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Commit Graph
385 Commits
Author SHA1 Message Date
Maya Tydykov 59acadbccf BUG: fix loader bug for 1 day 2017-02-15 16:44:45 -05:00
Maya Tydykov bb36ec1224 Merge pull request #1661 from quantopian/optionally-apply-deltas-adjustments 
Optionally apply deltas adjustments
 2017-01-31 15:40:43 -05:00
Maya Tydykov dda5334580 TST: add arg to test assertion 2017-01-31 15:19:05 -05:00
Maya Tydykov bd06ff14ed MAINT: optionally apply deltas adjustments based on info from dataset 2017-01-31 15:19:03 -05:00
Maya Tydykov 08b159d5da ENH: add Int64Overwrite and dispatching for it 
BUG: column value should be float

DOC: update docs
 2017-01-31 09:43:37 -05:00
Maya Tydykov 98a8fdfb09 MAINT: determine core loader overwrite types dynamically 
TST: update test to reflect adjustment mapping change
 2017-01-31 09:43:34 -05:00
Maya Tydykov ecbc7f890b BUG: make the events loader handle empty raw data 
TST: add test case for empty raw events data

BUG: update for python compatibility

MAINT: Simplify assertion for empty events case.

DOC: Add comments on indexer unpacking.

MAINT: move some config to test method
 2017-01-19 12:00:49 -05:00
Luca b5ce101f5a BUG: IchimokuKinkoHyo techinical factor has wrong default inputs 2017-01-06 16:06:05 +01:00
Ana Ruelas 3cfbdeaca1 DOCS: Minor (but build breaking) docstring fix 2016-12-06 13:33:22 -05:00
Joe Jevnik c1063eac26 BUG: fix blaze pipeline queries for asof_date 2016-12-01 14:35:59 -05:00
Scott Sanderson 399bf3085c DOC: Docstring updates. 2016-11-28 15:29:36 -05:00
Scott Sanderson 9c05e5edfe MAINT: Tweaks/cleanups in technical.py. 
- Use `expect_bounded` to check inputs.
- Add tests for expected failures from `MACDSignal`.
- Use `float64` instead of `float` in a few places.  This prevents
  diverging behavior on 32-bit systems.
- Docstring edits.
 2016-11-28 13:02:40 -05:00
Scott Sanderson 48327266db MAINT: Put exponential_weights where it's used. 
`math_utils` is mostly a shim around bottleneck imports.  If we need
this somewhere else, it probably belongs in `numpy_utils`.
 2016-11-28 13:02:40 -05:00
Ana Ruelas f1254ea79a ENH: Add MACDSignal, test with random input 2016-11-23 11:43:29 -05:00
Ana Ruelas 66dd10a50c ENH: Actually use rolling windows for EWMA in MACD 2016-11-21 14:24:28 -05:00
Scott Sanderson 72203280d2 MAINT: Use fancy default for window_length. 2016-11-21 14:24:28 -05:00
Ana Ruelas 735aaf1b27 ENH: Add MACD, MA, and AnnVol as built in factors 2016-11-21 14:24:19 -05:00
Maya Tydykov bfc01546ae ENH: allow estimates to be split-adjusted. 
This modificaiton to the estimates loader allows the caller to pass
in an equity pricing loader which can then be used to get split data
for sids. That split data is then used to do point-in-time adjustments
of estimates data.

