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Author SHA1 Message Date
Scott Sanderson a39a6e1bbf MAINT: Pass float to np.full explicitly. 2016-09-20 17:12:07 -04:00
Scott Sanderson 0ace6f7b8f MAINT: Don't use convert_objects(). 
It's not necessary, and it's deprecated.
 2016-09-20 17:12:07 -04:00
Scott Sanderson 0c550dc592 MAINT: Fix warnings from numpy labelarray methods. 2016-09-20 17:12:07 -04:00
Scott Sanderson 599d6c59ef MAINT: Fix warnings from numpy on NaT comparison. 2016-09-20 17:12:07 -04:00
Scott Sanderson 758ed0fffa MAINT: Pass float explicitly. 2016-09-20 17:12:07 -04:00
Scott Sanderson 9c82960876 MAINT: Use sort_values instead of sort(). 
Sort is deprecated.
 2016-09-20 17:12:07 -04:00
Scott Sanderson b5fd0cdbfa MAINT: Use sort_values() instead of sort(). 
pd.DataFrame.sort() is deprecated.
 2016-09-20 17:12:07 -04:00
Scott Sanderson 874d2b51f1 MAINT: Pass float explicitly to numpy. 2016-09-20 17:12:07 -04:00
Scott Sanderson d265abbbf1 MAINT: Use dataframe.iteritems instead of iterkv. 
iterkv is deprecated.
 2016-09-20 17:12:07 -04:00
Scott Sanderson 750b410a48 BUG: Use arrays for week/month group calculations. 
In pandas 0.18, the behavior of ``nth()`` changed so that Grouper no
longer can be easily used to recover group labels.

Instead of using the built-in grouper behavior, we use a groupby on two
arrays we build ourselves.  This recovers the original behavior, and is
about 2x faster as a bonus.
 2016-09-20 17:12:07 -04:00
Scott Sanderson 7fbde3227c MAINT/TEST: Clarify test_events. 
- Refer to ``sessions`` instead of periods.
- Use ``toolz.concat`` instead of an O(N ** 2) sequence of appends.
 2016-09-20 17:12:07 -04:00
Scott Sanderson 989d21514c MAINT: Pass float to np.full explicitly. 2016-09-20 17:12:07 -04:00
Scott Sanderson 40ef039e46 TEST/MAINT: Silence no_checkpoints warning. 2016-09-20 17:12:07 -04:00
Scott Sanderson 2772975e2d MAINT: Use float in np.full. 2016-09-20 17:12:07 -04:00
Scott Sanderson b188381747 MAINT: Pass explicit dtype to np.full. 2016-09-20 17:12:07 -04:00
Scott Sanderson becf897da9 MAINT: Fix failures/warnings in test_api_shim.py 
- Fixes a warning on indexing with a float that ultimately came from
  pd.Timedelta.total_seconds().  Adds ``timedelta_to_integral_seconds``
  and ``timedelta_to_integral_minutes()`` functions and replaces various
  usages of ``int(delta.total_seconds())`` with them.

- Fixes a warnings triggered in ``_create_daily_stats`` from
  passing tz-aware datetimes to np.datetime64.
 2016-09-20 17:12:07 -04:00
Scott Sanderson ccc31152a5 MAINT: Use arange instead of rolling_count. 
It's faster, and rolling_count is deprecated.
 2016-09-20 16:24:55 -04:00
Scott Sanderson f494003c18 MAINT: Update fetcher for pandas 0.18. 
- Remove support for usecols=[].
- Use sort_values instead of sort().
- Use errors='coerce' instead of coerce=True.
 2016-09-20 16:24:55 -04:00
Scott Sanderson 930f32f6a1 ENH: Make INT_DTYPES_BY_SIZE_BYTES ordered. 2016-09-20 16:24:55 -04:00
Scott Sanderson 37a2780632 DOC: Update LabelArray docstring. 2016-09-20 16:24:55 -04:00
Scott Sanderson cc11757b9c DOC: Remove out of date comment. 2016-09-20 16:24:55 -04:00
Scott Sanderson 36e4f70499 MAINT: Fix numpy deprecation warnings. 2016-09-20 16:24:55 -04:00
Scott Sanderson 77146ef489 MAINT: Explicitly use float64 in test. 2016-09-20 16:24:54 -04:00
Scott Sanderson 135080db84 MAINT: Don't use .loc with integers. 2016-09-20 16:24:54 -04:00
Scott Sanderson c998d619b1 MAINT: Bump numpy and pandas. 2016-09-20 16:24:54 -04:00
Richard Frank 3fff6591cf Merge pull request #1493 from quantopian/enumpycal 
Enumpycal
 2016-09-19 16:27:13 -04:00
Richard Frank b924c3b795 PERF: Use empyrical with ndarrays instead of Series 2016-09-19 15:51:06 -04:00
Richard Frank 29c65d95b9 MAINT: Removing unused array and unused attribute 2016-09-19 15:19:30 -04:00
Jean Bredeche 77e50beade Merge pull request #1497 from quantopian/you-count-way-too-slowly 
PERF: Be smarter about counting the number of minutes across a contiguous bunch of sessions.
 2016-09-19 14:34:11 -04:00
Jean Bredeche 87eb87525f PERF: Be smarter about counting the number of minutes across a contiguous bunch of sessions. 2016-09-19 13:25:03 -04:00
Andrew Daniels 95e07f2735 ENH: Adds truncate method to BcolzMinuteBarWriter (#1499) 2016-09-19 13:02:48 -04:00
Eddie Hebert 7de7067bdb Merge pull request #1496 from quantopian/revert-load-adjustments 
Revert "Merge pull request #1490 from quantopian/use-load-adjustments…
 2016-09-19 09:38:02 -04:00
Eddie Hebert 36b50554f6 Revert "Merge pull request #1490 from quantopian/use-load-adjustments-for-history" 
This reverts commit 86c7635b45, reversing
changes made to c77f2b92df.

