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Author SHA1 Message Date
Andrew Liang b504d29a78 ENH: can_trade should take restricted list into account 
Additionally, create an option for a violation of a 'do not order'
trading control to log an error instead of failing
 2016-09-29 10:11:14 -04:00
Andrew Liang 0f47cf313d ENH: A point-in-time restricted list with restrictions stored in memory 
An ABC Restrictions defines a group of restrictions responsible
for returning restriction information for sids on certain dts. An
InMemoryRestrictions is a point-in-time group of such restrictions,
with all restrictions and their dates passed in upon instantiation.
A StaticRestrictedList takes a list of sids, restricting them at all
dates
 2016-09-27 18:19:51 -04:00
Maya TydykovandGitHub 60b736b594 Merge pull request #1396 from quantopian/add_estimates_quarter_loader_to_pipeline 
Add estimates quarter loader to pipeline
 2016-09-27 17:18:16 -04:00
Maya Tydykov 6cb06ffcdf TST: add test for changing event dates and adjustments 
BUG: get column names from column dict

BUG: fix name map
 2016-09-27 16:53:36 -04:00
Scott SandersonandGitHub 9e6509daa3 Merge pull request #1514 from fzagarzazu/fix-dockerfile 
Docker build failure - Add Tini and set version range for numpy
 2016-09-27 12:18:17 -04:00
Joe JevnikandMaya Tydykov 5d7100542c PERF: only query for the columns requested + metadata 
BUG: choose last event date for quarter shift
 2016-09-27 09:54:46 -04:00
Joe JevnikandMaya Tydykov 25b38520fa PERF: vectorize earnings estimates 2016-09-27 09:54:46 -04:00
Maya Tydykov cbd9bd068c TST: add test for sid with no data 
MAINT: optimization - only look at assets appearing in data

TST: simplify test

DOC: add documentation for checkpoints

MAINT: explicitly cast event date field to datetime

MAINT: add back import

TST: fix indexing to remove setting wtih copy warning
 2016-09-27 09:54:44 -04:00
Maya Tydykov 8d8f057120 MAINT: add checkpointing 
BUG: add cols for sids with no data and get adjustments outside column loop
 2016-09-27 09:54:43 -04:00
Maya Tydykov 7d75615fd2 TST: add test for missing num_quarters and clean up tests 2016-09-27 09:54:43 -04:00
Maya Tydykov 5e1a8224cd TST: add test to check previous columns w/ multiple qtrs 
MAINT: pass column to name dict

MAINT: make check for invalid num columns py3-compatible
 2016-09-27 09:54:41 -04:00
Maya Tydykov ebcc5f714a TST: add test for requesting multiple datasets with multiple quarters 2016-09-27 09:54:41 -04:00
Maya Tydykov eb22f2ab6b TST: add test for datetime array and update test 
TST: fix quarter normalization test

TST: change test name

BUG: remove arg

BUG: look at dict keys

TST: add test for windowing

MAINT: raise ValueError instead of asserting

TST: add assertion to check windowing

TST: parametrize test over number of quarters forward/back.

BUG: fix adjustment calculation logic for quarter crossovers.

TST: add test for previous quarter windows

BUG: fix bugs in calculating previous windows

BUG: fix missing value for datetime

TST: add test case for missing quarter
 2016-09-27 09:54:41 -04:00
Maya Tydykov af718b0f4a ENH: add adjustment for datetime64 arrays 
BUG: fix adjustment start index
 2016-09-27 09:54:40 -04:00
Maya Tydykov 2fb7ec7612 TST: add test for 1d array overwrite 2016-09-27 09:54:40 -04:00
Maya Tydykov 9ce4077cc6 ENH: add an adjustment for float64 2d arrays. 
BUG: fix syntax error

MAINT: optimize code for cython
 2016-09-27 09:54:39 -04:00
Maya Tydykov ef350f3889 TST: add cases for shifting release dates 
BUG: fix bugs in blaze loader

BUG: call correct method

MAINT: explicitly cast dates column

MAINT: modify code to comply with pandas 0.16.1
 2016-09-27 09:54:38 -04:00
Maya Tydykov f1c07708cd TST: add tests for quarter rotation logic 2016-09-27 09:54:37 -04:00
Maya Tydykov afc5297fe3 TST: add tests for quarter estimates 
MAINT: modify algorithm for calculating previous releases

