eb6b7c08fc
MAINT: Using zone attribute of tzinfo instead of string
2013-03-25 11:52:29 -04:00
fdf38d3562
BUG: Moved asserts back to before calculations that rely on them.
...
This means we get a failed assert immediately, instead of an
OverflowError later.
2013-03-25 11:52:29 -04:00
2504874a84
DEV: Updates README with numpy installation tip.
...
Adds `pip install numpy` to the installation notes,
since `pip install zipline` will not work out of the box
if numpy is not installed beforehand.
2013-03-22 13:54:10 -04:00
5b59bf3453
Merge branch 'master' of github.com:quantopian/zipline
2013-03-21 15:14:48 -04:00
0e0fecf4ee
allows config to force no datasources by passing a None.
...
absence of the parameter triggers the default.
2013-03-21 15:13:56 -04:00
832c93134f
MAINT: Removes comment referreing to removed started_at member.
2013-03-20 22:18:30 -04:00
279e125ab8
MAINT: Pull initialization of simulation dt out of event loop.
...
Fakes a 'peek' into the data stream, so that the 'do we have a
simulation_dt?' check isn't called on each leoop iteration.
2013-03-20 14:34:12 -04:00
08882bc8aa
MAINT: Updates copyright on risk module.
2013-03-20 14:30:11 -04:00
5dc449ba19
MAINT: Changes boolean check for snapshot existence in performance.
...
Small tweak to check for existence of elements using built-in
boolean of lists, instead of checking for `len`.
2013-03-20 13:19:39 -04:00
75049fdd15
MAINT: Removes unused started_at member from performance tracker.
2013-03-20 13:05:38 -04:00
3707c7b225
MAINT: Changes name of grouping of by dt in generator chain.
...
Changes name to `grouped_by_dt` instead of `grouped_by_date` to
clarify that the grouping is by dt, which can be by minute, instead
of grouping by calendar date.
2013-03-20 12:12:33 -04:00
95a9b7b3c2
MAINT: Updates docstring for performance tracker class.
2013-03-20 11:27:57 -04:00
060b565cdc
DEV: Adds stashing to pre-commit hook.
...
So that the code that is linted/tested is only the staged commits.
Useful when editing by only staging parts of files via git.
2013-03-20 11:00:38 -04:00
8bf4c60169
MAINT: Removes unused member from performance tracker class.
...
`last_dict` is not referenced elsewhere.
2013-03-20 10:46:59 -04:00
d740394184
Merge branch 'master' of github.com:quantopian/zipline
2013-03-20 02:23:08 -04:00
93e22aa8b7
added more acceptable number types for event fields in batch
...
transforms.
2013-03-20 02:21:44 -04:00
f054835cd1
DEV: Provides an example pre-commit hook.
...
This pre-commit hook can be activated by copying or symlinking to
the .git/hooks directory
This particular commit hook is best suited for git versions < 1.8.2
The running of nosetests would be better suited for a push hook,
but those are not added until 1.8.2.
2013-03-19 23:33:36 -04:00
0169251c89
MAINT: Removes unused init method from algorithm.
...
The init method had been copied to method called initialize,
to avoid confusion with __init__
2013-03-19 22:59:38 -04:00
d2bdfc931d
BUG: Fixes error added while rearticulating sim_params.
...
Previous attempt to make sim_parms logic clearer had clobbered the
override logic when sim_params is passed to the run function.
Added a few comments as well as restructuring how the sim_params
that are passed to run overrides the default values or not.
This also makes the passing of sim_params to run to no longer have
the side-effect of overwriting the default sim_params.
2013-03-19 22:46:04 -04:00
ccef17dec6
MAINT: Fixes comment about perf type.
2013-03-19 21:35:01 -04:00
a645b2a86e
MAINT: Fixes comment about returned performance types.
...
The simulator had been changed to return dictionary objects instead
of ndicts.
2013-03-19 20:56:56 -04:00
50e0334b3d
STY: Uses if/else for setting sim_params in algorithm.
...
Instead of checking 'if' and then 'if not', uses an if/else.
2013-03-19 20:53:44 -04:00
1909a0576f
MAINT: Removes unused frame_count member from algorithm class.
...
frame_count is only over incremented, but never read or otherwise
used.
2013-03-19 20:36:53 -04:00
0b6e4650d9
MAINT: Removes unused flag from algorithm class.
...
The `self.done` member of TradingAlgorithm is never used.
2013-03-19 19:50:40 -04:00
3e65980bda
MAINT: Updates copyright of algorithm module to current year.
2013-03-19 19:06:54 -04:00
351d5e8686
MAINT: Updates copyright to current year for returns module.
2013-03-19 17:14:01 -04:00
d17fb1c266
STY: Removes unused import.
