wassname/catalyst
1
0
Fork 0
mirror of https://github.com/wassname/catalyst.git synced 2026-06-29 01:57:31 +08:00
Code Issues Packages Projects Releases Wiki Activity
4,150 Commits 16 Branches 39 Tags
9e3404646ee415560ea4a07de77eb29aa4262886
Commit Graph

4150 Commits

This Branch
This Branch
All Branches
Author SHA1 Message Date
Andrey Portnoy 9e3404646e add groupby to rank, top, and bottom 2016-07-25 23:53:33 -04:00
Lotanna Ezenwa 161922897e Merge pull request #1282 from quantopian/fix-data-tests-discovery 
TST: fix bundle test discovery
 2016-07-25 18:36:38 -04:00
Joe Jevnik 828ddbd927 Merge pull request #1348 from quantopian/pycon2016_cap 
TrueRange Factor
 2016-07-25 15:05:11 -04:00
LotannaEzenwa f43941933f ENH: Makes working_dir work on Windows. Updates bundle core 2016-07-25 13:10:23 -04:00
Joe Jevnik b2ee6c6f84 BUG: forward show_progress in yahoo 2016-07-25 13:09:55 -04:00
Joe Jevnik ec0ecfc1b9 TST: don't use showprogress in tests 2016-07-25 13:09:55 -04:00
Joe Jevnik 25ed414a66 MAINT: use new tempdir for windows 2016-07-25 13:09:55 -04:00
Joe Jevnik e8728c0cd4 TST: fix data tests 2016-07-25 13:09:55 -04:00
Joe Jevnik ef4eafbbb8 TST: fix bundle test discovery 2016-07-25 13:09:55 -04:00
Joe Jevnik 25474cf475 DOC: add default inputs and window length to TrueRange 2016-07-25 12:37:25 -04:00
ChrisPappalardo 072ada812a STY: fixed flake8 failing test 2016-07-25 12:37:25 -04:00
ChrisPappalardo 5888cf1657 ENH: add true range technical factor 2016-07-25 12:37:25 -04:00
Andrew Liang 2fe94d0c29 Merge pull request #1337 from quantopian/margin_changes 
Capital Changes Refactoring
 2016-07-25 10:54:34 -04:00
Scott Sanderson 75b3dc6fe4 Merge pull request #1338 from quantopian/window-safe-filters 
ENH: made filters window safe
 2016-07-25 10:38:08 -04:00
Andrew Liang 0955515c46 TEST: Test capital changes using target values 2016-07-25 10:05:47 -04:00
Andrew Liang fdf8cdcd68 BUG: Account object missing initial total_positions_exposure attr 2016-07-25 10:05:47 -04:00
Andrew Liang a9d698018a MAINT: Refactor checking, calculation and processing of capital changes 
AlgorithmSimulator will no longer check for capital changes.
Instead, TradingAlgorithm find and calculate the changes, and
PerformanceTracker will apply the changes
 2016-07-25 10:05:47 -04:00
Jean Bredeche a5342550b1 Merge pull request #1347 from quantopian/all-daily-bar-readers-need-sessions 
BUG: Implement `sessions` property for `PanelDailyBarReader`
 2016-07-24 21:41:50 -04:00
Scott Sanderson 3cc1cf078a TEST: Parameterize over window_length. 2016-07-24 21:21:40 -04:00
Scott Sanderson be857ead0e DOC: Clarify default window-safety for Filters. 2016-07-24 21:17:16 -04:00
Scott Sanderson a424225dce Merge pull request #1345 from quantopian/notnull-filter 
ENH: Add NotNullFilter.
 2016-07-24 21:15:08 -04:00
Jean Bredeche 7418e893a9 BUG: Implement sessions property for PanelDailyBarReader 
Also, renamed it from `_sessions_ to `sessions` and defined an
abstractproperty in `DailyBarReader`.
 2016-07-24 21:08:11 -04:00
Gil Wassermann ea01fb074a STY: style changes 2016-07-22 16:08:33 -04:00
Scott Sanderson 43957b0d09 ENH: Add NotNullFilter. 2016-07-22 15:32:46 -04:00
Gil Wassermann 9c6aa0cd58 DOC: Added documentation about window-safe filters 2016-07-22 15:21:18 -04:00
Gil Wassermann b4aa0aecbb STY: Flake8 2016-07-22 15:08:34 -04:00
Gil Wassermann 36a727f4af ENH: sum vs nansum cleared up 2016-07-22 14:56:59 -04:00
David Michalowicz 5fd6550718 Merge pull request #1344 from quantopian/more-docs-tweaks 
Pipeline docstring tweaks
 2016-07-22 14:44:15 -04:00
Gil Wassermann 5e991a16d3 ENH: Test added and runs without error 2016-07-22 14:30:35 -04:00
dmichalowicz f404538008 DOC: More pipeline docstring tweaks 2016-07-22 13:54:16 -04:00
Jean Bredeche f44f0ff454 Merge pull request #1342 from quantopian/deal-with-bad-getdatetime-params 
ENH: Deal with bad parameters to `get_datetime`
 2016-07-21 22:14:02 -04:00
Jean Bredeche 63ef840363 ENH: Verify params passed to get_datetime 2016-07-21 20:42:28 -04:00
Gil Wassermann c31d3b7904 ENH: Test now works 2016-07-21 12:25:02 -04:00
Gil Wassermann 21b33f03f9 ENH: test filter up and running 2016-07-21 10:21:19 -04:00
Gil Wassermann 98be158c20 ENH: storing commits. test case added 2016-07-21 08:49:41 -04:00
Gil Wassermann d7b631617c ENH: made filters window safe 2016-07-20 17:10:08 -04:00
Andrew Liang f146d6d8c1 MAINT: For capital changes, support input of delta or target value 
For target changes, calculate the delta using the portfolio value
of the current minute
 2016-07-20 15:44:41 -04:00
David Michalowicz 71b2363775 Merge pull request #1336 from quantopian/pipeline-docs-touchups 
DOC: Pipeline docstring edits
 2016-07-20 15:38:33 -04:00
dmichalowicz 9cc5796b3e DOC: Pipeline docstring edits 2016-07-20 15:10:23 -04:00
Andrew Liang 52cb0fc70a DEV: Allow net_leverage value to be forced by broker 2016-07-20 11:20:08 -04:00
Jean Bredeche adea192f02 BLD: Fix some imports. 2016-07-20 09:10:32 -04:00
Jean Bredeche f640f331c2 Merge pull request #1335 from quantopian/more-calendars 
ENH: ICE calendar, more calendar tests, cleaned up CME calendar
 2016-07-20 08:29:35 -04:00
Jean Bredeche 21aca754ba ENH: Reorganized internal calendar implementation. 
Added tests for CME calendar.

