ec0abf1822
MAINT: Use coerce_string in BcolzDailyBarReader.
2016-01-12 17:39:44 -05:00
c8b80dddb0
BUG: Handle unicode adjustments path in py2.
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In Python 2, passing unicode to SQLiteAdjustmentReader would fail to
coerce.
2016-01-12 17:39:36 -05:00
43b6344d5f
ENH: Add `coerce` preprocessor.
2016-01-12 17:36:36 -05:00
d3d362f56f
Merge pull request #940 from quantopian/generalize-databazaar-stuff
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MAINT: Move code to shared modules
2016-01-08 17:01:39 -05:00
b4ac87b344
MAINT: rename variables in (next|previous)_date_frame to be more general
2016-01-08 13:21:34 -05:00
280a0f55d2
STY: remove blank line
2016-01-08 13:11:31 -05:00
826115acdf
MAINT: generalize the (next|previous)_earnings_date_frame functions
2016-01-08 13:11:31 -05:00
b037a06576
MAINT: move some blaze utilities into a shared module
2016-01-08 13:11:31 -05:00
fb6d1ea3d1
MAINT: move some helpers to test_utils
2016-01-08 13:11:31 -05:00
a2d1fedffd
ENH: Adds classlazyval for computed values on a class
2016-01-08 13:11:31 -05:00
5c3ca1be83
Merge pull request #944 from quantopian/upgrade_requests_version
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MAINT: Upgrade requests 2.7.0 -> 2.9.1
2016-01-07 14:25:42 -05:00
2ee40db0ec
MAINT: Upgrade requests 2.7.0 -> 2.9.1
2016-01-06 22:33:33 -05:00
18db1904bc
BUG: Need to format message, not ValueError instance
2016-01-06 16:02:18 -05:00
1499051df7
BUG: TypeError message had only str of numpy.dtype class
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We want to use the dtype of the data that was passed in.
2016-01-06 15:29:58 -05:00
80a553d1c0
Merge pull request #938 from quantopian/futures-payouts-without-every-bar-update
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MAINT: Futures cash adjustment on change and calc.
2016-01-06 10:25:29 -05:00
1362f155c6
BUG: Make payout affect ending_cash.
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The payout should be reflected in ending cash, not just the total used
for pnl.
2016-01-06 10:17:37 -05:00
ab3318f3ee
Merge pull request #942 from quantopian/cli-fix
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BUG: fix bug that caused symbols to be added to the asset finder twice
2016-01-05 18:06:33 -05:00
f09af0b770
DOC: whatsnew entry
2016-01-05 18:08:20 -05:00
a524cf1880
BUG: fix bug that caused symbols to be added to the asset finder twice
2016-01-05 16:27:46 -05:00
b1ee0d8e44
Merge pull request #931 from quantopian/alembic-assets
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MAINT: Factors-out asset db schema
2016-01-05 14:18:37 -05:00
7acd0d7a1d
MAINT: Refactors table assignment in AssetDBWriter
2016-01-05 13:48:00 -05:00
00879245a4
BUG: Adds version checking to AssetFinder init
2016-01-05 13:48:00 -05:00
468ecc357c
DOC: Adds schema update notes to assets db
2016-01-05 13:48:00 -05:00
004c8dc141
MAINT: Factors-out asset db schema
2016-01-05 13:48:00 -05:00
7a6c6695f7
MAINT: Factor out payout calculation.
2016-01-05 10:39:41 -05:00
962347318d
MAINT: Futures cash adjustment on change and calc.
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In preparation for the incoming changes which no longer push every bar
through the tradesimulation, remove the adjustment of the period's cash on
every pricing change of a held futures asset.
Instead hold the last sale price for each held future either:
- At the end of each peformance period update the last sale prices of
all held futures, so that the pnl for the next period uses values
derived from the cash difference between the end of the two periods.
- When a transaction is processed for the Future, so that the correct
amount is applied to each cash adjustment. (i.e. the cash adjustment
is reset on every change of amount of the Future being held, so that
multiple size and prices do not need to be tracked for the same asset.)
