cd91d518bb
Merge pull request #1754 from quantopian/premature-continuous-futures-2
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Allow gaps between auto close and start date
2017-04-21 16:34:53 -04:00
0ec8841ea0
BUG: Ordered contracts could end prematurely
2017-04-21 15:52:21 -04:00
acf345e1d3
PERF: Optimize session close lookups in resample bar reader ( #1749 )
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Optimize session close lookups in MinuteResampleSessionBarReader:
- Adds `session_closes_in_range` method (along with
`session_opens_in_range`) to TradingCalendar to allow vectorized
retrieval of all values in a range of sessions.
- Improves code path for resampling a single session's worth of data (as
is the case when calling `get_value`), since we don't actually need to
look up the close minute.
2017-04-11 16:35:04 -04:00
26ffda9ca1
Merge pull request #1747 from quantopian/calendar-perf-improvements
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Improve TradingCalendar perf with scalar-optimized accesses
2017-04-11 10:15:28 -04:00
1d7d3fe33f
PERF: Only get session close in MinuteResampleSessionBarReader
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We only need the close, not the open.
2017-04-10 17:23:07 -04:00
12f1429a8c
PERF: Use scalar lookups for TradingCalendar.schedule
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When retrieving the open and close for a given session, we only care
about the scalar values, so using DataFrame.at instead of DataFrame.loc
is significantly faster.
2017-04-10 17:23:07 -04:00
0c88ba21b9
Merge pull request #1737 from quantopian/bump-blaze
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BLD: bump blaze
2017-04-10 16:22:09 -04:00
9e0cf08c18
Merge pull request #1738 from quantopian/slippage-and-commissions-futures
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Add preliminary support for Futures slippage models
2017-04-10 15:05:28 -04:00
f9d55cf9cd
Merge pull request #1742 from quantopian/only-get-value-once
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MAINT: Refactor DataPortal._get_minute_spot_value to avoid two lookups
2017-04-10 14:56:29 -04:00
bc27e369ff
ENH: Preliminary support for Futures slippage and commission models
2017-04-10 14:37:20 -04:00
d5aa5b0c36
Merge pull request #1745 from quantopian/reconcile-default-args
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Make certain continuous future arguments optional
2017-04-10 11:24:50 -04:00
ec8880a066
API: Make certain continuous future arguments optional
2017-04-07 14:02:36 -04:00
9350759119
Merge pull request #1739 from quantopian/fix-zipline-and-pandas-bug
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Fix zipline and pandas bug
2017-04-07 12:22:06 -04:00
b35ec1b5cd
Merge pull request #1743 from quantopian/premature-continuous-futures
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OrderedContracts chain could sometimes terminate on first contract
2017-04-07 11:03:33 -04:00
845dea3e5b
BUG: OrderedContracts chain could sometimes terminate on first contract
2017-04-07 10:01:22 -04:00
e6f2f562b3
BUG: reload_symbol_maps should clear the equity_supplementary_maps
2017-04-06 19:04:09 -04:00
569998179a
Merge pull request #1735 from quantopian/speedup-daily-history-aggregator-closes
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PERF: Avoid repeated recursive calls when getting forward-filled close
2017-04-06 10:24:29 -04:00
f8eced41bf
PERF: Avoid repeated recursive calls when getting forward-filled close
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Instead of recursively calling `DailyHistoryAggregator.closes` until we
find a non-nan close, we can instead call `load_raw_arrays` once, and
find the value from the returned array.
2017-04-06 09:51:01 -04:00
ad7f727c47
MAINT: Refactor DataPortal._get_minute_spot_value to avoid two lookups
2017-04-06 08:54:17 -04:00
1212d2f0a1
Merge pull request #1741 from quantopian/remove-adj-method
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Remove ContinuousFuture adjustment method
2017-04-05 16:24:24 -04:00
276b65f527
CRUFT: Remove ContinuousFuture adjustment method
2017-04-05 15:25:50 -04:00
18b0def1a1
Merge pull request #1731 from quantopian/update-assetdbwriter-docs
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DOC: Show exchange as required for equities
2017-04-04 23:27:50 -04:00
e914b23c80
Merge pull request #1740 from quantopian/guarantee-can-trade-order
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BUG: Return from can_trade in same order as input.
2017-04-04 18:39:53 -04:00
340a66afd5
Merge pull request #1729 from quantopian/us-futures-cal-in-tests
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Use 'us_futures' calendar in test fixtures
2017-04-04 17:49:51 -04:00
d289e86895
MAINT: Guarantee bool dtype for can_trade.
