244f787176
Cleaned up OOP on transforms.
2012-05-16 16:55:26 -04:00
9b6c83e3e5
Removed more amguity over source_id
2012-05-16 16:40:25 -04:00
8d864462ff
Fix DataSource id/get_id mixup.
2012-05-16 16:19:08 -04:00
3ad1f250e6
Cleaned up OOP, first round.
2012-05-16 14:33:16 -04:00
642d842b3c
Merge branch 'master' of github.com:quantopian/zipline
2012-05-16 12:08:38 -04:00
2bf9f896e5
added missing import
2012-05-16 12:08:18 -04:00
e26638058c
Reverted path independence code in factory.py. Not sure how to fix with new path structure.
2012-05-15 17:37:27 -04:00
750496fa94
fixed all imports
2012-05-15 14:18:19 -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
8db7feb60f
Merge branch 'master' of github.com:quantopian/zipline
2012-05-15 13:56:33 -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
d399edd419
Fix ndict woes.
2012-05-14 13:49:45 -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
00de461da8
Made more submodules.
2012-05-10 15:46:19 -04:00
add3f10b2e
removed expiremental pandas code
2012-05-10 15:13:00 -04:00
81de47774f
fixed allocation issue
2012-05-10 13:51:02 -04:00
54ee77827e
Merge branch 'master', remote-tracking branch 'origin' into refactor
2012-05-09 09:15:07 -04:00
f60794067e
reworked directory
2012-05-09 09:12:11 -04:00
602f70d0fe
flattened the finance package. draft test for vwap in a complete zipline.
2012-05-08 17:12:41 -04:00
a48db838c1
refactored transforms to be a package. added vwap, moving average, returns. basic tests for calculations, need to add a test to run the calculations in a zipline.
2012-05-08 13:07:55 -04:00
9b42a1e63f
draft of a vwap transform.
2012-05-04 13:32:29 -04:00
a60154dd6b
intersticial commit for transforms
2012-05-02 21:05:02 -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
1f04ee4ece
committed a set_trace...
2012-04-23 21:04:51 -04:00
fe793b503d
hotpatching a merge error (duplication of the max dd check).
2012-04-23 20:50:08 -04:00
54d3579ceb
added boolean to results for exceeding max losses in a single simulated day.
2012-04-23 15:10:44 -04:00
1d9953255a
added stop out for max drawdown.
2012-04-20 23:41:23 -04:00
bab0e2bd19
made distinction between cumulative behavior and daily behavior a bit more clear.
2012-04-20 15:08:39 -04:00
bc14e7e3b7
zipline, now a cold, heartless, http://open.spotify.com/track/1xshgoh575otNXRfeYgh9D
...
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.
...
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
6f5e9b0559
fixed documentation
2012-04-19 23:32:37 -04:00
08a5bd5a0d
re-arranged fields so that history includes daily snapshots for cumulative measures.
2012-04-19 23:27:35 -04:00
1b5b92d75f
dropped unwanted fields.
2012-04-18 12:36:46 -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
Stephen Diehl