90fa80cc72
Merge pull request #36 from quantopian/add-special-non-trading-days
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Add special non trading days
2012-12-04 13:22:39 -08:00
bbef0658d1
Adds non-market days due to National Days of Mourning.
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Post-2002 Days of Mourning, Reagan and Ford
2012-12-04 15:07:05 -05:00
a8e1647d6e
Adds Hurricane Sandy related closings to non-trading days.
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Adds the closings on 10/29/2012 and 10/31/2012 to the
trading calendar rules.
2012-12-04 14:16:30 -05:00
b2b7ea0063
Adds closings due to 9/11 attacks.
2012-12-04 14:08:30 -05:00
81efe8247f
Merge pull request #35 from quantopian/makes-capital-base-more-configureable
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Allows the capital base of an algorithm to be more easily modified.
2012-12-04 07:49:53 -08:00
3ff3a6964e
Allows the capital base of an algorithm to be more easily modified.
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By having run() use a capital_base member of the algorithm to
create the trading environment, the capital base should now be
configurable in the instantiation of the algorithm.
e.g.:
```
algo = LowCapitalBaseAlgorithm(capital_base=1000.0):
```
2012-12-04 10:42:58 -05:00
ac8ae973bc
ENH: replaced union with intersection in assert (more stringent).
2012-12-04 10:17:53 -05:00
3f94fad97e
Fixes README link to Scipy.
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The wrapping line break was breaking the Markdown format.
2012-12-03 21:45:05 -05:00
402d2c87f5
Points Quantopian link in README to www.
2012-12-03 21:44:07 -05:00
1f09450584
Fixes reading of README file.
2012-12-03 19:43:41 -05:00
11a31dff22
Updates release version to 0.5.4
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Bugfix release.
Notable fixes:
- algorithm crashes due to missing data panel slots
- slippage model getting out of sync with the algorithm.
2012-12-03 18:26:48 -05:00
f81addb7df
ENH: batch_transform now adds arbitrary keys to datapanel.
2012-12-03 13:41:37 -05:00
803a0cee5c
Merge pull request #32 from quantopian/volumeshare_fp_error
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Fixed floating-point error in volume share slippage model
2012-11-29 10:02:59 -08:00
1b2f6739e9
Fixed floating-point error in volume share slippage model
2012-11-29 12:13:35 -05:00
149309d4af
Update README.md
2012-11-28 17:31:53 -05:00
e266d926f3
Updates quarter utilities to fix offset.
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Also, includes tests of quarter utilities.
Thanks to @richafrank.
2012-11-28 10:53:08 -05:00
89485a0ee9
Fixes invocation of datetime method.
2012-11-27 17:46:24 -05:00
cc0ff551ec
Adds quarter date utilities back into zipline.
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Paving the way for a refactoring that will bring some of the
universe logic, specifically quarter universe logic into zipline.
2012-11-27 17:16:21 -05:00
f62548d6b1
Merge pull request #31 from quantopian/slippage_model_bug
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Slippage model bug
2012-11-27 11:02:00 -08:00
4d41070585
Fix for slippage time getting out of sync with algo.
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Moved grouping by date earlier in the pipeline of generators,
prior to any date-dependent state getting involved. Grouping
pulls from the pipeline until the start of the next group,
which is in the next day. The effect of grouping after
slippage but before handle_data is that slippage and the algo
are out of sync by a transaction.
2012-11-27 13:38:50 -05:00
c81d6a30d1
Fix to inject log dates from slippage methods.
2012-11-27 12:41:07 -05:00
04d8d25f0a
Merge pull request #30 from quantopian/pip_versions
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Explicitly list packages required by pandas.
2012-11-27 09:08:56 -08:00
0771e43736
Explicitly list packages required by pandas.
2012-11-27 11:59:05 -05:00
239b595a30
Removes unused pylint file.
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We've since moved to using flake8 for style checking.