2013-03-19 17:13:44 -04:00
ff991549b8
MAINT: Removes ipython related requirements.
...
Removes from requirements_dev.txt, since requirements_dev.txt is
used in various unit testing environments, ipython, pyzmq, etc.
is extra weight that is being unecessarily pulled in.
2013-03-19 14:38:55 -04:00
086679c3d6
ENH: Adds new order types.
...
Adds the following order types:
- market
- limit
- stop
- stop limit
2013-03-19 14:32:11 -04:00
dba86153d2
ENH: added a CUSTOM datasource type for custom data.
...
- perf modified to let non-performance related events flow through.
- changes to support streaming non-trading data through batch transforms
and for mixing in sids with just custom data.
- allowing CUSTOM events to flow through to transforms.
- Added logic to maintain pre-specified sid filter.
2013-03-19 11:39:23 -04:00
890762bde7
MAINT: added typed errors module
...
- added exceptions in place of asserts for expected fields for rolling
transforms.
- removed assertions with Messages in favor of typed exceptions.
2013-03-19 11:39:23 -04:00
9ad33ec941
MAINT: PyPI updates: six==1.3.0, delorean==0.2.0
2013-03-19 09:13:56 -04:00
632cbf2e62
MAINT: Updates copyright for recently changed files.
2013-03-18 18:04:34 -04:00
77bc821025
MAINT: Defines members of the Order object.
...
Instead of a loosely defined object for Order, explicitly
defines the parameters and corresponding members.
Clearing the way for adding more members to the Order object.
2013-03-18 17:59:14 -04:00
8f91711390
MAINT: New pytz version in requirements.txt
2013-03-15 13:31:29 -04:00
89ab65c413
REF: Import interface.
...
Makes TradingAlgorithm available at the top-level.
So that algorithms can do:
```
import zipline
class MyAlgo(zipline.TradingAlgorithm)
```
OR
```
from zipline import TradingAlgorithm
class MyAlgo(TradingAlgorithm)
```
2013-03-15 13:07:44 -04:00
ea11a43f68
MAINT: Removes unneeded assignment in slippage.
...
`direction` is set on each iteration of the loop,
making the initial assignment unneeded.
2013-03-12 20:37:36 -04:00
43fac333a1
BUG: Fixes check reversal in slippage transact_stub.
...
Previous commit accidentally flipped the check when converting
to use `allclose`.
2013-03-12 20:34:16 -04:00
2bf285b084
MAINT: More slippage comparison changes for floating point.
...
Continues conversion of floating point comparisons in slippage to
use numpy's allclose.
2013-03-12 20:28:47 -04:00
27761f9dec
MAINT: Uses copysign to extract order direction in FixedSlippage.
...
Uses copysign instead of division by fabs.
2013-03-12 19:47:01 -04:00
080c54d4dc
MAINT: Accounts for possible floating point rounding in slippage.
...
Uses numpy's allclose instead of straight comparison of floating
points, so that there is some tolerance of floating point rounding.
2013-03-12 19:40:24 -04:00
39cfdaa7c9
MAINT: Updates copyright date of slippage module.
2013-03-12 19:18:52 -04:00
f7b4df4a09
MAINT: Uses copysign to extract direction of order.
...
Instead of using division of the amount by itself to extract
the direction, uses math's copysign.
Should be almost functionally equivalent,
but copysign won't have a possible floating point error leading
the direction to not be exactly 1.
2013-03-12 19:14:02 -04:00
085eb040af
MAINT: Updates pep8 from 1.4.4 -> 1.4.5
2013-03-09 17:32:55 -05:00
045773264b
ENH: Adds a flag for optionally not serializing positions.
...
So that both computational and memory overhead is reduced,
this turns off serializing positions for cumulative performance.
Positions were essentially being doubled up by being stored
in both cumalative and daily.
2013-03-08 15:06:41 -05:00
a4e6520137
MAINT: Reverses polarity on keep transactions default.
...
So that transactions are kept by default.
This prepares for the addition of the serialize flag added by
@fawce.
Setting the default to True, so that the flags will be aligned.
2013-03-08 15:00:12 -05:00
0113765f70
Merge pull request #103 from mdengler/for-quantopian
...
README.md: update "Dependencies" section from setup.py
2013-03-07 11:29:30 -08:00
66fb0c583c
README.md: update "Dependencies" section from setup.py
2013-03-07 01:08:21 +00:00
6a3e402a32
Merge pull request #101 from quantopian/fix_1516
...
Fix 1516
2013-03-06 14:26:33 -08:00
a12eeb2383
incorporating feedback from @richafrank
2013-03-06 16:49:31 -05:00
Richard Frank