eba78aec1b
Merge pull request #1322 from quantopian/move_risk_calculations
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Move risk calculations
2016-08-23 18:39:22 -04:00
5b0ff75c8a
MAINT: Update whatsnew for empyrical changes
2016-08-23 17:02:12 -04:00
7f042476be
TST: Rebuilt example data using empyrical
2016-08-23 13:49:48 -04:00
f57fe0a4b0
TST: Update to empyrical, increase test coverage
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ENH: Resolve rebase conflict by using updated example_data.tar
TST: Increase test coverage for risk portion of zipline
2016-08-23 13:49:43 -04:00
57d1bb82c4
ENH: Use qrisk to calculate risk metrics in cumulative and period
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TST: Remove metric correctness testing from period and cumulative tests
ENH: Removed answer key and related files
ENH: Update qrisk version
2016-08-23 13:49:27 -04:00
82436aa548
Merge pull request #1427 from quantopian/use-equities-calendar-in-equity-fixtures
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TST: Use equity calendar when writing equity data
2016-08-23 12:15:00 -04:00
0fb3d9033a
TST: Use equity calendar when writing equity data
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Use the equity calendar to write equity data, even when the simulation
calendar has been set to a different calendar.
Discovered when writing a test that used a calendar for future asset
data, but also wrote equity data.
2016-08-23 11:11:32 -04:00
b9a7e2fc32
Merge pull request #1426 from quantopian/really-ingest
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BUG: Fixes zipline ingest with non-default bundle on python 2
2016-08-22 18:56:27 -04:00
45da8270ff
BUG: Fixes zipline ingest with non-default bundle on python 2
2016-08-22 18:30:39 -04:00
a8f2b704a2
BUG: Fixes BcolzMinuteBarMetadata to read the version correctly ( #1425 )
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We were mistakenly using the minute_per_day field.
We now expose from the metadata object the version from which the
metadata was read. This allows a new test that verifies the version is
read correctly.
2016-08-22 17:45:07 -04:00
7f575c5b0c
Merge pull request #1423 from quantopian/fix-sharedoc
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Fix sharedoc
2016-08-22 14:51:05 -04:00
4b5c8f0e1c
Merge pull request #1422 from quantopian/fix-ewma-constructors
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BUG: Add kwargs to ewma constructors
2016-08-22 14:29:10 -04:00
5217e835c3
Merge pull request #1424 from quantopian/no-more-symbols
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DOC: Updated more docs to remove --symbols, which was removed
2016-08-22 13:43:56 -04:00
87a40491d1
DOC: Updated more docs to remove --symbols, which was removed
2016-08-22 13:29:16 -04:00
346a58604e
MAINT: Simpler impl of pad_lines_after_first.
2016-08-22 13:14:31 -04:00
e813d723b5
Added kwargs to ewma constructors
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fixed typos
2016-08-22 13:14:23 -04:00
45302e140e
DOC: Fix docs formatting for sharedoc.
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The first line of indentation was incorrect.
2016-08-22 13:01:32 -04:00
ddb1009c25
Merge pull request #1407 from quantopian/minute_panel_daily_history
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ENH: Add fast "vectorized" `minute_to_session_label` for DatetimeIndex
2016-08-22 10:27:40 -04:00
81e3a944fd
Merge pull request #1418 from quantopian/all-calendars
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All calendars
2016-08-22 08:48:33 -04:00
7fbdf0672f
DOC: Added licenses to calendar modules
2016-08-21 17:19:59 -04:00
dcedd7adf5
MAINT: Removed unused holiday definitions
2016-08-21 17:19:59 -04:00
9fccb7354e
BUG: Fix and test getting all default calendars
2016-08-21 17:19:59 -04:00
e5490fe109
Merge pull request #1416 from quantopian/exch_full_synthetic
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ENH: Expose exchange_full on all Asset types
2016-08-20 13:51:29 -04:00
0c0ad0a734
ENH: If no exchange_full provided, use exchange
2016-08-19 16:45:52 -04:00
288c17caf6
ENH: Add exchange_full to all Assets, incl. Futures.
2016-08-19 16:45:52 -04:00
de3a3843f9
ENH: Expose exchange_full on Equity objects
2016-08-19 15:59:52 -04:00
813e56c41d
ENH: Adds QuantopianUSFuturesCalendar ( #1414 )
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For trading US futures across the exchanges supported by Zipline.
2016-08-19 13:40:09 -04:00
6c9e1e5bd5
Merge pull request #1413 from quantopian/normalize-equity-future-in-data-portal
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MAINT: Remove future/equity distinction.
