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Author SHA1 Message Date
Jean BredecheandGitHub cfd08f8d6b Merge pull request #1486 from quantopian/all-the-readers-unite 
MAINT: Add BarReader base class for both minute and session readers
 2016-09-14 14:32:01 -04:00
Jean Bredeche 2856fd0ecf MAINT: Add BarReader base class for both minute and session readers 2016-09-14 13:47:12 -04:00
John RicklefsandGitHub 1f859d34e5 MAINT: Add additional fields to __getitem__ for Order (#1483) 
These were previously available like the others.
 2016-09-13 15:49:16 -04:00
John RicklefsandGitHub e6a647edf1 Revert "added DGZ to delete list" (#1481) 
This reverts commit a5ecaf4c3a.

This causes downstream problems; unsure why, Jamie advised
reverting.
 2016-09-13 14:45:12 -04:00
Richard FrankandGitHub b729ddd54f Merge pull request #1479 from quantopian/run_algo-defaults 
BUG: run_algorithm with no data source should default
 2016-09-12 13:00:33 -04:00
Richard Frank 6afdb318ee BUG: run_algorithm with no data source should default 
to 'quantopian-quandl' bundle
 2016-09-12 12:17:17 -04:00
Richard FrankandGitHub 7a10d9392d Merge pull request #1467 from quantopian/check_param-string_types 
Check param string types
 2016-09-08 14:59:38 -04:00
Kathryn GlowinskiandGitHub 9ad670bd46 More Fuzzy Symbol Fixes (#1475) 
* REF: More options before raise MultiFound.

* TST: Checks corner case for fuzzy matching.
 2016-09-08 14:52:57 -04:00
Scott SandersonandGitHub c66d3ad820 Merge pull request #1471 from quantopian/fix-slow-startup 
PERF: Remove import-time calendar creations.
 2016-09-08 10:21:00 -04:00
Scott Sanderson ff1bc51bd1 STY: Fix flake8. 2016-09-07 21:58:15 -04:00
Scott Sanderson 85ce093270 MAINT: Updates from Joe's PR feedback. 2016-09-07 20:42:19 -04:00
James McCorristonandGitHub bb22af747d Merge pull request #1434 from quantopian/update-leveraged-etfs 
MAINT: Update leveraged ETF list
 2016-09-07 13:48:12 -04:00
Jamie McCorriston e6ef82fc4c added DGZ to delete list 2016-09-07 13:12:34 -04:00
Eddie HebertandGitHub 6c7af70155 Merge pull request #1473 from quantopian/release-1.0.2 
REL: Prepare for 1.0.2 release.
 2016-09-06 21:33:49 -04:00
Eddie Hebert b1e50b3434 REL: Prepare for 1.0.2 release. 
Update release notes.

Generate api stubs.
 2016-09-06 16:59:34 -04:00
Joe JevnikandGitHub 07cdd291a1 Merge pull request #1472 from quantopian/branch-protect-hook-stopped-me-from-pushing-this-commit-directly-;_; 
ENH: improve warning for protocol getitem
 2016-09-06 15:42:14 -04:00
Joe Jevnik 863e2ffbea ENH: improve warning for protocol getitem 2016-09-06 15:11:43 -04:00
Scott Sanderson bd420f938b MAINT/TEST: Update default calendar smoketest. 2016-09-06 14:13:32 -04:00
Joe JevnikandGitHub 1e030c77b2 Merge pull request #1449 from quantopian/getitem-is-not-getattr 
MAINT: remove __getitem__ as alias of __getattr__
 2016-09-06 13:48:17 -04:00
Joe Jevnik b66d9ae976 DEV: update copyright in protocol.py (added code) 2016-09-06 12:42:06 -04:00
Joe Jevnik 631984e1f5 ENH: just deprecate __getitem__, don't remove 2016-09-06 12:39:29 -04:00
Kathryn GlowinskiandGitHub 6a3db75a92 Merge pull request #1462 from quantopian/symbol-lookup-raises 
Symbol lookup raises
 2016-09-06 11:02:07 -04:00
kglowinski e7e4db0701 BUG: Fixing 2/3 compat. 2016-09-06 10:12:01 -04:00
kglowinski 15ab8ac95e BUG: Handle case with mult symbol options for same sid. 2016-09-06 10:12:01 -04:00
kglowinski 8056dd8a90 BUG: Fixing SymbolNotFound to be raised. 2016-09-06 10:12:00 -04:00
Scott Sanderson a8a2cc1582 PERF: Remove module-scope calendar creations. 
Remove module scope invocations of `get_calendar('NYSE')`, which cuts
zipline import time in half on my machine. This make the zipline CLI
noticeably more responsive, and it reduces memory consumed at import
time from 130MB to 90MB.

Before:

$ time python -c 'import zipline'

real    0m1.262s
user    0m1.128s
sys     0m0.120s

After:

$ time python -c 'import zipline'

real    0m0.676s
user    0m0.536s
sys     0m0.132s
 2016-09-06 09:57:23 -04:00
John RicklefsandGitHub 43b9fa84d7 Revert "BUG: Capital change deltas rely on cash, not portfolio_value" (#1470) 
This reverts commit 5b1aa5ec55.

