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• 3f260ccaba MAINT: Move market minute function into trading environment. Eddie Hebert 2013-10-09 14:46:53 -04:00
• 71907ad427 MAINT: Use pandas instead of Delorean for trading date logic. Eddie Hebert 2013-10-08 23:59:09 -04:00
• 2badf7557b MAINT: Remove redundant create of numpy arrays. Eddie Hebert 2013-10-07 18:06:05 -04:00
• 71f03e9537 BUG: Ensure loading benchmarks include latest dates. Eddie Hebert 2013-10-07 12:01:47 -04:00
• 5041f3e83b MAINT: Make returns frequency and returns index class members. Eddie Hebert 2013-10-03 11:33:06 -04:00
• fc244c395f MAINT: Use pd.normalize_date in cumulative risk module. Eddie Hebert 2013-10-03 11:20:48 -04:00
• 6f9a03aa76 MAINT: Use return scalars in performance instead of object. Eddie Hebert 2013-10-02 15:57:00 -04:00
• ac6a15f20a MAINT: Use pandas normalize_date instead of datetime.replace Eddie Hebert 2013-10-02 15:52:16 -04:00
• 6ac5d49573 MAINT: Remove duplicated treasury loading code. Eddie Hebert 2013-10-02 11:10:15 -04:00
• 65637b9430 ENH: Add option of instantly filling orders. Thomas Wiecki 2013-10-01 14:54:47 -04:00
• 31b85239f3 MAINT: Force float in position values in period. Eddie Hebert 2013-10-01 19:58:06 -04:00
• 75360610a9 MAINT: Use pd.Series to keep track of positions values in a period. Eddie Hebert 2013-10-01 18:43:01 -04:00
• df9575982a MAINT: Remove extra Series creation in performance to risk. Eddie Hebert 2013-10-01 17:06:59 -04:00
• 20113872ee MAINT: Use a Series for returns instead of list. Eddie Hebert 2013-10-01 16:48:26 -04:00
• 5ddc134379 ENH: Cache daily data to eliminate repeat network calls. Eddie Hebert 2013-10-01 15:04:02 -04:00
• b44fc20e4e MAINT: Remove msgpack as a dependency. Eddie Hebert 2013-10-01 14:28:11 -04:00
• a66f45b598 MAINT: Moving yahoo loader from factory to utils. Thomas Wiecki 2013-10-01 10:10:36 -04:00
• b65f7f42c0 BUG: Fix updating treasury curves. Eddie Hebert 2013-10-01 11:23:32 -04:00
• df7b9c0273 MAINT: Remove date_utils module. Eddie Hebert 2013-09-30 23:28:26 -04:00
• 6bbc131bbf MAINT: Compare datetime in test utils instead of integer. Eddie Hebert 2013-09-30 22:23:27 -04:00
• bfd72355bd MAINT: Remove loader_tool Eddie Hebert 2013-09-30 11:51:04 -04:00
• 956107a846 MAINT: Use pandas instead of msgpack for benchmarks and treasuries. Eddie Hebert 2013-09-30 11:25:59 -04:00
• 90d8570f70 MAINT: Remove debug logging about stateful transforms. Eddie Hebert 2013-09-27 15:55:35 -04:00
• 052e9b6b95 MAINT: Remove extra assignment of emission rate. Eddie Hebert 2013-09-27 15:15:21 -04:00
• 9dd52be73b MAINT: Split performance module into submodules. Eddie Hebert 2013-09-26 13:00:58 -04:00
• a29e0c40b6 MAINT: Reduce the number of minutes included in risk index. Eddie Hebert 2013-09-25 16:24:01 -04:00
• b928cbe0d0 TST: Move minute frequency risk test into risk test module. Eddie Hebert 2013-09-25 15:09:20 -04:00
• d7e670521d MAINT: Use dt in risk update method instead of last return index. Eddie Hebert 2013-09-25 13:53:30 -04:00
• fcd62d538b MAINT: Removed last_return_date from risk object. Eddie Hebert 2013-09-25 13:52:30 -04:00
• a60d5c99a9 MAINT: Use pandas for daily treasury values in risk. Eddie Hebert 2013-09-25 13:31:01 -04:00
• f9e2dd76b4 MAINT: Use pandas for sortino and information ratios. Eddie Hebert 2013-09-25 12:57:43 -04:00
• 6a0c494ce0 MAINT: Use pandas for values directly derived from returns in risk. Eddie Hebert 2013-09-25 12:26:56 -04:00
