ec441c55ea
BUG: Fix HolidayCalendar init
2016-08-09 09:10:43 -04:00
8c53d49d40
Merge pull request #1379 from quantopian/data-portal-coverage
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Prepare data portal tests for covering Futures assets types.
2016-08-08 10:35:18 -04:00
bc4c6fb245
MAINT: Use reader dict for last sale dt lookup.
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Also, add direct coverage of last_traded_dt in the `test_data_portal`
module.
Prepares for adding test coverage of `get_last_traded_dt` for `Future` assets.
2016-08-08 10:02:18 -04:00
c7020a9945
TST: Use data portal fixture.
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Wire in data portal fixture for test data_portal, prepare for putting
more coverage of results in test_data_portal suite.
2016-08-08 08:25:20 -04:00
a260fb16c4
Merge pull request #1378 from quantopian/use-asset-type-to-key-fixture-calendars
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TST: Key trading calendar fixture with Asset types
2016-08-08 06:33:12 -04:00
f4891b0a08
TST: Key trading calendar fixture with Asset types
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Instead of using strings of 'equities' and 'futures', use the Asset
subclasses to key the trading calendar fixtures.
2016-08-08 03:49:48 -04:00
fc11fd0fc5
Merge pull request #1377 from quantopian/isolate-global-calendar-state
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MAINT: Isolate global calendar state.
2016-08-05 16:26:46 -04:00
a265356082
MAINT: Remove unused variable.
2016-08-05 16:03:00 -04:00
c77d51de83
MAINT: Isolate global calendar state.
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Encapsulate the shared global calendar map in an object.
This allows consumers that don't want to participate in custom
registration to pass around a calendar dispatcher, and would make it
easier to support contextual management of the global calendar map if we
want to do that in the future.
As a bonus, we now only create one instance of each calendar, instead of
one per alias.
2016-08-05 15:25:02 -04:00
ab1e11862f
Merge pull request #1372 from quantopian/use-sum-instead-of-last-for-sourcing-daily
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TST: Use sum for volume on daily data resample.
2016-08-05 14:53:23 -04:00
dd2c7db22d
TST: Use sum for volume on daily data resample.
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Change the mock minute data to no longer use an increasing arange, so
that a days worth of minute data can be summed and fit inside of a
uint32.
This change was required because of working on new test data that looked
like [0, 100, 200, 0, ] which was resulting in a daily rollup of 0 data,
when the coverage needed a non-0 value.
Also, factor out the resampling function, with an eye on a making it
easier to convert from minute bars to daily bars during ingest/load
processes.
2016-08-05 14:24:14 -04:00
d2cab0668f
Merge pull request #1366 from quantopian/multi-trading-calendars
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TST: Make room for multiple calendars in tests.
2016-08-05 13:54:50 -04:00
e934c6aeaf
TST: Make room for multiple calendars in tests.
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When adding fixtures for futures data, there will be a need for multiple
calendars in the fixture ecosystem. e.g. a test that includes both
equities and futures would need an overall calendar which encompasses
both equities and futures; however, the test data for equities should
still still be limited to the bounds set by the NYSE calendar.
Make the fixtures that setup trading calendars and values dervied from
the trading calendar (e.g. trading sessions) accept an iterable of
calendars which need to be created, then populate those values into a
dict keyed by the calendar name.
Change `WithNYSETradingDays` to include sessions in the name,
since we are moving to session as the name for the 'day' unit.
Provide `trading_days` which is really "NYSE trading sessions` on
`WithTradingSessions` for backwards compatibility.
2016-08-05 12:17:27 -04:00
7075a24ba7
Merge pull request #1373 from quantopian/proper-log-timestamps-in-bts
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BUG: Need to set simulation_dt in before_trading_start
2016-08-04 12:21:06 -04:00
2a41331da3
BUG: Need to set simulation_dt in before_trading_start
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so that log lines in b_t_s have the proper dt.
2016-08-04 11:59:48 -04:00
8a44231fa5
Merge pull request #1346 from quantopian/check-exchange-time
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ENH: time/calendar business logic improvements
2016-08-04 10:04:55 -04:00
d1077a36c2
TST: Fix broken tests, updated example data
2016-08-04 09:38:18 -04:00
7d4b19a7f0
ENH: Use bundle name as exchange value
2016-08-02 23:21:39 -04:00
e6af4e4f1b
ENH: made exchange a required parameter to Asset and its subclasses
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This required updating a lot of tests.
