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2123 Commits
Author SHA1 Message Date
warren-oneill 987d6d4e48 TST: tests removing of expired data and removes ffill in DataPanelSource 2015-11-17 17:22:31 +01:00
Scott Sanderson 43ac9eab5c ENH: Check getmtime on download locations. 
Rather than repeatedly try and fail to download data that's not yet
available, only try to download again if we haven't successfully
downloaded in the last hour.
 2015-11-13 18:06:04 -05:00
Scott Sanderson 1b7d0c9477 MAINT: Add __future__ print function import. 
We do print(stock) in this file, which happens to work in py2, but is
confusing.
 2015-11-13 18:06:04 -05:00
jfkirk e1e160a128 MAINT: Factors-out asset db table schemas for cleanliness 2015-11-12 14:43:11 -05:00
jfkirk 85dd4b70dd MAINT: Renames 'version' table to 'version_info' for clarity 2015-11-12 14:43:11 -05:00
jfkirk 6aac54544e MAINT: Only write asset db version on db creation 2015-11-12 14:43:11 -05:00
jfkirk 48e488d423 ENH: Adds versions to asset databases 2015-11-12 14:43:11 -05:00
Maya Tydykov 1fe4dfe229 Merge pull request #830 from quantopian/equity_caching 
Equity caching
 2015-11-12 14:01:29 -05:00
Maya Tydykov df492ecf7f DOC: add whatsnew entry for AssetFinderCachedEquities. 2015-11-12 11:02:30 -05:00
Maya Tydykov d0cb5bd513 ENH: add extension to AssetFinder that caches all equities in memory and uses that cache in lookup_symbol. 2015-11-12 11:02:26 -05:00
llllllllll f0dd92772f MAINT: typos 2015-11-11 19:24:25 -05:00
llllllllll b24c8fc7f4 TST: Adds a subtest decorator. 
Allows us to run subtests while still seeing which parameter
combination caused the tests to fail. The decorator can be used to
create subtests inside a test or to parameterize an entire test method.

We cannot use something like unittest2.TestCase.subTest because our test
runner does not support that.
 2015-11-11 19:22:53 -05:00
llllllllll c8a095775c MAINT: remove old version.py 2015-11-11 18:47:51 -05:00
llllllllll bd0da175ad BLD: Adds versioneer 
versioneer let's us track the version using git tags. This prevents
issues like the 0.8.2->0.8.3 push. This also puts the number of commits
from the release and the commit you are on in the version.
 2015-11-11 18:47:51 -05:00
llllllllll 88a53fbdd1 ENH: update context_tricks 
Moves _nop_context to context_tricks under the name nop_context.
Uses an explicit object for the actual context manager in callback
manager.
 2015-11-11 14:19:13 -05:00
llllllllll 0cb4c38717 ENH: Allow users to pass a context manager to wrap all scheduled 
functions.

This includes handle_data.
 2015-11-11 14:19:13 -05:00
jfkirk af021f0db5 BUG: FutureChain's as_of() now properly coerces arguments 2015-11-10 14:03:19 -05:00
llllllllll 1aeae88d99 BUG: only infer delta if no delta is passed 2015-11-10 12:03:46 -05:00
llllllllll e9376453f4 BUG: the simple transform caching caused the length of the siddata object to change which would mark it as not-empty 2015-11-10 12:03:46 -05:00
llllllllll f7f5f538a5 REL 0.8.3 
We messed up the sdist a couple times.
 2015-11-06 19:41:49 -05:00
llllllllll 1955146184 REL: 0.8.0 2015-11-06 15:10:34 -05:00
Scott Sanderson 7d35a17f76 Merge pull request #822 from quantopian/cant-set-lazy 
ENH: Raise on attempt to set a lazyval.
 2015-11-06 13:20:34 -05:00
Scott Sanderson 6b49081f54 MAINT: __set__ takes instance and value. 2015-11-06 13:03:31 -05:00
Scott Sanderson f3f001e14a ENH: Raise on attempt to set a lazyval. 2015-11-06 12:39:59 -05:00
Joe Jevnik 5ef9056a9b Merge pull request #808 from quantopian/delta-on-last-requested-date 
BUG: Corrects an index error in blaze loader.
 2015-11-05 16:59:04 -05:00
llllllllll 80cc2bd6f6 BUG: Corrects an index error in blaze loader. 
Fixes the case where a delta has an asof_date of the last requested
day and an index error would occur. This guards against this
specifically to make the delta be effective through the end of the
requested window.

