bd616a9ec0
eliminated special handling for non-blocking components.
2012-04-16 12:06:39 -04:00
2dddfbb1a5
Merge pull request #32 from quantopian/fawce_sprint1
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Fawce sprint1
2012-04-16 08:10:17 -07:00
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
db7a4d2f91
Merge pull request #29 from quantopian/fawce_sprint1
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added transactions to the daily update objects.
2012-04-10 11:17:37 -07:00
368341ce61
moved transaction store to PerformancePeriod. added the position data to the performance message.
2012-04-10 14:12:03 -04:00
013e23383c
ENH: Loading of benchmark data now path independent.
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BUG: Correctly close file descriptor after use.
ENH: Use attrgetter instead of lambda function to sort keys.
ENH: Added package_data so that benchmark datasets will get installed.
2012-04-10 11:12:59 -04:00
8ce5159e91
Merge pull request #30 from quantopian/stable_upstream
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Stable upstream
2012-04-10 08:00:39 -07:00
ea340b6186
Datetime subclasses with tzinfo=UTC by default
2012-04-10 08:30:37 -04:00
6f27009e82
Started datetime utiles lib.
2012-04-10 00:30:53 -04:00
2eeb92442e
added transactions to the daily update objects.
2012-04-10 00:02:54 -04:00
04d389b774
Remove old pandas-zmq protocol.
2012-04-09 23:43:53 -04:00
1ddca6e6e0
Merge pull request #28 from twiecki/patch-1
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DOC: Added missing etc path to README.md. Minor restructuring of text.
2012-04-09 17:24:04 -07:00
55b8ccbb3c
DOC: Added missing etc path to README.md. Minor restructuring of text.
2012-04-09 18:51:33 -03:00
6bc3e7df20
Merge pull request #27 from quantopian/date_fixes
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Updated ordersource to be concurrency agnostic! *woohoo*
2012-04-09 08:12:56 -07:00
73d63057c1
Updated ordersource to be concurrency agnostic!
2012-04-09 11:10:41 -04:00
6c71169f47
Merge pull request #26 from quantopian/date_fixes
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fixed dates front to back to be proper market open/close, and to use sta...
2012-04-09 07:35:26 -07:00
14166ccc30
dropped the extra days in trading range...
2012-04-09 10:31:11 -04:00
57c39bf615
switching to only calculate the returns and risk on market close, rather than per trade.
2012-04-09 10:20:08 -04:00
1dbe0975fc
NumpyChannel
2012-04-09 07:55:11 -04:00
aa2bcdf83e
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.
2012-04-08 21:09:42 -04:00
237b42c11e
switched reporting to provide cash, equity, and total portfolio value
2012-04-08 13:53:40 -04:00
16ceb68c7c
Move zmq topology mapper to dev/ folder
2012-04-07 09:58:50 -04:00
37a8bda4b2
fixed bogus initial portfolio value (should be zero).
2012-04-06 22:31:35 -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
80bfbd5dcb
Performance reports take either socket address or socket.
2012-04-06 13:31:39 -04:00
5aee03212d
Replayable error log.
2012-04-06 12:39:27 -04:00
70d32f1bbc
Merge branch 'master' of github.com:quantopian/zipline
2012-04-05 23:54:04 -04:00
130b996a63
dropped the cursor from the protocol in zipline.
2012-04-05 23:43:56 -04:00
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
dea4271fbd
Merge branch 'master' of github.com:quantopian/zipline
2012-04-05 14:52:58 -04:00
b924f57e53
"Fix" for hanging tests in simulator.
2012-04-05 14:52:43 -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
21f0f13e3b
Merge pull request #25 from quantopian/exception_reporting
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Send a soft kill, not a hard kill.
2012-04-04 15:24:12 -07:00
4998bc2e37
Send a soft kill, not a hard kill.
2012-04-04 18:23:06 -04:00
70cae31442
Merge pull request #23 from quantopian/integration
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fixed bug where year report list included months instead. added a period...
2012-04-04 15:05:35 -07:00
50591c9913
Merge pull request #24 from quantopian/exception_reporting
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Exception reporting
2012-04-04 15:05:05 -07:00
c4dbec1e30
MergedParallelBuffer -> Merge, ParallelBuffer -> Feed
2012-04-04 18:03:13 -04:00
4adf8ff854
changes risk report period label to YYYY-MM format
2012-04-04 17:01:49 -04:00
f3035c5739
monitor.py killing softly
2012-04-04 14:32:31 -04:00
42f16ccdfb
Done & Exception tracking through sockets -> Controller
2012-04-04 12:22:12 -04:00
3d8e355cfa
Integrate controller into do_work.
2012-04-04 11:42:58 -04:00
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