• cd3a63415c MAINT: Use pandas for volatility in risk metrics. Eddie Hebert 2013-09-25 11:25:57 -04:00
• 08bc42dc0c TST: Fix index to cumulative risk answer key. Eddie Hebert 2013-09-24 21:05:03 -04:00
• 9dc126f0fb Merge pull request #220 from quantopian/minimum_price_variation Richard Frank 2013-09-23 13:45:05 -07:00
• 599ff1ad8a MAINT: Ensure the sign of the result is positive Richard Frank 2013-09-20 16:28:09 -04:00
• b4836b976e ENH: Restrict limit prices to a penny precision Richard Frank 2013-09-20 15:55:24 -04:00
• a50fbe9289 MAINT: Some code cleanup in the blotter module Richard Frank 2013-09-20 15:55:09 -04:00
• 70bcfff289 MAINT: Use DataFrame for more risk metrics. Eddie Hebert 2013-09-19 21:48:22 -04:00
• 29a80c2f98 MAINT: Store sharpe values in a DataFrame instead of list. Eddie Hebert 2013-09-19 15:52:53 -04:00
• e4d298f3a0 MAINT: Factored out adjust_cash method in perf period Richard Frank 2013-09-19 14:06:26 -04:00
• 6da62a5a9f MAINT: Refactor setting of indices on risk returns containers. Eddie Hebert 2013-09-19 12:28:41 -04:00
• 84d20fd551 MAINT: Remove unused values during beta calculation. Eddie Hebert 2013-09-18 15:13:26 -04:00
• 4f6de61e77 MAINT: Remove unused member from cumulative risk metrics. Eddie Hebert 2013-09-18 12:55:53 -04:00
• 35669ce9e2 MAINT: Remove unused created member from risk report. Eddie Hebert 2013-09-16 20:59:22 -04:00
• ddb541b9b3 MAINT: Change shape of supplemental data to match batch data. Eddie Hebert 2013-09-16 11:51:22 -04:00
• 7b8769b3e7 BUG: Fix div-by-zero error in cost_basis adjustment. John Ricklefs 2013-08-27 13:19:58 -04:00
• a86604933e MAINT: Refactored Position.__init__ to accept starting values Richard Frank 2013-08-26 14:35:38 -04:00
• 191715a148 ENH: Add support for asynchronous commission events. John Ricklefs 2013-08-20 17:10:24 -04:00
• 57344ee78a MAINT: Call rollover from __init__ instead of duplicating code Richard Frank 2013-08-14 18:03:06 -04:00
• ddb3d64526 MAINT: Record a given order only once per bar Richard Frank 2013-08-14 17:50:39 -04:00
• 9376556e68 BUG: Use dt as a max value in trading get_index. Eddie Hebert 2013-08-23 12:33:09 -04:00
• 7d5194ec2c ENH: Include TALib output names in ta transform results. Eddie Hebert 2013-08-19 16:46:11 -04:00
• ee8baa2a70 MAINT: Add default import of trading of module. Eddie Hebert 2013-08-19 15:21:48 -04:00
• 16fe23b18f REL: Add license to module init file. Eddie Hebert 2013-08-19 15:19:15 -04:00
• 11f9178fd3 TST: Correct annualization of Sharpe in answer key. Eddie Hebert 2013-08-16 14:19:59 -04:00
• b9dfda01d2 DOC: Add annotations file for answer key. Eddie Hebert 2013-08-12 16:05:48 -04:00
• b94d10cfb6 TST: Add answer key indexes for cumulative risk metrics. Eddie Hebert 2013-08-15 15:06:39 -04:00
• f3fd9d598a TST: Add parser for date values from answer key. Eddie Hebert 2013-08-15 15:04:52 -04:00
• 3732c105b8 TST: Improve answer key interface. Eddie Hebert 2013-08-14 15:29:54 -04:00
• de4671213b TST: Reduce cumulative risk test to stub. Eddie Hebert 2013-08-14 22:19:11 -04:00
• ddcddc9351 MAINT: Create separate test risk modules. Eddie Hebert 2013-08-09 14:27:58 -04:00
• 1501e659ce TST: Rename notebook with link to answer key. Eddie Hebert 2013-08-14 14:47:19 -04:00
• 6f73f68d24 TST: Add output of answer key annotations to notebook. Eddie Hebert 2013-08-14 13:12:50 -04:00
• ead9fc953f TST: Begin annotation notebook for risk answer key. Eddie Hebert 2013-08-14 12:36:47 -04:00
• bb8a734ae2 TST: Improve cumulative risk metrics sheet in answer key. Eddie Hebert 2013-08-14 11:34:48 -04:00
