Add a method to minute bar reader which returns the OHLCV for all
requested fields for a list assets over the specified start and end
minutes.
Initial usage is intended for use by a loader which consumes minute bar
data to resample into daily bars, but may also be used when aggregating
minute data during '1d' history calls in Q2.0.
This iteration does not include including of early closes.
`if_not_float64_tell_caller_to_use_isnull` can't take additional
arguments, and accepting *args/**kwargs causes Sphinx to generate an
incorrect signature for decorated methods.
Previously, we have assumed that the `amounts` and `last_sale_prices`
lists have the same order as the `value_multipliers`. This is not
correct, since to populate the `amounts` and `last_sale_prices` lists
we iterate over a `dict` (self.positions). The order of this `dict`
can change in arbitrary ways when it is updated, which occurs when
we call `update_positions`. Our `value_multipliers` however are stored
in an `OrderedDict`, meaning the order of existing key/value pairs
is not changed when they are updated.
To address this issue, we make sure that `self.positions` subclasses
`OrderedDict`.
Renames zipline.utils.test_utils to zipline.testing
Adds zipline.testing.fixtures.ZiplineTestCase to manage setup and
teardown and adds mixins to define fixtures like an asset finder or
trading calendar.
# The first commit's message is:
BUG: ignore sids in deltas missing from asset index.
# This is the 2nd commit message:
MAINT: use correct debugger.
# This is the 3rd commit message:
MAINT: fix set add.
# This is the 4th commit message:
WIP: move sid filtering.
# This is the 5th commit message:
WIP: move filtering logic.
# This is the 6th commit message:
WIP: working test.
# This is the 7th commit message:
TST: clean up test.
# This is the 8th commit message:
STY: fix flake8.
Allow creation of TradingEnvironment to specify a minimum date, so that
trading days, market opens, etc. can trimmed to a range more relevant to
the backtest.
This changes is with an eye towards storing all market minutes in the
trading environment, where storing values for much more than the
simulation range starts to become more costly.
Replace it by distinguishing between "Loadable" and "Computable".
This is useful because it's now possible to write computable terms that
don't require any inputs (e.g. an `Always` filter or an `Everything`
classifier).
MAINT: make expected_cols class attributes.
MAINT: make concrete_loader a class attribute.
MAINT: drop sid column before creating loader.
TST: add method to fill df with event cases.
TST: move common case df into test_events.py.
TST: improve tests and fix error message assertions.
STY: fix whitespace.
DOC: update docs.
STY: fix style.
MAINT: clean up
STY: fix indentation.
MAINT: use different assertion method to check error message for python3.4 compatibility.
TST: refactor constants and clarify comments.
TST: clean up/extract constants in tests.
MAINT: add/modify constants.
MAINT: remove obsolete and alphabetize.
MAINT: clean up.
MAINT: modify constants to have named params.
MAINT: extract constants.
STY: fix indentation.
MAINT: refactor common part out of buyback_auth.
MAINT: refactor earnings test logic.
MAINT: clean up and improve docs.
BUG: fix imports.
MAINT: refactor test.
MAINT: change class name.
MAINT: remove error since won't be reached.
TST: improve and expand tests.
MAINT: change class name.
MAINT: change class name.
MAINT: extract string constants and remove error that won't be reached.
STY: fix line length.
MAINT: undo name change.
concrete_loader should be the same for each instance
of a Blaze loader.
MAINT: make expected_cols a property.
expected_cols should be the same for each instance
of a type of loader.
MAINT: add fields based on changes to events loader.
MAINT: modify based on expectations of events loader.
MAINT: modify args.
TST: clean up and clarify df access.
TST: fix bugs in test that didn't properly split datasets' data.
MAINT: fix merge error.
WIP: finish refactoring blaze events loader.
WIP: tests passing for earnings.
BUG: pass all kwargs explicitly for BlazeEventsCalendarLoader.
If this is not done, resources are not bound correctly.
MAINT: refactor for buyback_auth.
Scott Sanderson