 fawce
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18cd9a02df
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added more frequent heartbeating between requests from monitor. seems to work.
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2012-07-17 11:04:32 -04:00 |
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Stephen Diehl
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7ffdff64a1
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Remove other refs to stdlib logging.
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2012-07-06 10:47:11 -04:00 |
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fawce
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89e52c6758
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better filter for nan check
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2012-06-19 20:03:37 -04:00 |
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fawce
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e1db77fb64
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fixed comprehension
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2012-06-19 17:06:40 -04:00 |
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fawce
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5d97469a24
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added a filter for nan values in risk data relay
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2012-06-19 15:52:47 -04:00 |
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fawce
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036f9e93a7
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fixed a type-o in the documentation.
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2012-05-31 23:15:53 -04:00 |
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fawce
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a4ea3e3343
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marked a todo for a calculation bug
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2012-05-30 23:55:25 -04:00 |
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fawce
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ef763f28d0
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added a created date to the risk report.
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2012-05-29 21:20:16 -04:00 |
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fawce
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23fb5fa083
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cleanup
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2012-05-28 15:25:44 -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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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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Stephen Diehl
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00de461da8
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Made more submodules.
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2012-05-10 15:46:19 -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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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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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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7eb0ba67ac
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clarifying the results protocol for the backtest.
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2012-04-18 12:36:46 -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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fawce
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aaf2fae2b8
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patched guard logic in max drawdown calculation. needs real work.
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2012-04-05 12:43:43 -04:00 |
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fawce
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14b57dad07
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patching the filter test because we are now trying to calculate end of test risk
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2012-04-04 18:44:19 -04:00 |
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fawce
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4adf8ff854
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changes risk report period label to YYYY-MM format
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2012-04-04 17:01:49 -04:00 |
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fawce
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701687b812
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fixed bug where year report list included months instead. added a period_label to risk metrics corresponding to the end date. e.g. April 2006
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2012-04-04 11:37:19 -04:00 |
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fawce
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7a7833a540
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fixed missing fields, added a new random source option to test zipline (still buggy).
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2012-03-30 17:48:05 -04:00 |
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fawce
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ce6a91adb6
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added a frame to get performance data written to the result stream. not complete, but functional.
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2012-03-29 17:13:28 -04:00 |
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fawce
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7a57c27295
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this is a hotfix to the accidental commit on master, but I lost my bearings again and added pycco, so this is a bit more than a hotfix now.
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2012-03-20 23:10:24 -04:00 |
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fawce
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2324c054e9
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added more documentation to the lines.py. refactoring relationship between zipline and algorithm.
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2012-03-19 11:40:48 -04:00 |
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fawce
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dcc471cc93
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refactoring tests to combine common code into factory for creation of test data sources. also created new zipline/lines module, which will
hold classes that instantiate entire zipline topologies.
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2012-03-17 23:15:38 -04:00 |
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Stephen Diehl
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b61b69a8dd
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Merge branch 'master' into dataflow
Conflicts:
zipline/finance/risk.py
zipline/protocol_utils.py
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2012-03-16 15:04:23 -04:00 |
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Stephen Diehl
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e7cf34d3c9
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Interstitical risk.py
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2012-03-15 16:44:15 -04:00 |
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fawce
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460e72ac7f
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Merge branch 'dataflow' into reframing
Conflicts:
zipline/finance/performance.py
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2012-03-15 16:33:22 -04:00 |
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Stephen Diehl
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6630917da8
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working on frame argument sent to algorithm.
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2012-03-15 16:14:12 -04:00 |
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Stephen Diehl
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674f445cda
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Fix spelling mishaps.
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2012-03-14 23:48:59 -04:00 |
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fawce
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84bccbc67c
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fixed a few type-os to repair document generation.
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2012-03-13 23:31:22 -04:00 |
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fawce
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8f65b71fd4
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added and fixed performance tracker tests. still some failures to iron out in performance.
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2012-03-10 22:16:08 -05:00 |
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fawce
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b44ca63557
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refactoring orders to discard placeholder messages.
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2012-03-09 01:07:01 -05:00 |
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fawce
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2ba7d526a6
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changes net of code review with @sdiehl
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2012-03-07 18:22:55 -05:00 |
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fawce
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89525cfb7b
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passing basic test for calculating portfolio positions over time.
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2012-03-07 17:26:14 -05:00 |
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fawce
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3c7299b769
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added a new client component that calculates positions, performance, and risk.
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2012-03-07 15:39:53 -05:00 |
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fawce
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fec5e98a8d
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updated factory to load from msgpack files, added tests for risk, parameterized treasury and benchmark data.
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2012-03-07 01:48:03 -05:00 |
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fawce
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f1a7e41d1f
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intersticial commit
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2012-02-28 11:36:23 -05:00 |
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fawce
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12aaa4a2e0
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intersticial commit to show realdiehl the dummy module.
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2012-02-27 14:48:59 -05:00 |
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fawce
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e94c8cf717
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unstable commit to allow sync with qexec master to move db code
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2012-02-26 20:28:08 -05:00 |
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