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Author SHA1 Message Date
Scott Sanderson ef88dfdad2 MAINT: Use dataframe.iteritems instead of iterkv. 
iterkv is deprecated.
 2016-09-20 17:12:07 -04:00
Scott Sanderson 74277490d5 BUG: Use arrays for week/month group calculations. 
In pandas 0.18, the behavior of ``nth()`` changed so that Grouper no
longer can be easily used to recover group labels.

Instead of using the built-in grouper behavior, we use a groupby on two
arrays we build ourselves.  This recovers the original behavior, and is
about 2x faster as a bonus.
 2016-09-20 17:12:07 -04:00
Scott Sanderson f8734e8721 MAINT/TEST: Clarify test_events. 
- Refer to ``sessions`` instead of periods.
- Use ``toolz.concat`` instead of an O(N ** 2) sequence of appends.
 2016-09-20 17:12:07 -04:00
Scott Sanderson 259f10a2d9 MAINT: Pass float to np.full explicitly. 2016-09-20 17:12:07 -04:00
Scott Sanderson 434d7c69d3 TEST/MAINT: Silence no_checkpoints warning. 2016-09-20 17:12:07 -04:00
Scott Sanderson 905df55a2d MAINT: Use float in np.full. 2016-09-20 17:12:07 -04:00
Scott Sanderson c4e114c28f MAINT: Pass explicit dtype to np.full. 2016-09-20 17:12:07 -04:00
Scott Sanderson dafe49fcca MAINT: Fix failures/warnings in test_api_shim.py 
- Fixes a warning on indexing with a float that ultimately came from
  pd.Timedelta.total_seconds().  Adds ``timedelta_to_integral_seconds``
  and ``timedelta_to_integral_minutes()`` functions and replaces various
  usages of ``int(delta.total_seconds())`` with them.

- Fixes a warnings triggered in ``_create_daily_stats`` from
  passing tz-aware datetimes to np.datetime64.
 2016-09-20 17:12:07 -04:00
Scott Sanderson e43a3e8b1b MAINT: Use arange instead of rolling_count. 
It's faster, and rolling_count is deprecated.
 2016-09-20 16:24:55 -04:00
Scott Sanderson e33c42b3a9 MAINT: Update fetcher for pandas 0.18. 
- Remove support for usecols=[].
- Use sort_values instead of sort().
- Use errors='coerce' instead of coerce=True.
 2016-09-20 16:24:55 -04:00
Scott Sanderson 61a56492e6 ENH: Make INT_DTYPES_BY_SIZE_BYTES ordered. 2016-09-20 16:24:55 -04:00
Scott Sanderson fc3eac36aa DOC: Update LabelArray docstring. 2016-09-20 16:24:55 -04:00
Scott Sanderson b06ef66f44 DOC: Remove out of date comment. 2016-09-20 16:24:55 -04:00
Scott Sanderson 0d8e99956e MAINT: Fix numpy deprecation warnings. 2016-09-20 16:24:55 -04:00
Scott Sanderson be30c0072d MAINT: Explicitly use float64 in test. 2016-09-20 16:24:54 -04:00
Scott Sanderson d2f0632101 MAINT: Don't use .loc with integers. 2016-09-20 16:24:54 -04:00
Scott Sanderson 29d5854aa1 MAINT: Bump numpy and pandas. 2016-09-20 16:24:54 -04:00
Richard Frank 80227eda57 Merge pull request #1493 from quantopian/enumpycal 
Enumpycal
 2016-09-19 16:27:13 -04:00
Richard Frank ef04fe3a9b PERF: Use empyrical with ndarrays instead of Series 2016-09-19 15:51:06 -04:00
Richard Frank 73a61caaeb MAINT: Removing unused array and unused attribute 2016-09-19 15:19:30 -04:00
Jean Bredeche 657e5f92e7 Merge pull request #1497 from quantopian/you-count-way-too-slowly 
PERF: Be smarter about counting the number of minutes across a contiguous bunch of sessions.
 2016-09-19 14:34:11 -04:00
Jean Bredeche 8048cdcfb0 PERF: Be smarter about counting the number of minutes across a contiguous bunch of sessions. 2016-09-19 13:25:03 -04:00
Andrew Daniels 4a2faa3e13 ENH: Adds truncate method to BcolzMinuteBarWriter (#1499) 2016-09-19 13:02:48 -04:00
Eddie Hebert 72a8316ca7 Merge pull request #1496 from quantopian/revert-load-adjustments 
Revert "Merge pull request #1490 from quantopian/use-load-adjustments…
 2016-09-19 09:38:02 -04:00
Eddie Hebert 6486e64530 Revert "Merge pull request #1490 from quantopian/use-load-adjustments-for-history" 
This reverts commit 86c7635b45, reversing
changes made to c77f2b92df.

Some real world cases hit errors with this change, due to the new offset
logic attempting to create Adjustments with invalid parameters.

