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3,605 Commits 16 Branches 39 Tags
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Commit Graph
173 Commits
Author SHA1 Message Date
dmichalowicz 5be63f36d5 ENH: Add auto_close_date support for equities 2016-02-22 13:51:20 -05:00
Richard Frank 79aff84aed MAINT: Moved auto_close_date to Asset 
Handle custom data source with non-int sids
 2016-02-04 21:58:57 -05:00
Richard Frank ede1eb7aa0 PERF: Look up expired futures from in-memory Futures 
instead of queries to the db.
 2016-02-04 18:55:34 -05:00
Richard Frank 28b34f6409 BUG: Handle OverflowError by comparing False 
instead of raising
 2016-02-01 15:02:15 -05:00
James Kirk 2803802736 Merge pull request #941 from quantopian/futures-tick-size 
ENH: Adds tick_size and renames futures multiplier
 2016-01-25 11:18:31 -05:00
Joe Jevnik dca5d347d8 BUG: lookup_expired_futures needs to coerce dts into pd.Timestamp 2016-01-23 15:27:21 -05:00
jfkirk 5d0ffd0db4 DOC: SQLLite -> SQLite 2016-01-22 15:31:41 -05:00
jfkirk ece9e59ef9 ENH: Adds asset db downgrade management and tests 2016-01-22 14:56:30 -05:00
jfkirk db1e62971a ENH: Adds tick_size and renames futures multiplier 2016-01-22 14:56:30 -05:00
Joe Jevnik 663fbd7d74 PERF: make Asset comparison faster 2016-01-21 19:11:41 -05:00
Richard Frank 4ee919aeb2 Merge pull request #959 from quantopian/asset_keyerror 
Asset KeyError
 2016-01-21 12:38:53 -05:00
Richard Frank 2eeb6e78f6 BUG: Enable comparison of an Asset to an int64 on 32-bit python 
We use a number of mappings keyed by int64, which otherwise raised
KeyErrors for Assets.
 2016-01-21 11:47:29 -05:00
James Kirk 2cb3a7235e Merge pull request #890 from grundgruen/future_chain_order 
BUG: orders future chain by min of notice and expiry
 2016-01-21 11:18:57 -05:00
Joe Jevnik 3b76981270 Merge pull request #846 from grundgruen/data_test 
TST: tests removing of expired data and removes ffill in DataPanelSource
 2016-01-19 13:05:15 -05:00
warren-oneill a963270471 BUG: orders future chain by min of notice an expiry 2016-01-18 12:20:58 +01:00
jfkirk 7acd0d7a1d MAINT: Refactors table assignment in AssetDBWriter 2016-01-05 13:48:00 -05:00
jfkirk 00879245a4 BUG: Adds version checking to AssetFinder init 2016-01-05 13:48:00 -05:00
jfkirk 468ecc357c DOC: Adds schema update notes to assets db 2016-01-05 13:48:00 -05:00
jfkirk 004c8dc141 MAINT: Factors-out asset db schema 2016-01-05 13:48:00 -05:00
warren-oneill ef323a3165 ENH: adds lookup_expired_futures to asset_finder 2015-12-01 15:24:02 +01:00
Jean Bredeche f48f88861d BUG: chunk sqlite queries into groups of 999. 2015-11-20 13:39:46 -05:00
Scott Sanderson 1524944edd DOC: Many docs improvements. 
- Generate links to sourcecode via the Sphinx `viewcode` extension.
- Generate reference docs for Asset/Equity/Future, AssetFinder, and
  AssetDBWriter.
- Generate reference docs for Pipeline API classes.
- Fix broken links and formatting issues in the 0.8.4 whatsnew.
- Use embedsignature in _assets.pyx so that the signatures of Asset
  subclasses are inspectable.
 2015-11-19 00:15:17 -05:00
Scott Sanderson 06ab766544 MAINT: De-dupe shared filtering logic. 
We filter for assets that were alive at some reference date in multiple
places.
 2015-11-13 18:26:54 -05:00
Scott Sanderson a3bafd8dc7 MAINT/STY: Use dict.get instead of in check. 2015-11-13 18:26:54 -05:00
Scott Sanderson 26611b5d60 MAINT: Don't double-coerce to Timestamp. 
`normalize` would already fail if the input isn't a Timestamp.
 2015-11-13 18:26:54 -05:00
Scott Sanderson b9e4b62374 PERF: Fewer conversions in _convert_row_to_equity. 2015-11-13 18:26:54 -05:00
Scott Sanderson 657a132f1e ENH: Make retrieve specific type functions public. 
We rely on these upstream, for better or worse, so add tests and docs.