• cbac1bd6cb TST: Update answer key checksums on upload. Eddie Hebert 2013-08-14 11:30:15 -04:00
• 1295f45e13 MAINT: Switch treasury curves from Series to DataFrame. Eddie Hebert 2013-08-13 11:07:31 -04:00
• 36fe790624 BUG: Update market_open value for performance when updating market_close. John Ricklefs 2013-08-07 16:56:18 -04:00
• faee91876f MAINT: Add formatting for printing of answer key DataIndex. Eddie Hebert 2013-08-09 17:30:00 -04:00
• b89886297f STY: autopep8 codebase. Thomas Wiecki 2013-08-08 16:46:44 -04:00
• a43a122829 TST: Forgot to add order method test algos. Thomas Wiecki 2013-08-08 16:37:31 -04:00
• e590da75fb BUG: Typo in test_batchtransfom. Thomas Wiecki 2013-08-08 16:01:22 -04:00
• 7a65f4579e Pulled in PR 137 to add new order methods. Thomas Wiecki 2013-08-08 15:57:24 -04:00
• b1fdebfb7c TST: Added tests for new order methods. Thomas Wiecki 2013-08-08 15:53:09 -04:00
• 48486c9814 ENH: New order methods. Jeremiah Lowin 2013-08-08 15:52:59 -04:00
• c64a585e54 BUG: TransactionVolumeExceedsOrder was referenced but not defined Richard Frank 2013-08-07 16:09:55 -04:00
• eae5803910 BUG: Calculate benchmark returns for first day Ben McCann 2013-07-16 19:23:59 -07:00
• 9694dfbbfe DOC: Removed mathjax from docs. Closes #73. Thomas Wiecki 2013-08-08 11:22:31 -04:00
• 43889f4a16 BUG: version tag should be a string. Thomas Wiecki 2013-08-08 11:22:03 -04:00
• 2026937dc9 BLD: Add version to zipline, bump to 0.5.11.dev Thomas Wiecki 2013-08-08 11:11:30 -04:00
• 433c138edf DOC: Updated example in readme and added python-dateutils dependency. Closes #139. Thomas Wiecki 2013-08-08 11:08:48 -04:00
• f75d781b02 DOC: Fix talib sphinx warnings. Closes #171. Thomas Wiecki 2013-08-08 10:50:00 -04:00
• c31bbee424 MAINT: Create separate page in risk answer key for period returns. Eddie Hebert 2013-08-07 17:16:01 -04:00
• 5b2a23ddd0 MAINT: Break period and cumulative risk metrics into submodules. Eddie Hebert 2013-07-29 17:33:06 -04:00
• 66e7f48cdd MAINT: Split apart risk metrics classes. Eddie Hebert 2013-07-29 16:19:50 -04:00
• 4a11a872fc MAINT: Move risk to its own module. Eddie Hebert 2013-07-29 17:00:43 -04:00
• 3541115b4e BUG: Trading calendar dates should always be midnight UTC Jonathan Kamens 2013-08-06 15:30:35 -04:00
• 2ca4d3cff7 MAINT: Update Dev requirements Jonathan Kamens 2013-08-06 11:59:26 -04:00
• e85306524b BUG: Prevent crashes for TALib functions when stocks have nans. Eddie Hebert 2013-08-05 18:17:20 -04:00
• adb10d9829 BLD: Rename extra requirements to goodies. Eddie Hebert 2013-08-05 16:41:53 -04:00
• cfcafa8102 BLD: Update extra requirements to latest versions. Eddie Hebert 2013-08-05 16:35:09 -04:00
• e5a9b08abf BLD: Update nose-paremeterized to latest release. (1.3.0) Eddie Hebert 2013-08-05 13:52:58 -04:00
• 73eb3f12f5 BUG: Prevent unintended keys from appearing in data bar. Eddie Hebert 2013-08-01 16:07:52 -04:00
• 963324723c STY: Flake8 line break. Thomas Wiecki 2013-08-01 17:14:56 -04:00
• 8dd4230fd0 ENH: Plot benchmark returns in DMA example. Ben McCann 2013-06-07 18:35:19 -07:00
• e1475cc24f BUG: cum_perfs defined but not used. Thomas Wiecki 2013-08-01 16:33:26 -04:00
• 1635a54fb8 ENH: Add print of monthly Sharpe to DMA example. Thomas Wiecki 2013-08-01 16:09:38 -04:00
• 37bab9bb72 ENH: Safe risk_report in TradingAlgorthm. Thomas Wiecki 2013-08-01 16:08:56 -04:00
• 376ae33264 PERF: Remove deepcopy from EventWindow ticks. Eddie Hebert 2013-07-31 18:55:07 -04:00