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179 Commits

Author SHA1 Message Date
fawce f759cac61b added a simple test for the transaction simulator, heavily revised the simulator as a result. 2012-04-10 22:46:50 -04:00
fawce db7a4d2f91 Merge pull request #29 from quantopian/fawce_sprint1 
added transactions to the daily update objects.
 2012-04-10 11:17:37 -07:00
fawce 368341ce61 moved transaction store to PerformancePeriod. added the position data to the performance message. 2012-04-10 14:12:03 -04:00
fawce 8ce5159e91 Merge pull request #30 from quantopian/stable_upstream 
Stable upstream
 2012-04-10 08:00:39 -07:00
fawce 2eeb92442e added transactions to the daily update objects. 2012-04-10 00:02:54 -04:00
fawce 73d63057c1 Updated ordersource to be concurrency agnostic! 2012-04-09 11:10:41 -04:00
fawce 57c39bf615 switching to only calculate the returns and risk on market close, rather than per trade. 2012-04-09 10:20:08 -04:00
fawce 237b42c11e switched reporting to provide cash, equity, and total portfolio value 2012-04-08 13:53:40 -04:00
fawce 37a8bda4b2 fixed bogus initial portfolio value (should be zero). 2012-04-06 22:31:35 -04:00
fawce 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
Stephen Diehl 80bfbd5dcb Performance reports take either socket address or socket. 2012-04-06 13:31:39 -04:00
fawce cad62346e7 updated zipline to fix missing fields in the performance and risk messages. also moved cumulative performance to be a sub component of the daily performance object. 2012-04-05 23:35:21 -04:00
fawce aaf2fae2b8 patched guard logic in max drawdown calculation. needs real work. 2012-04-05 12:43:43 -04:00
fawce 14b57dad07 patching the filter test because we are now trying to calculate end of test risk 2012-04-04 18:44:19 -04:00
fawce 70cae31442 Merge pull request #23 from quantopian/integration 
fixed bug where year report list included months instead. added a period...
 2012-04-04 15:05:35 -07:00
fawce 50591c9913 Merge pull request #24 from quantopian/exception_reporting 
Exception reporting
 2012-04-04 15:05:05 -07:00
fawce 4adf8ff854 changes risk report period label to YYYY-MM format 2012-04-04 17:01:49 -04:00
Stephen Diehl 42f16ccdfb Done & Exception tracking through sockets -> Controller 2012-04-04 12:22:12 -04:00
fawce 701687b812 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 2012-04-04 11:37:19 -04:00
fawce 78cceaa649 fixes and tests for result streaming. 2012-04-03 22:42:53 -04:00
fawce 7a7833a540 fixed missing fields, added a new random source option to test zipline (still buggy). 2012-03-30 17:48:05 -04:00
fawce ce6a91adb6 added a frame to get performance data written to the result stream. not complete, but functional. 2012-03-29 17:13:28 -04:00
fawce 757fb9db97 fixed logic for timeouts on order. timeouts are not necessarily fatal. 2012-03-28 11:30:39 -04:00
fawce 3ccfb514fb Extended the algorithm protocol to include portfolio. 2012-03-21 23:52:56 -04:00
fawce 4f87b4e98a documentation fixes and tweaks. 2012-03-21 00:55:35 -04:00
fawce 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
fawce 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
fawce 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
fawce 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
fawce e7f44884cf added documentation/todo for callbacks, hopefully simplifying the algorithm classes. 2012-03-19 14:28:21 -04:00
fawce 2324c054e9 added more documentation to the lines.py. refactoring relationship between zipline and algorithm. 2012-03-19 11:40:48 -04:00
fawce dcc471cc93 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.
 2012-03-17 23:15:38 -04:00
Stephen Diehl 3b8b13b14c Merge branch 'master' into dataflow 
Conflicts:
	zipline/test/test_messaging.py
 2012-03-16 18:20:18 -04:00
Stephen Diehl ce16122be3 Remove dropout on dataframe. 2012-03-16 18:18:42 -04:00
fawce 3af850948c fixed documentation on event callback method. 2012-03-16 17:56:53 -04:00
fawce a2c4babd93 hooking perf to the on_done callback. 2012-03-16 17:54:34 -04:00
Stephen Diehl 89485c6ae3 Hack to ignore dataframes in process_event, code seems to be written against namedicts. 2012-03-16 16:42:39 -04:00
Stephen Diehl b61b69a8dd Merge branch 'master' into dataflow 
Conflicts:
	zipline/finance/risk.py
	zipline/protocol_utils.py
 2012-03-16 15:04:23 -04:00
fawce 65253737cd taking code recommendations from @sdiehl PR notes... as always :) 2012-03-16 11:47:06 -04:00
fawce 77993ee6ca trivial mod to force push to happen. 2012-03-16 09:52:08 -04:00
fawce 1ab84ae2ca extended namedict and performance tracker to allow portfolio calculations to be accessed during a live test as a namedict. 2012-03-15 22:52:49 -04:00
Stephen Diehl 931f10fe32 Misc fixes, disabled Risk reporting until PR. 2012-03-15 18:33:34 -04:00
fawce 930ec57269 fixed bug with date handling in risk report 2012-03-15 16:52:44 -04:00
Stephen Diehl e7cf34d3c9 Interstitical risk.py 2012-03-15 16:44:15 -04:00
fawce 460e72ac7f Merge branch 'dataflow' into reframing 
Conflicts:
	zipline/finance/performance.py
 2012-03-15 16:33:22 -04:00
Stephen Diehl 6630917da8 working on frame argument sent to algorithm. 2012-03-15 16:14:12 -04:00
Stephen Diehl f980e7d22f Interstitial commit for fawce. 2012-03-15 16:08:01 -04:00
Stephen Diehl f4bdf1fc11 Rearrange docs & and fix some name conflicts. 2012-03-15 11:47:28 -04:00
Stephen Diehl 674f445cda Fix spelling mishaps. 2012-03-14 23:48:59 -04:00
fawce 2742ffcc47 using pandas for the dataframe relayed to the algorithm. all unit tests are passing. 2012-03-14 15:13:32 -04:00