799a357d98
Changes test factory to use Event instead of ndict.
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As more sources are moving off of ndict,
changing the factory to use Event, so that when testing we are
exercising use of Event.
2013-01-06 17:13:07 -05:00
775c564ea1
ENH: Added DataPanelSource.
2012-12-13 12:55:05 -05:00
bbc8050c81
Merge pull request #42 from quantopian/iso8061_to_8601
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Remove unused ISO 8601 stuff from Zipline
2012-12-12 16:47:55 -08:00
095f2dd65b
Date bookkeeping fixes in perf and risk
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Issues appeared when we were close to the end of our
historical data.
Yielding DONE event with both perf and risk messages now
2012-12-12 15:23:26 -05:00
831034eb3b
Remove unused ISO 8601 stuff from Zipline
2012-12-11 13:54:59 -05:00
4981c67c31
Handle missing historical data more elegantly
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Updated the search for treasury data when there is none for the
test end date.
It could be that the end date is not a trading day, or we could
just be missing treasury data. In either case, we try to recover
more gracefully now, by searching as far as possible and maybe
logging a warning.
Similarly, if there is no benchmark data for the test end date,
look for the next trading day. If we really have no data,
blow up with our own explicit exception, instead of overflowing
in our search for dates in the future.
2012-12-10 13:03:25 -05:00
5a585fc3aa
Merge pull request #37 from quantopian/fix_transforms
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Fix transforms
2012-12-06 14:00:35 -08:00
5f6839beea
BUG: Refactored batch_transform unittests and fixed some bugs.
2012-12-06 12:36:47 -05:00
bbef0658d1
Adds non-market days due to National Days of Mourning.
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Post-2002 Days of Mourning, Reagan and Ford
2012-12-04 15:07:05 -05:00
a8e1647d6e
Adds Hurricane Sandy related closings to non-trading days.
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Adds the closings on 10/29/2012 and 10/31/2012 to the
trading calendar rules.
2012-12-04 14:16:30 -05:00
b2b7ea0063
Adds closings due to 9/11 attacks.
2012-12-04 14:08:30 -05:00
3ff3a6964e
Allows the capital base of an algorithm to be more easily modified.
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By having run() use a capital_base member of the algorithm to
create the trading environment, the capital base should now be
configurable in the instantiation of the algorithm.
e.g.:
```
algo = LowCapitalBaseAlgorithm(capital_base=1000.0):
```
2012-12-04 10:42:58 -05:00
e266d926f3
Updates quarter utilities to fix offset.
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Also, includes tests of quarter utilities.
Thanks to @richafrank.
2012-11-28 10:53:08 -05:00
89485a0ee9
Fixes invocation of datetime method.
2012-11-27 17:46:24 -05:00
cc0ff551ec
Adds quarter date utilities back into zipline.
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Paving the way for a refactoring that will bring some of the
universe logic, specifically quarter universe logic into zipline.
2012-11-27 17:16:21 -05:00
f4be285dd7
Removed quarter utilities unused by zipline
2012-11-20 13:46:48 -05:00
8a0d6e72cd
Changes the location of downloaded external data files.
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So that the zipline library can be used when installed to a
write-protected location, e.g. the global site-packages,
moving the download files to a directory in the user's path,
which should be writeable.
For now, choosing a ~/.zipline/data location.
2012-11-08 22:51:03 -05:00
126e9fdf26
Fixed batch_transform window length not being market aware.
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Added accompanying unittest.
Minor refactoring of unittests and factory.
2012-11-06 21:13:27 -05:00
ae1644fe35
Added yahoo finance loader.
2012-10-22 09:28:56 -04:00
15ac658024
Restructured file hierarchy. Transforms now live in transforms (transform.py is now transforms/utils.py). Sources are in sources.py. VWAP is now MovingVWAP.
2012-10-19 18:10:51 -04:00
0ab136f1c8
Adds a loader for market data when it doesn't exist locally.
