Eddie Hebert
ca78b1b9e1
Makes ordering of transaction parameters consistent.
...
The order of open_orders and event were inconsistent across
invocations. Standardizing on one order.
2012-10-10 16:10:52 -04:00
fawce
e11b35f149
added messages file...
2012-10-10 16:10:30 -04:00
fawce
96fed05fc0
support for test fixes in qexec
2012-10-10 16:09:40 -04:00
fawce
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
d9cf193ce0
fixes to unit tests
2012-10-10 16:07:11 -04:00
fawce
e3f750014e
__missing__ needs to put the value into the dictionary
2012-10-10 16:06:55 -04:00
Eddie Hebert
5650a99fe1
Removes now unused lines.py
2012-10-10 16:06:35 -04:00
fawce
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
fawce
d2e639c2da
quarterly conversions
2012-10-10 16:05:02 -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
bbf2317c57
Saving point for adding license files.
2012-10-08 17:32:40 -04:00
fawce
8bd6b675b2
fixed weird indentation bug
2012-10-08 12:06:22 -04:00
Eddie Hebert
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
Eddie Hebert
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
Eddie Hebert
3f2f16dba2
Removes unused import.
2012-10-03 12:02:46 -04:00
Eddie Hebert
2c380e5abc
Removes unused imports.
2012-10-03 12:01:25 -04:00
Eddie Hebert
891a283c39
Whitespace tweaking. PEP-8 conventions.
2012-10-03 11:53:36 -04:00
Eddie Hebert
64363fae31
Applies pep8 and pyflakes recommendations.
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White space tweaking.
2012-10-03 11:40:14 -04:00
Eddie Hebert
aa24701c30
Removes 'core' submodule.
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The last use of AddressAllocator has been removed.
(since zipline no longer uses zmq)
Also removes unused command line harness.
2012-10-03 10:50:53 -04:00
fawce
9f8fd52b7d
fixed bug where commission ignored order direction
2012-10-01 21:46:48 -04:00
fawce
7a8697f0e5
updated based on PR feedback.
2012-09-30 22:12:00 -04:00
fawce
ebde40ab05
patched up tradesim from master.
2012-09-28 23:19:39 -04:00
fawce
1caefbff43
tests are passing for independent commission model
2012-09-28 23:12:41 -04:00
fawce
e6b3e8e7b1
adding independent commission modeling.
2012-09-28 23:02:29 -04:00
Thomas Wiecki
39c3cf88ce
Added profiling shell script.
2012-09-25 16:54:42 -04:00
Thomas Wiecki
e353900010
Added 2 year data file.
2012-09-25 16:53:57 -04:00
Thomas Wiecki
e09695819e
Cleaned up example.py code.
2012-09-25 16:10:50 -04:00
Thomas Wiecki
53de4effd3
stdout_capture was causing problems for ipython notebook.
2012-09-25 14:53:13 -04:00
Thomas Wiecki
79ab1d13c0
Fixes circular import problem.
2012-09-25 13:35:47 -04:00
Thomas Wiecki
2e9947ab8c
Accidentally commented out logging capture.
2012-09-25 12:21:26 -04:00
Thomas Wiecki
188a9502b0
Added passing of arguments to algorithm initialize and batch transform.
2012-09-25 11:48:37 -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
4526cde4c5
Fixed weird regression in TestAlgorithm.
2012-09-19 19:37:21 -04:00
Thomas Wiecki
a185a014db
Merge branch 'master' into batch_window
2012-09-19 18:41:17 -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
7242a4ee86
BUG: asserting for correct index type.
2012-09-18 13:56:58 -04:00
Thomas Wiecki
280f122353
WIP: Lot of refactoring and bugfixing.
2012-09-17 18:35:21 -04:00
Thomas Wiecki
35a7da6ee7
Cleaned up depracated merged_transforms.
2012-09-17 17:13:20 -04:00
fawce
518d471a93
fixed slippage was ignoring order direction.
2012-09-17 15:31:59 -04:00
Thomas Wiecki
5b58318919
Merge branch 'optimize3' into batch_window
2012-09-17 12:49:56 -04:00
Thomas Wiecki
a729435964
Merge branch 'master' into batch_window
2012-09-17 12:49:02 -04:00
Thomas Wiecki
5d00099243
example code now retrieves data from yahoo finance.
2012-09-17 12:15:36 -04:00
Thomas Wiecki
ea5cbaba56
Commented out handle_data().
2012-09-17 10:30:22 -04:00
fawce
1267f66dbe
removed old refs
2012-09-14 19:42:55 -04:00
fawce
fe8e107c59
dropping max drawdown, adding pytz to whitelist.
2012-09-14 16:00:13 -04:00
fawce
0bb0df525a
pluggable slippage.
2012-09-14 12:33:10 -04:00
fawce
57a1834c5a
refactored so that slippage is implemented as pluggable classes.
2012-09-13 21:22:01 -04:00
Eddie Hebert