Previously, on the dt of a capital change, we use the un-updated
prices to find the ending performance of the previous subperiod and
then got the new prices to determine the portfolio value used to
calculate the delta, without actually updating the performance
before applying the capital change. This logic is confusing and
unintuitive. Instead, save the ending performance as we do previously,
but have temp values for the starting current subperiod value.
Update those temp values after processing the capital change
Changes the overlap behavior so that it is an error to write data which
would have two companies holding the same ticker. Other than one test
around which company would win in that case, all the other tests are
passing. That single test has been changed to check the write-time
error.
Set the version to 1, with a fallback of version of 0 if version is not
found.
If the version is 0, use 390 (US Equities) for the number of minutes in
the day, so that existing files work as before.
Adds a minutes_per_day field to BcolzMinuteBarMetadata, so that the
minutes_per_day value passed to the BcolzMinuteBarWriter is written as a
part of the minute bar metadata. This allows the reader to share this
value, instead of always assuming 390.
Also rebuilds the example data to incorporate this format change.
- Added test coverage for grouped and masked top/bottom.
- Added test coverage for grouped rank on datetime factors.
- Fixed an issue where grouped rank would fail on datetime inputs
because unary-negative isn't defined for datetimes. We now instead
directly invoke a function from rank.pyx that does the normalizations
as neeeded.
- Fixed an issue where GroupedRowTransform assumed that it produced the
same dtype as its input. This isn't true for rank() of a
datetime-dtype factor. GroupedRowTransform now takes a required dtype
parameter.
- Similarly, fixed an issue where GroupedRowTransform assumed that its
missing_value was the same as its parent's, which isn't true for
rank() of a datetime-dtype factor. GroupedRowTransform now takes a
required dtype parameter.
- Fixed an issue where Factor.demean() and Factor.zscore() weren't
properly cached because their static_identity included a closure that
was dynamically generated on each invocation. They both now always
use a function defined at module scope.
AlgorithmSimulator will no longer check for capital changes.
Instead, TradingAlgorithm find and calculate the changes, and
PerformanceTracker will apply the changes
Andrew Liang