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Author SHA1 Message Date
Andrew Liang a9d698018a MAINT: Refactor checking, calculation and processing of capital changes 
AlgorithmSimulator will no longer check for capital changes.
Instead, TradingAlgorithm find and calculate the changes, and
PerformanceTracker will apply the changes
 2016-07-25 10:05:47 -04:00
Jean BredecheandGitHub a5342550b1 Merge pull request #1347 from quantopian/all-daily-bar-readers-need-sessions 
BUG: Implement `sessions` property for `PanelDailyBarReader`
 2016-07-24 21:41:50 -04:00
Scott Sanderson 3cc1cf078a TEST: Parameterize over window_length. 2016-07-24 21:21:40 -04:00
Scott Sanderson be857ead0e DOC: Clarify default window-safety for Filters. 2016-07-24 21:17:16 -04:00
Scott SandersonandGitHub a424225dce Merge pull request #1345 from quantopian/notnull-filter 
ENH: Add NotNullFilter.
 2016-07-24 21:15:08 -04:00
Jean Bredeche 7418e893a9 BUG: Implement sessions property for PanelDailyBarReader 
Also, renamed it from `_sessions_ to `sessions` and defined an
abstractproperty in `DailyBarReader`.
 2016-07-24 21:08:11 -04:00
Gil Wassermann ea01fb074a STY: style changes 2016-07-22 16:08:33 -04:00
Scott SandersonandMaya Tydykov 43957b0d09 ENH: Add NotNullFilter. 2016-07-22 15:32:46 -04:00
Gil Wassermann 9c6aa0cd58 DOC: Added documentation about window-safe filters 2016-07-22 15:21:18 -04:00
Gil Wassermann b4aa0aecbb STY: Flake8 2016-07-22 15:08:34 -04:00
Gil Wassermann 36a727f4af ENH: sum vs nansum cleared up 2016-07-22 14:56:59 -04:00
David MichalowiczandGitHub 5fd6550718 Merge pull request #1344 from quantopian/more-docs-tweaks 
Pipeline docstring tweaks
 2016-07-22 14:44:15 -04:00
Gil Wassermann 5e991a16d3 ENH: Test added and runs without error 2016-07-22 14:30:35 -04:00
dmichalowicz f404538008 DOC: More pipeline docstring tweaks 2016-07-22 13:54:16 -04:00
Jean BredecheandGitHub f44f0ff454 Merge pull request #1342 from quantopian/deal-with-bad-getdatetime-params 
ENH: Deal with bad parameters to `get_datetime`
 2016-07-21 22:14:02 -04:00
Jean Bredeche 63ef840363 ENH: Verify params passed to get_datetime 2016-07-21 20:42:28 -04:00
Gil Wassermann c31d3b7904 ENH: Test now works 2016-07-21 12:25:02 -04:00
Gil Wassermann 21b33f03f9 ENH: test filter up and running 2016-07-21 10:21:19 -04:00
Gil Wassermann 98be158c20 ENH: storing commits. test case added 2016-07-21 08:49:41 -04:00
Gil Wassermann d7b631617c ENH: made filters window safe 2016-07-20 17:10:08 -04:00
Andrew Liang f146d6d8c1 MAINT: For capital changes, support input of delta or target value 
For target changes, calculate the delta using the portfolio value
of the current minute
 2016-07-20 15:44:41 -04:00
David MichalowiczandGitHub 71b2363775 Merge pull request #1336 from quantopian/pipeline-docs-touchups 
DOC: Pipeline docstring edits
 2016-07-20 15:38:33 -04:00
dmichalowicz 9cc5796b3e DOC: Pipeline docstring edits 2016-07-20 15:10:23 -04:00
Andrew Liang 52cb0fc70a DEV: Allow net_leverage value to be forced by broker 2016-07-20 11:20:08 -04:00
Jean Bredeche adea192f02 BLD: Fix some imports. 2016-07-20 09:10:32 -04:00
Jean BredecheandGitHub f640f331c2 Merge pull request #1335 from quantopian/more-calendars 
ENH: ICE calendar, more calendar tests, cleaned up CME calendar
 2016-07-20 08:29:35 -04:00
Jean Bredeche 21aca754ba ENH: Reorganized internal calendar implementation. 
Added tests for CME calendar.

Added ICE calendar (and tests).

Added CFE calendar (and tests).
 2016-07-19 22:27:34 -04:00
Andrew DanielsandGitHub 6cebf05417 BUG: Further corrections for days_at_time (#1334) 
* BUG: Further corrections for days_at_time

- Revert to using DateOffset, as Timedelta doesn't handle offsetting by
  one day over a tz change properly:

    In [12]: pd.Timestamp('2004-04-05', tz='America/Chicago') + pd.Timedelta(days=-1)
    Out[12]: Timestamp('2004-04-03 23:00:00-0600', tz='America/Chicago')

    In [13]: pd.Timestamp('2004-04-05', tz='America/Chicago') + pd.DateOffset(days=-1)
    Out[13]: Timestamp('2004-04-04 00:00:00-0600', tz='America/Chicago')

  By creating a DateOffset using the `days` kwarg, the issue previously
  fixed in bcc867b is addressed.