2017-04-04 17:26:38 -04:00
c701f200c2
REV: Only use benchmark csv files in source for testing
2017-04-04 17:18:49 -04:00
65381ecbcd
BUG: Return from can_trade in same order as input.
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This matches the behavior of history and data.current.
2017-04-04 17:12:21 -04:00
63ad5a5b55
BUG: address pandas normalization bug on non-sorted DT index
2017-04-04 17:00:32 -04:00
63951ad9e9
BUG: test DatetimeIndex equality correctly
2017-04-04 17:00:16 -04:00
3dfc20ec1c
DOC: Show exchange required for equities
2017-04-04 15:02:00 -04:00
dee19a0d8b
TST: Make TradingEnvironment resources static
2017-04-04 10:58:45 -04:00
a89d05dd56
BLD: bump blaze
2017-04-03 15:20:49 -04:00
0c49c5bbc7
TST: Use 'us_futures' calendar in test fixtures
2017-04-03 10:18:03 -04:00
84b24d2cee
Merge pull request #1734 from quantopian/prepare-for-validity-checks
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MAINT: Prepare parameter check for adding an additional check.
2017-03-30 14:02:03 -04:00
0182d62cc8
Merge pull request #1730 from quantopian/no-current-contract
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Add safeguard if current contract of continuous future is None
2017-03-30 13:32:15 -04:00
69a0e5c31b
BUG: Getting continuous future current contract failed on None
2017-03-30 12:09:55 -04:00
fc65ac33ca
MAINT: Prepare parameter check for adding an additional check.
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Should be no functional change.
By making the raise on `if not isinstance` instead of doing a continue on `if
isinstance` (with a raise at the end of the loop if no 'good' conditions were
met'), the function should be more amenable to adding an additional validity
check, after the type check passes.
This is on the path to adding an additional validity checks parameter to
`check_parameters`, e.g. adding an 'is positive' check.
2017-03-30 10:47:29 -04:00
0bcdb640ca
Merge pull request #1726 from quantopian/cf-adjustment-arg
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Make continuous future adjustment style an argument
2017-03-29 09:15:22 -04:00
f0f8bac2ab
EHN: Make continuous future adjustment style an argument
2017-03-29 08:49:12 -04:00
0d0473cb44
Merge pull request #1721 from quantopian/out-of-bounds-price
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Negative indexing in cython without wraparound
2017-03-29 08:46:50 -04:00
066a7776d2
BUG: Open and close resampling code could hit index errors
2017-03-28 16:06:29 -04:00
35203c6904
Merge pull request #1728 from quantopian/rework-resample-close
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MAINT: Clear up naming and logic in resample close.
2017-03-28 14:02:27 -04:00
2792de1f92
MAINT: Clear up naming and logic in resample close.
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- Instead of maintaining a separate `j` value, set the bounds of the range so
that `i` is the values emitted by the range.
- Change `close_loc` to `prev_close_loc` since the market close location is used
to ensure that the data index stops at the market open if the entire day is
nans.
- Change the setting of `loc` to be done before the loop which check for nans,
instead of setting to the previous close loc at the end of the loop.
This prepares for a separate fix to prevent out of bounds access when the first
session has nans for all minutes.
2017-03-28 13:30:12 -04:00
ee19186e51
Merge pull request #1727 from quantopian/resample-whitespace-cleanup
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STY: Cleanup trailing whitespace in resample module.
2017-03-28 13:00:33 -04:00
63c80109ec
STY: Cleanup trailing whitespace in resample module.
2017-03-28 12:16:39 -04:00
81b943c61d
ENH: Allow override of order amount rounding. ( #1722 )
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* ENH: Use regular rounding to calculate order amounts.
We previously tried to prevent accidental over-ordering by truncating
orders down unless they were within 1e-4 of the next higher integer.
Unfortunately, this makes it easy for a sell order to be one share short
of the desired position.
Using regular rounding treats both buys and sells in the same way.
* ENH keep non-rounding behavior consistent, but leave code structured to make easier to override
* DOC make round_order public and describe behavior in docstring
2017-03-27 20:44:12 -04:00
4916fb5fcc
Merge pull request #1723 from quantopian/deploy-docs-without-path.py
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ENH: Remove path.py as its not a dependency
2017-03-27 19:26:20 -04:00
3e1f3c1e54
ENH: Remove path.py as its not a dependency
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MAINT: Add try finally block to deal with exceptions
2017-03-27 18:53:09 -04:00
0e3421ead8
Merge pull request #1725 from quantopian/adhoc-cfe-calendar-test
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TST: Adhoc holidays in CFEExchangeCalendar
2017-03-27 18:17:09 -04:00
2010a7faf8
STY: Add newline
2017-03-27 09:59:08 -04:00
David Michalowicz