Some real world cases hit errors with this change, due to the new offset
logic attempting to create Adjustments with invalid parameters.

Will identify exact conditions that cause this error and add as a test
case before remerging.
 2016-09-19 08:53:31 -04:00
Jean Bredeche 592a4dfd65 Merge pull request #1492 from quantopian/cache-minute-to-session-lookups 
PERF: Save up to 80% of the calls to minute_to_session_label
 2016-09-16 16:07:13 -04:00
Jean Bredeche 1d2e1015c7 PERF: Save up to 75% of the calls to minute_to_session_label 
One year NYSE test that buys a lot triggers 492,963 calls to
minute_to_session_label.  Only 98924 ~(390 * 252) make it past the
cache and trigger the heavier computation.
 2016-09-16 15:18:50 -04:00
Jean Bredeche f1dba1deb5 Merge pull request #1491 from quantopian/faster-lru-cache-take-2 
ENH: Switching from cachetools.LRUCache to lru-dict's LRU cache.
 2016-09-16 11:29:45 -04:00
Jean Bredeche eb7e1fa580 ENH: Switching from cachetools.LRUCache to lru-dict's LRU cache. 
lru-dict is written in C and seems much more performant.
 2016-09-16 11:03:13 -04:00
Eddie Hebert 86c7635b45 Merge pull request #1490 from quantopian/use-load-adjustments-for-history 
MAiNT: Use load_adjustments for history.
 2016-09-15 16:01:23 -04:00
Jean Bredeche c77f2b92df Merge pull request #1488 from quantopian/who-said-you-could-forward-fill-stop-that 
ENH: Make reader.get_value raise NoDataOnDate if the date is not in the calendar.
 2016-09-15 15:41:36 -04:00
Eddie Hebert 069abae1a3 MAiNT: Use load_adjustments for history. 
Instead of `HistoryLoader` containing separate adjustment calculation
logic, use `SQLiteAdjustmentReader.load_adjustments`.

This change required the addition of two offset parameters to
`load_adjustments` since the perspective on the data from within
`schedule_function` is skewed from how Pipeline looks at historical
data.

This is working towards creating an `AdjustmentReader` abc which
`SQLiteAdjustmentReader` and a upcoming continuous future adjustment
reader will share.
 2016-09-15 15:32:10 -04:00
Jean Bredeche ae0d41af6f ENH: Make reader.get_value raise NoDataOnDate if the date is not in the calendar. 
DataPortal now catches the NoDataOnDate exception and returns nan for
OHLC and 0 for V.

Price is still forward filled, unchanged.
 2016-09-14 22:21:43 -04:00
Richard Frank e1b27c45ae BLD: empyrical doesn't have a binary dependency on numpy 
so we don't need to tag its conda packages with the numpy version
 2016-09-14 21:04:07 -04:00
Scott Sanderson 2aa646c711 Merge pull request #1484 from quantopian/refcount-pipelines 
PERF: Release unneeded pipeline terms.
 2016-09-14 20:24:10 -04:00
Scott Sanderson 17d95691ad STY: Flake8 and parameter rename. 2016-09-14 14:45:00 -04:00
Jean Bredeche 5e52d29e88 Merge pull request #1486 from quantopian/all-the-readers-unite 
MAINT: Add BarReader base class for both minute and session readers
 2016-09-14 14:32:01 -04:00
Jean Bredeche a5693d0589 MAINT: Add BarReader base class for both minute and session readers 2016-09-14 13:47:12 -04:00
Scott Sanderson 31436cdedd MAINT: Move refcount management into TermGraph. 2016-09-14 11:16:40 -04:00
Scott Sanderson 3babc38038 PERF: Release unneeded pipeline terms. 
Refcount pipeline terms during execution and release terms once they're
no longer needed.

This dramatically reduces memory usage on large pipelines.
 2016-09-13 23:28:25 -04:00
John Ricklefs fb0981eef0 MAINT: Add additional fields to __getitem__ for Order (#1483) 
These were previously available like the others.
 2016-09-13 15:49:16 -04:00
John Ricklefs 508c7ace11 Revert "added DGZ to delete list" (#1481) 
This reverts commit a5ecaf4c3a.

This causes downstream problems; unsure why, Jamie advised
reverting.
 2016-09-13 14:45:12 -04:00