aeb50da170
fixes for unit tests, back to 50/51 passing.
2012-08-07 14:42:43 -04:00
8437a28c14
generator-style perf now sends a risk report on receipt of DONE
2012-08-03 21:09:05 -04:00
ace5d05fab
tradesim as generator v. 2.0
2012-08-03 14:07:05 -04:00
14067d8323
commit for fawce
2012-08-01 21:42:55 -04:00
4768bea646
more progress on tsc
2012-08-01 18:53:09 -04:00
6cb3516b6b
save for attempted merge
2012-08-01 11:12:09 -04:00
7ffdff64a1
Remove other refs to stdlib logging.
2012-07-06 10:47:11 -04:00
7044040722
removed logging of zero volume orders.
2012-06-18 19:02:14 -04:00
069dbd1afe
removed protocol cruft from transaction transform days.
2012-05-28 21:32:23 -04:00
3ad1f250e6
Cleaned up OOP, first round.
2012-05-16 14:33:16 -04:00
d503ce465a
Merge branch 'refactor'
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Conflicts:
zipline/finance/trading.py
zipline/lines.py
2012-05-15 14:04:05 -04:00
3bb03e0f8c
converting to handle_data nomenclature.
2012-05-14 16:49:05 -04:00
de0cfd4072
fixed bugs in transform calculations.
2012-05-14 15:31:51 -04:00
e04415e63f
Remove all namedicts.
2012-05-14 11:35:43 -04:00
8b95aebcf2
Refactor lots of things.
2012-05-14 10:57:40 -04:00
133d9c03af
One test passing, progress!
2012-05-10 16:38:04 -04:00
e4a0c7af7f
added initialize method to the algorithm protocol.
2012-05-02 21:05:01 -04:00
54f8d7d013
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.
2012-04-24 17:51:02 -04:00
1d9953255a
added stop out for max drawdown.
2012-04-20 23:41:23 -04:00
bc14e7e3b7
zipline, now a cold, heartless, http://open.spotify.com/track/1xshgoh575otNXRfeYgh9D
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Pretty fast too...
2012-04-20 12:21:03 -04:00
28c380c245
removed heartbeat on every iteration, resulted in a 50% reduction in processing time per day.
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However, the big lesson from this experiment is that the major bottleneck is in the feedback loop. By eliminating the feedback loop and instead putting the transaction simulation into the client end of the zipline, I think we could accelerate by 10x.
2012-04-20 12:21:03 -04:00
6561292e4c
some efficiency changes - no longer transferring the list of daily returns, no longer holding transactions in the daily and the cumulative performance periods.
2012-04-18 12:36:46 -04:00
7eb0ba67ac
clarifying the results protocol for the backtest.
2012-04-18 12:36:46 -04:00
309f78a030
modification of the transport protocol -- keeping it close to the export of data from the performance tracker.
2012-04-18 12:36:46 -04:00
5fd30216e5
revised protocol to maintain original structure.
2012-04-18 12:36:46 -04:00
9db18846c9
fixed type-os in serialization code
2012-04-16 13:37:54 -04:00
bd616a9ec0
eliminated special handling for non-blocking components.
2012-04-16 12:06:39 -04:00
02d7f0a4c8
heavy work on the feedback loop from trade client to order source. tests are passing using a busy wait inside the trade client. hopefully we can find a more elegant approach.
2012-04-14 15:09:52 -04:00
4486dd0cad
removed some straggling test code.
2012-04-13 16:54:49 -04:00
38982fcdab
major fix is with the non-blocking behavior of order source. also fixed time-compression in the trading client.
2012-04-13 15:08:17 -04:00
dfc3523197
fixed default to be partial fill
2012-04-13 09:58:12 -04:00
1559a84c7b
added simulation style to transation simulator, to facilitate tests. Fixed roll-over bug in max cap and max leverage calculation.
2012-04-13 09:53:20 -04:00
aea2e1189c
fixes to the calculation of transactions and associated tests for long and short orders.
2012-04-12 10:46:10 -04:00
b78097241a
rounded out tests to cover more trading cases (spreading, collapsing, expiring)
2012-04-11 12:00:16 -04:00
f759cac61b
added a simple test for the transaction simulator, heavily revised the simulator as a result.
2012-04-10 22:46:50 -04:00
73d63057c1
Updated ordersource to be concurrency agnostic!
2012-04-09 11:10:41 -04:00
30dfc86ba9
fixed dates front to back to be proper market open/close, and to use start/end first_open/last_close from the TradingEnvironment.
2012-04-06 20:49:56 -04:00
aaf2fae2b8
patched guard logic in max drawdown calculation. needs real work.
2012-04-05 12:43:43 -04:00
14b57dad07
patching the filter test because we are now trying to calculate end of test risk
2012-04-04 18:44:19 -04:00
50591c9913
Merge pull request #24 from quantopian/exception_reporting
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Exception reporting
2012-04-04 15:05:05 -07:00
42f16ccdfb
Done & Exception tracking through sockets -> Controller
2012-04-04 12:22:12 -04:00
78cceaa649
fixes and tests for result streaming.
2012-04-03 22:42:53 -04:00
757fb9db97
fixed logic for timeouts on order. timeouts are not necessarily fatal.
2012-03-28 11:30:39 -04:00
3ccfb514fb
Extended the algorithm protocol to include portfolio.
2012-03-21 23:52:56 -04:00
7a57c27295
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.
2012-03-20 23:10:24 -04:00
f20db3d01d
added tests for filter, refactoring factory a bit to make sure N trades are created when N are requested.
2012-03-20 16:38:32 -04:00
26da4316d1
documented algorithm protocol, split example algorithms into their own module. added filter methods to algo and to datasources. The top level zipline is responsible for piping algo's filter to the datasource.
2012-03-20 15:51:10 -04:00
2d6c4688f9
added a new component property is_blocking. Non-blocking datasources and transforms will not prevent merge or feed from exiting, even if they have not reported DONE. refactored lines.py to provide a test zipline method and to take keyword arguments in the constructor and factory method.
2012-03-19 23:19:57 -04:00
e7f44884cf
added documentation/todo for callbacks, hopefully simplifying the algorithm classes.
2012-03-19 14:28:21 -04:00
2324c054e9
added more documentation to the lines.py. refactoring relationship between zipline and algorithm.
2012-03-19 11:40:48 -04:00
fawce