With the benchmark returns marked at midnight, the performance packet
for a day was emitted *before* any events for that day were processed.
Fix by expecting benchmarks marked at the market close, for backtests
that use minute data but emit performance results daily, so that the
benchmark handles at the end of day.
TST: Also, add test that exercises the event loop with minutely data,
(with benchmarks that are marked end of day), since that combination
was previously uncovered.
Working towards performance and risk logic being aware of
data frequency, as different handling of order of events based
on the data frequency is needed.
Backing out slice vs. valid(), because of an incompatiblity with
starting a minutely emitted session mid-day, since the midday start
date is not yet wired through SimulationParameters.
The slicing syntax is more explicit about declaring:
'get all returns up until the current dt'.
Also, protects against NaNs that occur before the current dt
being silently ignored.
i.e. the *_returns_cont series *should* have values from start
to current dt, but the .valid() call was occluding a bug where
it wasn't.
The leading date of the date range was never called with update,
because in the main loop the todays_date variable was
incremented before update was called.
Fix by moving the increment to the next trading day to after the
call to update.
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.
So that stepping through a debugger is a little easier, with
respect to having easy access to the algorithm object, and seeing
which step in `self.gen` the interpreter is currently at.
Both risk and performance now calculate performance since inception
(cumulative) and since the open. Both periods are updated intraday
and both are reported.
Batch risk for periods starting after the end of the treasury curve
history now use most recent curve.
Critical that trade events be last, so that the perf tracker's
position information be updated with both the transaction and
the trade for last_sale.
Without, the first transaction would be recorded with a last_sale
of 0.
With @fawce
Work towards running an algorithm against 'live' data, which can't
be bound to the available benchmarks and treasuries, since the
benchmarks and treasury curves for that day won't be published
until that night.
For printability in the repr when debugging algo config and state,
change the repr of TradingAlgorithm and the objects it contains
so that the more closely adhere to the repr interface of being
able to recreate an object instance.
Fix crash due to 'delay' was no longer supported.
But removing SlippageModel override, since current configs
should be functionally equivalent to FixedSlippage.
We were converting to pd.Series for historical reasons as an artifact
during development, now that we pass dt we can just pass the float values
instead of wrapping it in a series.
The check() function in zipline.utils.test_utils was only comparing
lists up to the length of the shortest list. This fix uses
izip_longest instead of izip so it compares up to the length of the
longest list, which among other things means that it will now
correctly report when one list is empty and the other is not.
So that TALib is still available, but smooth out the ability to
run tests with some issues that bear investigating.
- Ignore MAVP during tests.
- Temporarily use a "regular" member instead of __doc__ string.
(TODO: look into using `type` to generate the class)
- During tests wait until a window exists.
Instead of having the performance tracker as part of the
tradesimulation class, hold on to it inside of the algorithm
object, so that the perf_tracker is more easily accessed for
reset behavior, etc.
Eddie Hebert