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Hopefully, this helps ease ramp up time for developing against
market data, without us distributing the data.
We do a check for the data when attempting to read the msgpack
files, if they don't exist the loader makes a web request and
retrieves and serializes the data for the user.
Provides a loader for:
- curves from data.treasury.gov
- benchmarks from Yahoo! Finance
Adds dependency of requests library in dev requirements.
2012-10-19 11:19:14 -04:00
ae41a94c8f
flake8 cleanup to protocol_utils
2012-10-16 16:35:23 -04:00
9545c2672f
Removes unused trading day rules in date_utils.
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This logic is now captured in trading calendar.
2012-10-16 16:31:13 -04:00
3395d3ad3b
Removes unused date_to_datetime in zipline.
2012-10-16 15:20:22 -04:00
1843447552
Removes unused utcdatetime class from date_utils.
2012-10-16 15:18:01 -04:00
077fc38806
Removes unused d_tuple from date_utils.
2012-10-16 15:16:36 -04:00
c008a957df
added a __contains__ method that looks for a special property _ndict_contains__ (must be a function)
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when present, the in operator behavior will be determined by the return of the special property.
2012-10-16 12:59:22 -04:00
3456a583d0
Adds missing license header to protocol_utils module.
2012-10-15 16:53:44 -04:00
d80099db80
Removes log_utils module.
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The log_utils module is not needed to run zipline core.
2012-10-15 16:24:00 -04:00
56b23c46ef
Removes unused timeout module.
2012-10-15 15:29:00 -04:00
44d614591d
Removes non-zipline specific delayed_signals module.
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The delayed_signals module isn't actually necessary for the
running of zipline, so removing to reduce the surface area.
2012-10-15 14:16:50 -04:00
25ce71651f
Removes unused namelookup function.
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Cutting out function whose only use was an unused constant.
2012-10-15 14:02:26 -04:00
557f93f1e6
Removes unused FrameExceptionFactory.
2012-10-15 13:43:25 -04:00
5eb4b171a9
Removes unused module.
2012-10-12 15:15:32 -04:00
35b0bb9b26
Removes unused log_path method.
2012-10-12 15:15:07 -04:00
0c96915404
Removes requirement of existence /var/log/zipline.log
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Instead log to test.log in working directory when running tests.
Also, removes config file for logging module, that is no longer
used since we are now using LogBook.
2012-10-12 11:27:42 -04:00
815c9f2cf6
providing default behavior for positions dictionary. non-existent positions are
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returned as zero size/value positions.
2012-10-10 16:08:14 -04:00
d9cf193ce0
fixes to unit tests
2012-10-10 16:07:11 -04:00
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
d2e639c2da
quarterly conversions
2012-10-10 16:05:02 -04:00
d98190daf7
Removes unused kwarg btrid to create_txn.
2012-10-09 14:16:48 -04:00
9500163ed8
Adds Apache 2.0 license header to source files.
2012-10-08 17:32:41 -04:00
8bd6b675b2
fixed weird indentation bug
2012-10-08 12:06:22 -04:00
15604134c7
Removes unused random source method.
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Method was unused and used an unimported module.
2012-10-05 12:14:39 -04:00
77af1ca632
Applies PEP-8 and pyflakes style to tests and zipline.
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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
7a8697f0e5
updated based on PR feedback.
2012-09-30 22:12:00 -04:00
1caefbff43
tests are passing for independent commission model
2012-09-28 23:12:41 -04:00
4324f95f36
Better unittest coverage. DataFrameSource is now filtering sids. Fixed outstanding issues.
2012-09-21 11:59:46 -04:00
3be2f313cd
Shortened test window. Renamed functions in window transform.
2012-09-19 18:39:42 -04:00
2fe37fa34c
Fixed pandas depracation.
2012-09-19 18:02:09 -04:00
Eddie Hebert