a3c1f4ce36
MAINT: Standardize reader get value methods.
...
The daily/session bar reader's `spot_price` took the same parameters and
returned the same kind of output as the minute bar reader's `get_value`.
Standardize on one method to make a common interface, which may be
formally factored out in a later patch; to help enable writing reader
implementations or mixins which can be agnostic to the bar frequency.
2016-08-24 12:46:36 -04:00
20f9241252
Merge pull request #1322 from quantopian/move_risk_calculations
...
Move risk calculations
2016-08-23 18:39:22 -04:00
1f829f8c92
MAINT: Update whatsnew for empyrical changes
2016-08-23 17:02:12 -04:00
a4638026c7
TST: Rebuilt example data using empyrical
2016-08-23 13:49:48 -04:00
f0af856c13
TST: Update to empyrical, increase test coverage
...
ENH: Resolve rebase conflict by using updated example_data.tar
TST: Increase test coverage for risk portion of zipline
2016-08-23 13:49:43 -04:00
902865cf71
ENH: Use qrisk to calculate risk metrics in cumulative and period
...
TST: Remove metric correctness testing from period and cumulative tests
ENH: Removed answer key and related files
ENH: Update qrisk version
2016-08-23 13:49:27 -04:00
78015066c8
Merge pull request #1427 from quantopian/use-equities-calendar-in-equity-fixtures
...
TST: Use equity calendar when writing equity data
2016-08-23 12:15:00 -04:00
6b2d614227
TST: Use equity calendar when writing equity data
...
Use the equity calendar to write equity data, even when the simulation
calendar has been set to a different calendar.
Discovered when writing a test that used a calendar for future asset
data, but also wrote equity data.
2016-08-23 11:11:32 -04:00
0c12e4a5a6
Merge pull request #1426 from quantopian/really-ingest
...
BUG: Fixes zipline ingest with non-default bundle on python 2
2016-08-22 18:56:27 -04:00
f247bc8d05
BUG: Fixes zipline ingest with non-default bundle on python 2
2016-08-22 18:30:39 -04:00
193b657bfe
BUG: Fixes BcolzMinuteBarMetadata to read the version correctly ( #1425 )
...
We were mistakenly using the minute_per_day field.
We now expose from the metadata object the version from which the
metadata was read. This allows a new test that verifies the version is
read correctly.
2016-08-22 17:45:07 -04:00
5be7e006e4
Merge pull request #1423 from quantopian/fix-sharedoc
...
Fix sharedoc
2016-08-22 14:51:05 -04:00
6fc5d7360d
Merge pull request #1422 from quantopian/fix-ewma-constructors
...
BUG: Add kwargs to ewma constructors
2016-08-22 14:29:10 -04:00
8af09141f9
Merge pull request #1424 from quantopian/no-more-symbols
...
DOC: Updated more docs to remove --symbols, which was removed
2016-08-22 13:43:56 -04:00
4c2783f7ca
DOC: Updated more docs to remove --symbols, which was removed
2016-08-22 13:29:16 -04:00
ae121ec1dc
MAINT: Simpler impl of pad_lines_after_first.
2016-08-22 13:14:31 -04:00
c19d2855ad
Added kwargs to ewma constructors
...
fixed typos
2016-08-22 13:14:23 -04:00
d52ff04626
DOC: Fix docs formatting for sharedoc.
...
The first line of indentation was incorrect.
2016-08-22 13:01:32 -04:00
2b5ae892f8
Merge pull request #1407 from quantopian/minute_panel_daily_history
...
ENH: Add fast "vectorized" `minute_to_session_label` for DatetimeIndex
2016-08-22 10:27:40 -04:00
2eff193759
Merge pull request #1418 from quantopian/all-calendars
...
All calendars
2016-08-22 08:48:33 -04:00
cb097a2b80
DOC: Added licenses to calendar modules
2016-08-21 17:19:59 -04:00
19c9bc2f41
MAINT: Removed unused holiday definitions
2016-08-21 17:19:59 -04:00
09bd2abe2f
BUG: Fix and test getting all default calendars
2016-08-21 17:19:59 -04:00
aaa678d338
Merge pull request #1416 from quantopian/exch_full_synthetic
...
ENH: Expose exchange_full on all Asset types
2016-08-20 13:51:29 -04:00
8e3cc484db
ENH: If no exchange_full provided, use exchange
2016-08-19 16:45:52 -04:00
ccde5cbf56
ENH: Add exchange_full to all Assets, incl. Futures.
2016-08-19 16:45:52 -04:00
fce87015d2
ENH: Expose exchange_full on Equity objects
2016-08-19 15:59:52 -04:00
5fb415eb12
ENH: Adds QuantopianUSFuturesCalendar ( #1414 )
...
For trading US futures across the exchanges supported by Zipline.