Adds a test case for this behavior.
 2015-11-05 16:40:28 -05:00
Scott Sanderson 90e717f6a7 Merge pull request #821 from quantopian/cme-codes-reference 
ENH: Add CME code lookup table.
 2015-11-05 14:19:36 -05:00
Scott Sanderson 744a998b9a ENH: Add CME code lookup table. 2015-11-05 13:57:44 -05:00
Scott Sanderson a14c61e7ff MAINT: Remove unused 'asset_type' metadata entry. 2015-11-05 13:35:05 -05:00
puppyandRichard Frank a82415c77b BUG: Address issue #801 and add test. Pass panel directly to 
object instead of data.
 2015-11-05 10:18:57 -05:00
puppyandRichard Frank e50858315b BUG: Issue #801 Initializing TradingAlgorithm Object Does Not Set 
_analyze Method in algorithm.py

Added one line to check for the keyword argument 'analyze' and set the
the _analyze method when a TradingAlgorithm object is initialized
within a script.
 2015-11-05 10:16:48 -05:00
Scott Sanderson 7eeacbe0e9 Merge pull request #796 from quantopian/prevent-history-in-initialize 
ENH: Fail when history() is called in initialize.
 2015-11-04 22:29:16 -05:00
Richard Frank 1377d25c95 BUG: Ensure that we view the datetime64s in the index as 64bit 
Using int with 32bit numpy produces an array of 2n ints, each
representing half a datetime.
 2015-11-04 08:31:18 -05:00
jfkirk 40399fc743 MAINT: Removes unused allow_sid_assignment arg 2015-11-03 14:14:06 -05:00
Scott Sanderson 8cd4f7d100 MAINT: Make load_adjusted_array return a dict. 
Rather than a list that's ordered the same as the received columns.
Most nontrivial loaders were constructing dicts internally and then
converting back to lists, only to have the engine convert **back again**
into a dict.  This cuts out the middleman, and prevents bugs due to
incorrect ordering of the output arrays.
 2015-11-03 11:16:21 -05:00
jfkirk a1584cebe7 STY: Factors-out event price handling 2015-11-02 10:02:58 -05:00
jfkirk 7d29bb6a67 BUG: Fixes failure to account for Futures transaction prices 2015-10-30 12:04:38 -04:00
warren-oneillandjfkirk 3f66e6c66a TST: adds future flip test 2015-10-30 10:07:46 -04:00
Richard Frank d7add5b248 ENH: Makes chunk_size configurable in attach_pipeline 
Default first chunk is smaller for more immediate results
 2015-10-27 16:15:54 -04:00
Scott Sanderson 114c3d3bdf DOC: Weaker modality for history in initialize. 
`history` works, with some caveats, in before_trading_start as well.
 2015-10-27 14:38:26 -04:00
Scott Sanderson 4826787475 ENH: Fail when history() is called in initialize. 2015-10-26 12:04:31 -04:00
Scott Sanderson 01888918dd MAINT: Use itemgetter instead of homegrown func. 2015-10-25 16:37:59 -04:00
Scott Sanderson 75f7c44223 BUG: Better check for last date. 
Use get_loc to find the trading day that ended 2 days before now.
 2015-10-25 16:37:59 -04:00
Scott Sanderson 8fd18e5aa6 DOC: Comment on treasury division by 100. 2015-10-25 16:37:59 -04:00
Scott Sanderson 0710062e6a DOC: Docstring edits. 2015-10-25 16:37:59 -04:00
Scott Sanderson cabe22ae8e ENH: Always use Adjusted Close for benchmarks. 
Previously we were using Close, and we calculated returns on the first
day of a window against the Open for that day.  We now always look back
an extra day to get the previous day's close.
 2015-10-25 16:37:59 -04:00
Scott Sanderson df4cda4dc9 ENH: Remove defaults from get_benchmark_data. 2015-10-25 16:37:59 -04:00
Scott Sanderson d82cfb1e64 MAINT: Final polish on loader rewrites. 
- Fixes an issue with the canadian treasury loader where it would never
  have enough data to not redownload because it can only download data
  in the last 10 years.
- Uses module objects directly instead of lazy imports.
- Adds lots of docstrings.
 2015-10-25 16:37:59 -04:00
Scott Sanderson 71db6d3fdc MAINT: Remove unused loader_utils file. 2015-10-25 16:37:59 -04:00
Scott Sanderson 24d26f9e63 MAINT: Rewrite the benchmark loader. 2015-10-25 16:37:59 -04:00