af021f0db5
BUG: FutureChain's as_of() now properly coerces arguments
2015-11-10 14:03:19 -05:00
5ef9056a9b
Merge pull request #808 from quantopian/delta-on-last-requested-date
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BUG: Corrects an index error in blaze loader.
2015-11-05 16:59:04 -05:00
80cc2bd6f6
BUG: Corrects an index error in blaze loader.
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Fixes the case where a delta has an asof_date of the last requested
day and an index error would occur. This guards against this
specifically to make the delta be effective through the end of the
requested window.
Adds a test case for this behavior.
2015-11-05 16:40:28 -05:00
90e717f6a7
Merge pull request #821 from quantopian/cme-codes-reference
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ENH: Add CME code lookup table.
2015-11-05 14:19:36 -05:00
744a998b9a
ENH: Add CME code lookup table.
2015-11-05 13:57:44 -05:00
a14c61e7ff
MAINT: Remove unused 'asset_type' metadata entry.
2015-11-05 13:35:05 -05:00
ec5318ec88
TST: Fixed up test result comparison
2015-11-05 10:18:57 -05:00
d2ba11dac0
STY: Fixed typo and appeased flake8
2015-11-05 10:18:57 -05:00
6b245ab06a
TST: Removed extra parameters
2015-11-05 10:18:57 -05:00
a82415c77b
BUG: Address issue #801 and add test. Pass panel directly to
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object instead of data.
2015-11-05 10:18:57 -05:00
7eeacbe0e9
Merge pull request #796 from quantopian/prevent-history-in-initialize
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ENH: Fail when history() is called in initialize.
2015-11-04 22:29:16 -05:00
8cd4f7d100
MAINT: Make load_adjusted_array return a dict.
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Rather than a list that's ordered the same as the received columns.
Most nontrivial loaders were constructing dicts internally and then
converting back to lists, only to have the engine convert **back again**
into a dict. This cuts out the middleman, and prevents bugs due to
incorrect ordering of the output arrays.
2015-11-03 11:16:21 -05:00
7d29bb6a67
BUG: Fixes failure to account for Futures transaction prices
2015-10-30 12:04:38 -04:00
3f66e6c66a
TST: adds future flip test
2015-10-30 10:07:46 -04:00
d7add5b248
ENH: Makes chunk_size configurable in attach_pipeline
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Default first chunk is smaller for more immediate results
2015-10-27 16:15:54 -04:00
4826787475
ENH: Fail when history() is called in initialize.
2015-10-26 12:04:31 -04:00
358ab41569
TST: test history() in before_trading_start()
2015-10-23 13:32:36 -04:00
f599795d27
ENH: Allow pipelines to run with matching start/end dates
2015-10-22 14:23:00 -04:00
8543b32468
Merge pull request #791 from quantopian/pipeline-effective-dates
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MAINT: Set dividend effective date to ex_date.
2015-10-21 16:44:07 -04:00
55b25bdd3f
MAINT: Set dividend effective date to ex_date.
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The price shock occurs on the effective_date. Had changed the effective_date to
be day before the ex_date with the belief that pipeline was applying values up
and until the effective_date, but the lookback windows apply before the
effective_date. Thus, the price shock calculation should still use the previous
days data but be dated on the ex_date to stay aligned with splits and
merger dating.
