In pandas 0.18, the behavior of ``nth()`` changed so that Grouper no
longer can be easily used to recover group labels.
Instead of using the built-in grouper behavior, we use a groupby on two
arrays we build ourselves. This recovers the original behavior, and is
about 2x faster as a bonus.
Instead of having separate ExchangeCalendar and TradingSchedule objects, we
now just have TradingCalendar. The TradingCalendar keeps track of each
session (defined as a contiguous set of minutes between an open and a close).
It's also responsible for handling the grouping logic of any given minute
to its containing session, or the next/previous session if it's not a market
minute for the given calendar.
This commit removes the ability to reference a shared TradingEnvironment through the zipline.finance.trading module. In place, the classes that require a TradingEnvironment, or its child AssetFinder, contain their own references to those objects.
This commit also adds serialization utilities that allow for the pickling/unpickling of objects without unintentionally their TradingEnvironments or AssetFinders.
makes it an offset from 13:30 UTC.
This is to be more consistent with the market_close, which is an offset
from 20:00 UTC.
This also makes market_open and market_close cache the dt to offset from
for each day.
- NotHalfDay only worked at midnight
- week_(start|end) were actually month_(start|end)
- Removes check_args from api.
- Default offset of 30mins for market_(open|close)
zipline.utils.events is imported.
Changes the class level attribute `env` on EventRule to a property so
that the environment is only looked up at when needed.
schedule_function takes a date rule, a time rule, and a function and
will call the function, passing context and data only when the two rules
fire. This allows for code that is conditional to the datetime of the
algo.
This is implemented internally with `Event` objects which are pairings
of `EventRule`s and callbacks.
handle_data becomes a special event with a rule that always fires. This
makes the logic for handling events more complete and compact.
Scott Sanderson