- To preempt any other pandas issues around day offsets, changes to
  performing these with no timezone, then localizing to the local
  timezone when shifting the time.
- Adds unit test for days_at_time

* STY: Remove unused import
 2016-07-19 13:19:40 -04:00
David MichalowiczandGitHub b364b0fbfc Merge pull request #1307 from quantopian/sid-to-sid-2 
Factor-to-factor correlations and regressions
 2016-07-19 13:14:40 -04:00
dmichalowicz a8486c5f6e ENH: Factor-to-factor correlations/regressions 2016-07-19 11:16:55 -04:00
Andrew DanielsandGitHub dffdf0a670 Merge pull request #1333 from quantopian/fix-days-at-time-offset 
BUG: Fixes issue with offsetting days in days_at_time calendar helper
 2016-07-18 17:53:11 -04:00
Andrew Daniels bcc867b143 BUG: Use Timedelta instead of DateOffset in days_at_time calendar helper 
Prior to pandas 17, there were issues with offsetting dates with
DateOffset around discontinuities (like the start of DST). We can use
Timedelta here instead, which handles these edge cases.
 2016-07-18 17:11:11 -04:00
Jean BredecheandGitHub 5f09203827 Merge pull request #1330 from quantopian/fix-daily-bar-writer 
Fix daily bar writer
 2016-07-15 15:41:20 -04:00
Jean Bredeche 5a0f840917 Clean up daily bar reader/writer to take advantage of new trading calendar. The reader 
is backwards-compatible with the previous format.

In USEquityLoader, use dailyreader's trading_calendar.

This is backwards compatible and will fall back to the NYSE calendar if
the reader doesn’t have a calendar specified.
 2016-07-15 15:13:57 -04:00
Scott SandersonandGitHub e0f6abda2e Merge pull request #1328 from quantopian/sample-event-utils-test 
PERF: Speed up event utils test case.
 2016-07-15 09:53:02 -04:00
Jean BredecheandGitHub 2af26ee38f Merge pull request #1327 from quantopian/fix-brainfarts 
Fix some mistakes from a previous merge.
 2016-07-14 20:53:41 -04:00
Joe JevnikandGitHub 835fab8ebd Merge pull request #1323 from quantopian/pmap-blaze-query 
ENH: Adds the ability to run blaze queries concurrently
 2016-07-14 18:40:57 -04:00
Scott Sanderson 67f76e4d67 PERF: Speed up event utils test case. 
Just take a sample of all 5000 permutations of 7 dates.
 2016-07-14 17:38:58 -04:00
Joe Jevnik 5473ec240d ENH: Adds the ability to run blaze queries concurrently 2016-07-14 17:32:30 -04:00
Joe JevnikandGitHub 90035e7bed Merge pull request #1325 from quantopian/lwma 
ENH: Adds LinearWeightedMovingAverage factor
 2016-07-14 15:52:15 -04:00
Jean Bredeche 295cfa3846 Fix some mistakes from a previous merge. 
No tests failed, which was worrisome.  Will file issues to take a look
later.
 2016-07-14 15:40:36 -04:00
Samuel WooandJoe Jevnik 5756f2932d ENH: Adds LinearWeightedMovingAverage factor 2016-07-14 15:10:42 -04:00
Jean BredecheandGitHub e22108b7ef Merge pull request #1312 from quantopian/24-5-backtesting 
Re-implemented the calendar API.
 2016-07-14 10:05:18 -04:00
Richard FrankandGitHub 8b9a9dd547 Merge pull request #1324 from quantopian/rate-of-change-percentage 
Rate of change percentage
 2016-07-13 21:23:35 -04:00
Jean Bredeche 3d6fdc0755 Make sure we are passing ints to nth. 2016-07-13 20:40:57 -04:00
Richard Frank c9b0e4050d TST: Added more test cases for RateOfChangePercentage 2016-07-13 19:48:18 -04:00
Richard Frank dc0784b88d MAINT: Removed defaults from RateOfChangePercentage 
since it's general enough that we don't need to assume closes
 2016-07-13 19:46:59 -04:00
Elizaveta239andRichard Frank 8a32c2b7ce ENH: Add Rate of change Percentage indicator 2016-07-13 18:07:20 -04:00
Joe JevnikandGitHub 4a0629b894 Merge pull request #1263 from quantopian/cloud-computing 
Ichimoku Cloud
 2016-07-13 15:27:58 -04:00
Jean Bredeche 4af61d2c39 unused 2016-07-13 09:13:39 -04:00