Added ICE calendar (and tests).

Added CFE calendar (and tests).
 2016-07-19 22:27:34 -04:00
Andrew Daniels 6cebf05417 BUG: Further corrections for days_at_time (#1334) 
* BUG: Further corrections for days_at_time

- Revert to using DateOffset, as Timedelta doesn't handle offsetting by
  one day over a tz change properly:

    In [12]: pd.Timestamp('2004-04-05', tz='America/Chicago') + pd.Timedelta(days=-1)
    Out[12]: Timestamp('2004-04-03 23:00:00-0600', tz='America/Chicago')

    In [13]: pd.Timestamp('2004-04-05', tz='America/Chicago') + pd.DateOffset(days=-1)
    Out[13]: Timestamp('2004-04-04 00:00:00-0600', tz='America/Chicago')

  By creating a DateOffset using the `days` kwarg, the issue previously
  fixed in bcc867b is addressed.

- To preempt any other pandas issues around day offsets, changes to
  performing these with no timezone, then localizing to the local
  timezone when shifting the time.
- Adds unit test for days_at_time

* STY: Remove unused import
 2016-07-19 13:19:40 -04:00
David Michalowicz b364b0fbfc Merge pull request #1307 from quantopian/sid-to-sid-2 
Factor-to-factor correlations and regressions
 2016-07-19 13:14:40 -04:00
dmichalowicz a8486c5f6e ENH: Factor-to-factor correlations/regressions 2016-07-19 11:16:55 -04:00
Andrew Daniels dffdf0a670 Merge pull request #1333 from quantopian/fix-days-at-time-offset 
BUG: Fixes issue with offsetting days in days_at_time calendar helper
 2016-07-18 17:53:11 -04:00
Andrew Daniels bcc867b143 BUG: Use Timedelta instead of DateOffset in days_at_time calendar helper 
Prior to pandas 17, there were issues with offsetting dates with
DateOffset around discontinuities (like the start of DST). We can use
Timedelta here instead, which handles these edge cases.
 2016-07-18 17:11:11 -04:00
Jean Bredeche 5f09203827 Merge pull request #1330 from quantopian/fix-daily-bar-writer 
Fix daily bar writer
 2016-07-15 15:41:20 -04:00
Jean Bredeche 5a0f840917 Clean up daily bar reader/writer to take advantage of new trading calendar. The reader 
is backwards-compatible with the previous format.

In USEquityLoader, use dailyreader's trading_calendar.

This is backwards compatible and will fall back to the NYSE calendar if
the reader doesn’t have a calendar specified.
 2016-07-15 15:13:57 -04:00