BUG: fix quarter calculation logic
 2016-09-27 09:54:36 -04:00
Maya Tydykov 1c375806e7 ENH: add loader for estimates 2016-09-27 09:45:12 -04:00
Federico M. Zagarzazu de4d26cfd5 Set scipy and pandas version range in Dockerfile 2016-09-26 21:13:35 -05:00
Scott SandersonandGitHub 8ec76d4f38 Merge pull request #1513 from jkleint/patch-1 
Propagate exceptions in loader to prevent variable reference before use
 2016-09-26 10:36:03 -04:00
Federico M. Zagarzazu 3f078d4ef6 Add Tini and set version range for numpy in Dockerfile 2016-09-25 00:27:55 -05:00
jkleintandGitHub 82273e296f Propagate exceptions in loader to prevent variable reference before use 
`data.loader.ensure_benchmark_data()` was trying to use data after an exception was raised loading it.  The code was logging and swallowing exceptions; this re-raises.
 2016-09-23 15:55:55 -07:00
Andrew DanielsandGitHub db0eabe82a PERF: Replace get_loc calls in calc_dividend_ratios with get_indexer (#1510) 
We can make a single vectorized call outside of the loop, instead of
repeatedly calling get_loc inside it.
 2016-09-22 19:05:43 -04:00
Scott SandersonandGitHub 171736f2de Merge pull request #1508 from quantopian/forward-window-safety-in-demean 
BUG: F.window_safe implies f.demean().window_safe.
 2016-09-22 13:50:30 -04:00
Scott Sanderson bddb453272 BUG: F.window_safe implies f.demean().window_safe. 2016-09-22 12:41:50 -04:00
Andrew DanielsandGitHub f1919dc3af BUG: Makes NoData{Before, After}Date subclass NoDataOnDate (#1507) 
This allows us to catch and handle all three of these exceptions in
`calc_dividend_ratios`.
 2016-09-22 11:43:43 -04:00
Andrew DanielsandGitHub a5c7e93540 Merge pull request #1500 from quantopian/make-metadata-optional 
MAINT: Adds option for minute bar writer to not write metadata
 2016-09-21 12:40:19 -04:00
Eddie HebertandGitHub 25517e2b15 Merge pull request #1502 from quantopian/remove-future-chain 
MAINT: Remove `future_chain` API method.
 2016-09-21 11:44:57 -04:00
Andrew Daniels 96cc6b6588 MAINT: Adds option for minute bar writer to not write metadata 
With the addition of the truncate function, there are cases where we'll
want to construct a BcolzMinuteBarWriter to call truncate, without
gathering all the metadata. This commit adds a write_metadata arg to its
init, which is True by default. If False is specified, no metadata is
written.

Requires adding logic to truncate to update end_session in metadata to
the truncate date.
 2016-09-21 11:31:54 -04:00
Scott SandersonandGitHub 5e20a1bdd1 Merge pull request #1505 from quantopian/blaze-it 
MAINT: Put us back on blaze master.
 2016-09-21 11:18:27 -04:00
Eddie Hebert 9fd8ddda53 MAINT: Remove future_chain API method. 
`future_chain` will be replaced by the as yet to be implemented method,
`data.current_chain`

Also removing `FutureChain` which will be replaced by another version
which only supports indexing and iteration.
 2016-09-21 11:08:34 -04:00
Scott Sanderson 3477e26720 MAINT: Put us back on blaze master. 2016-09-21 10:46:57 -04:00
Eddie HebertandGitHub 21a3de8ce5 Merge pull request #1477 from quantopian/init-1.0.3-release-notes 
DOC: Add skeleton for 1.0.3 release notes.
 2016-09-21 10:36:31 -04:00
Eddie HebertandGitHub 9e0ef02ff6 Merge pull request #1494 from quantopian/remove-unused-update-dividends 
MAINT: Remove unused method.
 2016-09-21 10:36:12 -04:00
Scott SandersonandGitHub b584ccc187 Merge pull request #1504 from quantopian/pandas18-memory-stopgaps 
PERF: Remove or defer calls to get_loc on large indices.
 2016-09-21 10:18:57 -04:00
Scott Sanderson a9faf94945 PERF: Remove or defer calls to get_loc on large indices. 
Mitigation for https://github.com/quantopian/zipline/issues/1503.
 2016-09-21 06:18:31 -04:00
Scott SandersonandGitHub 9ea1af70a9 Merge pull request #1339 from quantopian/latest-numpy-pandas 
Latest numpy and pandas
 2016-09-20 22:03:49 -04:00
Scott Sanderson 9cc2ecf8d5 BUG: Remove set_trace and add test coverage. 2016-09-20 17:46:27 -04:00
Scott Sanderson c28ac1a4a5 MAINT: Bump blaze. 2016-09-20 17:12:09 -04:00
Scott Sanderson c5936b86d6 MAINT: Silence bad perf warning from pandas. 2016-09-20 17:12:09 -04:00
Scott Sanderson ab9a5d7060 MAINT: Use randint instead of random_integers. 2016-09-20 17:12:09 -04:00
Scott Sanderson 6e3bfe2d78 MAINT: Rebuild example data. 2016-09-20 17:12:09 -04:00
Scott Sanderson 2522ca28ae BUG: Don't fail on integral floats in event rules. 
Coerce and warn instead.
 2016-09-20 17:12:08 -04:00
Scott Sanderson 467a4f8225 MAINT: Bump blaze. 2016-09-20 17:12:08 -04:00
Scott Sanderson 5370948196 MAINT: Use sort_values instead of sort(). 2016-09-20 17:12:08 -04:00
Scott Sanderson ce76acce46 MAINT: Use df.resample().apply(). 2016-09-20 17:12:08 -04:00
Scott Sanderson ec89402a3e MAINT: Fix PerformanceWarning import. 2016-09-20 17:12:08 -04:00
Scott Sanderson 918de6ad26 MAINT: Use explicit floats in np.full. 2016-09-20 17:12:08 -04:00