values in categoricals.  Fixing
this properly requires re-thinking the semantics for missing_value on
pipeline terms, so we're punting on that until after we've upgraded to
0.18.
 2016-09-20 17:12:07 -04:00
Scott Sanderson a9c02935c6 Revert "MAINT: Remove support for custom string Column missing values." 
This reverts commit 1b1e842e2339d6d0ee40cdfe34dcd27b4e4a7c0c.
 2016-09-20 17:12:07 -04:00
Scott Sanderson ed365dc5fe MAINT: Remove support for custom string Column missing values. 
Pandas 0.18 deprecated passing "null-ish" values to pd.categorical.  The
expectation, instead, is that you use categorical's native support for
missing data, which means the user will always get NaN's for missing
entries of the categorical.

A follow-up to this change should probably drop support for custom
missing values entirely and to use LabelArray/categorical for integer
data.
 2016-09-20 17:12:07 -04:00
Scott Sanderson da8ed8919e MAINT: Pandas compat for rolling_*. 2016-09-20 17:12:07 -04:00
Scott Sanderson 52166e9958 MAINT: Pass float to np.full explicitly. 2016-09-20 17:12:07 -04:00
Scott Sanderson a1273cd669 MAINT: Fix warnings from numpy labelarray methods. 2016-09-20 17:12:07 -04:00
Scott Sanderson 9bd6cab115 MAINT: Pass float explicitly. 2016-09-20 17:12:07 -04:00
Scott Sanderson 9aa866e434 MAINT: Use sort_values() instead of sort(). 
pd.DataFrame.sort() is deprecated.
 2016-09-20 17:12:07 -04:00
Scott Sanderson ef88dfdad2 MAINT: Use dataframe.iteritems instead of iterkv. 
iterkv is deprecated.
 2016-09-20 17:12:07 -04:00
Scott Sanderson f8734e8721 MAINT/TEST: Clarify test_events. 
- Refer to ``sessions`` instead of periods.
- Use ``toolz.concat`` instead of an O(N ** 2) sequence of appends.
 2016-09-20 17:12:07 -04:00
Scott Sanderson 259f10a2d9 MAINT: Pass float to np.full explicitly. 2016-09-20 17:12:07 -04:00
Scott Sanderson 434d7c69d3 TEST/MAINT: Silence no_checkpoints warning. 2016-09-20 17:12:07 -04:00
Scott Sanderson 905df55a2d MAINT: Use float in np.full. 2016-09-20 17:12:07 -04:00
Scott Sanderson c4e114c28f MAINT: Pass explicit dtype to np.full. 2016-09-20 17:12:07 -04:00
Scott Sanderson e33c42b3a9 MAINT: Update fetcher for pandas 0.18. 
- Remove support for usecols=[].
- Use sort_values instead of sort().
- Use errors='coerce' instead of coerce=True.
 2016-09-20 16:24:55 -04:00
Scott Sanderson 0d8e99956e MAINT: Fix numpy deprecation warnings. 2016-09-20 16:24:55 -04:00
Scott Sanderson be30c0072d MAINT: Explicitly use float64 in test. 2016-09-20 16:24:54 -04:00
Scott Sanderson d2f0632101 MAINT: Don't use .loc with integers. 2016-09-20 16:24:54 -04:00
Andrew Daniels 4a2faa3e13 ENH: Adds truncate method to BcolzMinuteBarWriter (#1499) 2016-09-19 13:02:48 -04:00
Jean Bredeche 0fd35e7fd1 ENH: Make reader.get_value raise NoDataOnDate if the date is not in the calendar. 
DataPortal now catches the NoDataOnDate exception and returns nan for
OHLC and 0 for V.

Price is still forward filled, unchanged.
 2016-09-14 22:21:43 -04:00
Jean Bredeche 2856fd0ecf MAINT: Add BarReader base class for both minute and session readers 2016-09-14 13:47:12 -04:00
Richard Frank 7a10d9392d Merge pull request #1467 from quantopian/check_param-string_types 
Check param string types
 2016-09-08 14:59:38 -04:00
Kathryn Glowinski 9ad670bd46 More Fuzzy Symbol Fixes (#1475) 
* REF: More options before raise MultiFound.

* TST: Checks corner case for fuzzy matching.
 2016-09-08 14:52:57 -04:00
Scott Sanderson c66d3ad820 Merge pull request #1471 from quantopian/fix-slow-startup 
PERF: Remove import-time calendar creations.
 2016-09-08 10:21:00 -04:00
Scott Sanderson 85ce093270 MAINT: Updates from Joe's PR feedback. 2016-09-07 20:42:19 -04:00
Scott Sanderson bd420f938b MAINT/TEST: Update default calendar smoketest. 2016-09-06 14:13:32 -04:00
Joe Jevnik 1e030c77b2 Merge pull request #1449 from quantopian/getitem-is-not-getattr 
MAINT: remove __getitem__ as alias of __getattr__
 2016-09-06 13:48:17 -04:00
kglowinski 15ab8ac95e BUG: Handle case with mult symbol options for same sid. 2016-09-06 10:12:01 -04:00
Scott Sanderson a8a2cc1582 PERF: Remove module-scope calendar creations. 
Remove module scope invocations of `get_calendar('NYSE')`, which cuts
zipline import time in half on my machine. This make the zipline CLI
noticeably more responsive, and it reduces memory consumed at import
time from 130MB to 90MB.

Before:

$ time python -c 'import zipline'

real    0m1.262s
user    0m1.128s
sys     0m0.120s

After:

$ time python -c 'import zipline'

real    0m0.676s
user    0m0.536s
sys     0m0.132s
 2016-09-06 09:57:23 -04:00
John Ricklefs 43b9fa84d7 Revert "BUG: Capital change deltas rely on cash, not portfolio_value" (#1470) 
This reverts commit 5b1aa5ec55.

The paradigm is: we're calculating a new capital base for the
performance period. We are therefore using the total
portfolio_value, not just the cash, to calculate the
difference from the specified target as the algorithm
has meaningful holdings.
 2016-09-05 14:12:04 -04:00
Richard Frank 7f6db68fc6 BUG: Fix up check_parameters usage of string_types 
and corresponding tests
 2016-09-02 16:47:32 -04:00
Scott Sanderson 548e0675be Merge pull request #1466 from quantopian/disallow-length-1-regressions 
ENH: Dont allow length=1 regressions/correlations.
 2016-09-02 15:49:03 -04:00
Eddie Hebert 948d813b84 TST: Add direct coverage for get last traded dt 
Check that both an equity and future can return expected values for
`get_last_traded_dt`.
 2016-09-02 13:19:46 -04:00
Scott Sanderson 12101c55c8 STY: Don't assign variables that won't be created. 2016-09-02 12:53:01 -04:00
Scott Sanderson 8b2446aec6 ENH: Dont allow length=1 regressions/correlations. 
They're not meaningful, and they cause warnings from numpy.

Implemented in terms of a new preprocessor, `expect_bounded`, which
takes a tuple of `upper_bound` and `lower_bound`.
 2016-09-02 12:49:09 -04:00
Ana Ruelas ec7e4f2333 BUG: Do not adjust returns for sharpe and sortino 2016-09-02 10:41:50 -04:00
Eddie Hebert c5c7a4ac4a Merge pull request #1460 from quantopian/daily-aggregator-corner-cases 
TST/BUG: Full coverage on resample module.
 2016-09-01 17:24:56 -04:00