Also adds distinct `EquitiesNotFound` and `FutureContractsNotFound`
exceptions.
 2015-11-13 18:26:54 -05:00
Scott Sanderson a684063f95 DOC: Don't lie about caching in _retrieve_asset. 2015-11-13 18:26:54 -05:00
Scott Sanderson 9101636bf6 MAINT: Remove unused method. 2015-11-13 18:26:54 -05:00
Scott Sanderson 60b988a777 MAINT: Remove unused method. 2015-11-13 18:26:54 -05:00
Scott Sanderson 1c52977964 DOC: group_by_type returns a regular dict. 2015-11-13 18:26:54 -05:00
Scott Sanderson 654edaa851 BUG: Clear asset caches when mapping DataFrame. 
Our DataFrame index resolution logic relies on failed lookups **not**
being cached, but not caching failed lookups is a nontrivial performance
hit when repeatedly looking up sids.  The "solution" here is to clear
the caches after writing in new assets.

The real fix for this is either:

1. Don't construct an AssetFinder until we have the datasource in hand
   in run(), or
2. Don't symbol-map the user's input source if it's a DataFrame.
   Instead we should make our data loaders pre-map the data.
 2015-11-13 18:26:54 -05:00
Scott Sanderson 5bddf32062 BUG: Raise if we fail to symbol map a Frame/Panel. 
Previously, we just warned here, but then we'd fail immediately trying
to write the found values into an index that's too long.
 2015-11-13 18:26:54 -05:00
Scott Sanderson ff51510d88 PERF: Cache the result of failed lookups. 
Otherwise we'll keep trying to look them up.
 2015-11-13 18:26:54 -05:00
Scott Sanderson c818463051 MAINT: Simplify conditional. 2015-11-13 18:26:54 -05:00
jfkirk e1e160a128 MAINT: Factors-out asset db table schemas for cleanliness 2015-11-12 14:43:11 -05:00
jfkirk 85dd4b70dd MAINT: Renames 'version' table to 'version_info' for clarity 2015-11-12 14:43:11 -05:00
jfkirk 6aac54544e MAINT: Only write asset db version on db creation 2015-11-12 14:43:11 -05:00
jfkirk 48e488d423 ENH: Adds versions to asset databases 2015-11-12 14:43:11 -05:00
Maya Tydykov df492ecf7f DOC: add whatsnew entry for AssetFinderCachedEquities. 2015-11-12 11:02:30 -05:00
Maya Tydykov d0cb5bd513 ENH: add extension to AssetFinder that caches all equities in memory and uses that cache in lookup_symbol. 2015-11-12 11:02:26 -05:00
jfkirk af021f0db5 BUG: FutureChain's as_of() now properly coerces arguments 2015-11-10 14:03:19 -05:00
Scott Sanderson 90e717f6a7 Merge pull request #821 from quantopian/cme-codes-reference 
ENH: Add CME code lookup table.
 2015-11-05 14:19:36 -05:00
Scott Sanderson 744a998b9a ENH: Add CME code lookup table. 2015-11-05 13:57:44 -05:00
Scott Sanderson a14c61e7ff MAINT: Remove unused 'asset_type' metadata entry. 2015-11-05 13:35:05 -05:00
Richard Frank 1377d25c95 BUG: Ensure that we view the datetime64s in the index as 64bit 
Using int with 32bit numpy produces an array of 2n ints, each
representing half a datetime.
 2015-11-04 08:31:18 -05:00
jfkirk 40399fc743 MAINT: Removes unused allow_sid_assignment arg 2015-11-03 14:14:06 -05:00
jfkirk 915c8e800f MAINT: Removes unneeded knowledge_date logic from future_chain 2015-10-19 11:37:56 -04:00
Stewart Douglas 4e2039c9b0 ENH: Coerce user input with API method decorator 
Previously we have capitalized input strings at different levels in
our code: in the user-facing API methods and in the asset finder.
This commit moves input string capitalization exclusively to the API
method to which the string was supplied. Specifically, the string is
capitalized by a preprocess API method decorator. The preprocess
decorator passes the input string to the newly defined
ensure_upper_case() method, which returns a TypeError if the argument
supplied is not a string.

ensure_upper_case() is defined in a new file, zipline/utils/input_validation.py.
The existing expect_types() method is also moved there.

Various tests in tests/test_assets.py are modified to account for the
fact that the asset finder method lookup_symol() no longer capitalizes
its supplied argument.
 2015-10-08 15:41:33 -04:00
Andrew Daniels 69b734129f ENH: Add index to root_symbol column of futures_contracts 2015-10-08 14:51:42 -04:00