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• 7139ac7061 TST: Update answer key spreadsheet. Eddie Hebert 2013-07-29 14:47:31 -04:00
• 3c305bbe35 TST: Add script to automate upload of risk answer sheet to S3. Eddie Hebert 2013-07-29 14:30:42 -04:00
• 8dc3bb82e5 BLD: Update pandas to 0.12.0 Eddie Hebert 2013-07-29 07:41:56 -04:00
• d054008990 BLD: Bumped version to 0.5.10. Thomas Wiecki 2013-07-27 09:50:37 -04:00
• 9033043078 Merge pull request #207 from quantopian/splits_fixes jbredeche 2013-07-25 09:28:38 -07:00
• 8f1d599fc6 fixing some bugs with splits (ratios and empty positions) Jean Bredeche 2013-07-23 21:51:29 -07:00
• 4c3c753680 Merge pull request #206 from quantopian/out_of_sequence_early_close Jonathan Kamens 2013-07-24 09:57:00 -07:00
• 86682b4097 ENH: Use sort() instead of sorted() for efficiency Jonathan Kamens 2013-07-24 12:43:26 -04:00
• a1a1fbf21f BUG: Don't include out-of-range date in early closes Jonathan Kamens 2013-07-24 12:40:28 -04:00
• 6fc077a573 ENH: Add support for splits in zipline. Jean Bredeche 2013-07-19 10:44:11 -07:00
• 9ff588e7fc BUG: Fix spelling of capital base in TradingAlgorithm repr. Eddie Hebert 2013-07-23 14:40:39 -04:00
• 9b73373978 BUG: Revert returns cov to use ddof of 1. Eddie Hebert 2013-07-23 13:17:10 -04:00
• f451efe483 TST: Read alpha values from answer key. Eddie Hebert 2013-07-23 12:15:24 -04:00
• 7c01d39858 BUG: Fix beta calculation. Eddie Hebert 2013-07-23 12:07:24 -04:00
• 3164aa9016 BUG: Make covariance match values in answer key. Eddie Hebert 2013-07-23 11:30:48 -04:00
• 8e1cdac77d BUG: Fix talib sample; parameter for window length is called timeperiod Jeremi Joslin 2013-07-21 17:46:42 +02:00
• 2314e8a281 TST: Read benchmark variance from answer key. Eddie Hebert 2013-07-19 20:28:12 -04:00
• 56c7c840fa TST: Fix answer key index converter for values larger than 'AB' Eddie Hebert 2013-07-19 20:26:30 -04:00
• 2751e98d1a ENH: Add function to download 10 year treasury data to use as a benchmark Ben McCann 2013-04-15 17:55:19 -07:00
• 0edd4f071e MAINT: Make the risk answer key ignored in git Ben McCann 2013-07-19 11:22:24 -07:00
• de608b0b05 TST: Read more sharpe values from the answer key. Eddie Hebert 2013-07-19 12:10:17 -04:00
• 8c006fc347 TST: Use xlsx format instead of xls. Eddie Hebert 2013-07-19 11:06:37 -04:00
• 135b872a58 DOC: Fix typo in xslx format name. Eddie Hebert 2013-07-18 18:36:42 -04:00
• 575e45ab4e TST: Read more risk expected values from the answer spreadsheet. Eddie Hebert 2013-07-18 18:09:49 -04:00
• d58181db34 TST: Fix case where there is no existing risk answer key. Eddie Hebert 2013-07-18 14:47:33 -04:00
• d0118ff6de BLD: Fix typo in pip specification of xlrd Eddie Hebert 2013-07-18 14:44:08 -04:00
• b759409525 TST: Add xlrd module to requirements_dev Eddie Hebert 2013-07-18 14:35:00 -04:00
• 9a629d8781 Merge reading of risk unit test expected results from a spreadsheet. Eddie Hebert 2013-07-18 14:31:21 -04:00
• e5e38a437b TST: Download risk answer key from S3. Eddie Hebert 2013-07-18 13:24:24 -04:00
• 5579e54c6f TST: Read benchmark returns directly from answer key spreadsheet. Eddie Hebert 2013-07-16 13:21:10 -04:00
• 87c0f40aa0 TST: Move risk tests to their own module. Eddie Hebert 2013-07-16 12:17:30 -04:00
• 940ddd22d3 TST: Added testing of order timings and price. Thomas Wiecki 2013-07-17 19:56:55 -04:00
