wassname/catalyst
1
0
Fork 0
mirror of https://github.com/wassname/catalyst.git synced 2026-07-28 11:18:19 +08:00
Code Issues Packages Projects Releases Wiki Activity
4,912 Commits 16 Branches 39 Tags
f561e2ea54b33387cd22d2bc5732236c2ef6dc5e
Commit Graph
3227 Commits
Author SHA1 Message Date
David MichalowiczandGitHub f561e2ea54 Merge pull request #1714 from quantopian/test-fixture-fix 
Equity daily data test fixture was using wrong sids
 2017-03-15 16:44:05 -04:00
Maya TydykovandGitHub 83756d4660 Merge pull request #1710 from quantopian/sort-pipeline-data-on-asofdate 
Sort pipeline data on asofdate
 2017-03-15 14:40:11 -04:00
Maya Tydykov 58fb830ebd BUG: sort data on asof_date to resolve ts conflicts 
MAINT: fix arg default and update docstring
 2017-03-15 14:10:58 -04:00
Jean Bredeche c9254d395d ENH: teach BarData about current session's minutes 2017-03-15 13:40:33 -04:00
dmichalowicz fa56fe4954 TST: Equity daily data test fixture was using wrong sids 2017-03-15 13:16:45 -04:00
Eddie Hebert 4071a52702 MAINT: Apply linter recommendations to adjustments module. 
Remove unused variables.

Add type for values used to access arrays.
 2017-03-15 11:26:38 -04:00
Freddie VargusandRichard Frank 40fc1c9185 REL: Update stubs for 1.1.0 release 2017-03-10 17:19:57 -05:00
Joe JevnikandJoe Jevnik beb4bd8c6e BUG: fix label array code dtype condense 2017-03-08 20:54:57 -05:00
Richard FrankandGitHub 85eef5cb6b Merge pull request #1699 from quantopian/yahoo-url-update 
MAINT: Updated yahoo url for SSL
 2017-03-08 16:04:51 -05:00
Ana Ruelas 5d77a4bf94 BUG: ceil returns float, int needed for array indexing 2017-03-08 11:05:54 -05:00
dmichalowicz 6596c03351 BUG: Set data portal last trading session if passed 2017-03-08 09:07:03 -05:00
Ana Ruelas 9252b62b2b TST: Add tests for winsorize factor 2017-03-07 17:14:27 -05:00
Ana Ruelas 799bad957d ENH: Add winsorize factor 2017-03-06 14:08:28 -05:00
Richard Frank cb76f1fc16 MAINT: Updated yahoo url for SSL 2017-03-05 17:37:45 -05:00
Joe JevnikandGitHub cfdbe883b1 Merge pull request #1672 from quantopian/narrow-labelarray 
narrow labelarray
 2017-03-02 19:32:56 -05:00
Ana Ruelas 0d4ca54900 ENH: Make invalid data behavior optional 2017-03-01 10:41:30 -05:00
Joe Jevnik a8d6ecd545 ENH: make LabelArray.from_codes_and_metadata public 2017-02-28 23:12:55 -05:00
Joe Jevnik a4e445153c ENH: make NaT_for_dtype coerce the input to a dtype 2017-02-28 22:49:17 -05:00
Alexey DegtyarevandRichard Frank dd7fa4ba25 DOC: Fix typo in -k/--keep-last option description 2017-02-28 22:27:18 -05:00
Jean Bredeche cf063abcf1 Rename _attrs_to_check to asdict 2017-02-23 11:32:04 -05:00
Andrew DanielsandGitHub 8e1f8d75f5 MAINT: Removes unnecessary capital_base arg to TradingAlgorithm (#1677) 
Capital base is included in the sim params, so we should define the
value there, or use the default.

This change also unifies the default capital base as 1e5, as was
previously defined in algorithm.py.
 2017-02-17 09:04:50 -05:00
dmichalowicz 63063aa709 ENH: Eliminate potential look-ahead bias in volume rolls 2017-02-16 09:01:16 -05:00
Maya TydykovandGitHub 5ab0880ad7 Merge pull request #1684 from quantopian/fix-earnings-estimates-1-day-bug 
BUG: fix loader bug for 1 day
 2017-02-15 17:20:31 -05:00
Maya Tydykov 59acadbccf BUG: fix loader bug for 1 day 2017-02-15 16:44:45 -05:00
Andrew DanielsandGitHub c2560c6079 TST: Adds TestingSlippage slippage model (#1679) 
Allows specifying a constant number of shares filled per tick.