2015-10-21 16:43:13 -04:00
b8452b88c3
TST: test case where there are more sids requested than available
2015-10-19 16:35:03 -04:00
e4abddd286
ENH: updates tests to use first and last col
2015-10-19 16:35:03 -04:00
3fb91e4d39
MAINT: cleanup doctests
2015-10-19 16:35:03 -04:00
c58f0137e4
MAINT: map(retrieve_asset) -> retrieve_all
2015-10-19 16:35:03 -04:00
1db29a9f0f
ENH: handle amendments between trading days
2015-10-19 16:35:03 -04:00
0183d0a914
ENH: Allows Float64Adjustments to act on a range of columns
2015-10-19 16:35:03 -04:00
1e05a1c4ae
TST: fix py2 compat for test
2015-10-19 16:35:03 -04:00
d3c0463941
ENH: Addresses comments
2015-10-19 16:35:03 -04:00
22ffe3fe49
ENH: adds expect_element preprocessor
2015-10-19 16:35:03 -04:00
9c37011a38
BUG: Only simple expressions for array-like dshape
2015-10-19 16:35:02 -04:00
26b47a1234
MAINT: treat Pipeline API as a proper noun
2015-10-19 16:35:02 -04:00
0ec1cbc604
MAINT: rename pipeline_api_from_blaze to from_blaze
2015-10-19 16:35:02 -04:00
f7ad82f38e
TST: updates tests after rebasing
2015-10-19 16:35:02 -04:00
d621f1e87c
ENH: Updates the blaze loader and adds more tests
2015-10-19 16:35:02 -04:00
4d7d5ce8ff
TST: Adds some test cases for the blaze loader
2015-10-19 16:35:02 -04:00
915c8e800f
MAINT: Removes unneeded knowledge_date logic from future_chain
2015-10-19 11:37:56 -04:00
85c49afe4c
Merge pull request #774 from quantopian/filter-out-dates-with-no-data
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BUG: Filter out payout rows with no prev close.
2015-10-15 13:30:46 -04:00
6b9476d346
BUG: Filter out payout rows with no prev close.
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When the prev_close is 0 or does not exist, the resulting ration was either +inf
or nan, respectively.
Create a mask on the non-zero effective dates, where effective date is only
written when the prev close is sufficient for a valid ratio; and use that mask
to filter out the bad rows.
Also, use prev close as the effective date.
2015-10-15 13:30:05 -04:00
2686e3875a
MAINT: Removes unnecessary benchmark load on some TradingEnvironments
2015-10-14 12:04:58 -04:00
9a2767ad07
Merge pull request #765 from quantopian/add-spot-price-and-write-adjustments
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Add spot price and write adjustments
2015-10-13 14:02:44 -04:00
ccdc815526
ENH: Write dividend payouts to adjustments db.
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To prepare for querying for payouts from SQLite, write the dividend
payouts to a new table `dividend_payouts`.
Change the expected columns of the passed dividend frame to contain the
payout data, and use that data to calculate the ratios (this moves
internal code that was calcualting the ratios into Zipline.)
The end result is that instead of just a `dividends` table with the
backward looking adjustment ratios, also write a `dividend_payouts`
table and a `stock_dividend_payout` table.
2015-10-13 14:02:26 -04:00
7a638e4580
STY: Moving args to new line
2015-10-12 16:13:55 -04:00
ee26a21855
MAINT: Renamed loader_dispatch to get_loader
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Now it raises a KeyError instead of returning None,
if loader not found.
2015-10-12 16:13:55 -04:00
2dabda6b76
MAINT: Reworked Term atomicity
2015-10-12 16:11:19 -04:00
940831e1cf
TST: Added test that columns are batched
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when they share the same loader and extra_rows
2015-10-12 11:17:06 -04:00
ba0542a641
MAINT: Removed MultiColumnLoader
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since we can use pipeline_loader_dispatch instead
2015-10-12 10:48:29 -04:00
83bd1310d9
PERF: Using pipeline_loader_dispatch to group by loader
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instead of dataset
2015-10-12 10:48:29 -04:00
e880fa3e34
PERF: Batch load atomic terms by dataset
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Added CompositeTerm and now we dispatch more generally on atomic
2015-10-12 10:48:28 -04:00
5338c8e611
ENH: Add spot_price to BcolzDailyBarReader.
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Add new method to BcolzDailyBarReader, `spot_price` which returns the
unadjusted price for the specified day and sid.
2015-10-10 07:19:03 -04:00
1336dfc181
BUG: RSI wasn't even close to working.
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Fixed and added tests.
2015-10-09 20:10:30 -04:00
jfkirk