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3,440 Commits 16 Branches 39 Tags
ae922bf3eeb7aae237e8ea54e1bc4f7999d41a4d
Commit Graph
89 Commits
Author SHA1 Message Date
Maya Tydykov ae922bf3ee MAINT: modify next_date_frame and prev_date_frame to mirror previous_value. 
MAINT: clean up and improve docs.

BUG: fix imports.

MAINT: refactor test.

MAINT: change class name.

MAINT: remove error since won't be reached.

TST: improve and expand tests.

MAINT: change class name.

MAINT: change class name.

MAINT: extract string constants and remove error that won't be reached.

STY: fix line length.

MAINT: undo name change.
 2016-02-25 17:33:44 -05:00
Maya Tydykov 8ceff892c5 BUG: specify UTC and no name-checking. 
DOC: fix doc.

MAINT: revert to using getitem.
 2016-02-25 17:33:43 -05:00
Maya Tydykov 7ddf18b407 MAINT: use column's missing value. 
STY: fix flake8 failures.

MAINT: fixes for compatibility with py2.

MAINT: fix import error.

MAINT: use dict.items() for compatibility with py3.
 2016-02-25 17:33:42 -05:00
Maya Tydykov 7100e60474 MAINT: accept more data structures, verify, and select loader dynamically. 
MAINT: add fields based on changes to events loader.

MAINT: modify based on expectations of events loader.

MAINT: modify args.

TST: clean up and clarify df access.

TST: fix bugs in test that didn't properly split datasets' data.

MAINT: fix merge error.
 2016-02-25 17:33:41 -05:00
Maya Tydykov a877fcfdb6 TST: finish blaze tests for buyback_auth. 
DOC: update docs.

MAINT: use correct names.

BUG: explicitly pass all kwargs.

DOC: update docs.

STY: fix whitespace.

TST: rename vars and update docstring.

TST: fix indentation.

MAINT: fix comments.
 2016-02-25 17:30:24 -05:00
Maya Tydykov 3142fa516f ENH: add buyback_auth loader. 
WIP: finish refactoring blaze events loader.

WIP: tests passing for earnings.

BUG: pass all kwargs explicitly for BlazeEventsCalendarLoader.

If this is not done, resources are not bound correctly.

MAINT: refactor for buyback_auth.
 2016-02-25 17:30:21 -05:00
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. 
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 JevnikandRichard Frank c11524fda1 MAINT: pandas 0.17 compat for blaze core loader 2016-02-11 18:46:43 -05:00
Joe JevnikandRichard Frank 8be903b074 STY: remove unused import 2016-02-11 18:46:42 -05:00
Scott SandersonandRichard Frank 5f49fa22cb MAINT: Upgrade numpy and fix warnings. 
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. 
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 
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 
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. 
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. 
Types repr differently in py2 vs py3.
 2015-12-09 15:29:57 -05:00
Scott Sandersonandllllllllll 8220d1ee86 ENH: Adds support for different typed adjusted arrays and adds an 
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 
BUG: Corrects an index error in blaze loader.
 2015-11-05 16:59:04 -05:00