dmichalowicz
d8e9fa91bd
Loader return column vector for no sids case
2016-07-01 12:18:32 -04:00
David Michalowicz and GitHub
d6c1c5fce9
Merge pull request #1309 from nathanwolfe/adv-fix
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BUG: Correct AverageDollarVolume NaN handling
2016-06-30 14:04:43 -04:00
Eddie Hebert
51eda06323
MAINT: Add equity to naming of bar data classes.
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In preparation of adding futures, add equity to the names of both the
classes and methods for writing bcolz data. Futures data will use a
different minutes per day with a separate reader. This change will allow
both equity and futures fixtures to be side by side.
Also, break out the method which generates the dataframes and trading
days member into fixtures (`EquityMinuteBarData` and
`EquityDailyBarData`) on which the `*BarReader` fixture depends. This
fixture is separated out to enable reader/writers in different formats
to use the same data setup. (There is internal code which needs to write
minute and daily bar data in a database format.)
2016-06-30 08:21:42 -04:00
Nathan Wolfe
985e6bafee
DOC: Add comment explaining ADV NaN test expected result calculation.
2016-06-29 11:34:21 -04:00
Nathan Wolfe
e67b5e5516
TST: Change AverageDollarVolume test to check case of partial NaNs
2016-06-29 11:16:39 -04:00
Nathan Wolfe
ebbcca73e8
TST: Add NaN cases to AverageDollarVolume factor test.
2016-06-29 10:12:35 -04:00
Andrew Daniels
5ac66aa19e
BUG: Don't use calendar from daily bars in USEquityPricingLoader
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This calendar only has up to the last trading day, use
default_nyse_schedule instead.
2016-06-28 13:38:17 -04:00
Scott Sanderson and Maya Tydykov
07b84f87fb
PERF: Speed up test_events.
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Use arrays in more places, and use permutations of indexers instead of
permutations of the values.
MAINT: add testing of boundary conditions
MAINT: use check_arrays to work with both pandas versions
2016-06-23 13:54:37 -04:00
Maya Tydykov
321e6f719f
TST: expand tests
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DOC: add comment to workaround line
2016-06-23 12:14:24 -04:00
Maya Tydykov
9395a469f0
BUG: change timestamp normalization to account for pandas bug
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BUG: revert to old normalization algo with extra normalization
2016-06-23 12:14:22 -04:00
dmichalowicz
393f82e81e
ENH: Add single-column input/output capabilities to pipeline terms
2016-06-23 10:24:09 -04:00
Scott Sanderson and GitHub
e510cbbf7b
Merge pull request #1280 from quantopian/bad-pipeline-columns
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BUG: Fail fast on invalid pipeline columns
2016-06-22 18:44:40 -04:00
Richard Frank and GitHub
69b6cff964
Merge pull request #1289 from quantopian/wildcard
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wildcard object and doctests
2016-06-22 18:09:57 -04:00
Joe Jevnik
5925107052
TST: fix doctests to actually run
2016-06-21 15:07:03 -04:00
Joe Jevnik
cb266b983a
TST: more test for checkpoints
2016-06-21 13:20:52 -04:00
Joe Jevnik
caebdf7cfc
MAINT: shuffle the complex expression checks
2016-06-20 13:35:07 -04:00
Joe Jevnik
cb67ee425e
TST: coverage
2016-06-17 17:59:56 -04:00
Joe Jevnik
c8cf5a6761
ENH: add ffill checkpointing to blaze core loader
2016-06-17 17:59:56 -04:00
dmichalowicz
6b9b9fb8e7
BUG: Fail fast on invalid pipeline columns
2016-06-15 17:46:41 -04:00
Scott Sanderson
bc302beec9
MAINT: Rework event datasets.
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- Refactored EventsLoader and BlazeEventsLoader to not require a
subclass per dataset. Instead, you now pass a map from columns to
event fields directly to the EventsLoader constructor.
- Removed a large number of Quantopian-specific datasets and associated
tests.
- Rewrote the core logic of EventsLoader and BlazeEventsLoader to share
index calculations across multiple requested columns.
- Fixed a bug where event fields were incorrectly forward-filled when
null values were present in an event.
