 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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Stephen Diehl
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04d389b774
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Remove old pandas-zmq protocol.
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2012-04-09 23:43:53 -04:00 |
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fawce
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73d63057c1
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Updated ordersource to be concurrency agnostic!
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2012-04-09 11:10:41 -04:00 |
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fawce
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14166ccc30
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dropped the extra days in trading range...
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2012-04-09 10:31:11 -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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Stephen Diehl
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1dbe0975fc
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NumpyChannel
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2012-04-09 07:55:11 -04:00 |
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fawce
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aa2bcdf83e
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ending values for portfolio, equity, and cash in cumulative were removed, because they are redundant to the same values in daily. Also removed starting cash, as it is unchanging and equal to the capital base.
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2012-04-08 21:09:42 -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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Stephen Diehl
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16ceb68c7c
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Move zmq topology mapper to dev/ folder
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2012-04-07 09:58:50 -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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Stephen Diehl
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5aee03212d
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Replayable error log.
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2012-04-06 12:39:27 -04:00 |
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fawce
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70d32f1bbc
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Merge branch 'master' of github.com:quantopian/zipline
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2012-04-05 23:54:04 -04:00 |
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fawce
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130b996a63
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dropped the cursor from the protocol in zipline.
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2012-04-05 23:43:56 -04:00 |
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fawce
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cad62346e7
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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.
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2012-04-05 23:35:21 -04:00 |
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Stephen Diehl
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dea4271fbd
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Merge branch 'master' of github.com:quantopian/zipline
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2012-04-05 14:52:58 -04:00 |
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Stephen Diehl
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b924f57e53
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"Fix" for hanging tests in simulator.
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2012-04-05 14:52:43 -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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Stephen Diehl
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21f0f13e3b
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Merge pull request #25 from quantopian/exception_reporting
Send a soft kill, not a hard kill.
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2012-04-04 15:24:12 -07:00 |
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Stephen Diehl
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4998bc2e37
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Send a soft kill, not a hard kill.
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2012-04-04 18:23:06 -04:00 |
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fawce
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70cae31442
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Merge pull request #23 from quantopian/integration
fixed bug where year report list included months instead. added a period...
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2012-04-04 15:05:35 -07:00 |
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fawce
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50591c9913
|
Merge pull request #24 from quantopian/exception_reporting
Exception reporting
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2012-04-04 15:05:05 -07:00 |
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Stephen Diehl
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c4dbec1e30
|
MergedParallelBuffer -> Merge, ParallelBuffer -> Feed
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2012-04-04 18:03:13 -04:00 |
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fawce
|
4adf8ff854
|
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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Stephen Diehl
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f3035c5739
|
monitor.py killing softly
|
2012-04-04 14:32:31 -04:00 |
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Stephen Diehl
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42f16ccdfb
|
Done & Exception tracking through sockets -> Controller
|
2012-04-04 12:22:12 -04:00 |
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Stephen Diehl
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3d8e355cfa
|
Integrate controller into do_work.
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2012-04-04 11:42:58 -04:00 |
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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 |
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Stephen Diehl
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e18dab58e5
|
Use proper logging.
|
2012-04-04 10:47:51 -04:00 |
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|
fawce
|
78cceaa649
|
fixes and tests for result streaming.
|
2012-04-03 22:42:53 -04:00 |
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Stephen Diehl
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c2bd2872c1
|
Concurrency agnostic controller.
|
2012-04-03 18:12:16 -04:00 |
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Stephen Diehl
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e8d98084df
|
Exception tracking at the controller level.
|
2012-04-03 14:04:11 -04:00 |
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|
fawce
|
e1a3a8e799
|
removed extraneous method
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2012-04-02 10:37:27 -04:00 |
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|
fawce
|
c7bb22d4d6
|
added a publish_to method to make the api access simpler for providing a socket into the zipline to publish.
|
2012-03-31 22:55:43 -04:00 |
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|
fawce
|
7a7833a540
|
fixed missing fields, added a new random source option to test zipline (still buggy).
|
2012-03-30 17:48:05 -04:00 |
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|
fawce
|
ba9f837320
|
prepping for PR.
|
2012-03-30 11:18:33 -04:00 |
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|
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 |
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|
fawce
|
757fb9db97
|
fixed logic for timeouts on order. timeouts are not necessarily fatal.
|
2012-03-28 11:30:39 -04:00 |
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Stephen Diehl
|
d6f2f757c8
|
Tweak zmq utils.
|
2012-03-26 13:37:34 -04:00 |
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|
Stephen Diehl
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efcda0f585
|
Gevent driven zmq poller, per sage advice of benoitc.
|
2012-03-24 12:35:06 -04:00 |
|
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Stephen Diehl
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7134b4c1b1
|
Support for different flavors of ZeroMQ.
|
2012-03-24 11:56:18 -04:00 |
|
|
Stephen Diehl
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3248328f97
|
Merge pull request #19 from quantopian/api
Extended the algorithm protocol to include portfolio.
|
2012-03-22 07:11:43 -07:00 |
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|
fawce
|
0653c244b5
|
fixed bug in table formatting.
|
2012-03-22 00:01:27 -04:00 |
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|
fawce
|
3ccfb514fb
|
Extended the algorithm protocol to include portfolio.
|
2012-03-21 23:52:56 -04:00 |
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fawce
|
7deec4a74c
|
logic-o, forgot the self parameter.
|
2012-03-21 16:29:30 -03:00 |
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|
fawce
|
e67322ac04
|
fixed flow diagram in doco for diamond topo
|
2012-03-21 01:01:03 -04:00 |
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|
fawce
|
4f87b4e98a
|
documentation fixes and tweaks.
|
2012-03-21 00:55:35 -04:00 |
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|
fawce
|
839e99f099
|
document fixes.
|
2012-03-20 23:17:36 -04:00 |
|