984e934e83
BUG: Fix OSError when creating sids that share dir
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Fix a bug where creating a sid bcolz file when the containing directory
was already occupied by a sid caused an OSError on attempt of creating
the directory because it already existed.
e.g. if there were two sids, `1` and `2`. The paths would be
`00/00/000001.bcolz` and `00/00/000002.bcolz` which share the same
directory `00/00`.
Fixed by checking for directory existence before calling `makedirs`.
Add test coverage which exercises writing of sids that are siblings in
the sid directory structure.
2016-01-25 10:37:50 -05:00
603a345e2d
BUG: Allow writing on first day.
2016-01-21 11:10:57 -05:00
3a8be8c624
BUG: Need to be able to append to minute ctable.
2016-01-21 11:10:07 -05:00
85be1b0a40
Merge pull request #963 from quantopian/minute-writer-for-one-per-sid-2
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ENH: Add writer for minute bcolz format.
2016-01-21 10:59:38 -05:00
d5c3b5a15c
ENH: Add writer for minute bcolz format.
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Implement a writer for minute data into a format comprised of multiple
ctables, one for each individual asset, with a common 'index' shared by
all ctables where a given a dt maps to the same array index for all
equities and fields.
This format is pulled from the lazy-mainline/Q2.0 branch, with some
changes to the interface.
Add basic retrieval of values at a given dt to reader. Not yet used by
Zipline simulations, but added to support unit tests.
Also, rename stubbed out us_equity_minutes to minute_bars, since the
writer can be agnostic to asset type.
2016-01-21 10:54:27 -05:00
ab573731d9
BLD: make the travis build closer to a normal install
2016-01-20 18:14:07 -05:00
b16e2a7a07
Merge pull request #950 from quantopian/account-value-bug
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BUG: Account object's total_position_value is incorrect
2016-01-20 09:38:13 -05:00
85099c3bd0
DOC: whatsnew entry for total_positions_value bug fix
2016-01-19 16:11:22 -05:00
1365b916c0
TST: Adds tests for the perf tracker with futures
2016-01-19 16:11:22 -05:00
b8b7049f39
BUG: Fixes incorrect value assignment in perf period
2016-01-19 16:11:22 -05:00
3b76981270
Merge pull request #846 from grundgruen/data_test
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TST: tests removing of expired data and removes ffill in DataPanelSource
2016-01-19 13:05:15 -05:00
0dac2e056f
Merge pull request #937 from quantopian/conda_source_build
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Conda source build
2016-01-15 18:38:50 -05:00
e80eb31833
BLD: pin ta-lib while working on conda packages
2016-01-15 13:48:22 -05:00
7115b85cd3
Merge pull request #947 from quantopian/data-query-time
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allows users to specify the cutoff time for data query in blaze loaders
2016-01-14 14:11:07 -05:00
a3dbf7590e
TST: doctest failure
2016-01-13 16:36:20 -05:00
6280614a69
DOC: whatsnew
2016-01-13 16:36:20 -05:00
9d2ab48fb5
MAINT: pull the data query bounds logic into a helper
2016-01-13 16:08:29 -05:00
2caa9277c4
ENH: Make the data_query_time arguments optional
2016-01-13 15:26:37 -05:00
5351b60a4c
ENH: adds optionally for preprocessors
2016-01-13 15:26:37 -05:00
220cf1ae4e
MAINT: reduce code duplication
2016-01-13 15:26:13 -05:00
5a235bdaef
ENH: allows users to specify the cutoff time for data query in blaze
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loaders
This allows people to set their cutoff time to the time they will
actually execute 'before_trading_start'. Currently this is just passed
to the constructor of the loader; however, I would like to make this
managed by the algorithm simulation runner. This would help keep all of
the loaders in sync and lock 'before_trading_start's execution to the
time the data is queried for.