Also adds the WithConstantEquityMinuteBarData fixture, relocated from
internal repo.
 2017-02-09 08:56:15 -05:00
Eddie HebertandGitHub e81287e8e1 Merge pull request #1678 from quantopian/flake8-line-too-longs 
STY: Wrap/reformat lines over 80 chars.
 2017-02-09 05:57:00 -05:00
Andrew LiangandGitHub 54c8e6c358 Merge pull request #1676 from quantopian/param_sapce 
TEST: Allow parameter_space to work on repeated calls of test
 2017-02-08 18:39:51 -05:00
Andrew Liang cb6c5f09a6 TEST: Allow parameter_space to work on repeated calls of test 
If we have a test that's being called more than once (i.e. two
test cases, both subclasses of the same base test case, with
different setup but calling the same test), allow the subsequent
calls to re-consume the same params
 2017-02-08 18:19:14 -05:00
Eddie Hebert 8878d0ddd5 STY: Wrap/reformat lines over 80 chars. 
Newer versions of flake8 detect these versions, though current zipline version
of flake8 does not.
 2017-02-08 00:47:33 -05:00
Joe Jevnik b4ed1fcff3 MAINT: windows definition for log2 2017-02-07 17:01:37 -05:00
dmichalowicz db2440871e Change to a 10.5 hour futures calendar 2017-02-06 11:41:29 -05:00
Joe Jevnik d378c9fca3 ENH: store the 'codes' for a labelarray in the narrowest int type possible 2017-02-02 20:58:36 -05:00
Freddie VargusandGitHub 5fbd0251aa Merge pull request #1625 from quantopian/ambiguous-cli-shortopt 
ENH: change the clean --before shortopt from -b to -e
 2017-02-02 14:04:07 -05:00
Joe JevnikandJoe Jevnik d9321f4795 TST: assert_equal dispatch for tuples 2017-02-01 19:42:10 -05:00
Andrew Liang 6cd6163fd2 ENH: Decorator to check inputs fall EXCLUSIVELY between bounds 
Make a new decorator, expect_strictly_bounds, which shares logic
with the existing expect_bounded (which checks that inputs fall
INCLUSIVELY between bounds),
 2017-02-01 13:38:27 -05:00
Maya TydykovandGitHub bb36ec1224 Merge pull request #1661 from quantopian/optionally-apply-deltas-adjustments 
Optionally apply deltas adjustments
 2017-01-31 15:40:43 -05:00
Maya Tydykov dda5334580 TST: add arg to test assertion 2017-01-31 15:19:05 -05:00
Maya Tydykov bd06ff14ed MAINT: optionally apply deltas adjustments based on info from dataset 2017-01-31 15:19:03 -05:00
Scott SandersonandGitHub 58850b86ad Merge pull request #1667 from quantopian/pricing-fixture-cleanups 
Pricing fixture cleanups
 2017-01-31 10:32:17 -05:00
Maya TydykovandGitHub 9786483ec0 Merge pull request #1665 from quantopian/determine_overwrite_type_dynamically 
Determine overwrite type dynamically
 2017-01-31 10:06:21 -05:00
Maya Tydykov c5efba0c8a MAINT: make obj adjustment dispatching more granular 2017-01-31 09:43:39 -05:00
Maya Tydykov 08b159d5da ENH: add Int64Overwrite and dispatching for it 
BUG: column value should be float

DOC: update docs
 2017-01-31 09:43:37 -05:00
Maya Tydykov 98a8fdfb09 MAINT: determine core loader overwrite types dynamically 
TST: update test to reflect adjustment mapping change
 2017-01-31 09:43:34 -05:00
Scott Sanderson f14e8e00ef MAINT: Raise LookupError instead of KeyError. 
KeyError calls __repr__ on its input, which makes it really unpleasant
to read multi-line strings.
 2017-01-30 22:13:18 -05:00
Scott Sanderson 938bb70227 DOC: Update out of date docstring. 2017-01-30 13:33:21 -05:00
Scott Sanderson caee313012 ENH: Align daily/minute bar lookbacks by default. 
When EQUITY_DAILY_BAR_SOURCE_FROM_MINUTE is set, use
EQUITY_MINUTE_BAR_LOOKBACK_DAYS as the default value for
EQUITY_DAILY_BAR_LOOKBACK_DAYS.

Without this, trying to run a minutely backtest in a test setting only
EQUITY_MINUTE_BAR_LOOKBACK_DAYS and EQUITY_DAILY_BAR_SOURCE_FROM_MINUTE
fails because the benchmark creation process makes a daily history call
for the entire period of the backtest, which then fails because the
equity daily bar calendar is shorter than the equity minute bar
calendar.

I can't imagine a circumstance in which you'd want the daily bar
calendar to be shorter than the minute bar calendar when you're sourcing
daily bars from minutes, so this change makes that the default behavior
unless it's explicitly overridden.
 2017-01-30 13:28:00 -05:00
Scott Sanderson d82bf7a1e3 BUG: Fix bad error handling in history loader. 
Fixes a bug where we'd fail to raise an error if the start/end of a
history window call don't aren't in the loader's calendar.

We were started dropping this error after a previous change swapped out
calls to `index.get_loc` with calls to `index.searchsorted` to avoid
creating hash tables in pandas.
 2017-01-30 13:23:47 -05:00
Scott Sanderson e5f403deca ENH: Add direct methods for session start/end. 
Rather than having to do 'start, _ = cal.open_and_close_for_session(dt)'
to get just the start, we can now do 'start = cal.session_start(dt)'.
 2017-01-30 13:00:45 -05:00
vikram-narayan beea8624d1 MAINT: pass args, kwargs to add_class_callback 2017-01-27 18:19:23 -05:00
Eddie Hebert 1302d4152f ENH: Add futures support for generic asset lookup. 
Attempt to lookup up the symbol in the futures table, after attempting to look
up the symbol in the equities table.
 2017-01-26 21:08:30 -05:00