- Instead of maintaining a separate `j` value, set the bounds of the range so
that `i` is the values emitted by the range.
- Change `close_loc` to `prev_close_loc` since the market close location is used
to ensure that the data index stops at the market open if the entire day is
nans.
- Change the setting of `loc` to be done before the loop which check for nans,
instead of setting to the previous close loc at the end of the loop.
This prepares for a separate fix to prevent out of bounds access when the first
session has nans for all minutes.
* 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.
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
Make a new decorator, expect_strictly_bounds, which shares logic
with the existing expect_bounded (which checks that inputs fall
INCLUSIVELY between bounds),
Eddie Hebert