Thomas Wiecki
456639d02c
ENH: New batch_transform feature: compute_only_full.
2013-01-16 10:30:37 -05:00
Thomas Wiecki
52b099f6db
ENH: Added new kwarg to batch_transform: create_panel.
2013-01-16 10:30:37 -05:00
Thomas Wiecki
b815a57430
ENH: batch_transform now supports field filtering.
2013-01-16 10:30:37 -05:00
Thomas Wiecki
b68c51afb4
ENH: batch_transform now supports sid-filtering. DOC: Added docs to batch_transform.
2013-01-16 10:30:37 -05:00
Thomas Wiecki and Eddie Hebert
79a8a08812
STY: Renamed fillna to clean_nans.
2012-12-06 17:23:26 -05:00
Thomas Wiecki
ecb26e9eec
BUG: Can not test for length when dropping nans.
2012-12-06 16:07:18 -05:00
Thomas Wiecki
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
Thomas Wiecki
5f6839beea
BUG: Refactored batch_transform unittests and fixed some bugs.
2012-12-06 12:36:47 -05:00
Thomas Wiecki
c69858f8b9
ENH: Added kwarg to turn off fillna or use different fill method.
2012-12-06 12:35:46 -05:00
Thomas Wiecki and Eddie Hebert
f81addb7df
ENH: batch_transform now adds arbitrary keys to datapanel.
2012-12-03 13:41:37 -05:00
Eddie Hebert
ab6b754922
Changes EventWindow parameter of days to window length.
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The days parameter was causing confusion when explaining the
usage of the batch_transform decorator.
2012-11-20 11:52:27 -05:00
Thomas Wiecki
4c02fea6e2
BUG: batch_transform was wrongly updating when days < refresh_period.
2012-11-19 10:20:24 -05:00
Tobias Brandt and Eddie Hebert
ff9093d226
DOC: Fixed some paragraph alignment and table formatting issues.
2012-11-13 12:20:07 -05:00
Thomas Wiecki and Eddie Hebert
126e9fdf26
Fixed batch_transform window length not being market aware.
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Added accompanying unittest.
Minor refactoring of unittests and factory.
2012-11-06 21:13:27 -05:00
Eddie Hebert
086c12ddf8
Locks down the ability to easily override the algo's portfolio.
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Starting down the path of making the portfolio completely read-only
with respect to the handle_data in algo.
The portfolio should only be changed during the course of running
the algorithm by the simulator.
This doesn't do a 100% protection, i.e. an algo could use _portfolio,
or the set_attr property, but hoping this helps guides algo writing
to treat the portfolio as read-only.
2012-11-05 13:40:23 -05:00
Thomas Wiecki and Eddie Hebert
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
fawce and Eddie Hebert
96fed05fc0
support for test fixes in qexec
2012-10-10 16:09:40 -04:00
fawce and Eddie Hebert
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
Eddie Hebert
9500163ed8
Adds Apache 2.0 license header to source files.
2012-10-08 17:32:41 -04:00
Eddie Hebert
77af1ca632
Applies PEP-8 and pyflakes style to tests and zipline.
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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
fawce
7a8697f0e5
updated based on PR feedback.
2012-09-30 22:12:00 -04:00
fawce
1caefbff43
tests are passing for independent commission model
2012-09-28 23:12:41 -04:00
Thomas Wiecki
188a9502b0
Added passing of arguments to algorithm initialize and batch transform.
2012-09-25 11:48:37 -04:00
Thomas Wiecki
4324f95f36
Better unittest coverage. DataFrameSource is now filtering sids. Fixed outstanding issues.
2012-09-21 11:59:46 -04:00
Thomas Wiecki
4526cde4c5
Fixed weird regression in TestAlgorithm.
2012-09-19 19:37:21 -04:00
Thomas Wiecki
280f122353
WIP: Lot of refactoring and bugfixing.
2012-09-17 18:35:21 -04:00
Thomas Wiecki
5d00099243
example code now retrieves data from yahoo finance.
2012-09-17 12:15:36 -04:00
fawce
0bb0df525a
pluggable slippage.
2012-09-14 12:33:10 -04:00
fawce
1f55e8a033
added exception handling tests back. updates to support integration.
2012-09-10 23:06:13 -04:00
Thomas Wiecki
7c0329bb76
Resolved conflicts
2012-08-23 10:54:02 -04:00
scottsanderson
57f1c6056c
unit test for heartbeating
2012-08-20 18:24:17 -04:00
scottsanderson
69ac68af2e
heartbeating for handle_data
2012-08-19 02:22:16 -04:00
Thomas Wiecki
51f01c0f1f
ENH: Implemented new Zipline interface. Implemented Algorithm base class. Implemented example algorithm. Implemented example.py code.
2012-08-10 17:23:08 -04:00
fawce
e4a21e7c61
resolved conflicts
2012-08-01 11:04:35 -04:00
fawce
08cce15ef9
added name and message to exception message
2012-07-31 16:02:28 -04:00
fawce
80f2acc674
test fixes
2012-07-27 23:33:43 -04:00
fawce
abf9c8efa5
exception handling code revised. gevent, pypy, and threadsim vestiges removed.
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devel flag removed.
2012-07-26 16:22:13 -04:00
fawce
d0e987a8e8
tests passing using the process simulator.
2012-07-24 14:00:33 -04:00
fawce
fc1882daaa
enabled logging with a logbook zmq logger from within the algorithm.
2012-07-22 07:33:42 -04:00
fawce
f364cde3d2
added a class to throw exceptions from the algorithm
2012-07-21 09:52:06 -04:00
scottsanderson
5a7fa6d893
bugfixes to logging setup
2012-07-02 05:36:48 -04:00
scottsanderson
e4003cdc4c
new algorithm for testing logging
2012-07-01 20:28:49 -04:00
scottsanderson
4c40a3d55c
all manner of changes to support logging
2012-06-28 16:28:10 -04:00
fawce
ec93bdaecd
alias for dt as datetime.
2012-05-18 23:40:38 -04:00
fawce
ba2783081c
switched SID to sid
2012-05-18 21:46:42 -04:00
Stephen Diehl
d503ce465a
Merge branch 'refactor'
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Conflicts:
zipline/finance/trading.py
zipline/lines.py
2012-05-15 14:04:05 -04:00
Stephen Diehl
133d9c03af
One test passing, progress!
2012-05-10 16:38:04 -04:00
Thomas Wiecki