e00a25568d
MAINT: Move daily aggregator to own module.
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Break out the daily history aggregator into its own module, instead of
being collocated with DataPortal.
2016-07-27 16:59:26 -04:00
e0f6abda2e
Merge pull request #1328 from quantopian/sample-event-utils-test
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PERF: Speed up event utils test case.
2016-07-15 09:53:02 -04:00
2af26ee38f
Merge pull request #1327 from quantopian/fix-brainfarts
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Fix some mistakes from a previous merge.
2016-07-14 20:53:41 -04:00
835fab8ebd
Merge pull request #1323 from quantopian/pmap-blaze-query
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ENH: Adds the ability to run blaze queries concurrently
2016-07-14 18:40:57 -04:00
67f76e4d67
PERF: Speed up event utils test case.
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Just take a sample of all 5000 permutations of 7 dates.
2016-07-14 17:38:58 -04:00
5473ec240d
ENH: Adds the ability to run blaze queries concurrently
2016-07-14 17:32:30 -04:00
90035e7bed
Merge pull request #1325 from quantopian/lwma
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ENH: Adds LinearWeightedMovingAverage factor
2016-07-14 15:52:15 -04:00
295cfa3846
Fix some mistakes from a previous merge.
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No tests failed, which was worrisome. Will file issues to take a look
later.
2016-07-14 15:40:36 -04:00
5756f2932d
ENH: Adds LinearWeightedMovingAverage factor
2016-07-14 15:10:42 -04:00
e22108b7ef
Merge pull request #1312 from quantopian/24-5-backtesting
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Re-implemented the calendar API.
2016-07-14 10:05:18 -04:00
8b9a9dd547
Merge pull request #1324 from quantopian/rate-of-change-percentage
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Rate of change percentage
2016-07-13 21:23:35 -04:00
3d6fdc0755
Make sure we are passing ints to nth.
2016-07-13 20:40:57 -04:00
c9b0e4050d
TST: Added more test cases for RateOfChangePercentage
2016-07-13 19:48:18 -04:00
dc0784b88d
MAINT: Removed defaults from RateOfChangePercentage
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since it's general enough that we don't need to assume closes
2016-07-13 19:46:59 -04:00
8a32c2b7ce
ENH: Add Rate of change Percentage indicator
2016-07-13 18:07:20 -04:00
4a0629b894
Merge pull request #1263 from quantopian/cloud-computing
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Ichimoku Cloud
2016-07-13 15:27:58 -04:00
4af61d2c39
unused
2016-07-13 09:13:39 -04:00
0f1c08024a
ENH: Adds the ichimoku cloud factor
2016-07-12 18:49:24 -04:00
958d455a7a
ENH: Support default params for terms
2016-07-12 18:49:24 -04:00
6fb4923cc7
Re-implemented the Calendar API.
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Instead of having separate ExchangeCalendar and TradingSchedule objects, we
now just have TradingCalendar. The TradingCalendar keeps track of each
session (defined as a contiguous set of minutes between an open and a close).
It's also responsible for handling the grouping logic of any given minute
to its containing session, or the next/previous session if it's not a market
minute for the given calendar.
2016-07-12 13:13:50 -04:00
db4e06055c
Merge pull request #1317 from quantopian/reduce-number-of-days-for-test-misc-api
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TST: Speed up TestMiscellaneousAPI
2016-07-11 15:47:51 -04:00
4840e124af
TST: Speed up TestMiscellaneousAPI
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Limit the date range to one day, instead of a year.
On my local machine the following goes from taking 12 seconds to 0.6 seconds.
