Eddie Hebert
799a357d98
Changes test factory to use Event instead of ndict.
...
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
Thomas Wiecki
775c564ea1
ENH: Added DataPanelSource.
2012-12-13 12:55:05 -05:00
Richard Frank
095f2dd65b
Date bookkeeping fixes in perf and risk
...
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
Richard Frank and Eddie Hebert
4981c67c31
Handle missing historical data more elegantly
...
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
Eddie Hebert
5a585fc3aa
Merge pull request #37 from quantopian/fix_transforms
...
Fix transforms
2012-12-06 14:00:35 -08:00
Thomas Wiecki
5f6839beea
BUG: Refactored batch_transform unittests and fixed some bugs.
2012-12-06 12:36:47 -05:00
Eddie Hebert
3ff3a6964e
Allows the capital base of an algorithm to be more easily modified.
...
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
Eddie Hebert
8a0d6e72cd
Changes the location of downloaded external data files.
...
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
Thomas Wiecki and Eddie Hebert
126e9fdf26
Fixed batch_transform window length not being market aware.
...
Added accompanying unittest.
Minor refactoring of unittests and factory.
2012-11-06 21:13:27 -05:00
Thomas Wiecki
ae1644fe35
Added yahoo finance loader.
2012-10-22 09:28:56 -04:00
Thomas Wiecki and Eddie Hebert
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
Eddie Hebert
0ab136f1c8
Adds a loader for market data when it doesn't exist locally.
...
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
Eddie Hebert
5eb4b171a9
Removes unused module.
2012-10-12 15:15:32 -04:00
Eddie Hebert
35b0bb9b26
Removes unused log_path method.
2012-10-12 15:15:07 -04:00
Eddie Hebert
d98190daf7
Removes unused kwarg btrid to create_txn.
2012-10-09 14:16:48 -04:00
Eddie Hebert
9500163ed8
Adds Apache 2.0 license header to source files.
2012-10-08 17:32:41 -04:00
Eddie Hebert
15604134c7
Removes unused random source method.
...
Method was unused and used an unimported module.
2012-10-05 12:14:39 -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
1caefbff43
tests are passing for independent commission model
2012-09-28 23:12:41 -04:00
Thomas Wiecki
4324f95f36
Better unittest coverage. DataFrameSource is now filtering sids. Fixed outstanding issues.
2012-09-21 11:59:46 -04:00
Thomas Wiecki
3be2f313cd
Shortened test window. Renamed functions in window transform.
2012-09-19 18:39:42 -04:00
Thomas Wiecki
2fe37fa34c
Fixed pandas depracation.
2012-09-19 18:02:09 -04:00
Thomas Wiecki
729a4d9058
Large refactoring and documentation of new algorithm base class and batch transform.
2012-09-19 17:49:39 -04:00
Thomas Wiecki
5d00099243
example code now retrieves data from yahoo finance.
2012-09-17 12:15:36 -04:00
fawce
81718011df
cut most of protocol, cut most of log_utils.
2012-09-08 23:20:38 -04:00
Thomas Wiecki
81ea337ae6
Resolve merge conflicts. Fix: use hasattr instead of checking class dict. Turn SimulatedTradingLite into a generator.
2012-09-07 10:28:36 -04:00
Thomas Wiecki
3f801ef387
Debugging.
2012-08-23 17:38:48 -04:00
fawce
f819ed67ec
bugfixes
2012-08-13 17:05:14 -04:00
scottsanderson
b70e76d516
commit pre-merge
2012-08-08 11:21:26 -04:00
fawce
aeb50da170
fixes for unit tests, back to 50/51 passing.
2012-08-07 14:42:43 -04:00
fawce
06dc6f7acb
beginning refactor to use single threaded simulator.
2012-08-06 13:11:20 -04:00
scottsanderson
4768bea646
more progress on tsc
2012-08-01 18:53:09 -04:00
scottsanderson
3621934a28
better variable names and PreTransformLayer
2012-07-28 18:24:57 -04:00
scottsanderson
cef36c172d
commit for fawce
2012-07-27 19:40:42 -04:00
fawce
5f878300a0
switched from pub/sub to push/pull for merge -> client socket. also purged source_id from the constructors of all datasources.
2012-07-03 12:11:22 -04:00
fawce
46ef2e136d
path hacking for logging.cfg
2012-05-21 16:21:29 -04:00
Stephen Diehl
c68cd849c5
Update factory location finder.
2012-05-18 11:54:11 -04:00
Stephen Diehl
244f787176
Cleaned up OOP on transforms.
2012-05-16 16:55:26 -04:00
Thomas Wiecki
e26638058c
Reverted path independence code in factory.py. Not sure how to fix with new path structure.
2012-05-15 17:37:27 -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
73557b907f
Rework imports on tests.
2012-05-14 11:17:56 -04:00
Stephen Diehl
8b95aebcf2
Refactor lots of things.
2012-05-14 10:57:40 -04:00
Stephen Diehl
133d9c03af
One test passing, progress!
2012-05-10 16:38:04 -04:00
Stephen Diehl
00de461da8
Made more submodules.
2012-05-10 15:46:19 -04:00
Eddie Hebert