2016-01-13 15:26:13 -05:00
dad2bb201c
DOC: remove scrutinizer badge
2016-01-12 18:29:47 -05:00
168857f36f
Merge pull request #948 from quantopian/add-coerce
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Add coerce
2016-01-12 18:13:40 -05:00
843280133d
DOC: Add whatsnew.
2016-01-12 17:51:29 -05:00
b6175de5f1
DOC/TEST: Add doctest and docs for coerce kwargs.
2016-01-12 17:51:13 -05:00
ec0abf1822
MAINT: Use coerce_string in BcolzDailyBarReader.
2016-01-12 17:39:44 -05:00
c8b80dddb0
BUG: Handle unicode adjustments path in py2.
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In Python 2, passing unicode to SQLiteAdjustmentReader would fail to
coerce.
2016-01-12 17:39:36 -05:00
43b6344d5f
ENH: Add `coerce` preprocessor.
2016-01-12 17:36:36 -05:00
d3d362f56f
Merge pull request #940 from quantopian/generalize-databazaar-stuff
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MAINT: Move code to shared modules
2016-01-08 17:01:39 -05:00
b4ac87b344
MAINT: rename variables in (next|previous)_date_frame to be more general
2016-01-08 13:21:34 -05:00
280a0f55d2
STY: remove blank line
2016-01-08 13:11:31 -05:00
826115acdf
MAINT: generalize the (next|previous)_earnings_date_frame functions
2016-01-08 13:11:31 -05:00
b037a06576
MAINT: move some blaze utilities into a shared module
2016-01-08 13:11:31 -05:00
fb6d1ea3d1
MAINT: move some helpers to test_utils
2016-01-08 13:11:31 -05:00
a2d1fedffd
ENH: Adds classlazyval for computed values on a class
2016-01-08 13:11:31 -05:00
5c3ca1be83
Merge pull request #944 from quantopian/upgrade_requests_version
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MAINT: Upgrade requests 2.7.0 -> 2.9.1
2016-01-07 14:25:42 -05:00
2ee40db0ec
MAINT: Upgrade requests 2.7.0 -> 2.9.1
2016-01-06 22:33:33 -05:00
18db1904bc
BUG: Need to format message, not ValueError instance
2016-01-06 16:02:18 -05:00
1499051df7
BUG: TypeError message had only str of numpy.dtype class
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We want to use the dtype of the data that was passed in.
2016-01-06 15:29:58 -05:00
80a553d1c0
Merge pull request #938 from quantopian/futures-payouts-without-every-bar-update
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MAINT: Futures cash adjustment on change and calc.
2016-01-06 10:25:29 -05:00
1362f155c6
BUG: Make payout affect ending_cash.
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The payout should be reflected in ending cash, not just the total used
for pnl.
2016-01-06 10:17:37 -05:00
aa0dae6292
DOC: Added whatsnew for conda build
2016-01-05 21:30:43 -05:00
80392e1cdb
BLD: Also don't need to specify cython version for conda build
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Will run setup.py
2016-01-05 21:27:03 -05:00
6b4287c390
BLD: Cap numpy at 1.9 and don't use exact version with other conda reqs
2016-01-05 21:10:38 -05:00
ab3318f3ee
Merge pull request #942 from quantopian/cli-fix
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BUG: fix bug that caused symbols to be added to the asset finder twice
2016-01-05 18:06:33 -05:00
f09af0b770
DOC: whatsnew entry
2016-01-05 18:08:20 -05:00
a524cf1880
BUG: fix bug that caused symbols to be added to the asset finder twice
2016-01-05 16:27:46 -05:00
b1ee0d8e44
Merge pull request #931 from quantopian/alembic-assets
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MAINT: Factors-out asset db schema
2016-01-05 14:18:37 -05:00
7acd0d7a1d
MAINT: Refactors table assignment in AssetDBWriter
2016-01-05 13:48:00 -05:00
00879245a4
BUG: Adds version checking to AssetFinder init
2016-01-05 13:48:00 -05:00
Eddie Hebert