dcae4bf8a3
Merge pull request #1798 from quantopian/with-equity-pipeline-engine
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With equity pipeline engine
2017-05-19 10:48:15 -04:00
a72d7a7b34
ENH: Add WithEquityPricingPipelineEngine test fixture
2017-05-19 10:04:30 -04:00
a3edae9845
Merge pull request #1794 from Peque/peque
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Fix docstring in TradingEnvironment class
2017-05-19 05:52:56 -07:00
9f128cbde1
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
ec396bd1ea
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
0f6dbcef3c
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
c5b3ceecc1
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
3b3854c3bf
Fix docstring in TradingEnvironment class
2017-05-17 18:42:36 +02:00
dde4974705
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
616f6e5e5d
MAINT/STY: Upgrade flake8 and fix new failures.
2017-05-15 11:45:04 -04:00
c70244fe7f
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
5678d2d37b
MAINT: Refactor commission model class hierarchies
2017-05-12 12:31:36 -04:00
705044830b
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
d39f012198
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
86fa28f9e8
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
281a17c592
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
5327fc9a05
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
b246f6a03b
SEC: Rotate secure vars for anaconda tokens
2017-05-09 11:28:55 -04:00
072466e08c
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
a416662a9c
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
43e0545856
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
bffb4bfea5
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
78ae3474ad
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
da63a117e0
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
18ee06f0d4
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
d733605327
Merge pull request #1783 from quantopian/slippage-cleanup
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Slippage cleanup
2017-05-05 14:36:25 -04:00
035311213e
MAINT: allowed_asset_types is already defined in the base class
2017-05-05 14:09:02 -04:00
56a993bfc6
BUG: Fixed abstractness of MarketImpactBase
2017-05-05 14:09:02 -04:00
a1d055abb1
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
07561469bc
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
560ff3cacf
MAINT: Display diff if input to daily bar writer has gaps/extra bars
2017-05-04 10:19:09 -04:00
52667b4a90
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
f0e100bcf3
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
cb3926f81c
BUG: Gold and silver futures contracts only trade certain months
2017-05-03 16:34:01 -04:00
9095b241f2
MAINT: Add better repr for transactions
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Flake8
2017-04-28 11:13:40 -04:00
c0123b9caa
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
3ff281079a
BUG: Futures slippage model could have zero transaction volume
2017-04-26 13:35:00 -04:00
06d8ddc3cc
Merge pull request #1769 from quantopian/py3-warnings
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BUG: Python3 compatibility.
2017-04-26 10:46:34 -04:00
04cf61d03d
BUG: Python3 compatibility.
2017-04-26 10:47:27 -04:00
a11574c942
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
dead9651b2
BUG: Add backwards compatibility for position lookup by int.
2017-04-26 09:55:05 -04:00
e3a50dee8f
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
f7f17af2d8
DOC: Close backticks in docstring.
2017-04-25 22:32:11 -04:00
b77d5ae6fb
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
ec7cba2e31
API: Don't require custom models to define allowed types
2017-04-25 18:44:31 -04:00
0782e402d3
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
fa0594555c
API: Add slippage and commission models for futures
2017-04-25 17:29:41 -04:00
9effe84c8e
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
a1d30c94ee
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
362f2c2f7a
Merge pull request #1761 from quantopian/futures-cashflow-bugfix
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BUG: use isinstance
2017-04-24 17:06:34 -04:00
Ana Ruelas