b43c4f4c0b
ENH: Add isnan, notnan, and isfinite Factor methods.
2015-11-18 21:44:53 -05:00
0cdd88a069
Merge pull request #847 from quantopian/fix-numpy1.10-failures
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MAINT: Fix type coercion warnings with numpy 1.10.
2015-11-17 11:39:23 -05:00
aef38c4a74
MAINT: Remove unused import.
2015-11-17 11:22:08 -05:00
0f349fc3ed
MAINT: Fix type coercion warnings with numpy 1.10.
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Numpy warns about adding Python integers to uint32s and converting date
objects to datetime64.
2015-11-15 22:42:36 -05:00
4832004c33
TEST: Test fallback to start_date/end_date sorting.
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Adds tests asserting that we resolve conflicts in accordance with the
following rules when we have multiple assets holding the same symbol at
the same time:
If multiple SIDs exist for symbol S at time T, return the candidate
SID whose start_date is highest. (200 cases)
If multiple SIDs exist for symbol S at time T, the best candidate
SIDs share the highest start_date, return the SID with the highest
end_date. (34 cases)
It is the opinion of the author (ssanderson) that we should consider
this malformed input and fail here. But this is the current indended
behavior of the code, and I accidentally broke it while refactoring.
These will serve as regression tests until the time comes that we
decide to enforce this as an error.
See https://github.com/quantopian/zipline/issues/837 for more
details.
2015-11-13 18:26:54 -05:00
657a132f1e
ENH: Make retrieve specific type functions public.
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We rely on these upstream, for better or worse, so add tests and docs.
Also adds distinct `EquitiesNotFound` and `FutureContractsNotFound`
exceptions.
2015-11-13 18:26:54 -05:00
3619a24e4d
TEST: Add support for futures to tmp_asset_finder.
2015-11-13 18:26:54 -05:00
9e463fd5d8
MAINT: make_rotating_asset -> make_rotating_equity.
2015-11-13 18:26:54 -05:00
4109640acb
MAINT: make_simple_asset_info -> make_simple_equity_info.
2015-11-13 18:26:54 -05:00
85dd4b70dd
MAINT: Renames 'version' table to 'version_info' for clarity
2015-11-12 14:43:11 -05:00
6aac54544e
MAINT: Only write asset db version on db creation
2015-11-12 14:43:11 -05:00
48e488d423
ENH: Adds versions to asset databases
2015-11-12 14:43:11 -05:00
1fe4dfe229
Merge pull request #830 from quantopian/equity_caching
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Equity caching
2015-11-12 14:01:29 -05:00
df492ecf7f
DOC: add whatsnew entry for AssetFinderCachedEquities.
2015-11-12 11:02:30 -05:00
d0cb5bd513
ENH: add extension to AssetFinder that caches all equities in memory and uses that cache in lookup_symbol.
2015-11-12 11:02:26 -05:00
9c61c77344
TST: cleanup test_history param output
2015-11-11 19:23:20 -05:00
0f5cf78492
MAINT: use subtest to quiet the output from test_events
2015-11-11 19:23:20 -05:00
0cb4c38717
ENH: Allow users to pass a context manager to wrap all scheduled
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functions.
This includes handle_data.
2015-11-11 14:19:13 -05:00
af021f0db5
BUG: FutureChain's as_of() now properly coerces arguments
2015-11-10 14:03:19 -05:00
5ef9056a9b
Merge pull request #808 from quantopian/delta-on-last-requested-date
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BUG: Corrects an index error in blaze loader.
2015-11-05 16:59:04 -05:00
80cc2bd6f6
BUG: Corrects an index error in blaze loader.
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Fixes the case where a delta has an asof_date of the last requested
day and an index error would occur. This guards against this
specifically to make the delta be effective through the end of the
requested window.
Adds a test case for this behavior.
2015-11-05 16:40:28 -05:00
90e717f6a7
Merge pull request #821 from quantopian/cme-codes-reference
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ENH: Add CME code lookup table.
