With the addition of the truncate function, there are cases where we'll
want to construct a BcolzMinuteBarWriter to call truncate, without
gathering all the metadata. This commit adds a write_metadata arg to its
init, which is True by default. If False is specified, no metadata is
written.
Requires adding logic to truncate to update end_session in metadata to
the truncate date.
`future_chain` will be replaced by the as yet to be implemented method,
`data.current_chain`
Also removing `FutureChain` which will be replaced by another version
which only supports indexing and iteration.
Pandas 0.18 doesn't like having null-ish values in categoricals. Fixing
this properly requires re-thinking the semantics for missing_value on
pipeline terms, so we're punting on that until after we've upgraded to
0.18.
Pandas 0.18 deprecated passing "null-ish" values to pd.categorical. The
expectation, instead, is that you use categorical's native support for
missing data, which means the user will always get NaN's for missing
entries of the categorical.
A follow-up to this change should probably drop support for custom
missing values entirely and to use LabelArray/categorical for integer
data.
Remove module scope invocations of `get_calendar('NYSE')`, which cuts
zipline import time in half on my machine. This make the zipline CLI
noticeably more responsive, and it reduces memory consumed at import
time from 130MB to 90MB.
Before:
$ time python -c 'import zipline'
real 0m1.262s
user 0m1.128s
sys 0m0.120s
After:
$ time python -c 'import zipline'
real 0m0.676s
user 0m0.536s
sys 0m0.132s
This reverts commit 5b1aa5ec55.
The paradigm is: we're calculating a new capital base for the
performance period. We are therefore using the total
portfolio_value, not just the cash, to calculate the
difference from the specified target as the algorithm
has meaningful holdings.
They're not meaningful, and they cause warnings from numpy.
Implemented in terms of a new preprocessor, `expect_bounded`, which
takes a tuple of `upper_bound` and `lower_bound`.
test_resample now fully covers the resample module.
Fix a bug exposed by increased coverage, where daily aggregation on
`high` would return `nan` for an asset instead of 1) during the
course of day `1d` history was called on non-consecutive minutes and 2)
either, a) the value for the previously inspected dt was `nan` or b)
there were only `nan`s between the previous and current dt.
`low` had a similar bug which was only triggered if the value for the
previously inspected dt was `nan`.
Andrew Daniels