`$ nosetests -x tests/test_algorithm.py:TestMiscellaneousAPI`
2016-07-11 10:34:08 -04:00
7c170274a3
Merge pull request #1310 from quantopian/vagrantf
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VagrantFile for Ubuntu 14.04 that includes all the development requirements
2016-07-07 16:25:29 -04:00
424d7747da
DOC: Updated whatsnew with VagrantFile update
2016-07-07 16:01:48 -04:00
8f9bc98eb1
DEV: Added cleaning of cython assets to dev Dockerfile as well
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Added same comment to vagrant init
2016-07-07 15:56:46 -04:00
95d59c1ddb
DOC: Include info about location of zipline repo inside vagrant
2016-07-07 15:56:46 -04:00
bd45bb0230
MAINT: Tee output to console and log file
2016-07-07 15:56:46 -04:00
ec4336ff0c
DEV: Exit on error
2016-07-07 15:56:45 -04:00
a728ef2bf1
DEV: Merged updated Vagrantfile with vagrant_init.sh
2016-07-07 15:56:45 -04:00
86938d4457
DEV: VagrantFile for Ubuntu 14.04 that includes the development environment.
2016-07-07 15:56:45 -04:00
459366c17a
Merge pull request #1301 from quantopian/blaze-loader-single-columns
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Return column vector for datasets with no sids
2016-07-01 13:35:49 -04:00
d8e9fa91bd
Loader return column vector for no sids case
2016-07-01 12:18:32 -04:00
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
65a1e3465c
Merge pull request #1311 from quantopian/prefix-equity-bar-fixtures
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MAINT: Add equity to naming of bar data classes.
2016-06-30 09:55:35 -04:00
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
e0e18bc328
DOC: Add AverageDollarVolume change to release notes.
2016-06-29 13:47:56 -04:00
985e6bafee
DOC: Add comment explaining ADV NaN test expected result calculation.
2016-06-29 11:34:21 -04:00
e67b5e5516
TST: Change AverageDollarVolume test to check case of partial NaNs
2016-06-29 11:16:39 -04:00
ebbcca73e8
TST: Add NaN cases to AverageDollarVolume factor test.
2016-06-29 10:12:35 -04:00
e70490a415
BUG: Correct AverageDollarVolume NaN handling
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`AverageDollarVolume` used `nanmean`, which discards NaNs before
averaging, giving an ADV which is too high for any equities that have
any NaNs.
Changing the method to `nansum` divided by window length so that the
denominator is the same no matter whether there are NaNs or not.
2016-06-28 17:20:09 -04:00
c89e957905
Merge pull request #1308 from quantopian/fix-pipeline-calendar
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BUG: Don't use calendar from daily bars in USEquityPricingLoader
2016-06-28 14:27:33 -04:00
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
43f4c3a2d3
Merge pull request #1306 from quantopian/disable-tradingcalendar-deprecation
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MAINT: Disable deprecation warning for tradingcalendar
2016-06-28 11:02:22 -04:00
4fd444dbb2
MAINT: Disable deprecation warning for tradingcalendar
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The new calendar API is currently in flux, so disabling the deprecation
warning for tradingcalendar. To be re-enabled once the new API is
stabilized.
2016-06-28 10:06:11 -04:00
a4298a9c72
Merge pull request #1304 from quantopian/remove-unused-data-source-code
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Remove unused data source code
2016-06-27 13:41:47 -04:00
a721380664
MAINT: Remove unused test factory functions.
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`create_commission` and `create_minutely_trade_source` are no longer
used.
2016-06-27 13:06:41 -04:00
ca58632815
MAINT: Remove DataSource and derived classes.
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The `DataSource` class and other classes derived from it are no longer
used. Instead `DataPortal` and various `MinuteBarReader` and
`DailyBarReaders` should be used.
2016-06-27 13:06:41 -04:00
28055ed36d
Merge pull request #1303 from degtyarevalexey/master
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DOC: Fix typo in command line to ingest quandl
2016-06-26 23:05:40 -04:00
84afb997d3
DOC: Fix typo in command line to ingest quandl
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Usage: zipline ingest [OPTIONS]
Ingest the data for the given bundle.
Options:
-b, --bundle BUNDLE-NAME The data bundle to ingest. [default:
quantopian-quandl]
<...>
2016-06-27 01:55:21 +03:00
c26e12bad8
Merge pull request #1288 from quantopian/pandas-tz-normalize-bug-workaround
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Pandas tz normalize bug workaround
2016-06-23 14:20:35 -04:00
Eddie Hebert