2016-08-18 23:50:36 -04:00
2604773c6b
Merge pull request #1409 from quantopian/doc-zipline-run
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DOC: Replace run_algo.py in docs with zipline run
2016-08-18 17:37:00 -04:00
d34c4d28b6
ENH: Add fast "vectorized" minute_to_session_label for DatetimeIndex
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The new TradingCalendar method is called `minute_index_to_session_labels`.
It takes a DatetimeIndex of in-order market minutes and returns a
DatetimeIndex of the corresponding sessions.
The new method is approximately 100x faster than mapping
`minute_to_session_label` over a large DatetimeIndex.
2016-08-18 17:27:47 -04:00
db6fd73b39
MAINT: Remove future/equity distinction.
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In the data portal, remove methods that make a distinction between
future and equity asset type. Instead rely on the pricing reader
dispatching.
In support of incoming work which will upsample equity history arrays to
the larger future calendar.
Also, remove perf tracker tests which were using an equity
reader/writer, to be added back in later.
2016-08-18 16:18:32 -04:00
f86a250061
Merge pull request #1412 from quantopian/remove-unused-data-portal-members
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MAINT: Remove unused data portal members.
2016-08-18 16:14:24 -04:00
37e6a48e99
ENH: Pass calendar instance to BcolzMinuteBarWriter ( #1406 )
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* First pass.
* Improvements and fixes
- Update usages of BcolzMinuteBarWriter
- Updates with rebuilt example data
- Expose calendar from BcolzMinuteBarMetadata instead of calendar_name
- Keep market_opens and market_closes in metadata for compatibility
* Store start_session and end_session in minute bcolz metadata
- start_session replaces first_trading_day
- Add end_session to limit to correct days
* For last_available_dt, get last close from calendar to maintain tz
* Bumps version and handles earlier versionson read
* Rebuilt example data on python 3
* Indicate metadata fields that are deprecated
2016-08-18 15:41:26 -04:00
ab1b485393
Merge pull request #1411 from quantopian/add-htmlcov-to-gitignore
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TST: Add coverage output to gitignore.
2016-08-18 15:07:15 -04:00
a1b48c4bbe
Merge pull request #1410 from quantopian/rename-history-loader
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MAINT: Remove equity from history loader classname
2016-08-18 14:48:28 -04:00
180a799d6c
MAINT: Remove unused data portal members.
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Remove members which are not referred to.
2016-08-18 14:38:35 -04:00
11db8b2c10
TST: Add coverage output to gitignore.
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Ignore `htmlcov` directory created by `coverage html`.
2016-08-18 14:11:26 -04:00
cf30c50f60
MAINT: Remove equity from history loader classname
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Prepare for using history loaders with both equity and future data,
2016-08-18 14:10:00 -04:00
f8ff0b3645
Merge pull request #1405 from quantopian/resample-session-from-minute
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ENH: Session bar reader resampled from minute data
2016-08-18 13:26:24 -04:00
acd5ef0e1c
Merge pull request #1394 from quantopian/downsample
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Add Generic Downsampling to Pipeline
2016-08-18 12:15:54 -04:00
4a017ef63b
ENH: Session bar reader resampled from minute data
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Implement a `SessionBarReader` which uses a minute bar reader as a
backing source, resampling the minute bars into the box around the
corresponding session data.
Also, add future/CME test cases to resample suite.
2016-08-18 11:37:42 -04:00
5a5353bead
BUG: Fix broken graph visualizations.
2016-08-18 11:07:17 -04:00
42d61d7e4f
Merge pull request #1404 from quantopian/session-bar-fixup
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MAINT: Use session bar reader interface.
2016-08-18 10:04:46 -04:00
9abf22ab3d
DOC: Replace run_algo.py in docs with zipline run
2016-08-17 21:54:56 -04:00
b1894e0d54
BUG: Supply a module for Downsampled terms.
2016-08-17 19:48:33 -04:00
8cc8814b5f
BUG: Fix nondeterministic failure from sorting.
2016-08-17 19:48:33 -04:00
6006aedeef
BLD: Ignore numpy_utils.py doctests on windows.
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They fail because of 32/64-bit issues.
2016-08-17 19:48:33 -04:00
aae9f84ade
Merge pull request #1403 from quantopian/keep-last-zero
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BUG: Fixes should_clean for keep_last=0
2016-08-17 19:05:31 -04:00
fcf1067071
BUG: Fixes should_clean for keep_last=0
2016-08-17 18:18:01 -04:00
659ba57d4b
BUG: Force iterator for py3.
2016-08-17 16:52:09 -04:00
Ana Ruelas