dbf037e1d3
ENH: Add WithEquityPricingPipelineEngine test fixture
2017-05-19 10:04:30 -04:00
5115b14557
Merge pull request #1794 from Peque/peque
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Fix docstring in TradingEnvironment class
2017-05-19 05:52:56 -07:00
be8ea7c54c
Merge pull request #1793 from quantopian/tests-without-yahoo
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TST: Don't require downloading of data for tests
2017-05-18 13:27:08 -04:00
8734224701
TST: Use testing market data with run_algorithm
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so env doesn't need to download it
2017-05-18 12:54:06 -04:00
3ca5a15859
TST: Use fixture's data with tmp_trading_env
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instead of env needing to download it
2017-05-18 12:54:05 -04:00
955862b4b3
TST: Use fixture's trading env for FakeDataPortal or TradingAlgo
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to avoid a new trading env needing to download data unnecessarily
2017-05-18 11:55:48 -04:00
60f04b7345
Fix docstring in TradingEnvironment class
2017-05-17 18:42:36 +02:00
ca26208569
Merge pull request #1791 from quantopian/cleanup-latest-flake8
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MAINT/STY: Upgrade flake8 and fix new failures.
2017-05-15 11:39:51 -07:00
22df0a9cb9
MAINT/STY: Upgrade flake8 and fix new failures.
2017-05-15 11:45:04 -04:00
2b292c4e25
Merge pull request #1789 from quantopian/more-commission-cleanup
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Refactor commission model class hierarchies
2017-05-12 13:55:39 -04:00
43d1af0240
MAINT: Refactor commission model class hierarchies
2017-05-12 12:31:36 -04:00
c20807a0c7
Merge pull request #1750 from quantopian/remove-batch-otp
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MAINT: batch_order_target_percent -> batch_market_order.
2017-05-11 11:30:35 -07:00
f0601a9e3c
MAINT: Mark .ipynb files as binary.
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Makes `git grep` not print the binary content of png files.
2017-05-09 13:52:57 -04:00
d653820be3
MAINT: batch_order_target_percent -> batch_market_order.
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The only downstream contex that was using batch_order_target_percent
already had all necessary prices, so calling batch_order_target_percent
was wasteful.
2017-05-09 13:52:57 -04:00
3650220850
Merge pull request #1767 from quantopian/no-slippage-history
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More futures slippage cleanup
2017-05-09 13:17:28 -04:00
a4464e7d20
MAINT: Various futures slippage model fixes and cleanup
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- Handle history lookback error before start date
- Adjust default futures slippage volume limit
- Allow subclassing EquitySlippageModel and FutureSlippageModel together.
2017-05-09 11:47:55 -04:00
e8d60d9f75
SEC: Rotate secure vars for anaconda tokens
2017-05-09 11:28:55 -04:00
a1efd56850
Merge pull request #1785 from quantopian/reindex-reader-get-value
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Fixes equity history calls on the futures calendar
2017-05-09 10:33:58 -04:00
d155d894fe
MAINT: Pass data_frequency to get_history_window
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This allows us to remove the check for whether the provided dt had a
time of midnight, which was a flimsy way to infer if the data frequency
was 'daily'. Besides the explicit check being preferable, this method
was broken on the futures calendar, since midnight is a valid market
minute.
2017-05-09 09:34:39 -04:00
423a76730c
BUG: Fix _handle_minute_history_out_of_bounds for future calendar
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Need to use minute_to_session_label to retrieve the proper session.
2017-05-09 09:34:38 -04:00
a4f1171f1f
TST: Adds MinuteEquityHistoryFuturesCalendarTestCase
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Added as a subclass of MinuteEquityHistoryTestCase, where the primary
calendar is 'us_futures'.
Notes on modifications to MinuteEquityHistoryTestCase:
- To work on generic calendars, many tests now use set minutes for
window start and end, and check the values on active equity minutes.
- test_minute_regular should test against active equity minutes
- Adapts test_minute_midnight to work with futures calendar
- Use a method of getting the last open minute that works with
calendars that are open at midnight
- Test against Sunday at midnight, since the real intention of this
test is to check that given a non-open minute, we fall back to the
last open minute.
2017-05-09 09:34:38 -04:00
b2a39b4ae4
TST: Adds DailyEquityHistoryOnFuturesCalendarTestCase
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Added as a minimal subclass of DailyEquityHistoryTestCase, swapping out
just the primary calendar. This requires significant modifications to
DailyEquityHistoryTestCase, to allow for a generic primary calendar.
2017-05-09 09:34:38 -04:00
f088afc1e1
MAINT: Modify ReindexBarReader.get_value to handle missing data
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Instead of raising an exception, return 0.0 for volume, and nan for
everything else.
