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Author SHA1 Message Date
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
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
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
Richard Frank 7b2ca76f3d Merge pull request #1479 from quantopian/run_algo-defaults 
BUG: run_algorithm with no data source should default
 2016-09-12 13:00:33 -04:00
Richard Frank 3bdba2ec50 BUG: run_algorithm with no data source should default 
to 'quantopian-quandl' bundle
 2016-09-12 12:17:17 -04:00
Richard Frank df07f67614 Merge pull request #1467 from quantopian/check_param-string_types 
Check param string types
 2016-09-08 14:59:38 -04:00
Kathryn Glowinski 4a00e69212 More Fuzzy Symbol Fixes (#1475) 
* REF: More options before raise MultiFound.

* TST: Checks corner case for fuzzy matching.
 2016-09-08 14:52:57 -04:00
Scott Sanderson 1ccc9e4b64 Merge pull request #1471 from quantopian/fix-slow-startup 
PERF: Remove import-time calendar creations.
 2016-09-08 10:21:00 -04:00
Scott Sanderson 40fa6aeea4 STY: Fix flake8. 2016-09-07 21:58:15 -04:00
Scott Sanderson d6ad73e064 MAINT: Updates from Joe's PR feedback. 2016-09-07 20:42:19 -04:00
James McCorriston 9c8f0ce667 Merge pull request #1434 from quantopian/update-leveraged-etfs 
MAINT: Update leveraged ETF list
 2016-09-07 13:48:12 -04:00
Jamie McCorriston a5ecaf4c3a added DGZ to delete list 2016-09-07 13:12:34 -04:00
Eddie Hebert cf44fcb207 Merge pull request #1473 from quantopian/release-1.0.2 
REL: Prepare for 1.0.2 release.
 2016-09-06 21:33:49 -04:00
Eddie Hebert 15aaafe290 REL: Prepare for 1.0.2 release. 
Update release notes.

Generate api stubs.
 2016-09-06 16:59:34 -04:00
Joe Jevnik 89786f195d Merge pull request #1472 from quantopian/branch-protect-hook-stopped-me-from-pushing-this-commit-directly-;_; 
ENH: improve warning for protocol getitem
 2016-09-06 15:42:14 -04:00
Joe Jevnik ec1ca28f67 ENH: improve warning for protocol getitem 2016-09-06 15:11:43 -04:00
Scott Sanderson 977d1fa0b9 MAINT/TEST: Update default calendar smoketest. 2016-09-06 14:13:32 -04:00
Joe Jevnik cf2abf10e2 Merge pull request #1449 from quantopian/getitem-is-not-getattr 
MAINT: remove __getitem__ as alias of __getattr__
 2016-09-06 13:48:17 -04:00
Joe Jevnik a3e869e565 DEV: update copyright in protocol.py (added code) 2016-09-06 12:42:06 -04:00
Joe Jevnik 154697965f ENH: just deprecate __getitem__, don't remove 2016-09-06 12:39:29 -04:00
Kathryn Glowinski 393aa06437 Merge pull request #1462 from quantopian/symbol-lookup-raises 
Symbol lookup raises
 2016-09-06 11:02:07 -04:00
kglowinski 658b5364d8 BUG: Fixing 2/3 compat. 2016-09-06 10:12:01 -04:00
kglowinski d7b3c54860 BUG: Handle case with mult symbol options for same sid. 2016-09-06 10:12:01 -04:00
kglowinski ebe8311f8b BUG: Fixing SymbolNotFound to be raised. 2016-09-06 10:12:00 -04:00
Scott Sanderson 1ca23f2583 PERF: Remove module-scope calendar creations. 
Remove module scope invocations of `get_calendar('NYSE')`, which cuts
zipline import time in half on my machine. This make the zipline CLI
noticeably more responsive, and it reduces memory consumed at import
time from 130MB to 90MB.

Before:

$ time python -c 'import zipline'

real    0m1.262s
user    0m1.128s
sys     0m0.120s

After:

$ time python -c 'import zipline'

real    0m0.676s
user    0m0.536s
sys     0m0.132s
 2016-09-06 09:57:23 -04:00
John Ricklefs c09f7ab04c Revert "BUG: Capital change deltas rely on cash, not portfolio_value" (#1470) 
This reverts commit 5b1aa5ec55.