Will identify exact conditions that cause this error and add as a test
case before remerging.
 2016-09-19 08:53:31 -04:00
Jean Bredeche e21fa37e22 Merge pull request #1492 from quantopian/cache-minute-to-session-lookups 
PERF: Save up to 80% of the calls to minute_to_session_label
 2016-09-16 16:07:13 -04:00
Jean Bredeche 31cbdde7f0 PERF: Save up to 75% of the calls to minute_to_session_label 
One year NYSE test that buys a lot triggers 492,963 calls to
minute_to_session_label.  Only 98924 ~(390 * 252) make it past the
cache and trigger the heavier computation.
 2016-09-16 15:18:50 -04:00
Jean Bredeche 0cf276d14a Merge pull request #1491 from quantopian/faster-lru-cache-take-2 
ENH: Switching from cachetools.LRUCache to lru-dict's LRU cache.
 2016-09-16 11:29:45 -04:00
Jean Bredeche a7f345e651 ENH: Switching from cachetools.LRUCache to lru-dict's LRU cache. 
lru-dict is written in C and seems much more performant.
 2016-09-16 11:03:13 -04:00
Eddie Hebert f2a1263d90 Merge pull request #1490 from quantopian/use-load-adjustments-for-history 
MAiNT: Use load_adjustments for history.
 2016-09-15 16:01:23 -04:00
Jean Bredeche ed08f25224 Merge pull request #1488 from quantopian/who-said-you-could-forward-fill-stop-that 
ENH: Make reader.get_value raise NoDataOnDate if the date is not in the calendar.
 2016-09-15 15:41:36 -04:00
Eddie Hebert 1d06a779b3 MAiNT: Use load_adjustments for history. 
Instead of `HistoryLoader` containing separate adjustment calculation
logic, use `SQLiteAdjustmentReader.load_adjustments`.

This change required the addition of two offset parameters to
`load_adjustments` since the perspective on the data from within
`schedule_function` is skewed from how Pipeline looks at historical
data.

This is working towards creating an `AdjustmentReader` abc which
`SQLiteAdjustmentReader` and a upcoming continuous future adjustment
reader will share.
 2016-09-15 15:32:10 -04:00
Jean Bredeche 0fd35e7fd1 ENH: Make reader.get_value raise NoDataOnDate if the date is not in the calendar. 
DataPortal now catches the NoDataOnDate exception and returns nan for
OHLC and 0 for V.

Price is still forward filled, unchanged.
 2016-09-14 22:21:43 -04:00
Richard Frank 644a33e11b BLD: empyrical doesn't have a binary dependency on numpy 
so we don't need to tag its conda packages with the numpy version
 2016-09-14 21:04:07 -04:00
Scott Sanderson 7ac024fb5c Merge pull request #1484 from quantopian/refcount-pipelines 
PERF: Release unneeded pipeline terms.
 2016-09-14 20:24:10 -04:00
Scott Sanderson 7c58bf1e5b STY: Flake8 and parameter rename. 2016-09-14 14:45:00 -04:00
Jean Bredeche cfd08f8d6b Merge pull request #1486 from quantopian/all-the-readers-unite 
MAINT: Add BarReader base class for both minute and session readers
 2016-09-14 14:32:01 -04:00
Jean Bredeche 2856fd0ecf MAINT: Add BarReader base class for both minute and session readers 2016-09-14 13:47:12 -04:00
Scott Sanderson a0e1b881aa MAINT: Move refcount management into TermGraph. 2016-09-14 11:16:40 -04:00
Scott Sanderson 6aa885dbeb PERF: Release unneeded pipeline terms. 
Refcount pipeline terms during execution and release terms once they're
no longer needed.

This dramatically reduces memory usage on large pipelines.
 2016-09-13 23:28:25 -04:00
John Ricklefs 1f859d34e5 MAINT: Add additional fields to __getitem__ for Order (#1483) 
These were previously available like the others.
 2016-09-13 15:49:16 -04:00
John Ricklefs e6a647edf1 Revert "added DGZ to delete list" (#1481) 
This reverts commit a5ecaf4c3a.

This causes downstream problems; unsure why, Jamie advised
reverting.
 2016-09-13 14:45:12 -04:00
Richard Frank b729ddd54f Merge pull request #1479 from quantopian/run_algo-defaults 
BUG: run_algorithm with no data source should default
 2016-09-12 13:00:33 -04:00
Richard Frank 6afdb318ee BUG: run_algorithm with no data source should default 
to 'quantopian-quandl' bundle
 2016-09-12 12:17:17 -04:00
Richard Frank 7a10d9392d Merge pull request #1467 from quantopian/check_param-string_types 
Check param string types
 2016-09-08 14:59:38 -04:00
Kathryn Glowinski 9ad670bd46 More Fuzzy Symbol Fixes (#1475) 
* REF: More options before raise MultiFound.

* TST: Checks corner case for fuzzy matching.
 2016-09-08 14:52:57 -04:00
Scott Sanderson c66d3ad820 Merge pull request #1471 from quantopian/fix-slow-startup 
PERF: Remove import-time calendar creations.
 2016-09-08 10:21:00 -04:00
Scott Sanderson ff1bc51bd1 STY: Fix flake8. 2016-09-07 21:58:15 -04:00
Scott Sanderson 85ce093270 MAINT: Updates from Joe's PR feedback. 2016-09-07 20:42:19 -04:00
James McCorriston bb22af747d Merge pull request #1434 from quantopian/update-leveraged-etfs 
MAINT: Update leveraged ETF list
 2016-09-07 13:48:12 -04:00