bd06ff14ed
MAINT: optionally apply deltas adjustments based on info from dataset
2017-01-31 15:19:03 -05:00
b080d337f5
Merge pull request #1657 from quantopian/compare-slippage-models
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ENH: Solidify equality comparisons for SlippageModel classes
2017-01-24 11:47:29 -05:00
ccddc86d6b
ENH: Solidify equality comparisons for SlippageModel classes
2017-01-24 11:28:32 -05:00
9ea1ee443a
Merge pull request #1656 from quantopian/fix-open-minutes-for-append
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BUG: Fix end session metadata for minute bar writer.
2017-01-22 15:58:27 -05:00
b90091e494
BUG: Fix end session metadata for minute bar writer.
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When opening with a new `end_session`, i.e. opening for append, write the new
end session to the metadata.
Fixes an issue where the calendar on minute bar readers did not include the
recently appended day, causing reads on the last values to fail.
According, update append test to read a value, instead of checking table length.
2017-01-22 15:14:05 -05:00
364f5cc199
Merge pull request #1644 from quantopian/closed-means-closed
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Don't allow ordering assets after their auto close date
2017-01-20 10:19:27 -05:00
83a221e986
BUG: can_trade was true for assets after their auto close date
2017-01-20 09:54:30 -05:00
f0b5b21c67
Merge pull request #1655 from quantopian/fix-py3-error
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BUG: fix a py3 invalid char
2017-01-19 21:03:28 -05:00
efcc87e089
BUG: fix a py3 invalid char
2017-01-19 20:43:48 -05:00
006df906b0
Merge pull request #1654 from quantopian/tell-me-the-current-session
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ENH: add current_session property to BarData
2017-01-19 17:09:30 -05:00
1f56f20a7f
ENH: add current_session property to BarData
2017-01-19 16:53:49 -05:00
25f826d5c7
Merge pull request #1643 from quantopian/events-loader-handle-empty-raw-data
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Events loader handle empty raw data
2017-01-19 13:01:43 -05:00
ecbc7f890b
BUG: make the events loader handle empty raw data
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TST: add test case for empty raw events data
BUG: update for python compatibility
MAINT: Simplify assertion for empty events case.
DOC: Add comments on indexer unpacking.
MAINT: move some config to test method
2017-01-19 12:00:49 -05:00
fad98672e0
Merge pull request #1650 from quantopian/slippage-cleanup
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ENH: Small refactoring of fill price check.
2017-01-18 09:57:03 -05:00
7e2838744c
ENH: Small refactoring of fill price check.
2017-01-18 09:22:05 -05:00
962c414ab7
Merge pull request #1649 from quantopian/easier-open-minute-bars-for-append-truncate
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Easier open minute bars for append and truncate
2017-01-17 17:56:17 -05:00
df87dfb227
ENH: Add sorted to sid list when truncating.
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For repeatable order of truncates between invocations.
2017-01-17 17:25:28 -05:00
1d75143f54
ENH: Add a method to open existing minute bar directory.
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Remove need for a consumer that is editing an existing minute bars directory to
reread the values which should not change from the metadata.
Add a test to the append on new day and truncate, which would be the common
usage of this method.
2017-01-17 17:25:27 -05:00
2af63dfab7
Merge pull request #1646 from quantopian/update-toolz
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BLD: Use latest version of toolz.
2017-01-13 16:09:55 -05:00
cb50959efc
BLD: Use latest version of toolz.
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Also, add requirement of cytoolz to blaze reqs so that toolz and cytoolz are
on the same version.
2017-01-13 15:42:59 -05:00
a06503d8ec
Merge pull request #1645 from quantopian/nitpick-some-more-why-dont-you
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STY: Simplify style in conditional.
2017-01-12 22:26:21 -05:00
57b09ce1d7
STY: Simplify style in conditional.
2017-01-12 22:03:35 -05:00
64f77eb3e4
MAINT: Update and pin more dev requirements
2017-01-08 14:07:55 -05:00
50c096c3e9
MAINT: Pin exact versions of Mako, MarkupSafe, requests-file
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which are transitive dependencies of zipline
2017-01-07 17:57:29 -05:00
1e51dbec0a
STY: Use def statements instead of lambda assignment. ( #1639 )
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From pep-0008:
```
Always use a def statement instead of an assignment statement that binds a
lambda expression directly to an identifier.
