fb532c3fe8
TST: Adds test for symbol changes
2016-07-26 13:34:58 -04:00
7fd8c29880
ENH: add point in time aspect to equity symbol mapping
...
Changes the overlap behavior so that it is an error to write data which
would have two companies holding the same ticker. Other than one test
around which company would win in that case, all the other tests are
passing. That single test has been changed to check the write-time
error.
2016-07-26 13:34:58 -04:00
54be3858ba
TST: adds test bundle to builtins to make it easier to rebuild when the asset db changes
2016-07-26 13:34:58 -04:00
f4456719b0
Merge pull request #1340 from quantopian/by-daily-i-mean-minutely
...
ENH: Change daily mode to use last minute of session instead of session label
2016-07-26 12:51:33 -04:00
bcb547d5a8
DEV: Change daily mode to use last minute of session instead of session itself.
2016-07-26 12:49:49 -04:00
4be07e4628
Merge pull request #1349 from quantopian/groupby-rank-top
...
Groupby rank top
2016-07-26 03:26:32 -04:00
a935943688
DOC: Add whatsnew for grouped top/bottom/rank.
2016-07-26 02:57:35 -04:00
161771917e
DOC: Mention groupby in top/bottom docs.
2016-07-26 02:57:35 -04:00
49bb8264dc
ENH: Finish adding groupby to rank/top/bottom.
...
- Added test coverage for grouped and masked top/bottom.
- Added test coverage for grouped rank on datetime factors.
- Fixed an issue where grouped rank would fail on datetime inputs
because unary-negative isn't defined for datetimes. We now instead
directly invoke a function from rank.pyx that does the normalizations
as neeeded.
- Fixed an issue where GroupedRowTransform assumed that it produced the
same dtype as its input. This isn't true for rank() of a
datetime-dtype factor. GroupedRowTransform now takes a required dtype
parameter.
- Similarly, fixed an issue where GroupedRowTransform assumed that its
missing_value was the same as its parent's, which isn't true for
rank() of a datetime-dtype factor. GroupedRowTransform now takes a
required dtype parameter.
- Fixed an issue where Factor.demean() and Factor.zscore() weren't
properly cached because their static_identity included a closure that
was dynamically generated on each invocation. They both now always
use a function defined at module scope.
2016-07-26 02:57:35 -04:00
9e3404646e
add groupby to rank, top, and bottom
2016-07-25 23:53:33 -04:00
161922897e
Merge pull request #1282 from quantopian/fix-data-tests-discovery
...
TST: fix bundle test discovery
2016-07-25 18:36:38 -04:00
828ddbd927
Merge pull request #1348 from quantopian/pycon2016_cap
...
TrueRange Factor
2016-07-25 15:05:11 -04:00
f43941933f
ENH: Makes working_dir work on Windows. Updates bundle core
2016-07-25 13:10:23 -04:00
b2ee6c6f84
BUG: forward show_progress in yahoo
2016-07-25 13:09:55 -04:00
ec0ecfc1b9
TST: don't use showprogress in tests
2016-07-25 13:09:55 -04:00
25ed414a66
MAINT: use new tempdir for windows
2016-07-25 13:09:55 -04:00
e8728c0cd4
TST: fix data tests
2016-07-25 13:09:55 -04:00
ef4eafbbb8
TST: fix bundle test discovery
2016-07-25 13:09:55 -04:00
25474cf475
DOC: add default inputs and window length to TrueRange
2016-07-25 12:37:25 -04:00
072ada812a
STY: fixed flake8 failing test
2016-07-25 12:37:25 -04:00
5888cf1657
ENH: add true range technical factor
2016-07-25 12:37:25 -04:00
2fe94d0c29
Merge pull request #1337 from quantopian/margin_changes
...
Capital Changes Refactoring
2016-07-25 10:54:34 -04:00
75b3dc6fe4
Merge pull request #1338 from quantopian/window-safe-filters
...
ENH: made filters window safe
2016-07-25 10:38:08 -04:00
0955515c46
TEST: Test capital changes using target values
2016-07-25 10:05:47 -04:00
fdf8cdcd68
BUG: Account object missing initial total_positions_exposure attr
2016-07-25 10:05:47 -04:00
a9d698018a
MAINT: Refactor checking, calculation and processing of capital changes
...
AlgorithmSimulator will no longer check for capital changes.
Instead, TradingAlgorithm find and calculate the changes, and
PerformanceTracker will apply the changes
2016-07-25 10:05:47 -04:00
a5342550b1
Merge pull request #1347 from quantopian/all-daily-bar-readers-need-sessions
...
BUG: Implement `sessions` property for `PanelDailyBarReader`
2016-07-24 21:41:50 -04:00
3cc1cf078a
TEST: Parameterize over window_length.
2016-07-24 21:21:40 -04:00
be857ead0e
DOC: Clarify default window-safety for Filters.
2016-07-24 21:17:16 -04:00
a424225dce
Merge pull request #1345 from quantopian/notnull-filter
...
ENH: Add NotNullFilter.
2016-07-24 21:15:08 -04:00
7418e893a9
BUG: Implement sessions property for PanelDailyBarReader
...
Also, renamed it from `_sessions_ to `sessions` and defined an
abstractproperty in `DailyBarReader`.
2016-07-24 21:08:11 -04:00
ea01fb074a
STY: style changes
2016-07-22 16:08:33 -04:00
43957b0d09
ENH: Add NotNullFilter.
2016-07-22 15:32:46 -04:00
9c6aa0cd58
DOC: Added documentation about window-safe filters
2016-07-22 15:21:18 -04:00
b4aa0aecbb
STY: Flake8
2016-07-22 15:08:34 -04:00
36a727f4af
ENH: sum vs nansum cleared up
2016-07-22 14:56:59 -04:00
5fd6550718
Merge pull request #1344 from quantopian/more-docs-tweaks
...
Pipeline docstring tweaks
2016-07-22 14:44:15 -04:00
5e991a16d3
ENH: Test added and runs without error
2016-07-22 14:30:35 -04:00
f404538008
DOC: More pipeline docstring tweaks
2016-07-22 13:54:16 -04:00
f44f0ff454
Merge pull request #1342 from quantopian/deal-with-bad-getdatetime-params
...
ENH: Deal with bad parameters to `get_datetime`
2016-07-21 22:14:02 -04:00
63ef840363
ENH: Verify params passed to get_datetime
2016-07-21 20:42:28 -04:00
c31d3b7904
ENH: Test now works
2016-07-21 12:25:02 -04:00
21b33f03f9
ENH: test filter up and running
2016-07-21 10:21:19 -04:00
98be158c20
ENH: storing commits. test case added
2016-07-21 08:49:41 -04:00
d7b631617c
ENH: made filters window safe
2016-07-20 17:10:08 -04:00
f146d6d8c1
MAINT: For capital changes, support input of delta or target value
...
For target changes, calculate the delta using the portfolio value
of the current minute
2016-07-20 15:44:41 -04:00
71b2363775
Merge pull request #1336 from quantopian/pipeline-docs-touchups
...
DOC: Pipeline docstring edits
2016-07-20 15:38:33 -04:00
9cc5796b3e
DOC: Pipeline docstring edits
2016-07-20 15:10:23 -04:00
52cb0fc70a
DEV: Allow net_leverage value to be forced by broker
2016-07-20 11:20:08 -04:00
adea192f02
BLD: Fix some imports.
2016-07-20 09:10:32 -04:00
Joe Jevnik