2016-08-19 13:40:09 -04:00
653865b34c
Merge pull request #1413 from quantopian/normalize-equity-future-in-data-portal
...
MAINT: Remove future/equity distinction.
2016-08-18 23:50:36 -04:00
2030dd02a1
Merge pull request #1409 from quantopian/doc-zipline-run
...
DOC: Replace run_algo.py in docs with zipline run
2016-08-18 17:37:00 -04:00
4865ade9b2
ENH: Add fast "vectorized" minute_to_session_label for DatetimeIndex
...
The new TradingCalendar method is called `minute_index_to_session_labels`.
It takes a DatetimeIndex of in-order market minutes and returns a
DatetimeIndex of the corresponding sessions.
The new method is approximately 100x faster than mapping
`minute_to_session_label` over a large DatetimeIndex.
2016-08-18 17:27:47 -04:00
e3bd7e43be
MAINT: Remove future/equity distinction.
...
In the data portal, remove methods that make a distinction between
future and equity asset type. Instead rely on the pricing reader
dispatching.
In support of incoming work which will upsample equity history arrays to
the larger future calendar.
Also, remove perf tracker tests which were using an equity
reader/writer, to be added back in later.
2016-08-18 16:18:32 -04:00
8834d0c35d
Merge pull request #1412 from quantopian/remove-unused-data-portal-members
...
MAINT: Remove unused data portal members.
2016-08-18 16:14:24 -04:00
53ca68e8fb
ENH: Pass calendar instance to BcolzMinuteBarWriter ( #1406 )
...
* First pass.
* Improvements and fixes
- Update usages of BcolzMinuteBarWriter
- Updates with rebuilt example data
- Expose calendar from BcolzMinuteBarMetadata instead of calendar_name
- Keep market_opens and market_closes in metadata for compatibility
* Store start_session and end_session in minute bcolz metadata
- start_session replaces first_trading_day
- Add end_session to limit to correct days
* For last_available_dt, get last close from calendar to maintain tz
* Bumps version and handles earlier versionson read
* Rebuilt example data on python 3
* Indicate metadata fields that are deprecated
2016-08-18 15:41:26 -04:00
a36766f1af
Merge pull request #1411 from quantopian/add-htmlcov-to-gitignore
...
TST: Add coverage output to gitignore.
2016-08-18 15:07:15 -04:00
04bf2f0b5e
Merge pull request #1410 from quantopian/rename-history-loader
...
MAINT: Remove equity from history loader classname
2016-08-18 14:48:28 -04:00
6c90a7c08b
MAINT: Remove unused data portal members.
...
Remove members which are not referred to.
2016-08-18 14:38:35 -04:00
2a45bd1829
TST: Add coverage output to gitignore.
...
Ignore `htmlcov` directory created by `coverage html`.
2016-08-18 14:11:26 -04:00
1d22fab127
MAINT: Remove equity from history loader classname
...
Prepare for using history loaders with both equity and future data,
2016-08-18 14:10:00 -04:00
c482a7cd59
Merge pull request #1405 from quantopian/resample-session-from-minute
...
ENH: Session bar reader resampled from minute data
2016-08-18 13:26:24 -04:00
1c0d407357
Merge pull request #1394 from quantopian/downsample
...
Add Generic Downsampling to Pipeline
2016-08-18 12:15:54 -04:00
f14fcd9b07
ENH: Session bar reader resampled from minute data
...
Implement a `SessionBarReader` which uses a minute bar reader as a
backing source, resampling the minute bars into the box around the
corresponding session data.
Also, add future/CME test cases to resample suite.
2016-08-18 11:37:42 -04:00
bdc72ec4c0
BUG: Fix broken graph visualizations.
2016-08-18 11:07:17 -04:00
9e0e2c26a5
Merge pull request #1404 from quantopian/session-bar-fixup
...
MAINT: Use session bar reader interface.
2016-08-18 10:04:46 -04:00
1226286cab
DOC: Replace run_algo.py in docs with zipline run
2016-08-17 21:54:56 -04:00
c5a3dae267
BUG: Supply a module for Downsampled terms.
2016-08-17 19:48:33 -04:00
0f5784ab53
BUG: Fix nondeterministic failure from sorting.
2016-08-17 19:48:33 -04:00
ecfe33b65b
BLD: Ignore numpy_utils.py doctests on windows.
...
They fail because of 32/64-bit issues.
2016-08-17 19:48:33 -04:00
11f654a688
Merge pull request #1403 from quantopian/keep-last-zero
...
BUG: Fixes should_clean for keep_last=0
2016-08-17 19:05:31 -04:00
cbcb71bbad
BUG: Fixes should_clean for keep_last=0
2016-08-17 18:18:01 -04:00
Eddie Hebert