2016-06-10 19:22:27 -04:00
jfkirk and Jean Bredeche
75e0e4723d
TST: Refactors more tests to use WithTradingSchedule
2016-06-08 13:34:20 -04:00
jfkirk and Jean Bredeche
d9fc514fa8
TST: Adds TradingSchedule test fixture
2016-06-08 13:34:20 -04:00
jfkirk and Jean Bredeche
26742dda67
MAINT: Removes obsolete tradingcalendar module
2016-06-08 13:34:19 -04:00
jfkirk and Jean Bredeche
4b7390ac81
WIP: Refactors tests to use TradingSchedule
2016-06-08 13:34:19 -04:00
jfkirk and Jean Bredeche
c8304e8601
ENH: Adds ExchangeCalendar, TradingSchedule, and implementations
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Conflicts:
tests/data/test_minute_bars.py
tests/data/test_us_equity_pricing.py
tests/finance/test_slippage.py
tests/pipeline/test_engine.py
tests/pipeline/test_us_equity_pricing_loader.py
tests/serialization_cases.py
tests/test_algorithm.py
tests/test_assets.py
tests/test_bar_data.py
tests/test_benchmark.py
tests/test_exception_handling.py
tests/test_fetcher.py
tests/test_finance.py
tests/test_history.py
tests/test_perf_tracking.py
tests/test_security_list.py
tests/utils/test_events.py
zipline/algorithm.py
zipline/data/data_portal.py
zipline/data/us_equity_loader.py
zipline/errors.py
zipline/finance/trading.py
zipline/testing/core.py
zipline/utils/events.py
2016-06-08 13:34:18 -04:00
Jonny Elliott and Scott Sanderson
6979ae8d6a
ENH: fast stochastic oscillator added ( #1255 )
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ENH: fast stochastic oscillator added.
A fast stochastic oscillator has been added to the technical
factors. This is the simplest of the stochastic oscillators,
and can be used to build the others.
Tests have been added that compare against the values expected
from that of ta-lib STOCHF.
FastStochasticOscillator is marked as window_safe=True to allow taking
moving averages for smoothing.
2016-06-06 17:06:34 -04:00
Eric Batalden
696e81b911
ENH: Add Aroon indicator.
2016-06-03 16:28:13 -07:00
dmichalowicz
86486803b6
BUG: custom factor outputs naming collisions
2016-05-25 15:41:16 -04:00
Maya Tydykov
e5039a43b0
TST: add tests to ensure no forward filling of non-missing values
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STY: fix indentation
DOC: add docs to clarify test input/output
2016-05-23 16:48:52 -04:00
Maya Tydykov
c0eb798cc6
TST: modify test class to use WithAssetFinder fixture.
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BUG: assign result to var
TST: remove obsolete assertion
STY: fix line length
2016-05-23 15:53:55 -04:00
Maya Tydykov
c94f3d0c9b
BUG: fix replacement of NaN with None
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TST: finish test with expected data
STY: alphabetize imports
MAINT: simplify condition - remove unnecessary statement
2016-05-23 15:53:55 -04:00
Maya Tydykov
8e630bff77
TST: remove obsolete test and update test
2016-05-23 15:53:55 -04:00
Maya Tydykov
751a08a8a1
MAINT: move constants to appropriate files
2016-05-20 10:47:56 -04:00
Maya Tydykov
3d0764a50c
ENH: add dividend type column
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BUG: add back constant
2016-05-20 10:47:56 -04:00
Maya Tydykov
8a3b82c536
ENH: add column for currency type
2016-05-20 10:47:55 -04:00
Maya Tydykov
18d1577d56
MAINT: incorporate string support
2016-05-20 10:47:55 -04:00
Scott Sanderson
65de1215e0
Merge pull request #1204 from quantopian/tell-me-what-my-choices-were
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Tell me what my choices were
2016-05-19 18:52:04 -04:00
dmichalowicz
d57872f2be
TST: Test correlation/regression factors with nonexistent asset
2016-05-18 15:11:12 -04:00
dmichalowicz
1ec0bced6d
ENH: Add builtin factors for correlation and regression
2016-05-18 15:11:12 -04:00
Scott Sanderson
4a513360b6
ENH: Include choices in no-output-found errormsg.
2016-05-17 17:51:24 -04:00
Joe Jevnik
784d5f4a16
Merge pull request #1199 from quantopian/boybands-factor
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BollingerBands factor
2016-05-13 15:35:10 -04:00
Scott Sanderson
f4d96e065a
TEST/PERF: Don't slice twice.
2016-05-13 14:44:26 -04:00
Scott Sanderson
c4b69d6223
TEST: Don't mask unexpected exceptions from TALIB.
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We know when we expect the error to be raised.
2016-05-13 14:32:21 -04:00
Scott Sanderson
2f90665676
TEST: Add a test for bbands output ordering.
2016-05-13 14:31:58 -04:00
Scott Sanderson
cbd4ea36bc
STY: No need for these to be vertical.
2016-05-13 14:31:33 -04:00
Joe Jevnik
c128b69a91
STY: get Scott to stop yelling at me
2016-05-12 22:15:32 -04:00
Joe Jevnik
78db90a858
STY: flake8
2016-05-12 17:01:17 -04:00
Joe Jevnik
a345e6f3f5
TST: Clean up metaclass usage in fixtures
2016-05-12 17:00:51 -04:00
Maya Tydykov
6b60e447a0
MAINT: incorporate string support
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STY: remove unused imports
MAINT: change dtype to object for compatibility with python3
MAINT: rename pipeline columns and constants for clarity
MAINT: rename column
2016-05-12 10:50:31 -04:00
Joe Jevnik
2297ace20c
ENH: Adds BollingerBands factor.
2016-05-11 21:41:55 -04:00
dmichalowicz