The paradigm is: we're calculating a new capital base for the
performance period. We are therefore using the total
portfolio_value, not just the cash, to calculate the
difference from the specified target as the algorithm
has meaningful holdings.
 2016-09-05 14:12:04 -04:00
Richard Frank 7f6db68fc6 BUG: Fix up check_parameters usage of string_types 
and corresponding tests
 2016-09-02 16:47:32 -04:00
phil.zhangandRichard Frank eb6b6d046d BUG: Change str to string_types to avoid errors 
When in python2.7, and unicode_literals is imported
type check will raise error because 'type' is not str but unicode
 2016-09-02 16:47:13 -04:00
Scott SandersonandGitHub 548e0675be Merge pull request #1466 from quantopian/disallow-length-1-regressions 
ENH: Dont allow length=1 regressions/correlations.
 2016-09-02 15:49:03 -04:00
Eddie HebertandGitHub ddcba8733d Merge pull request #1464 from quantopian/add-coverage-for-last-traded-dt 
TST: Add direct coverage for get last traded dt
 2016-09-02 14:59:21 -04:00
Scott SandersonandGitHub b946c657b7 Merge pull request #1420 from quantopian/add-cython-cleanup 
MAINT: Add script to clean out compiled files.
 2016-09-02 14:16:18 -04:00
Scott Sanderson b0a93d57a0 DOC: Clarify expect_bounded docstring. 2016-09-02 13:33:55 -04:00
Eddie Hebert 948d813b84 TST: Add direct coverage for get last traded dt 
Check that both an equity and future can return expected values for
`get_last_traded_dt`.
 2016-09-02 13:19:46 -04:00
Eddie HebertandGitHub d7eb845c7f Merge pull request #1465 from quantopian/remove-unused-adjustments-in-data-portal 
MAINT: Remove unused data portal methods.
 2016-09-02 13:15:12 -04:00
Scott SandersonandGitHub 28bca7cbd7 DEV: Find .c and .so files with regex. 2016-09-02 12:56:36 -04:00
Scott Sanderson 12101c55c8 STY: Don't assign variables that won't be created. 2016-09-02 12:53:01 -04:00
Scott Sanderson 8b2446aec6 ENH: Dont allow length=1 regressions/correlations. 
They're not meaningful, and they cause warnings from numpy.

Implemented in terms of a new preprocessor, `expect_bounded`, which
takes a tuple of `upper_bound` and `lower_bound`.
 2016-09-02 12:49:09 -04:00
Eddie Hebert 1269250dde MAINT: Remove unused data portal methods. 
The apply adjustments behavior had been moved to the `HistoryLoader`
class.
 2016-09-02 12:12:22 -04:00
Ana RuelasandGitHub 8f3e0cbfb2 Merge pull request #1463 from quantopian/rm-risk-adjustments 
BUG: Do not adjust returns for sharpe and sortino
 2016-09-02 11:32:02 -04:00
Ana Ruelas ec7e4f2333 BUG: Do not adjust returns for sharpe and sortino 2016-09-02 10:41:50 -04:00
Eddie HebertandGitHub c5c7a4ac4a Merge pull request #1460 from quantopian/daily-aggregator-corner-cases 
TST/BUG: Full coverage on resample module.
 2016-09-01 17:24:56 -04:00
John RicklefsandGitHub 8595ca81cb Merge pull request #1459 from quantopian/target_cash_capital_change_from_raw_cash 
BUG/ENH: Fix behavior of 'target' capital changes
 2016-09-01 16:54:56 -04:00
Eddie Hebert baff6a84bc TST/BUG: Full coverage on resample module. 
test_resample now fully covers the resample module.

Fix a bug exposed by increased coverage, where daily aggregation on
`high` would return `nan` for an asset instead of 1) during the
course of day `1d` history was called on non-consecutive minutes and 2)
either, a) the value for the previously inspected dt was `nan` or b)
there were only `nan`s between the previous and current dt.

`low` had a similar bug which was only triggered if the value for the
previously inspected dt was `nan`.
 2016-09-01 16:41:45 -04:00
John Ricklefs 0d40b84550 ENH: Allow passing additional adjustments to calculate_capital_changes 
If subclasses have additional capital change information that
is required to correctly calculate the target values for
cash capital changes, it can now be provided via
"portfolio_value_adjustment".
 2016-09-01 16:04:46 -04:00
John Ricklefs 3ab907ee4f BUG: Capital change deltas rely on cash, not portfolio_value 
The value of holdings is irrelevant when altering the
capital base of the current perf period.
 2016-09-01 15:19:55 -04:00
Eddie HebertandGitHub e2300c73bf Merge pull request #1458 from quantopian/cover-all-public-methods-on-resample 
TST/BUG: Cover all reindex session public methods.
 2016-09-01 14:20:19 -04:00
Eddie Hebert 59d06a1883 TST/BUG: Cover all reindex session public methods. 
Increase coverage on `ReindexSessionBarReader` so that all methods which
are considered part of the interface are covered by `test_resample`.

Fix bug in `get_value`, exposed by increased coverage, where the
`NoDataOnDate` exception was bubbling from the bcolz reader all the way
up when a session which was a holidy on the underlying reader was passed
to the reindex reader. (The reindex reader should return nan/0 in that
case.)

Also, move location of data index exceptions so that they are agnostic
to bcolz/us_equity_pricing; since the exception is now used by the
resample module to fix aforementioned bug.
 2016-09-01 11:51:00 -04:00
Jean BredecheandGitHub 95329180bd Merge pull request #1408 from quantopian/really-can-i-trade-how-about-now 
ENH: Update can_trade to check exchange time
 2016-08-31 22:04:06 -04:00
Jean Bredeche 46c0c064fe ENH: Update can_trade to check exchange time 
BarData now takes the trading calendar as a parameter.

can_trade now checks if the asset’s exchange is open at the current or
next market minute (defined by the given trading calendar).
 2016-08-31 21:22:06 -04:00