TST: add test for multiple estimates columns

TST: add test for multiple datasets requesting different columns

TST: add blaze versions for all next/previous tests
 2016-11-18 09:39:54 -05:00
Scott Sanderson 2c087ef77b ENH: Mark statistical terms as window_safe. 2016-11-01 12:16:34 -04:00
Scott Sanderson 24931bd4dd MAINT: Rename SpecificAssets to StaticAssets. 
This better reflects the intended usage of accepting a fixed set of
predetermined assets.
 2016-11-01 11:01:36 -04:00
Scott Sanderson 66a214fae9 ENH: Allow windows of NumericalExpression. 
If all the inputs to an expr are window-safe, then the expr is itself
window-safe.
 2016-10-28 15:04:18 -04:00
Scott Sanderson 0f57dac4ab TEST: Add more populate_initial_workspace tests. 
- Tests different pipeline lengths and window lengths.
- Tests a term that depends on a window of a term that's been
  precomputed.
 2016-10-28 15:04:18 -04:00
Joe Jevnik 7f40f7a99d STY: remove unused imports and method, clean up docs 2016-10-28 15:04:18 -04:00
Joe Jevnik d5b901df3f TST: add tests for postprocess and to_workspace_value 2016-10-28 15:04:18 -04:00
Joe Jevnik 0eb461bd16 ENH: cleanup branch based on feedback 2016-10-28 15:04:18 -04:00
Joe Jevnik 92516e6609 ENH: prune the graph based on the initial workspace 2016-10-28 15:04:18 -04:00
Joe Jevnik 499680553f ENH: update aliasedmixin repr 2016-10-28 15:04:18 -04:00
Joe Jevnik f9ce7f060e ENH: Make aliases filters, factors, and classifiers to give them their methods 2016-10-28 15:04:18 -04:00
Scott Sanderson 7fc2588571 WIP: Add Alias expression. 2016-10-28 15:04:18 -04:00
Joe Jevnik 4f9c6bd254 ENH: provide a hook for prepopulating the initial workspace 2016-10-28 15:04:18 -04:00
Joe Jevnik 892b7cca00 ENH: Provide methods to undo the 'postprocess' step in computing pipeline output 2016-10-28 15:04:18 -04:00
Maya Tydykov 4ea60c2843 BUG: pass the entire list of assets 2016-10-21 16:23:38 -04:00
Maya Tydykov 5e5339285f BUG: create adjustments based on ordered assets instead of set 2016-10-21 16:23:38 -04:00
Joe Jevnik 95a56663d0 BUG: fix blaze query in ffill_query_in_range to correct issue in events loader 2016-10-13 15:27:44 -04:00
Maya Tydykov e52d831a94 MAINT: small updates to fix deprecation warnings 2016-10-12 14:21:11 -04:00
Maya Tydykov c0380f9d9b Merge pull request #1525 from quantopian/fix_estimates_overwrites_bug 
Fix estimates overwrites bug
 2016-10-10 09:02:40 -04:00
Maya Tydykov ea5b2b030c TST: add test condition to check for bug 2016-10-10 08:41:02 -04:00
Scott Sanderson 2a28f302ef DOC: Add a sentence with uses for SpecificAssets. 2016-10-09 13:41:10 -04:00
Scott Sanderson 58dca08d8b STY: Remove unused imports. 2016-10-09 13:18:18 -04:00
Scott Sanderson 1d5f3572c9 MAINT: Just require an iterable of assets. 2016-10-09 12:36:52 -04:00
Scott Sanderson c9ebf9f45d ENH: Add SpecificAssets filter. 
Adds a filter that matches a set of assets.  Mainly useful for testing
and debugging.
 2016-10-07 18:11:01 -04:00
Maya Tydykov e304786fa0 BUG: append overwrites to list rather than replacing with new list 2016-10-05 12:47:25 -04:00
Maya Tydykov 6cb06ffcdf TST: add test for changing event dates and adjustments 
BUG: get column names from column dict

BUG: fix name map
 2016-09-27 16:53:36 -04:00
Joe Jevnik 5d7100542c PERF: only query for the columns requested + metadata 
BUG: choose last event date for quarter shift
 2016-09-27 09:54:46 -04:00
Joe Jevnik 25b38520fa PERF: vectorize earnings estimates 2016-09-27 09:54:46 -04:00
Maya Tydykov cbd9bd068c TST: add test for sid with no data 
MAINT: optimization - only look at assets appearing in data

TST: simplify test

DOC: add documentation for checkpoints

MAINT: explicitly cast event date field to datetime

MAINT: add back import

TST: fix indexing to remove setting wtih copy warning
 2016-09-27 09:54:44 -04:00
Maya Tydykov 8d8f057120 MAINT: add checkpointing 
BUG: add cols for sids with no data and get adjustments outside column loop
 2016-09-27 09:54:43 -04:00
Maya Tydykov 5e1a8224cd TST: add test to check previous columns w/ multiple qtrs 
MAINT: pass column to name dict

MAINT: make check for invalid num columns py3-compatible
 2016-09-27 09:54:41 -04:00
Maya Tydykov eb22f2ab6b TST: add test for datetime array and update test 
TST: fix quarter normalization test

TST: change test name

BUG: remove arg

BUG: look at dict keys

TST: add test for windowing

MAINT: raise ValueError instead of asserting

TST: add assertion to check windowing

TST: parametrize test over number of quarters forward/back.

BUG: fix adjustment calculation logic for quarter crossovers.

TST: add test for previous quarter windows

BUG: fix bugs in calculating previous windows

BUG: fix missing value for datetime

TST: add test case for missing quarter
 2016-09-27 09:54:41 -04:00
Maya Tydykov af718b0f4a ENH: add adjustment for datetime64 arrays 
BUG: fix adjustment start index
 2016-09-27 09:54:40 -04:00