Joe Jevnik
2036f3d389
ENH: condense the blaze query
2016-02-17 20:22:31 -05:00
Scott Sanderson
d889f8b08b
BUG: Don't use deprecated attribute of exception.
2016-02-16 13:43:25 -05:00
Scott Sanderson
b26a40b298
BUG: Check against assets, not sids in pipeline output.
2016-02-16 11:50:10 -05:00
Scott Sanderson
0115cdc46c
MAINT: Fail fast on unsupported dtypes.
2016-02-12 21:23:47 -05:00
Scott Sanderson
09be7acaa8
TEST: Test forwarding of missing_value.
2016-02-12 21:23:47 -05:00
Scott Sanderson
c105735574
DEV: Add support for specifying missing_value.
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Consequently, enable support for `int`-dtyped Factors and BoundColumns.
2016-02-12 21:23:47 -05:00
Scott Sanderson
1bf33f9ee0
TEST: Add isolated tests for .latest.
2016-02-12 21:21:19 -05:00
Scott Sanderson
a96dd70634
MAINT: Rename ConstantLoader to PrecomputedLoader.
2016-02-12 21:21:19 -05:00
Scott Sanderson
0c15f50231
TEST: Add dedicated testing dataset.
2016-02-12 21:20:18 -05:00
Scott Sanderson
28fdecc98b
ENH: Make .latest return a Filter on bool columns.
2016-02-12 21:20:18 -05:00
Richard Frank
069fe5ccda
TST: Updated for new pandas and made clearer types of values
2016-02-11 18:46:43 -05:00
Richard Frank
f14002a741
TST: Test fixes for pandas update
2016-02-11 18:46:43 -05:00
Joe Jevnik and Richard Frank
c11524fda1
MAINT: pandas 0.17 compat for blaze core loader
2016-02-11 18:46:43 -05:00
Joe Jevnik and Richard Frank
8be903b074
STY: remove unused import
2016-02-11 18:46:42 -05:00
Scott Sanderson and Richard Frank
5f49fa22cb
MAINT: Upgrade numpy and fix warnings.
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Mostly fixes ambiguous calls to numpy.full, and uses explicitly-united
NaT values.
2016-02-11 18:46:39 -05:00
Scott Sanderson
dfb1832231
TEST: More thorough testing of boolean binops.
2016-02-10 18:45:00 -05:00
Scott Sanderson
e7269a880c
BUG: Add right-binding operators to NumExprFilter.
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Fixes a bug where doing a boolean comparison between a non-numexpr
Filter and a NumExprFilter would fail because we don't implement
`__rand__` and `__ror__`.
2016-02-10 18:34:59 -05:00
Joe Jevnik
b102742f69
BUG: fix deltas in blaze core loader
2016-01-28 14:08:11 -05:00
Joe Jevnik
9adef37373
BUG: Fix the case where multiple values happen on the same day
2016-01-21 12:43:02 -05:00
llllllllll
5e4b8b8f8f
TST: tests for new forward fill
2016-01-21 12:43:02 -05:00
llllllllll
517ad7a5f1
TST: Adds tests for running multiple columns in one query
2016-01-21 12:43:02 -05:00
llllllllll
97298d1ad4
ENH: upgrade ffill logic to look back as far as needed
2016-01-21 12:43:02 -05:00
Joe Jevnik
2caa9277c4
ENH: Make the data_query_time arguments optional
2016-01-13 15:26:37 -05:00
Joe Jevnik
5a235bdaef
ENH: allows users to specify the cutoff time for data query in blaze
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loaders
This allows people to set their cutoff time to the time they will
actually execute 'before_trading_start'. Currently this is just passed
to the constructor of the loader; however, I would like to make this
managed by the algorithm simulation runner. This would help keep all of
the loaders in sync and lock 'before_trading_start's execution to the
time the data is queried for.
2016-01-13 15:26:13 -05:00
Joe Jevnik
fb6d1ea3d1
MAINT: move some helpers to test_utils
2016-01-08 13:11:31 -05:00
Joe Jevnik
7a6ba4f249
Merge pull request #924 from quantopian/dataset-subclassing
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ENH: Make datasets have subclass relationships
2015-12-29 11:43:55 -05:00
Joe Jevnik
68cf236944
TST: Add test case for adding columns in subclass
2015-12-29 10:12:39 -05:00
Scott Sanderson
72887f0065
ENH: Change DollarVolume to AverageDollarVolume.