The paradigm is: we're calculating a new capital base for the
performance period. We are therefore using the total
portfolio_value, not just the cash, to calculate the
difference from the specified target as the algorithm
has meaningful holdings.
 2016-09-05 14:12:04 -04:00
Richard Frank a4e495dd24 BUG: Fix up check_parameters usage of string_types 
and corresponding tests
 2016-09-02 16:47:32 -04:00
phil.zhang 7ac91273f9 BUG: Change str to string_types to avoid errors 
When in python2.7, and unicode_literals is imported
type check will raise error because 'type' is not str but unicode
 2016-09-02 16:47:13 -04:00
Scott Sanderson 9a301dc59b Merge pull request #1466 from quantopian/disallow-length-1-regressions 
ENH: Dont allow length=1 regressions/correlations.
 2016-09-02 15:49:03 -04:00
Eddie Hebert 2871a7eca0 Merge pull request #1464 from quantopian/add-coverage-for-last-traded-dt 
TST: Add direct coverage for get last traded dt
 2016-09-02 14:59:21 -04:00
Scott Sanderson 01fb359a8c Merge pull request #1420 from quantopian/add-cython-cleanup 
MAINT: Add script to clean out compiled files.
 2016-09-02 14:16:18 -04:00
Scott Sanderson 2e50a092b1 DOC: Clarify expect_bounded docstring. 2016-09-02 13:33:55 -04:00
Eddie Hebert e8e054fbd0 TST: Add direct coverage for get last traded dt 
Check that both an equity and future can return expected values for
`get_last_traded_dt`.
 2016-09-02 13:19:46 -04:00
Eddie Hebert bf4079dceb Merge pull request #1465 from quantopian/remove-unused-adjustments-in-data-portal 
MAINT: Remove unused data portal methods.
 2016-09-02 13:15:12 -04:00
Scott Sanderson 1295b86248 DEV: Find .c and .so files with regex. 2016-09-02 12:56:36 -04:00
Scott Sanderson c84b5ada36 STY: Don't assign variables that won't be created. 2016-09-02 12:53:01 -04:00
Scott Sanderson dee715cff2 ENH: Dont allow length=1 regressions/correlations. 
They're not meaningful, and they cause warnings from numpy.

Implemented in terms of a new preprocessor, `expect_bounded`, which
takes a tuple of `upper_bound` and `lower_bound`.
 2016-09-02 12:49:09 -04:00
Eddie Hebert dfd37fcf78 MAINT: Remove unused data portal methods. 
The apply adjustments behavior had been moved to the `HistoryLoader`
class.
 2016-09-02 12:12:22 -04:00
Ana Ruelas 768cdb73c3 Merge pull request #1463 from quantopian/rm-risk-adjustments 
BUG: Do not adjust returns for sharpe and sortino
 2016-09-02 11:32:02 -04:00
Ana Ruelas 9063cb3ce4 BUG: Do not adjust returns for sharpe and sortino 2016-09-02 10:41:50 -04:00
Eddie Hebert 22dead208a Merge pull request #1460 from quantopian/daily-aggregator-corner-cases 
TST/BUG: Full coverage on resample module.
 2016-09-01 17:24:56 -04:00
John Ricklefs dd2bc5a736 Merge pull request #1459 from quantopian/target_cash_capital_change_from_raw_cash 
BUG/ENH: Fix behavior of 'target' capital changes
 2016-09-01 16:54:56 -04:00
Eddie Hebert 5e3b949fc6 TST/BUG: Full coverage on resample module. 
test_resample now fully covers the resample module.

Fix a bug exposed by increased coverage, where daily aggregation on
`high` would return `nan` for an asset instead of 1) during the
course of day `1d` history was called on non-consecutive minutes and 2)
either, a) the value for the previously inspected dt was `nan` or b)
there were only `nan`s between the previous and current dt.

`low` had a similar bug which was only triggered if the value for the
previously inspected dt was `nan`.
 2016-09-01 16:41:45 -04:00
John Ricklefs 311284475a ENH: Allow passing additional adjustments to calculate_capital_changes 
If subclasses have additional capital change information that
is required to correctly calculate the target values for
cash capital changes, it can now be provided via
"portfolio_value_adjustment".
 2016-09-01 16:04:46 -04:00
John Ricklefs 5b1aa5ec55 BUG: Capital change deltas rely on cash, not portfolio_value 
The value of holdings is irrelevant when altering the
capital base of the current perf period.
 2016-09-01 15:19:55 -04:00
Eddie Hebert 615d1535f7 Merge pull request #1458 from quantopian/cover-all-public-methods-on-resample 
TST/BUG: Cover all reindex session public methods.
 2016-09-01 14:20:19 -04:00
Eddie Hebert d463a9855b TST/BUG: Cover all reindex session public methods. 
Increase coverage on `ReindexSessionBarReader` so that all methods which
are considered part of the interface are covered by `test_resample`.

Fix bug in `get_value`, exposed by increased coverage, where the
`NoDataOnDate` exception was bubbling from the bcolz reader all the way
up when a session which was a holidy on the underlying reader was passed
to the reindex reader. (The reindex reader should return nan/0 in that
case.)

Also, move location of data index exceptions so that they are agnostic
to bcolz/us_equity_pricing; since the exception is now used by the
resample module to fix aforementioned bug.
 2016-09-01 11:51:00 -04:00
Jean Bredeche 959baf7fe0 Merge pull request #1408 from quantopian/really-can-i-trade-how-about-now 
ENH: Update can_trade to check exchange time
 2016-08-31 22:04:06 -04:00