Thomas Wiecki and Eddie Hebert
b976c1252b
Provides an iterative version of risk metrics.
...
I wrote this a little while ago as I noticed that a lot of time is spent
computing risk statistics. This is done over the complete history over
and over again while this could be done just by using the previously
computed value (iteratively).
We didn't go forward back then because for minute trade data the
difference was not significant enough. However, now with zipline
standalone I think most people will use daily (because that's
what's available) and it makes a huge difference
(speed-up of a couple of 100%).
Unfortunately, we can't just replace the existing one with an
iterative as for the final cumulative stats the batch is still
better. So that's not as nice, but the performance increase is
big enough for me to issue this PR (zipline is actually painfully
slow with daily data).
There is a unittest that compares that both produce exactly
the same outputs.
Speed measurements (for 500 trading days, daily source):
with iterative:
real 26.617 user 12.909 sys 6.112 pcpu 71.46
prior:
real 44.176 user 31.030 sys 11.381 pcpu 96.00
2012-10-17 23:41:30 -04:00
Eddie Hebert
95ce2d90cf
Removes unused constant and redirection of imports.
...
Removes TRANSFORM_TYPE from protocol, since it is unused.
Also, removes use of ndict as a member of protocol, since it's
import there was for the TRANSFORM_TYPE. Changed to
utils.protocol_utils instead.
2012-10-15 22:57:06 -04:00
fawce and Eddie Hebert
815c9f2cf6
providing default behavior for positions dictionary. non-existent positions are
...
returned as zero size/value positions.
2012-10-10 16:08:14 -04:00
fawce and Eddie Hebert
d9cf193ce0
fixes to unit tests
2012-10-10 16:07:11 -04:00
fawce and Eddie Hebert
e3f750014e
__missing__ needs to put the value into the dictionary
2012-10-10 16:06:55 -04:00
fawce and Eddie Hebert
16b0d71506
refactoring of algorithm to make it work for both batch style run method, and generator style consumption. removed the portfolio property from the data parameter. added set_slippage and set_commission methods to algorithm. removed timeout tracking.
2012-10-10 16:06:32 -04:00
Eddie Hebert
bbf2317c57
Saving point for adding license files.
2012-10-08 17:32:40 -04:00
Eddie Hebert
77af1ca632
Applies PEP-8 and pyflakes style to tests and zipline.
...
Mostly whitespace, line width and other spacing changes.
Also, removes use of deprecated has_key in favor of `in`
Going forward new patches should pass running `flake8` before
submission.
2012-10-05 12:14:09 -04:00
fawce
fe8e107c59
dropping max drawdown, adding pytz to whitelist.
2012-09-14 16:00:13 -04:00
Eddie Hebert
215a64ed6a
Removes unused import of zmq.
2012-08-23 23:48:24 -04:00
scottsanderson
22523b5c12
clean up cruft and fix bugs from timeout rename
2012-08-23 13:09:31 -04:00
scottsanderson
24fddfbde0
tradingcalender, attempt #2
2012-08-22 02:50:16 -04:00
scottsanderson
1f78a07d30
refactor tradesimulation client to not use StatefulTransform unnecessarily
2012-08-21 19:55:40 -04:00
fawce
1479adf519
fixed infinite looking loop in risk reporting, thanks to groupby
2012-08-21 19:26:46 +00:00
fawce
196c681d4b
fixes for max drawdown
2012-08-09 21:43:26 -04:00
scottsanderson
8437a28c14
generator-style perf now sends a risk report on receipt of DONE
2012-08-03 21:09:05 -04:00
scottsanderson
56177a7c4f
end to end zipline with pure generators
2012-08-02 00:49:48 -04:00
scottsanderson
14067d8323
commit for fawce
2012-08-01 21:42:55 -04:00
fawce
6de01a1c6e
added support for any component to relay exceptions through monitor.
2012-08-01 14:56:17 -04:00
scottsanderson
6cb3516b6b
save for attempted merge
2012-08-01 11:12:09 -04:00
fawce
5dd35a4709
added default positions for portfolio object.
2012-07-19 23:31:14 -04:00
fawce
1262dcdef1
logging converted to share socket with performance
2012-07-17 11:04:32 -04:00
scottsanderson
a789db1789
make git happy
2012-07-04 03:48:28 -04:00
fawce
2a8e19b22f
name change for positions_value
2012-06-21 22:08:25 -04:00
fawce
ba05335b2c
logging every update was spamming the console during unit tests...
2012-06-18 19:11:13 -04:00
Stephen Diehl
9c9cddb2e8
Tidy up logging statements.
2012-06-13 16:21:43 -04:00
Stephen Diehl
61ee2420eb
Removed dummy print statement.
2012-06-12 13:31:48 -04:00
Stephen Diehl
06e6207020
Update logging system
2012-06-12 07:11:52 -04:00
Stephen Diehl
2d85ec4d95
Update performance tracker ot use Logbook
2012-06-11 13:54:00 -04:00
fawce
0dea9c5ecb
finished comment
2012-06-07 17:58:30 -04:00
fawce
6a8654342a
added an as_portfolio method to the PerformancePeriod.
2012-06-07 17:40:26 -04:00
fawce
6d8a786214
updated performance to be trade by trade.
2012-06-07 13:53:45 -04:00
Stephen Diehl
318d7ba678
Fun fun times writing setup.py
2012-05-26 18:24:48 -04:00
Stephen Diehl
817166ba03
Merge branch 'master' into cheetah
2012-05-26 15:55:48 -04:00
Stephen Diehl
3446c116ab
Process Simulator!
2012-05-26 15:54:43 -04:00
fawce
70b0088e02
patched logging config.
2012-05-22 21:23:47 -04:00
Stephen Diehl
3ad1f250e6
Cleaned up OOP, first round.
2012-05-16 14:33:16 -04:00
Stephen Diehl
d399edd419
Fix ndict woes.
2012-05-14 13:49:45 -04:00
Stephen Diehl
e04415e63f
Remove all namedicts.
2012-05-14 11:35:43 -04:00
Stephen Diehl
133d9c03af
One test passing, progress!
2012-05-10 16:38:04 -04:00
fawce
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
fawce
1f04ee4ece
committed a set_trace...
2012-04-23 21:04:51 -04:00
fawce
fe793b503d
hotpatching a merge error (duplication of the max dd check).
2012-04-23 20:50:08 -04:00
fawce
54d3579ceb
added boolean to results for exceeding max losses in a single simulated day.
2012-04-23 15:10:44 -04:00
fawce
1d9953255a
added stop out for max drawdown.
2012-04-20 23:41:23 -04:00
fawce
bab0e2bd19
made distinction between cumulative behavior and daily behavior a bit more clear.
2012-04-20 15:08:39 -04:00
fawce
bc14e7e3b7
zipline, now a cold, heartless, http://open.spotify.com/track/1xshgoh575otNXRfeYgh9D
...
Pretty fast too...
2012-04-20 12:21:03 -04:00
fawce
6f5e9b0559
fixed documentation
2012-04-19 23:32:37 -04:00
fawce
08a5bd5a0d
re-arranged fields so that history includes daily snapshots for cumulative measures.
2012-04-19 23:27:35 -04:00
fawce
1b5b92d75f
dropped unwanted fields.
2012-04-18 12:36:46 -04:00
