ede1eb7aa0
PERF: Look up expired futures from in-memory Futures
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instead of queries to the db.
2016-02-04 18:55:34 -05:00
f5b74bf7c5
Merge pull request #980 from quantopian/odo-kwargs
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ENH: allow users to specify odo kwargs in from_blaze
2016-02-03 17:28:22 -05:00
7c8a44ecd7
ENH: allow users to specify odo kwargs in from_blaze
2016-02-03 16:16:06 -05:00
7173e9a5c8
Merge pull request #979 from quantopian/allow-cols
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ENH: Allow passing of numpy arrays to writer.
2016-02-02 14:58:06 -05:00
27f94f83fa
ENH: Allow passing of numpy arrays to writer.
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For faster parsing and writing workflows, do not require a DataFrame.
2016-02-02 14:03:42 -05:00
d2365750fd
Merge pull request #977 from quantopian/asset_comparison_overflow
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BUG: Handle OverflowError by comparing False
2016-02-01 15:48:24 -05:00
9c51daad47
Merge pull request #978 from quantopian/allow-empty-writes
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ENH: Add padding method to minute bars writer.
2016-02-01 15:22:10 -05:00
28b34f6409
BUG: Handle OverflowError by comparing False
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instead of raising
2016-02-01 15:02:15 -05:00
488721e805
ENH: Add padding method to minute bars writer.
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So that consumers can write empty days worth of data, without needing
to construct a DataFrame with zero data force a write.
The internal loader uses `last_date_in_output_for_sid` to signify that
data has been attempted to be retrieved for all dates up until that, so
that when resuming a job those retrieval of data for those dates are not
re-attempted.
Also, used to make the write logic cleaneer, by making it only
necessary to create an array large enough for the given df.
2016-02-01 14:18:22 -05:00
b102742f69
BUG: fix deltas in blaze core loader
2016-01-28 14:08:11 -05:00
dd64a6cb73
Merge pull request #974 from jlowin/patch-4
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Replace print with logger.info
2016-01-25 19:43:19 -05:00
e44c0d42e1
Replace print with logger.info
2016-01-25 19:22:28 -05:00
6557553c39
Merge pull request #973 from quantopian/use-method-for-metadata
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MAINT: Use metadata method for reader init.
2016-01-25 13:10:26 -05:00
930aa1b29b
MAINT: Use metadata method for reader init.
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Use the preexisting metadata method when instantiating the minute bar
reader.
An internal sublcass uses the `_get_metadata` method to setup data for
directories that have not used the new writer/reader interface.
(i.e. allows for reader creation when the metadata.json file does not
exist.)
2016-01-25 12:58:43 -05:00
2803802736
Merge pull request #941 from quantopian/futures-tick-size
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ENH: Adds tick_size and renames futures multiplier
2016-01-25 11:18:31 -05:00
e576231ae5
Merge pull request #972 from quantopian/fix-minute-bar-siblings
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BUG: Fix OSError when creating sids that share dir
2016-01-25 10:41:42 -05:00
984e934e83
BUG: Fix OSError when creating sids that share dir
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Fix a bug where creating a sid bcolz file when the containing directory
was already occupied by a sid caused an OSError on attempt of creating
the directory because it already existed.
e.g. if there were two sids, `1` and `2`. The paths would be
`00/00/000001.bcolz` and `00/00/000002.bcolz` which share the same
directory `00/00`.
Fixed by checking for directory existence before calling `makedirs`.
Add test coverage which exercises writing of sids that are siblings in
the sid directory structure.
2016-01-25 10:37:50 -05:00
0c2a1a1654
MAINT: Upgrade sphinx to 1.3.4 in dev requirements.
