fb85e4a2bd
Merge pull request #1671 from quantopian/new-futures-hours
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Change to a 10.5 hour futures calendar
2017-02-06 12:53:23 -05:00
dd78bfa4e8
Change to a 10.5 hour futures calendar
2017-02-06 11:41:29 -05:00
b45c52b453
Bump empyrical to 0.2.2 ( #1674 )
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* Bump empyrical to 0.2.2
* Update example data for tests
2017-02-04 16:14:33 -05:00
595de9886a
Merge pull request #1673 from quantopian/remove-duplicate-test-expiration-date
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TST: Remove duplicate key in fixture config.
2017-02-03 00:30:11 -05:00
512c2bfb83
TST: Remove duplicate key in fixture config.
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Should be no functional change.
2017-02-02 23:10:14 -05:00
3be451e259
Merge pull request #1625 from quantopian/ambiguous-cli-shortopt
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ENH: change the clean --before shortopt from -b to -e
2017-02-02 14:04:07 -05:00
50b7768e58
TST: assert_equal dispatch for tuples
2017-02-01 19:42:10 -05:00
186465f63b
Merge pull request #1669 from quantopian/expect_strict_bounds
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ENH: Decorator to check inputs fall EXCLUSIVELY between bounds
2017-02-01 14:01:26 -05:00
072c2e0851
ENH: Decorator to check inputs fall EXCLUSIVELY between bounds
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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
b1cae1b76a
Merge pull request #1661 from quantopian/optionally-apply-deltas-adjustments
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Optionally apply deltas adjustments
2017-01-31 15:40:43 -05:00
5a9e91b567
TST: add arg to test assertion
2017-01-31 15:19:05 -05:00
d0ac8cfddb
MAINT: optionally apply deltas adjustments based on info from dataset
2017-01-31 15:19:03 -05:00
2fb90b4a25
Merge pull request #1667 from quantopian/pricing-fixture-cleanups
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Pricing fixture cleanups
2017-01-31 10:32:17 -05:00
ae4511360f
Merge pull request #1665 from quantopian/determine_overwrite_type_dynamically
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Determine overwrite type dynamically
2017-01-31 10:06:21 -05:00
66d1a0ce78
TST: add test cases for int and object dispatching
2017-01-31 09:43:39 -05:00
f235a40739
MAINT: make obj adjustment dispatching more granular
2017-01-31 09:43:39 -05:00
185e7a13f8
ENH: add Int64Overwrite and dispatching for it
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BUG: column value should be float
DOC: update docs
2017-01-31 09:43:37 -05:00
750837c5f8
MAINT: determine core loader overwrite types dynamically
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TST: update test to reflect adjustment mapping change
2017-01-31 09:43:34 -05:00
bd7f3ad100
MAINT: Raise LookupError instead of KeyError.
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KeyError calls __repr__ on its input, which makes it really unpleasant
to read multi-line strings.
2017-01-30 22:13:18 -05:00
29104ee04f
Merge pull request #1666 from quantopian/add_class_callback_args
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MAINT: pass args, kwargs to add_class_callback
2017-01-30 15:43:40 -05:00
c092e4db4d
DOC: Update out of date docstring.
2017-01-30 13:33:21 -05:00
b2bacec241
ENH: Align daily/minute bar lookbacks by default.
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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
e8b8b0afef
BUG: Fix bad error handling in history loader.
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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
0c5f88e2f6
ENH: Add direct methods for session start/end.
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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
47f6e62bc6
MAINT: pass args, kwargs to add_class_callback
2017-01-27 18:19:23 -05:00
cbe66903a9
Merge pull request #1663 from quantopian/support-futures-in-lookup-generic
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ENH: Add futures support for generic asset lookup.
2017-01-26 21:41:13 -05:00
8f42fade24
ENH: Add futures support for generic asset lookup.
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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
0f18602339
Merge pull request #1662 from quantopian/remove-unused-future-methonds-from-asset-finder
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MAINT: Remove unused futures related methods from asset finder.
2017-01-26 16:06:32 -05:00
24f78a1d59
MAINT: Remove unused futures related methods from asset finder.
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These methods became unused during the course of reworking futures to support
continuous futures.
2017-01-26 15:41:30 -05:00
eb2e7d8a97
Merge pull request #1659 from quantopian/remove-position-multipliers
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Multipliers were not removed when closing a position
2017-01-25 17:48:48 -05:00
b891fd00d5
BUG: Multipliers were not removed when closing a position
2017-01-25 17:23:09 -05:00
dc94013dbd
Merge pull request #1657 from quantopian/compare-slippage-models
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ENH: Solidify equality comparisons for SlippageModel classes
2017-01-24 11:47:29 -05:00
0b8fee49d1
ENH: Solidify equality comparisons for SlippageModel classes
2017-01-24 11:28:32 -05:00
36d3c8ed96
Merge pull request #1656 from quantopian/fix-open-minutes-for-append
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BUG: Fix end session metadata for minute bar writer.
2017-01-22 15:58:27 -05:00
873f3a7fc9
BUG: Fix end session metadata for minute bar writer.
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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.
2017-01-22 15:14:05 -05:00
60e8ea30e5
Merge pull request #1644 from quantopian/closed-means-closed
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Don't allow ordering assets after their auto close date
2017-01-20 10:19:27 -05:00
6e707f97a7
BUG: can_trade was true for assets after their auto close date
2017-01-20 09:54:30 -05:00
a2ea09bff7
Merge pull request #1655 from quantopian/fix-py3-error
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BUG: fix a py3 invalid char
2017-01-19 21:03:28 -05:00
7c72a4fc56
BUG: fix a py3 invalid char
2017-01-19 20:43:48 -05:00
8df1426056
Merge pull request #1654 from quantopian/tell-me-the-current-session
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ENH: add current_session property to BarData
2017-01-19 17:09:30 -05:00
b5438ac94e
ENH: add current_session property to BarData
2017-01-19 16:53:49 -05:00
8cbad56d79
Merge pull request #1643 from quantopian/events-loader-handle-empty-raw-data
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Events loader handle empty raw data
2017-01-19 13:01:43 -05:00
51eb11fbc9
BUG: make the events loader handle empty raw data
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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
2017-01-19 12:00:49 -05:00
a762c5bc79
Merge pull request #1650 from quantopian/slippage-cleanup
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ENH: Small refactoring of fill price check.
2017-01-18 09:57:03 -05:00
a9c0ce1dde
ENH: Small refactoring of fill price check.
2017-01-18 09:22:05 -05:00
b8501d0704
Merge pull request #1649 from quantopian/easier-open-minute-bars-for-append-truncate
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Easier open minute bars for append and truncate
2017-01-17 17:56:17 -05:00
fd25395a92
ENH: Add sorted to sid list when truncating.
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For repeatable order of truncates between invocations.
2017-01-17 17:25:28 -05:00
261803b622
ENH: Add a method to open existing minute bar directory.
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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.
2017-01-17 17:25:27 -05:00
e27833c362
Merge pull request #1646 from quantopian/update-toolz
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BLD: Use latest version of toolz.
2017-01-13 16:09:55 -05:00
d704851489
BLD: Use latest version of toolz.
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Also, add requirement of cytoolz to blaze reqs so that toolz and cytoolz are
on the same version.
2017-01-13 15:42:59 -05:00
David Michalowicz