Yes:
def f(x): return 2*x
No:
f = lambda x: 2*x
The first form means that the name of the resulting function object is
specifically 'f' instead of the generic '<lambda>'. This is more useful for
tracebacks and string representations in general. The use of the assignment
statement eliminates the sole benefit a lambda expression can offer over an
explicit def statement (i.e. that it can be embedded inside a larger expression)
```
2017-01-06 13:39:07 -05:00
a1f09cffb8
Merge pull request #1638 from luca-s/IchimokuKinkoHyo_fix
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BUG: IchimokuKinkoHyo techinical factor has wrong default inputs
2017-01-06 13:23:52 -05:00
b5ce101f5a
BUG: IchimokuKinkoHyo techinical factor has wrong default inputs
2017-01-06 16:06:05 +01:00
aed2c64c99
BLD: Update numexpr to latest to satisfy tables deps. ( #1636 )
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* BLD: Update numexpr to latest to satisfy tables deps.
tables 3.3.0 requires numexpr >= 2.5.2
Also remove numexpr conda recipe.
2017-01-05 15:27:24 -05:00
dd560ba5f0
BUG: Datetimes should be converted in utc. ( #1635 )
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* BUG: Datetimes should be converted in utc.
* DOC: Making note of UTC req. and moving comment.
2017-01-05 14:13:23 -05:00
c1fe909dde
Remove tables from custom conda scripts.
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Use anaconda hosted instead.
2017-01-04 12:09:10 -05:00
2d5f5491ee
Swap name instead.
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Package is named pytables on conda.
2017-01-04 12:09:10 -05:00
a3dfa4a6fa
Add hdf5 install.
2017-01-04 12:09:10 -05:00
037b2b0003
Remove tables from travis.
2017-01-04 12:09:10 -05:00
d023a8ed4f
Use tables instead of pytables.
2017-01-04 12:09:10 -05:00
dfdf26e310
Use conda skeleton for pytables.
2017-01-04 12:09:10 -05:00
e4c0120876
Attemp to add conda package.
2017-01-04 12:09:10 -05:00
9262381d17
Fix double equals in conda pytables.
2017-01-04 12:09:10 -05:00
225b6fe119
Update tables.
2017-01-04 12:09:10 -05:00
5a8443b5f1
Add pytables for travis.
2017-01-04 12:09:10 -05:00
e913519734
ENH: Add a reader writer pair for HDF5 minute bar updates.
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This format is intended for storing data for all sids of an asset type,
e.g. equities or futures for a session. bcolz is not used to avoid the overhead
of creating the directories and files for each asset (which numbers around ~8000
for active equities) can be removed since the update is meant to be read at
once, instead of supporting the random access pattern needed by the simulation.
This patch only adds the reader/writer pair, with the management of finding the
paths to delta files and the application of the updates to the bcolz write left
to internal loader code.
Also, the update reader interface is intentionally constrained to the data for
an entire session to allow for an implementation that allows for mid-session updates.
2017-01-04 12:09:10 -05:00
3095f8c573
Merge pull request #1627 from quantopian/vectorized-symbol-map
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ENH: Add vectorized lookup_symbol.
2016-12-28 15:10:14 -05:00
4475a42b15
DOC: Add note on lookup_symbols.
2016-12-28 14:43:15 -05:00
0aa4f129c1
TEST: Tweaks to vectorized symbol tests.
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- Test against an empty list.
- Don't test empty share class lookups.
- Add another comprehension test for completeness.
2016-12-28 14:40:18 -05:00
fd74aad31c
ENH: Add vectorized lookup_symbol.
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Currently only supports one as_of date.c
2016-12-28 12:31:50 -05:00
df6cb62925
Adjustments to Component Dfs ( #1620 )
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* ENH: SQLiteAdjustmentReader can return DF versions of tables.
2016-12-27 13:44:17 -05:00
4b69a253ec
Merge pull request #1623 from quantopian/futures-scaling-factor
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TST: Extra test for reading/writing ohlc ratios
2016-12-22 15:01:42 -05:00
56b5ac686a
TST: Extra test for reading/writing ohlc ratios
2016-12-22 14:34:46 -05:00
c6ad893c14
TST: Populate equity_supplementary_mappings from WithAssetFinder ( #1622 )
2016-12-22 11:07:30 -05:00
09318df534
Merge pull request #1596 from quantopian/order_batch
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Order batch
2016-12-21 20:41:35 -05:00
7ab0b08e95
MAINT: Filter out null orders
2016-12-20 19:27:29 -05:00
Maya Tydykov