Also, remove now unused dict of payout calculation modifier, since new
calculation reads the value directly off of the asset.
Remove update_last_sale test, since the method no longer returns a cash
value.
2016-01-04 16:52:37 -05:00
0b588219af
Fix spelling error.
2015-12-31 15:18:03 -05:00
7a6ba4f249
Merge pull request #924 from quantopian/dataset-subclassing
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ENH: Make datasets have subclass relationships
2015-12-29 11:43:55 -05:00
54c58d1205
DOC: add comments about the column collection in DataSetMeta
2015-12-29 10:13:00 -05:00
68cf236944
TST: Add test case for adding columns in subclass
2015-12-29 10:12:39 -05:00
1f137d4dd8
Merge pull request #927 from quantopian/dollar-volume-update
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ENH: Change DollarVolume to AverageDollarVolume.
2015-12-28 16:14:16 -05:00
72887f0065
ENH: Change DollarVolume to AverageDollarVolume.
2015-12-28 16:12:11 -05:00
7b6ea9dd26
DOC: add whatsnew entry for exception changes
2015-12-22 12:31:15 -05:00
a3fecd6527
ENH: support subclassing in the earningscalendar loader
2015-12-22 12:25:30 -05:00
f933d6b44e
DOC: whatsnew entry
2015-12-22 12:25:30 -05:00
32baac4e4b
ENH: Make datasets have subclass relationships
2015-12-22 12:25:30 -05:00
825f7b3cd5
Merge pull request #923 from quantopian/rename-error-cases
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MAINT: fix error messages for set_(commission|slippage)
2015-12-22 12:24:17 -05:00
2b4ffedd09
Merge pull request #922 from quantopian/log-noise
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Benchmark and treasury curves data missing on first download
2015-12-21 16:58:05 -05:00
e2d088c2be
DOC: Update whatsnew
2015-12-21 16:49:01 -05:00
4f24a32c45
BUG: Benchmark and treasury curves data missing on first download
2015-12-21 13:38:24 -05:00
c4f3f51ea5
Merge pull request #925 from quantopian/rename-moments
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DOC: Rename exponential stddev.
2015-12-18 15:07:41 -05:00
8abef95bb5
DOC: Rename exponential stddev.
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ExponentialWeightedStandardDeviation -> ExponentialWeightedMovingStdDev.
This is more consistent with the other moving moment factors.
2015-12-18 14:30:28 -05:00
58906c74f9
Merge pull request #920 from quantopian/make-pos-stats-a-method
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MAINT: Make tracker stats a method.
2015-12-18 13:19:13 -05:00
5ad93d7568
Merge pull request #921 from quantopian/reformat-ext-modules
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STY: Align all build_ext definitions the same way.
2015-12-18 13:18:07 -05:00
c2091cf79e
MAINT: fix error messages for set_(commission|slippage)
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These called the functions 'update_(commission|slippage) leading to
confusing messages when you called them post init.
2015-12-18 13:05:03 -05:00
93c9f01b5a
STY: Align all build_ext definitions the same way.
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No functional change.
2015-12-18 10:37:27 -05:00
d07d42263a
MAINT: Make tracker stats a method.
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Instead of calling a function, where the only parameter is the tracker
object, make it a method, so that the snapshot of position tracker stats
can be more easily called as `pt.stats()`.
2015-12-18 09:52:53 -05:00
4bb269490f
Merge pull request #919 from quantopian/prepare-for-removal-of-event
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Make commission and split handling compatible with event removal
2015-12-17 15:31:54 -05:00
104245bb19
MAINT: Make split method coarse.
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In preparation for removal of widespread events, change the split
methods to use params for sid and cost, instead of an event, for
compatibility with lazy branch.
co-author: @jbredeche <jean@quantopian.com >
2015-12-17 15:11:09 -05:00
7eae960b21
MAINT: Make commission methods coarse.
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In preparation for removal of widespread events, change the commission
methods to use params for sid and cost, instead of an event, for
compatibility with lazy branch.
co-author: @jbredeche <jean@quantopian.com >
2015-12-17 15:09:12 -05:00
Scott Sanderson