2016-08-02 23:21:39 -04:00
17e390a379
ENH: Read asset's exchange directly
2016-08-02 23:12:08 -04:00
9ae725b940
ENH: update register_calendar API to take a specific name
2016-08-02 23:12:07 -04:00
97ccb54326
MAINT: PR cleanup
2016-08-02 23:12:07 -04:00
6020752a1d
TST: Filter out pandas performance warnings in tests (for now)
2016-08-02 23:12:07 -04:00
fd03004d9f
TST: Add tests to verify that we check the correct exchange calendar for can_trade
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Also added temporary code to skip trying to get the last price of a
Future until we have finished the Futures data layer.
2016-08-02 23:12:07 -04:00
2854c77d55
ENH: Clock now fires a BEFORE_TRADING_START_BAR event.
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`AlgorithmSimulator` listens to that event to call the algorithm's
`before_trading_start` method.
2016-08-02 23:12:07 -04:00
d8af3fb92e
ENH: Augment data.can_trade to check whether the asset's exchange is currently
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open.
2016-08-02 23:11:10 -04:00
164bd06dba
Merge pull request #1368 from quantopian/lots-of-symbols
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Lots of symbols
2016-08-02 19:48:48 -04:00
1f10fff1c4
BUG: support querying more than 999 assets at a time
2016-08-02 18:53:57 -04:00
7e99094cb1
ENH: add __len__ and fix iteration for negative step
2016-08-02 18:53:57 -04:00
39e7476765
Merge pull request #1367 from quantopian/smoothing-at-least
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ENH: Added AtLeastN filter
2016-08-02 17:19:43 -04:00
e09fadb7e7
DOC: added to whatsnew
2016-08-02 16:39:24 -04:00
483397e554
ENH: Added AtLeastN filter
2016-08-02 16:34:32 -04:00
74c46732e5
Merge pull request #1361 from quantopian/point-in-time-assets-db-again
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Point in time assets db again
2016-08-02 15:35:56 -04:00
19ecb8d5e8
TST: add tests for range.__eq__
2016-08-02 14:25:10 -04:00
537ad05d59
ENH: other fields do not need to remain constant
2016-08-02 14:25:10 -04:00
6708ef1bdf
ENH: update assets-db-error-msg
2016-08-02 14:25:10 -04:00
4265a13edf
Revert "Merge pull request #1354 from quantopian/revert-1302-point-in-time-asset-db"
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This reverts commit 3b633011c670ac5323de
2016-08-02 14:25:10 -04:00
5b9d2e2d04
Merge pull request #1353 from quantopian/yield_capital_changes2
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ENH: Yield capital change information
2016-08-02 14:19:55 -04:00
f244dea27b
Merge pull request #1365 from quantopian/mooooore-doc-tweaks
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Regression docstring fixes
2016-08-02 13:29:42 -04:00
ecac6e9e08
Merge pull request #1360 from quantopian/shorten-equity-exchange
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ENH: Adding `exchange_full` to equity asset column
2016-08-02 11:35:27 -04:00
97099a0e92
DOC: regression docstring typos
2016-08-02 11:14:41 -04:00
c54ede896c
rebuilt in py3/pandas16
2016-08-02 10:43:04 -04:00
129d16fd3d
Merge pull request #1358 from quantopian/smoothing
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ENH: added smoothing to zipline
2016-08-02 10:32:11 -04:00
7761c736da
Merge pull request #1364 from sagivo/patch-3
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update readme
2016-08-02 10:30:24 -04:00
33bef2165c
rebuilt data in py3
2016-08-02 10:17:19 -04:00
a40d205afa
ENH: Adding exchange_full to equity asset column
2016-08-02 09:35:08 -04:00
499703d227
Merge pull request #1363 from quantopian/smoothing-filters
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ENH: Rename StrictlyTrue to All and add Any().
2016-08-02 08:51:15 -04:00
5cbddab0a3
remove symbols, print head
2016-08-02 01:26:55 -04:00
f13294de4e
ENH: Rename StrictlyTrue to All and add Any().
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Also, moved All() and Any() to `zipline.pipeline.filters.smoothing`.
2016-08-01 22:10:28 -04:00
574d7b197f
TEST: test for rolling nature of smoothing filter
2016-08-01 15:35:22 -04:00
Jean Bredeche