 scottsanderson
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8437a28c14
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generator-style perf now sends a risk report on receipt of DONE
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2012-08-03 21:09:05 -04:00 |
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scottsanderson
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56177a7c4f
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end to end zipline with pure generators
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2012-08-02 00:49:48 -04:00 |
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scottsanderson
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14067d8323
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commit for fawce
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2012-08-01 21:42:55 -04:00 |
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fawce
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6de01a1c6e
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added support for any component to relay exceptions through monitor.
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2012-08-01 14:56:17 -04:00 |
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scottsanderson
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6cb3516b6b
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save for attempted merge
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2012-08-01 11:12:09 -04:00 |
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fawce
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5dd35a4709
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added default positions for portfolio object.
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2012-07-19 23:31:14 -04:00 |
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fawce
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1262dcdef1
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logging converted to share socket with performance
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2012-07-17 11:04:32 -04:00 |
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scottsanderson
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a789db1789
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make git happy
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2012-07-04 03:48:28 -04:00 |
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fawce
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2a8e19b22f
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name change for positions_value
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2012-06-21 22:08:25 -04:00 |
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fawce
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ba05335b2c
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logging every update was spamming the console during unit tests...
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2012-06-18 19:11:13 -04:00 |
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Stephen Diehl
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9c9cddb2e8
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Tidy up logging statements.
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2012-06-13 16:21:43 -04:00 |
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Stephen Diehl
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61ee2420eb
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Removed dummy print statement.
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2012-06-12 13:31:48 -04:00 |
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Stephen Diehl
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06e6207020
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Update logging system
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2012-06-12 07:11:52 -04:00 |
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Stephen Diehl
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2d85ec4d95
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Update performance tracker ot use Logbook
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2012-06-11 13:54:00 -04:00 |
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fawce
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0dea9c5ecb
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finished comment
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2012-06-07 17:58:30 -04:00 |
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fawce
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6a8654342a
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added an as_portfolio method to the PerformancePeriod.
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2012-06-07 17:40:26 -04:00 |
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fawce
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6d8a786214
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updated performance to be trade by trade.
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2012-06-07 13:53:45 -04:00 |
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Stephen Diehl
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318d7ba678
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Fun fun times writing setup.py
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2012-05-26 18:24:48 -04:00 |
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Stephen Diehl
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817166ba03
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Merge branch 'master' into cheetah
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2012-05-26 15:55:48 -04:00 |
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Stephen Diehl
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3446c116ab
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Process Simulator!
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2012-05-26 15:54:43 -04:00 |
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fawce
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70b0088e02
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patched logging config.
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2012-05-22 21:23:47 -04:00 |
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Stephen Diehl
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3ad1f250e6
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Cleaned up OOP, first round.
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2012-05-16 14:33:16 -04:00 |
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Stephen Diehl
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d399edd419
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Fix ndict woes.
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2012-05-14 13:49:45 -04:00 |
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Stephen Diehl
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e04415e63f
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Remove all namedicts.
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2012-05-14 11:35:43 -04:00 |
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Stephen Diehl
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133d9c03af
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One test passing, progress!
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2012-05-10 16:38:04 -04:00 |
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fawce
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54f8d7d013
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removed lines sending messages to the control channel, simplified logic for handling max loss case, DONE'ing trading client on max loss. Zipline continues to run until all components are finished.
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2012-04-24 17:51:02 -04:00 |
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fawce
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1f04ee4ece
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committed a set_trace...
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2012-04-23 21:04:51 -04:00 |
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fawce
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fe793b503d
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hotpatching a merge error (duplication of the max dd check).
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2012-04-23 20:50:08 -04:00 |
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fawce
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54d3579ceb
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added boolean to results for exceeding max losses in a single simulated day.
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2012-04-23 15:10:44 -04:00 |
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fawce
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1d9953255a
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added stop out for max drawdown.
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2012-04-20 23:41:23 -04:00 |
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fawce
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bab0e2bd19
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made distinction between cumulative behavior and daily behavior a bit more clear.
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2012-04-20 15:08:39 -04:00 |
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fawce
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bc14e7e3b7
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zipline, now a cold, heartless, http://open.spotify.com/track/1xshgoh575otNXRfeYgh9D
Pretty fast too...
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2012-04-20 12:21:03 -04:00 |
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fawce
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6f5e9b0559
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fixed documentation
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2012-04-19 23:32:37 -04:00 |
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fawce
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08a5bd5a0d
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re-arranged fields so that history includes daily snapshots for cumulative measures.
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2012-04-19 23:27:35 -04:00 |
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fawce
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1b5b92d75f
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dropped unwanted fields.
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2012-04-18 12:36:46 -04:00 |
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fawce
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6561292e4c
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some efficiency changes - no longer transferring the list of daily returns, no longer holding transactions in the daily and the cumulative performance periods.
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2012-04-18 12:36:46 -04:00 |
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fawce
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309f78a030
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modification of the transport protocol -- keeping it close to the export of data from the performance tracker.
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2012-04-18 12:36:46 -04:00 |
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fawce
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5fd30216e5
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revised protocol to maintain original structure.
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2012-04-18 12:36:46 -04:00 |
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fawce
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9db18846c9
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fixed type-os in serialization code
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2012-04-16 13:37:54 -04:00 |
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fawce
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38982fcdab
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major fix is with the non-blocking behavior of order source. also fixed time-compression in the trading client.
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2012-04-13 15:08:17 -04:00 |
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fawce
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1559a84c7b
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added simulation style to transation simulator, to facilitate tests. Fixed roll-over bug in max cap and max leverage calculation.
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2012-04-13 09:53:20 -04:00 |
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fawce
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db7a4d2f91
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Merge pull request #29 from quantopian/fawce_sprint1
added transactions to the daily update objects.
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2012-04-10 11:17:37 -07:00 |
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fawce
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368341ce61
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moved transaction store to PerformancePeriod. added the position data to the performance message.
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2012-04-10 14:12:03 -04:00 |
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fawce
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8ce5159e91
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Merge pull request #30 from quantopian/stable_upstream
Stable upstream
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2012-04-10 08:00:39 -07:00 |
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fawce
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2eeb92442e
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added transactions to the daily update objects.
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2012-04-10 00:02:54 -04:00 |
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fawce
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57c39bf615
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switching to only calculate the returns and risk on market close, rather than per trade.
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2012-04-09 10:20:08 -04:00 |
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fawce
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237b42c11e
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switched reporting to provide cash, equity, and total portfolio value
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2012-04-08 13:53:40 -04:00 |
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fawce
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37a8bda4b2
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fixed bogus initial portfolio value (should be zero).
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2012-04-06 22:31:35 -04:00 |
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fawce
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30dfc86ba9
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fixed dates front to back to be proper market open/close, and to use start/end first_open/last_close from the TradingEnvironment.
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2012-04-06 20:49:56 -04:00 |
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Stephen Diehl
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80bfbd5dcb
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Performance reports take either socket address or socket.
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2012-04-06 13:31:39 -04:00 |
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