catalyst

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Author	SHA1	Message	Date
Eddie Hebert	e9d80cc044	BUG: Fix out of order emission of performance with minutely data. With the benchmark returns marked at midnight, the performance packet for a day was emitted before any events for that day were processed. Fix by expecting benchmarks marked at the market close, for backtests that use minute data but emit performance results daily, so that the benchmark handles at the end of day. TST: Also, add test that exercises the event loop with minutely data, (with benchmarks that are marked end of day), since that combination was previously uncovered.	2013-05-08 21:20:25 -04:00
Eddie Hebert	3e1ac4f19a	TST: Add tests to verify risk calcualtions from streamed events. So that we can verify the risk metrics as they are calculated. Work towards being able to hand verify risk calculations.	2013-05-07 17:21:56 -04:00

Author

SHA1

Message

Date

Eddie Hebert

e9d80cc044

BUG: Fix out of order emission of performance with minutely data.

With the benchmark returns marked at midnight, the performance packet
for a day was emitted *before* any events for that day were processed.

Fix by expecting benchmarks marked at the market close, for backtests
that use minute data but emit performance results daily, so that the
benchmark handles at the end of day.

TST: Also, add test that exercises the event loop with minutely data,
(with benchmarks that are marked end of day), since that combination
was previously uncovered.

2013-05-08 21:20:25 -04:00

Eddie Hebert

3e1ac4f19a

TST: Add tests to verify risk calcualtions from streamed events.

So that we can verify the risk metrics as they are calculated.
Work towards being able to hand verify risk calculations.

2013-05-07 17:21:56 -04:00