39f44a44f8
Reverting changes MovingStandardDevWindow.
...
Though the addition of tracking mulitple values in the window
is powerful, the changes broke behavior of existing algorithms
by changing method signatures and names.
So temporarily reverting these changes, to be pulled back in when
a way to have the multiple fields tracked with the existing API
is written, or a cutover of the API is figured out and determined.
2013-01-21 00:12:33 -05:00
4ab82601a5
Resolved unittest import problems.
2013-01-16 11:54:04 -05:00
77e9147a8b
Merge branch 'master' of github.com:quantopian/zipline into stddev_multifield
2013-01-16 11:42:11 -05:00
d0640d56c8
Refactored stdev transform to be applied to multiple fields, not just price
...
UnitTest for transforms refactored to account for changed stdev transform, introduced AssertAlmostEqual
2013-01-16 10:33:38 -05:00
456639d02c
ENH: New batch_transform feature: compute_only_full.
2013-01-16 10:30:37 -05:00
52b099f6db
ENH: Added new kwarg to batch_transform: create_panel.
2013-01-16 10:30:37 -05:00
b815a57430
ENH: batch_transform now supports field filtering.
2013-01-16 10:30:37 -05:00
b68c51afb4
ENH: batch_transform now supports sid-filtering. DOC: Added docs to batch_transform.
2013-01-16 10:30:37 -05:00
0f88e4133d
ENH: New batch_transform feature: compute_only_full.
2013-01-07 12:44:55 -05:00
d1dace948e
ENH: Added new kwarg to batch_transform: create_panel.
2013-01-07 12:44:19 -05:00
2729936aff
ENH: batch_transform now supports field filtering.
2013-01-07 12:43:41 -05:00
0e3b1e76e8
ENH: batch_transform now supports sid-filtering. DOC: Added docs to batch_transform.
2013-01-07 12:43:26 -05:00
f8e4d8ade6
Revert "BUG: EventWindow now always contains constant number of days."
...
This reverts commit 7a0a6f5231
2012-12-11 12:12:51 -05:00
a14d702a0d
STY: Replaced hardcoded values with variables.
2012-12-06 15:26:49 -05:00
ba46c6292f
ENH: DataPanel is now created more flexible over all sids and all given fields. Added unittest to test for nan-filling. Added backwards filling by default.
2012-12-06 14:43:20 -05:00
5f6839beea
BUG: Refactored batch_transform unittests and fixed some bugs.
2012-12-06 12:36:47 -05:00
7a0a6f5231
BUG: EventWindow now always contains constant number of days.
2012-12-06 12:33:18 -05:00
f81addb7df
ENH: batch_transform now adds arbitrary keys to datapanel.
2012-12-03 13:41:37 -05:00
cf0de17b13
Merge pull request #22 from quantopian/fix_batch_transform_days
...
BUG: batch_transform was wrongly updating when days < refresh_period.
2012-11-19 12:40:26 -08:00
0617e53d69
Upgrades flake8 from 1.5 -> 1.6
...
Also, removes flake8 ignores, since the warnings that were
at odds with eachother now work.
2012-11-19 12:49:09 -05:00
4c02fea6e2
BUG: batch_transform was wrongly updating when days < refresh_period.
2012-11-19 10:20:24 -05:00
cf4d7ca353
Fixed unittest2 import error on Python 2.7
...
Changed all unittest2 imports to unittest
2012-11-12 10:49:14 -05:00
126e9fdf26
Fixed batch_transform window length not being market aware.
...
Added accompanying unittest.
Minor refactoring of unittests and factory.
2012-11-06 21:13:27 -05:00
c0b161287d
Fixed odd bug that caused the first day not to get simulated. This triggered some changes to the batchtransform unittests.
2012-10-23 17:57:27 -04:00
7904773d00
Updates flake8 to latest.
...
The latest flake8 release in now 1.5, which pulls in pep8: 1.3.4a0
The upgrade pep8 has changes to what it picks up as lint.
Making code base compatible, so that new devs can install pep8
from PyPI and not have friction over the version difference.
Currently using these ignores in the config file:
```
[pep8]
ignore = E124,E125,E126
```
Ignoring these since they are difficult to squash while maintaining
an 80 char line length, and appear spurious.
Should address later.
Updates Travis config, README, and pip requirements to reflect change.
2012-10-22 11:57:16 -04:00
15ac658024
Restructured file hierarchy. Transforms now live in transforms (transform.py is now transforms/utils.py). Sources are in sources.py. VWAP is now MovingVWAP.
2012-10-19 18:10:51 -04:00
16b0d71506
refactoring of algorithm to make it work for both batch style run method, and generator style consumption. removed the portfolio property from the data parameter. added set_slippage and set_commission methods to algorithm. removed timeout tracking.
2012-10-10 16:06:32 -04:00
bbf2317c57
Saving point for adding license files.
2012-10-08 17:32:40 -04:00
77af1ca632
Applies PEP-8 and pyflakes style to tests and zipline.
...
Mostly whitespace, line width and other spacing changes.
Also, removes use of deprecated has_key in favor of `in`
Going forward new patches should pass running `flake8` before
submission.
2012-10-05 12:14:09 -04:00
7a8697f0e5
updated based on PR feedback.
2012-09-30 22:12:00 -04:00
1caefbff43
tests are passing for independent commission model
2012-09-28 23:12:41 -04:00
c2dd51c24e
Cleaned up unittests in response to Eddie's comments.
2012-09-28 09:20:17 -04:00
188a9502b0
Added passing of arguments to algorithm initialize and batch transform.
2012-09-25 11:48:37 -04:00
4324f95f36
Better unittest coverage. DataFrameSource is now filtering sids. Fixed outstanding issues.
2012-09-21 11:59:46 -04:00
3be2f313cd
Shortened test window. Renamed functions in window transform.
2012-09-19 18:39:42 -04:00
729a4d9058
Large refactoring and documentation of new algorithm base class and batch transform.
2012-09-19 17:49:39 -04:00
71839522cf
switch current transforms over to the new metaclass
2012-09-04 17:16:36 -04:00
9b664e54d8
Removes unused imports in tests.
2012-08-24 13:29:00 -04:00
24fddfbde0
tradingcalender, attempt #2
2012-08-22 02:50:16 -04:00
1659cfff45
fixed bessel correction in stddev
2012-08-15 16:16:36 -04:00
c4cb7d41f2
added tests for stddev
2012-08-15 12:15:41 -04:00
0489bc4216
tests for eventwindow
2012-08-07 21:46:56 -04:00
d2d9ef1359
removed a few debug calls
2012-08-07 17:55:27 -04:00
8ab12cc8f8
tests for returns
2012-08-07 17:48:35 -04:00
23a62a942a
Merge branch 'new_world_order' of github.com:quantopian/zipline into new_world_order
...
Conflicts:
tests/test_transforms.py
zipline/finance/returns.py
2012-08-07 17:08:08 -04:00
1d9da39fbb
new-style returns
2012-08-07 16:54:55 -04:00
1f0e760856
finish eventwindow ABS, and speedups for tradingcalendar
2012-08-07 14:50:09 -04:00
aeb50da170
fixes for unit tests, back to 50/51 passing.
2012-08-07 14:42:43 -04:00
ed206de84a
abstract eventwindow and trading calendar utility
2012-08-07 10:32:10 -04:00
83da8d2310
fixed logging for tests
2012-07-26 18:45:42 -04:00
Eddie Hebert