e529df06ea
ENH: Add autoload=True for compatibility with SQLAlchemy < 1.0.0
2015-09-10 11:53:25 -04:00
ded6f8543f
BUG: Cast datetime to Timestamp to call value
2015-09-10 11:53:25 -04:00
3af8b6d6c8
DEP: Remove unecessary calls to write_data
2015-09-10 11:53:25 -04:00
1c512c5478
TST: Update test_algorithm.py to incorporate TradingEnvironment.write_data
2015-09-10 11:53:25 -04:00
c8b88432cc
BUG: Account for sid == 0 in if statement
2015-09-10 11:53:25 -04:00
4300ab357a
BUG: Convert sqlalchemy RowProxy to dict for assignment
2015-09-10 11:53:25 -04:00
46346ecb5d
BUG: Ensure symbols are made upper case in db
2015-09-10 11:53:25 -04:00
678aec2cae
MAINT: Convert dates to INTs for SQLite and set default end_date
2015-09-10 11:53:25 -04:00
32b663c5ca
MAINT: Enforce uniqueness of sid column
2015-09-10 11:53:25 -04:00
501fd58fdf
ENH: Replace update_asset_finder with write_data
...
The write_data methods invokes the relevant AssetDBWriter subclass
to write data to the database. update_asset_finder is no longer
a relevant method since the AssetFinder is strictly a reader class.
2015-09-10 11:53:24 -04:00
9660447ed0
MAINT: Ensure correct pandas.DataFrame is returned
2015-09-10 11:53:24 -04:00
a8f60366cd
MAINT: Remove call to write_all when initializing db
2015-09-10 11:53:24 -04:00
d55920a43b
ENH: Return namedtuple from load methods
2015-09-10 11:53:24 -04:00
b658f579d2
ENH: Consolidate logic into load_data method
2015-09-10 11:53:24 -04:00
59f5a9683b
DEP: Remove legacy writer classes
2015-09-10 11:53:24 -04:00
47ed3a2fdb
ENH: Update AssetDBWriterFromList to consume identifiers
...
Allow consumption of a list of identifiers, including assigning
sids if necessary.
2015-09-10 11:53:24 -04:00
8fc97b99b2
MAINT: Default constraints=True in AssetDBWriter
2015-09-10 11:53:24 -04:00
38f3e6c713
ENH: Add UNIQUE and NOT NULL constraints
2015-09-10 11:53:24 -04:00
ee4aa7327b
MAINT: more bugfixes
2015-09-10 11:53:23 -04:00
9cd3707440
BLD: Adds sqlalchemy to reqs
2015-09-10 11:53:23 -04:00
874abee1d8
BUG: itemgetter is in operator
2015-09-10 11:53:23 -04:00
fc8ea9b39b
MAINT: Remove NOT NULL constraint when constraints=False
2015-09-10 11:53:23 -04:00
dd956116b7
ENH: sqlalchemy
2015-09-10 11:53:23 -04:00
17c6ecbfff
STY: Formating changes
2015-09-10 11:53:23 -04:00
06894c301e
DEP: Stop exporting deprecated methods
2015-09-10 11:53:23 -04:00
4b763f4138
ENH: Update load_data method
2015-09-10 11:53:23 -04:00
97e980751f
MAINT: Integrate asset writer changes into TradingEnvironment
2015-09-10 11:53:23 -04:00
abcb6704e8
TST: Modify tests given new AssetFinder behavior
2015-09-10 11:53:22 -04:00
f12c9aa0b7
ENH: Create AssetDBWriterFromDataFrame class
2015-09-10 11:53:22 -04:00
ad28d5ee0a
ENH: Remove all writing functionality from AssetFinder
2015-09-10 11:53:22 -04:00
696d8f2846
MAINT: Insert data into asset_router
2015-09-10 11:53:22 -04:00
449400426d
ENH: Enable fuzzy matching for equities
2015-09-10 11:53:22 -04:00
c8cb2d92dd
MAINT: Use raw SQL driver rather than pandas to_sql method
...
Allows us to create an SQL transaction to avoid errors
from race conditions.
2015-09-10 11:53:22 -04:00
746f70a133
ENH: Create AssetDBWriter class
...
The AssetDBWriter class and its subclasses will
ultimately be responsible for creating the SQLite
database tables and writing data to these tables.
In the longer term AssetDBWriter and AssetFinder will
be decoupled, sharing only an SQLite connection.
However, for backward compatibility reasons this has
not yet been fully implemented.
Modify tests since AssetFinder no longer has a
metadata_cache attribute.
2015-09-10 11:53:22 -04:00
45adc57267
TST: Simulate running an algo using scripts/run_algo.py
...
Previously we have not had test coverage of the parse_args() or
run_pipeline() functions invoked when running scripts/run_algo.py.
2015-09-10 11:47:45 -04:00
283c959cc4
MAINT: Move analyze methods into algorithm files
2015-09-10 11:36:14 -04:00
723c5bb069
ENH: Add if name == main blocks to examples
2015-09-10 11:32:41 -04:00
3f4bbc521a
ENH: Add axis label to olmar output plot
2015-09-10 11:32:41 -04:00
dee69f39fe
BUG: Allow dual_em_talib.py to be executed with run_algo.py
2015-09-08 11:55:06 -04:00
e507ee097d
TST: Add coverage for set_symbol_lookup_date method
2015-09-08 11:01:04 -04:00
1e31866471
MAINT: FutureChain should only accept Timestamp
2015-09-08 11:01:04 -04:00
ad31e1ff6e
MAINT: Coerce user input to Timestamps, catching errors
2015-09-08 11:01:04 -04:00
c2159d429b
ENH: Allow user to set the symbol lookup date
...
Previously symbols were resolved to sids based on the end of
simulation date. This commit allows the user to specify the
date for which resolution will take place using a new
set_symbol_lookup_date() API method.
If the user does not use this method the lookup date will
default back to the simulation end date.
2015-09-08 11:01:04 -04:00
dcc0a31782
PERF: Re-use the faster get_open_and_closes from tradingcalendar
2015-09-08 09:21:42 -04:00
510dc2ae7b
TST: test_finance.py can't handle being parallelized
2015-09-08 08:49:11 -04:00
cf41373f8f
BUG: Symbol look-up now uses the sim_params.period_end as a look-up date
2015-09-01 12:39:03 -04:00
de09433fd4
MAINT: allows contract_multiplier to be non-integer
2015-09-01 11:54:09 -04:00
6e8a4b8144
ENH: Improvements to rank().
...
- Add an `ascending=True` keyword to `rank()`.
- Add `top(N)` and `bottom(N)` methods to Factor. These return Filters
that pass the top and bottom N elements each day.
- Add a slightly faster path for rank(method='ordinal'). I had
originally thought the fast path was 2-3x faster because I had my
benchmark data axes flipped. The actual speedup is only 5-10%, which
means it probably wasn't worth the effort to Cythonize...but we have a
slightly faster version now so we might as well use it.
- Refactor test_filter and test_factor to make it easier to implement
and test transformations on factors. These tests now subclass
BaseFFCTestCase, which provides facilities for passing a dict of terms
and an "initial_workspace", the values for which are used by
SimpleFFCEngine rather than needing to manually manage the inputs and
outputs of each term.
2015-08-31 00:32:33 -04:00
a04dcfa6b8
TEST: Rename test.
2015-08-29 23:55:59 -04:00
90e81d0df0
MAINT: Add TermGraph class.
...
Use a subclass of networkx.DiGraph to encapsulate the state of our
dependency graph.
2015-08-29 23:55:59 -04:00
Stewart Douglas