2016-01-23 19:13:58 -05:00
f28982a7e5
BUG: do a notnull or notnan check based on the schema
2016-01-23 15:27:42 -05:00
dca5d347d8
BUG: lookup_expired_futures needs to coerce dts into pd.Timestamp
2016-01-23 15:27:21 -05:00
f15245924d
DOC: Whatsnew entry for assets db downgrade
2016-01-22 15:48:31 -05:00
5d0ffd0db4
DOC: SQLLite -> SQLite
2016-01-22 15:31:41 -05:00
d82bd5c05d
TST: Cleans up test_to_and_from_dict
2016-01-22 15:26:14 -05:00
c9c2e3e60e
TST: Updates TestPositionPerformance
2016-01-22 14:56:30 -05:00
ece9e59ef9
ENH: Adds asset db downgrade management and tests
2016-01-22 14:56:30 -05:00
db1e62971a
ENH: Adds tick_size and renames futures multiplier
2016-01-22 14:56:30 -05:00
110798b0be
MAINT: update blaze commit again
2016-01-22 14:21:25 -05:00
dc95dea5d2
BLD: Only build pushes to master
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now that we've turned on Build pushes
2016-01-22 08:40:46 -05:00
88ead7202e
Merge pull request #965 from quantopian/cython-stuff
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PERF: make Asset comparison faster
2016-01-21 23:51:10 -05:00
663fbd7d74
PERF: make Asset comparison faster
2016-01-21 19:11:41 -05:00
dea6af3eee
Merge pull request #810 from quantopian/ffill
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Blaze loader forward fill fix
2016-01-21 13:57:21 -05:00
0f43b6b371
MAINT: fix blaze commit
2016-01-21 13:30:16 -05:00
888038f796
Merge pull request #964 from quantopian/secure_snake
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Secure snake
2016-01-21 13:29:06 -05:00
9adef37373
BUG: Fix the case where multiple values happen on the same day
2016-01-21 12:43:02 -05:00
33db0e330e
BLD: update blaze
2016-01-21 12:43:02 -05:00
5e4b8b8f8f
TST: tests for new forward fill
2016-01-21 12:43:02 -05:00
517ad7a5f1
TST: Adds tests for running multiple columns in one query
2016-01-21 12:43:02 -05:00
97298d1ad4
ENH: upgrade ffill logic to look back as far as needed
2016-01-21 12:43:02 -05:00
4ee919aeb2
Merge pull request #959 from quantopian/asset_keyerror
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Asset KeyError
2016-01-21 12:38:53 -05:00
5b9eb04e9e
BLD: Remove conditional by specifying prefix for miniconda
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Don't need quotes around flake8 command
2016-01-21 12:36:25 -05:00
8968d2850f
BLD: Use https to download miniconda
2016-01-21 12:28:49 -05:00
46a47d407c
DOC: Added whatsnew
2016-01-21 11:47:32 -05:00
2eeb6e78f6
BUG: Enable comparison of an Asset to an int64 on 32-bit python
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We use a number of mappings keyed by int64, which otherwise raised
KeyErrors for Assets.
2016-01-21 11:47:29 -05:00
2cb3a7235e
Merge pull request #890 from grundgruen/future_chain_order
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BUG: orders future chain by min of notice and expiry
2016-01-21 11:18:57 -05:00
603a345e2d
BUG: Allow writing on first day.
2016-01-21 11:10:57 -05:00
3a8be8c624
BUG: Need to be able to append to minute ctable.
2016-01-21 11:10:07 -05:00
85be1b0a40
Merge pull request #963 from quantopian/minute-writer-for-one-per-sid-2
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ENH: Add writer for minute bcolz format.
2016-01-21 10:59:38 -05:00
d5c3b5a15c
ENH: Add writer for minute bcolz format.
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Implement a writer for minute data into a format comprised of multiple
ctables, one for each individual asset, with a common 'index' shared by
all ctables where a given a dt maps to the same array index for all
equities and fields.
This format is pulled from the lazy-mainline/Q2.0 branch, with some
changes to the interface.
Add basic retrieval of values at a given dt to reader. Not yet used by
Zipline simulations, but added to support unit tests.
Also, rename stubbed out us_equity_minutes to minute_bars, since the
writer can be agnostic to asset type.
2016-01-21 10:54:27 -05:00
daf05c6b59
BUG: Ensure that current_sids() returns Assets instead of identifiers
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Also batch lookup sids in algo.run
2016-01-21 10:32:07 -05:00
ab573731d9
BLD: make the travis build closer to a normal install
2016-01-20 18:14:07 -05:00
Richard Frank