f0e100bcf3
Merge pull request #1779 from quantopian/silver-chains
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Gold/Silver futures contracts only trade certain months
2017-05-03 17:18:56 -04:00
cb3926f81c
BUG: Gold and silver futures contracts only trade certain months
2017-05-03 16:34:01 -04:00
c0123b9caa
Merge pull request #1770 from quantopian/zero-transaction-volume
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Futures slippage model could have zero transaction volume
2017-04-26 13:59:33 -04:00
3ff281079a
BUG: Futures slippage model could have zero transaction volume
2017-04-26 13:35:00 -04:00
06d8ddc3cc
Merge pull request #1769 from quantopian/py3-warnings
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BUG: Python3 compatibility.
2017-04-26 10:46:34 -04:00
04cf61d03d
BUG: Python3 compatibility.
2017-04-26 10:47:27 -04:00
a11574c942
Merge pull request #1768 from quantopian/shim-portfolio-access-by-int
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BUG: Add backwards compatibility for position lookup by int.
2017-04-26 10:13:16 -04:00
dead9651b2
BUG: Add backwards compatibility for position lookup by int.
2017-04-26 09:55:05 -04:00
e3a50dee8f
Merge pull request #1764 from quantopian/fix-docstring-typo2
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DOC: Close backticks in docstring.
2017-04-25 22:52:28 -04:00
f7f17af2d8
DOC: Close backticks in docstring.
2017-04-25 22:32:11 -04:00
b77d5ae6fb
Merge pull request #1763 from quantopian/slippage-allowed-types
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Don't require custom models to define allowed types
2017-04-25 19:40:41 -04:00
ec7cba2e31
API: Don't require custom models to define allowed types
2017-04-25 18:44:31 -04:00
0782e402d3
Merge pull request #1748 from quantopian/slippage-futures-api
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Add slippage and commission models for futures
2017-04-25 17:55:16 -04:00
fa0594555c
API: Add slippage and commission models for futures
2017-04-25 17:29:41 -04:00
9effe84c8e
Merge pull request #1762 from quantopian/quarterly-currency-futures
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MAINT: Use a quarterly cycle for JY, CD, AD, and BP continuous futures
2017-04-25 15:52:56 -04:00
a1d30c94ee
MAINT: Use March quarterly cycle for JY, CD, AD, & BP continuous futures
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The March, June, September, and December contracts for these futures
contain most of the trading activity, so we exclude the other more
sparsely traded contracts from the chain.
2017-04-25 15:31:33 -04:00
362f2c2f7a
Merge pull request #1761 from quantopian/futures-cashflow-bugfix
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BUG: use isinstance
2017-04-24 17:06:34 -04:00
278d2f6b2a
BUG: use isinstance
2017-04-24 17:06:26 -04:00
7ba070f640
Merge pull request #1757 from quantopian/futures-commissions
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Assets everywhere ... and a futures fix.
2017-04-24 16:31:57 -04:00
7196e1e498
MAINT: PR feedback.
2017-04-24 15:41:23 -04:00
5b8b2f68bc
BUG: Blotter should process as many splits as it can
2017-04-24 15:41:23 -04:00
825866948b
BUG: get_splits should return empty list, not empty dict
2017-04-24 15:41:23 -04:00
fe84ff3582
REF: Remove assetfinder from PerformancePeriod
2017-04-24 15:41:22 -04:00
0b4b058065
REF: Remove asset_finder and multipliers from PositionTracker
2017-04-24 15:41:22 -04:00
b7b8c46d74
REF: Blotter no longer needs AssetFinder
2017-04-24 15:41:21 -04:00
483012ccf6
REF: Make dataportal emit splits that hold Assets, not sids
2017-04-24 15:41:21 -04:00
450690801a
BUG: Position cost basis was calculated incorrectly for Futures
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For futures, we need to divide the position’s commission by the
contract size to get a per-unit commission in order to properly update
the position’s cost basis.
