* ENH: Use regular rounding to calculate order amounts.
We previously tried to prevent accidental over-ordering by truncating
orders down unless they were within 1e-4 of the next higher integer.
Unfortunately, this makes it easy for a sell order to be one share short
of the desired position.
Using regular rounding treats both buys and sells in the same way.
* ENH keep non-rounding behavior consistent, but leave code structured to make easier to override
* DOC make round_order public and describe behavior in docstring
The CFE was closed along with the NYSE in observation of the days of
mourning in honor of the passing of presidents Gerald Ford and Ronald
Reagan. The CFE also observed the closures due to Hurricane Sandy,
along with NYSE. Adding those adhoc holidays to exchange_calendar_cfe
and removing them from cfe.csv in tests. To fit with
USNationalDaysofMourning, also removing the closure in observation of
the day of mourning in honor of the passing of president Nixon in
1994, despite the fact that the exchange did not exist at that time.
Signed-off-by: Maxwell Rounds <maxwell.j.rounds@gmail.com>
Useful for avoiding the need to create Asset objects when sids are
easier to use.
This is based off the existing implementation of StaticAssets, and
StaticAssets is now implemented as a wrapper around StaticSids.
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.
When opening with a new `end_session`, i.e. opening for append, write the new
end session to the metadata.
Fixes an issue where the calendar on minute bar readers did not include the
recently appended day, causing reads on the last values to fail.
According, update append test to read a value, instead of checking table length.
TST: add test case for empty raw events data
BUG: update for python compatibility
MAINT: Simplify assertion for empty events case.
DOC: Add comments on indexer unpacking.
MAINT: move some config to test method
Remove need for a consumer that is editing an existing minute bars directory to
reread the values which should not change from the metadata.
Add a test to the append on new day and truncate, which would be the common
usage of this method.
From pep-0008:
```
Always use a def statement instead of an assignment statement that binds a
lambda expression directly to an identifier.
Yes:
def f(x): return 2*x
No:
f = lambda x: 2*x
The first form means that the name of the resulting function object is
specifically 'f' instead of the generic '<lambda>'. This is more useful for
tracebacks and string representations in general. The use of the assignment
statement eliminates the sole benefit a lambda expression can offer over an
explicit def statement (i.e. that it can be embedded inside a larger expression)
```
Jean Bredeche