2017-05-09 09:34:37 -04:00
caed14adcc
Merge pull request #1746 from quantopian/update-transaction-repr
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MAINT: Add better repr for transactions
2017-05-08 14:54:24 -04:00
e496b67894
Merge pull request #1783 from quantopian/slippage-cleanup
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Slippage cleanup
2017-05-05 14:36:25 -04:00
45c48afa8e
MAINT: allowed_asset_types is already defined in the base class
2017-05-05 14:09:02 -04:00
0e0cb2f343
BUG: Fixed abstractness of MarketImpactBase
2017-05-05 14:09:02 -04:00
ca2e3a04f3
MAINT: process_order is a method
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and call super's __init__ to set up base state
2017-05-05 14:09:01 -04:00
611f1702c7
Merge pull request #1780 from quantopian/include-diff-in-daily-bars-assertion
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MAINT: Display diff if input to daily bar writer has gaps/extra bars
2017-05-04 10:48:08 -04:00
b3c1cd5535
MAINT: Display diff if input to daily bar writer has gaps/extra bars
2017-05-04 10:19:09 -04:00
0d9f4d29f5
MAINT: Handle gaps in input to daily bars writer ( #1778 )
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Previously, a dataframe passed into BcolzDailyBarWriter.write that was
missing an expected session between its first and last sessions would be
written incorrectly. Upon converting the dataframe to a ctable, the
values for all days following the gap would be shifted backwards, and
nans would be shifted in at the end.
This commit handles the issue by asserting that the number of rows in
the input table matches the number of sessions in the calendar between
the table's first and last sessions.
Also fixes a test that was mistakenly using minutes_in_range where it
should have been using sessions_in_range (uncovered by this change).
2017-05-03 20:49:22 -04:00
96759be445
Merge pull request #1779 from quantopian/silver-chains
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Gold/Silver futures contracts only trade certain months
2017-05-03 17:18:56 -04:00
191a1b729f
BUG: Gold and silver futures contracts only trade certain months
2017-05-03 16:34:01 -04:00
e0433c4718
MAINT: Add better repr for transactions
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Flake8
2017-04-28 11:13:40 -04:00
c61fd0ef07
Merge pull request #1770 from quantopian/zero-transaction-volume
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Futures slippage model could have zero transaction volume
2017-04-26 13:59:33 -04:00
6beb4d6a36
BUG: Futures slippage model could have zero transaction volume
2017-04-26 13:35:00 -04:00
c36b2ea680
Merge pull request #1769 from quantopian/py3-warnings
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BUG: Python3 compatibility.
2017-04-26 10:46:34 -04:00
c7250d3207
BUG: Python3 compatibility.
2017-04-26 10:47:27 -04:00
c03aafbd0e
Merge pull request #1768 from quantopian/shim-portfolio-access-by-int
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BUG: Add backwards compatibility for position lookup by int.
2017-04-26 10:13:16 -04:00
b55d4bd423
BUG: Add backwards compatibility for position lookup by int.
2017-04-26 09:55:05 -04:00
3c4f6e69f3
Merge pull request #1764 from quantopian/fix-docstring-typo2
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DOC: Close backticks in docstring.
2017-04-25 22:52:28 -04:00
3bcd4d4ac0
DOC: Close backticks in docstring.
2017-04-25 22:32:11 -04:00
a59eac9572
Merge pull request #1763 from quantopian/slippage-allowed-types
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Don't require custom models to define allowed types
2017-04-25 19:40:41 -04:00
62c03a757f
API: Don't require custom models to define allowed types
2017-04-25 18:44:31 -04:00
3af85a65a5
Merge pull request #1748 from quantopian/slippage-futures-api
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Add slippage and commission models for futures
2017-04-25 17:55:16 -04:00
dd21346eca
API: Add slippage and commission models for futures
2017-04-25 17:29:41 -04:00
0da8a59f4c
Merge pull request #1762 from quantopian/quarterly-currency-futures
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MAINT: Use a quarterly cycle for JY, CD, AD, and BP continuous futures
2017-04-25 15:52:56 -04:00
88398236ff
MAINT: Use March quarterly cycle for JY, CD, AD, & BP continuous futures
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The March, June, September, and December contracts for these futures
contain most of the trading activity, so we exclude the other more
sparsely traded contracts from the chain.
2017-04-25 15:31:33 -04:00
8322423dc8
Merge pull request #1761 from quantopian/futures-cashflow-bugfix
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BUG: use isinstance
2017-04-24 17:06:34 -04:00
bed00a1b77
BUG: use isinstance
2017-04-24 17:06:26 -04:00
Ana Ruelas