- Parse our requirements.txt to keep install_requires up to date.
- Create extras builds for talib and dev.
- Use pip install -e .[dev] on Travis to install Zipline before testing.
This patch lays the groundwork for a compute engine designed to
facilitate construction of factor-based universe screening and portfolio
allocation. It contains:
A new module, `zipline.modelling`, containing entities that can be used
to express computations as dependency graphs. Each node in such a graph
is an instance of the base `Term` class, defined in
`zipline.modelling.term`. Dependency graphs are executed by instances
of `FFCEngine`, defined in `zipline.modelling.engine`.
A new module, `zipline.data.ffc`, containing loaders and dataset
definitions for inputs to the modelling API.
New `TradingAlgorithm` api methods: `add_factor`, and `add_filter`.
These methods can only be called from `initialize`, and are used to
inform the algorithm that each day it should compute the given terms.
Computed factor results are made available through a new attribute of
the `data` object in `before_trading_start` and `handle_data`. Computed
filter results control which assets are available in the factor matrix
on each day.
In Python 3 builds, the miniconda version of nose was being used, which
was not finding the pip installed plugins.
Force the install of nose into the non-miniconda part of the
environment where the plugns are installed.
Now that the pandas and numpy upgrade is complete, no longer need to
test for forwards and backwards compatibility.
Also, now that Cython is part of the build, the existence of Cython can
be assumed for building cyordereddict.
The class is not yet used. Adding this class is part of the effort to allow Zipline
simulation of more types of assets than stocks.
DEV: Adds build_ext to .travis.yml
based OrderedDict. Series/ndarray can only be sped up so much because
they weren't designed for fast iterative mutations.
This also cut down on the # of intermediate Series being generated
during perf stat generation. Things like s[s > 0] will create a new
Series for s > 0.
Moved cython to requirements.txt and added cyordereddict
Instead of hard-coding the package versions in the Travis config,
grep the version number out of the requirements_dev.txt file,
so that the versions do not drift.
Match the revisions found in the dev requirements file, so that the
versions used during development and continuous integration.
Pegging the versions in two separate places may end being brittle,
but suppress the build failure because the unpegged installation
of flake8 pulled in newer versions of pyflakes and pep8.
scipy build was getting too heavyweight for the Travis-CI build.
Removes test_examples from Travis-CI run, since the examples
depend on scipy and other compiled libraries.
Please, still run test_examples before submitting patches.
To handle, for instance, Columbus Day (Oct 10),
on which there is no treasury data.
We're only forward-filling data now, and
no longer searching both back and forward in time.
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.
Also drops ipython (which is used for desktop development) and
nose (which is installed by default by Travis CI) from list of
dev packages to be installed during a Travis build.
Scott Sanderson