2017-04-24 15:41:20 -04:00
8d275d8d83
REF: Explicitly use Assets in Position, Order, Transaction
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(Instead of `sid`, which were already usually assets)
Perf packets are unchanged and still emit `sid`: int
2017-04-24 15:41:13 -04:00
21976dd651
Merge pull request #1760 from quantopian/constant-futures
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TST: New fixture for constant futures data
2017-04-24 14:33:47 -04:00
e0060f61e8
TST: New fixture for constant futures data
2017-04-24 14:15:26 -04:00
1d1c244e84
Merge pull request #1755 from quantopian/schedule-function-calendar
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Add calendar factory for the schedule_function API
2017-04-24 10:07:30 -04:00
2f33ddb023
API: Add factory for calendars
2017-04-24 09:37:32 -04:00
cd91d518bb
Merge pull request #1754 from quantopian/premature-continuous-futures-2
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Allow gaps between auto close and start date
2017-04-21 16:34:53 -04:00
0ec8841ea0
BUG: Ordered contracts could end prematurely
2017-04-21 15:52:21 -04:00
acf345e1d3
PERF: Optimize session close lookups in resample bar reader ( #1749 )
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Optimize session close lookups in MinuteResampleSessionBarReader:
- Adds `session_closes_in_range` method (along with
`session_opens_in_range`) to TradingCalendar to allow vectorized
retrieval of all values in a range of sessions.
- Improves code path for resampling a single session's worth of data (as
is the case when calling `get_value`), since we don't actually need to
look up the close minute.
2017-04-11 16:35:04 -04:00
26ffda9ca1
Merge pull request #1747 from quantopian/calendar-perf-improvements
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Improve TradingCalendar perf with scalar-optimized accesses
2017-04-11 10:15:28 -04:00
1d7d3fe33f
PERF: Only get session close in MinuteResampleSessionBarReader
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We only need the close, not the open.
2017-04-10 17:23:07 -04:00
12f1429a8c
PERF: Use scalar lookups for TradingCalendar.schedule
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When retrieving the open and close for a given session, we only care
about the scalar values, so using DataFrame.at instead of DataFrame.loc
is significantly faster.
2017-04-10 17:23:07 -04:00
0c88ba21b9
Merge pull request #1737 from quantopian/bump-blaze
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BLD: bump blaze
2017-04-10 16:22:09 -04:00
9e0cf08c18
Merge pull request #1738 from quantopian/slippage-and-commissions-futures
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Add preliminary support for Futures slippage models
2017-04-10 15:05:28 -04:00
f9d55cf9cd
Merge pull request #1742 from quantopian/only-get-value-once
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MAINT: Refactor DataPortal._get_minute_spot_value to avoid two lookups
2017-04-10 14:56:29 -04:00
bc27e369ff
ENH: Preliminary support for Futures slippage and commission models
2017-04-10 14:37:20 -04:00
d5aa5b0c36
Merge pull request #1745 from quantopian/reconcile-default-args
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Make certain continuous future arguments optional
2017-04-10 11:24:50 -04:00
ec8880a066
API: Make certain continuous future arguments optional
2017-04-07 14:02:36 -04:00
9350759119
Merge pull request #1739 from quantopian/fix-zipline-and-pandas-bug
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Fix zipline and pandas bug
2017-04-07 12:22:06 -04:00
b35ec1b5cd
Merge pull request #1743 from quantopian/premature-continuous-futures
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OrderedContracts chain could sometimes terminate on first contract
2017-04-07 11:03:33 -04:00
845dea3e5b
BUG: OrderedContracts chain could sometimes terminate on first contract
2017-04-07 10:01:22 -04:00
e6f2f562b3
BUG: reload_symbol_maps should clear the equity_supplementary_maps
2017-04-06 19:04:09 -04:00
569998179a
Merge pull request #1735 from quantopian/speedup-daily-history-aggregator-closes
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PERF: Avoid repeated recursive calls when getting forward-filled close
2017-04-06 10:24:29 -04:00
f8eced41bf
PERF: Avoid repeated recursive calls when getting forward-filled close
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Instead of recursively calling `DailyHistoryAggregator.closes` until we
find a non-nan close, we can instead call `load_raw_arrays` once, and
find the value from the returned array.
2017-04-06 09:51:01 -04:00
David Michalowicz