Instead of calling a function, where the only parameter is the tracker
object, make it a method, so that the snapshot of position tracker stats
can be more easily called as `pt.stats()`.
In preparation for removal of widespread events, change the split
methods to use params for sid and cost, instead of an event, for
compatibility with lazy branch.
co-author: @jbredeche <jean@quantopian.com>
In preparation for removal of widespread events, change the commission
methods to use params for sid and cost, instead of an event, for
compatibility with lazy branch.
co-author: @jbredeche <jean@quantopian.com>
Refer to cumulative and todays performance explicitly instead of always
looping through.
The third value (minute) for which this was useful, has been removed.
Also, there are some actions where only cumulative may need application,
e.g. application of dividends. (However, this patch does not remove
dividend processing from todays performance, but opens up later patches
to make that distinction.)
Moved from the `lazy-mainline` branch,
https://github.com/quantopian/zipline/pull/858
The intent of this patch to provide the basic class and readers
interfaces, developed on that branch, so that the use of creating the
object and opening paths etc. can be tested internally.
Additional changes beyond the lazy-mainline branch, addition of future
minute reader, and daily bar reader.
Also allow an argument of the future_daily_reader, though no such reader
yet exists.
It may be that future and equity readers share an interface, and a
further improvement would be providing an abstract base class.
co-author: @jbredeche <jean@quantopian.com>
EarningsCalendar loader.
- Moves most of AdjustedArray back into Python. The window iterator is
the only part that's performance-intensive.
- Adds a bootleg templating system for creating specialized versions of
AdjustedArrayWindow for each concrete type we care about.
- Adds support for differently dtyped terms in pipeline. This allows us
to use datetime64s which are needed in the EarningsCalendar.
- Adds EarningsCalendar dataset for the next and previous earnings
announcements in pipeline.
- Adds in memory loader for EarningsCalendar.
- Adds blaze loader for EarningsCalendar.
Return -1 when there is a zero value for a spot price.
Intended for use by the incoming data portal changes. When the data
portal will see a -1 value, the portal will seek back a trading day
until a non-negative value is returned.
Volumes were incorrectly having the thousands factor applied, however
the volume is written as is (without the factor, since it volume is an
int, not float value.)
Fix by adding a special case for volume which returns the price as is.
nan* functions should get passed the actual array.
Also adds code-block directives to the docstring so that they get
highlighted by Sphinx as Python code.
dmichalowicz