2015-11-05 14:19:36 -05:00
744a998b9a
ENH: Add CME code lookup table.
2015-11-05 13:57:44 -05:00
a14c61e7ff
MAINT: Remove unused 'asset_type' metadata entry.
2015-11-05 13:35:05 -05:00
ec5318ec88
TST: Fixed up test result comparison
2015-11-05 10:18:57 -05:00
d2ba11dac0
STY: Fixed typo and appeased flake8
2015-11-05 10:18:57 -05:00
6b245ab06a
TST: Removed extra parameters
2015-11-05 10:18:57 -05:00
a82415c77b
BUG: Address issue #801 and add test. Pass panel directly to
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object instead of data.
2015-11-05 10:18:57 -05:00
7eeacbe0e9
Merge pull request #796 from quantopian/prevent-history-in-initialize
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ENH: Fail when history() is called in initialize.
2015-11-04 22:29:16 -05:00
8cd4f7d100
MAINT: Make load_adjusted_array return a dict.
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Rather than a list that's ordered the same as the received columns.
Most nontrivial loaders were constructing dicts internally and then
converting back to lists, only to have the engine convert **back again**
into a dict. This cuts out the middleman, and prevents bugs due to
incorrect ordering of the output arrays.
2015-11-03 11:16:21 -05:00
7d29bb6a67
BUG: Fixes failure to account for Futures transaction prices
2015-10-30 12:04:38 -04:00
3f66e6c66a
TST: adds future flip test
2015-10-30 10:07:46 -04:00
d7add5b248
ENH: Makes chunk_size configurable in attach_pipeline
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Default first chunk is smaller for more immediate results
2015-10-27 16:15:54 -04:00
4826787475
ENH: Fail when history() is called in initialize.
2015-10-26 12:04:31 -04:00
358ab41569
TST: test history() in before_trading_start()
2015-10-23 13:32:36 -04:00
f599795d27
ENH: Allow pipelines to run with matching start/end dates
2015-10-22 14:23:00 -04:00
8543b32468
Merge pull request #791 from quantopian/pipeline-effective-dates
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MAINT: Set dividend effective date to ex_date.
2015-10-21 16:44:07 -04:00
55b25bdd3f
MAINT: Set dividend effective date to ex_date.
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The price shock occurs on the effective_date. Had changed the effective_date to
be day before the ex_date with the belief that pipeline was applying values up
and until the effective_date, but the lookback windows apply before the
effective_date. Thus, the price shock calculation should still use the previous
days data but be dated on the ex_date to stay aligned with splits and
merger dating.
2015-10-21 16:43:13 -04:00
b8452b88c3
TST: test case where there are more sids requested than available
2015-10-19 16:35:03 -04:00
e4abddd286
ENH: updates tests to use first and last col
2015-10-19 16:35:03 -04:00
3fb91e4d39
MAINT: cleanup doctests
2015-10-19 16:35:03 -04:00
c58f0137e4
MAINT: map(retrieve_asset) -> retrieve_all
2015-10-19 16:35:03 -04:00
1db29a9f0f
ENH: handle amendments between trading days
2015-10-19 16:35:03 -04:00
0183d0a914
ENH: Allows Float64Adjustments to act on a range of columns
2015-10-19 16:35:03 -04:00
1e05a1c4ae
TST: fix py2 compat for test
2015-10-19 16:35:03 -04:00
d3c0463941
ENH: Addresses comments
2015-10-19 16:35:03 -04:00
22ffe3fe49
ENH: adds expect_element preprocessor
2015-10-19 16:35:03 -04:00
9c37011a38
BUG: Only simple expressions for array-like dshape
2015-10-19 16:35:02 -04:00
26b47a1234
MAINT: treat Pipeline API as a proper noun
2015-10-19 16:35:02 -04:00
0ec1cbc604
MAINT: rename pipeline_api_from_blaze to from_blaze
2015-10-19 16:35:02 -04:00
Scott Sanderson