2015-12-28 16:12:11 -05:00
llllllllll
32baac4e4b
ENH: Make datasets have subclass relationships
2015-12-22 12:25:30 -05:00
Scott Sanderson
8abef95bb5
DOC: Rename exponential stddev.
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ExponentialWeightedStandardDeviation -> ExponentialWeightedMovingStdDev.
This is more consistent with the other moving moment factors.
2015-12-18 14:30:28 -05:00
Scott Sanderson
b91f9697b9
ENH: Add ExponentialWeightedStandardDeviation.
2015-12-11 22:13:27 -05:00
Scott Sanderson
2235a53581
ENH: Add EWMA and DollarVolume factors.
2015-12-11 22:13:27 -05:00
llllllllll
4963b2ca72
TST: Adds tests for infer_timestamp
2015-12-10 15:14:27 -05:00
Scott Sanderson
e3d19bab25
MAINT: Fix failing blaze expr test.
2015-12-10 14:19:32 -05:00
Scott Sanderson
f719fef55e
STY: Many people prefer to read words with vowels.
2015-12-10 12:50:36 -05:00
Scott Sanderson
64ce6d26aa
BUG: Fix hardcoded type repr in test.
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Types repr differently in py2 vs py3.
2015-12-09 15:29:57 -05:00
Scott Sanderson and llllllllll
8220d1ee86
ENH: Adds support for different typed adjusted arrays and adds an
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EarningsCalendar loader.
- Moves most of AdjustedArray back into Python. The window iterator is
the only part that's performance-intensive.
- Adds a bootleg templating system for creating specialized versions of
AdjustedArrayWindow for each concrete type we care about.
- Adds support for differently dtyped terms in pipeline. This allows us
to use datetime64s which are needed in the EarningsCalendar.
- Adds EarningsCalendar dataset for the next and previous earnings
announcements in pipeline.
- Adds in memory loader for EarningsCalendar.
- Adds blaze loader for EarningsCalendar.
2015-12-08 20:24:06 -05:00
Tim Shawver
631a1879a3
Adding a built in Returns factor to the pipeline API.
2015-12-01 13:24:41 -05:00
Scott Sanderson
5d8a915d15
ENH: Add inspect() function to adjusted_array.
2015-11-20 20:15:43 -05:00
Scott Sanderson
b43c4f4c0b
ENH: Add isnan, notnan, and isfinite Factor methods.
2015-11-18 21:44:53 -05:00
Scott Sanderson
3619a24e4d
TEST: Add support for futures to tmp_asset_finder.
2015-11-13 18:26:54 -05:00
Scott Sanderson
9e463fd5d8
MAINT: make_rotating_asset -> make_rotating_equity.
2015-11-13 18:26:54 -05:00
Scott Sanderson
4109640acb
MAINT: make_simple_asset_info -> make_simple_equity_info.
2015-11-13 18:26:54 -05:00
Joe Jevnik
5ef9056a9b
Merge pull request #808 from quantopian/delta-on-last-requested-date
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BUG: Corrects an index error in blaze loader.
2015-11-05 16:59:04 -05:00
llllllllll
80cc2bd6f6
BUG: Corrects an index error in blaze loader.
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Fixes the case where a delta has an asof_date of the last requested
day and an index error would occur. This guards against this
specifically to make the delta be effective through the end of the
requested window.
Adds a test case for this behavior.
2015-11-05 16:40:28 -05:00
Scott Sanderson
a14c61e7ff
MAINT: Remove unused 'asset_type' metadata entry.
2015-11-05 13:35:05 -05:00
Scott Sanderson
8cd4f7d100
MAINT: Make load_adjusted_array return a dict.
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Rather than a list that's ordered the same as the received columns.
Most nontrivial loaders were constructing dicts internally and then
converting back to lists, only to have the engine convert **back again**
into a dict. This cuts out the middleman, and prevents bugs due to
incorrect ordering of the output arrays.
2015-11-03 11:16:21 -05:00
Richard Frank
d7add5b248
ENH: Makes chunk_size configurable in attach_pipeline
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Default first chunk is smaller for more immediate results
2015-10-27 16:15:54 -04:00
John Ricklefs
f599795d27
ENH: Allow pipelines to run with matching start/end dates
2015-10-22 14:23:00 -04:00
Eddie Hebert
8543b32468
Merge pull request #791 from quantopian/pipeline-effective-dates
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MAINT: Set dividend effective date to ex_date.
2015-10-21 16:44:07 -04:00
Joe Jevnik