2012-11-26 15:02:45 -05:00
4d0303cc75
Converts README.md file to ReST for setup's long_description.
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So that we can have one README.md in source control, but have
a README that is compatible with PyPI.
Adds pyandoc on which the doc conversion depends.
2012-11-26 14:48:03 -05:00
0ccdaa9f7c
Fixes and improves links in README.
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- Fixes the link to flake8
- Adds a link to pyflakes
2012-11-26 13:18:38 -05:00
0e88f6917b
Updates flake8 to latest. 1.6 -> 1.6.2
2012-11-26 09:45:59 -05:00
25687ea44a
Upgrades Cython to latest version. 0.17.1 -> 0.17.2
2012-11-23 19:38:40 -05:00
3a181529e2
fixed whitespace problem
2012-11-22 07:21:52 -05:00
bb108e5c08
Update zipline/transforms/utils.py
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emergency fix. the dropna was dropping the entire price dataframe from the datapanel.
2012-11-22 07:06:59 -05:00
7fd75cf96b
Merge pull request #28 from quantopian/fix-nans-in-transforms
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Fills in missing slots in transform data panels.
2012-11-21 17:32:11 -08:00
2c3d9a84db
Fills in missing slots in transform data panels.
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Forward fills data, so that when using multiple stocks,
we don't have cases where one stock has data and the other doesn't.
2012-11-21 17:54:57 -05:00
cbd3fa1e78
Update README.md
2012-11-21 13:37:56 -05:00
b5946fee37
Update README.md
2012-11-21 13:30:23 -05:00
0ba6f88a84
Fixes event window length in example algo.
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It was using the old days parameter.
2012-11-20 16:38:56 -05:00
9f715258e6
Updates pairtrade example to use window_length.
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Batch transforms now use window_length instead of days.
2012-11-20 16:31:18 -05:00
36fe43efce
Merge pull request #25 from quantopian/use-data-source-for-data-frame
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Use data source for data frame
2012-11-20 13:11:24 -08:00
e7dfca723d
Relase 0.5.3
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Main fix contained with in is the fix to the time step in risk
metric benchmarks.
2012-11-20 16:10:08 -05:00
7ff1ab2ab1
Makes indentation of setup.py compatible with flake8
2012-11-20 16:10:08 -05:00
5d779c8867
Merge pull request #27 from quantopian/dataloader_fixes
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Removed quarter utilities unused by zipline
2012-11-20 11:28:29 -08:00
f4be285dd7
Removed quarter utilities unused by zipline
2012-11-20 13:46:48 -05:00
b27ef0323f
Merge pull request #26 from quantopian/change-day-to-trailing-window
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Changes EventWindow parameter of days to window length.
2012-11-20 10:44:37 -08:00
ab6b754922
Changes EventWindow parameter of days to window length.
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The days parameter was causing confusion when explaining the
usage of the batch_transform decorator.
2012-11-20 11:52:27 -05:00
c9483a7e36
Merge branch 'master' into use-data-source-for-data-frame
2012-11-19 21:25:50 -05:00
68c5709f21
Stylistic compliance with flake8 checker.
2012-11-19 21:24:51 -05:00
8b16f7cfa0
Updates flake8 to latest in requirements txt.
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Meant to go with previous flake8 changes.
2012-11-19 20:44:03 -05:00
5a95122f21
Converts data frame source over to using DataSource base object.
2012-11-19 17:30:16 -05:00
f85ad50e60
Breaks the sources module into pieces.
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Clearing the way for adding in a DataSource class within the
sources module.
2012-11-19 17:30:16 -05:00
cf0de17b13
Merge pull request #22 from quantopian/fix_batch_transform_days
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BUG: batch_transform was wrongly updating when days < refresh_period.
2012-11-19 12:40:26 -08:00
4a1fbb7d03
Removes unused fuzzy_dates method.
2012-11-19 12:50:46 -05:00
Eddie Hebert