• 75dd77ea03 ENH: Added early closes to trading environment Richard Frank 2013-07-15 16:17:24 -04:00
• efe50f8494 BUG: Fix get_benchmark_returns. Ben McCann 2013-07-14 15:44:57 -07:00
• b9bd928862 DOC: Fix documentation compilation warnings; improve output formatting Ben McCann 2013-07-11 18:35:32 -07:00
• b7b4d397ba BUG: Revert "Merge ability to specify timing of fills." Eddie Hebert 2013-07-15 10:47:55 -04:00
• 948846c254 MAINT: Upgrade pep8, pyflakes Jonathan Kamens 2013-07-12 14:20:59 -04:00
• 0dbdf5b1d3 BUG: Fix duplicated values for multi-stock TALib transform. Eddie Hebert 2013-07-11 15:44:38 -04:00
• fa845cbf03 MAINT: Move batch transform into a dedicated module. Eddie Hebert 2013-07-10 17:56:32 -04:00
• 5758f885c5 TST: Update talib example for compatibility with multiple sids. Eddie Hebert 2013-07-10 15:37:03 -04:00
• eac882b773 ENH: Enable TALib transforms to perform on multiple stocks. Eddie Hebert 2013-07-10 14:33:14 -04:00
• 37352210c0 MAINT: Make TALib zipline_wrapper a module level function. Eddie Hebert 2013-07-10 13:52:15 -04:00
• 15323a8179 BUG: Enable return values on first day using minute TALib functions. Eddie Hebert 2013-07-09 14:54:38 -04:00
• 3dfe4e9c83 STY: Remove extra lines between statements. Eddie Hebert 2013-07-09 14:54:09 -04:00
• e3a9ca27b1 Merge ability to specify timing of fills. Eddie Hebert 2013-07-09 13:20:16 -04:00
• d901a12e93 BUG: Prevent algorithm init failure due to missing fill_delay. Eddie Hebert 2013-07-09 12:45:56 -04:00
• 5a58ade0fc ENH: Add flag fill_delay kwarg to TradingAlgorithm. Thomas Wiecki 2013-06-28 07:24:54 -04:00
• 8e39af906f ENH: Move blotter call to after handle_data() and add fill_delay option. Thomas Wiecki 2013-06-27 10:36:57 -04:00
• 3d8bdeb429 ENH: Enable minute bar data with TALib transform. Eddie Hebert 2013-07-09 11:26:26 -04:00
• 5fb837bf37 MAINT: Use numpy testing method instead of assertTrue. Eddie Hebert 2013-07-08 17:30:48 -04:00
• ab0d07d8d0 API: Conform timeperiad to TALib interface instead of BatchTransform's. Eddie Hebert 2013-07-03 13:46:32 -04:00
• a968b5827c MAINT: Use print function instead of print statement. Eddie Hebert 2013-07-02 21:33:40 -04:00
• 4f5b2d6298 MAINT: Change relative library imports to use dot syntax. Eddie Hebert 2013-07-02 21:31:59 -04:00
• 4c42e5a6d7 MAINT: Use Python 3 compatible uuid hex property. Eddie Hebert 2013-07-02 16:07:07 -04:00
• 158988d184 MAINT: Use explicit syntax for relative imports. Eddie Hebert 2013-07-02 15:54:12 -04:00
• b77780c783 MAINT: Use DatetimeIndex instead of OrderedDict for trading days. Eddie Hebert 2013-07-02 15:27:38 -04:00
• d9b7578eae Add a VirtualBox-based Vagrant config file. John Ricklefs 2013-07-01 22:18:35 -04:00
• 4510c56142 MAINT: Use TALib abstract function names value when creating transforms. Eddie Hebert 2013-06-28 16:22:22 -04:00
• c7c55399be BUG: Fix TALib example due to parameter changes. Eddie Hebert 2013-06-27 21:10:09 -04:00
• 5d76c0b8a4 ENH: Remove need to pass sid to TALib transform constructor. Eddie Hebert 2013-06-27 19:12:01 -04:00
• 832a39706e STY: Remove unused import from transform tests. Eddie Hebert 2013-06-27 19:11:15 -04:00
• 84e6050c65 BUG: Fix randomly failing talib unittest that relied on dict order. Thomas Wiecki 2013-06-27 17:50:35 -04:00
• 9931812745 BUG: Buy/sell triggers not correct in example. Thanks @FerMartin. Thomas Wiecki 2013-06-27 13:23:48 -04:00
• d833503e50 BUG: Use context in lieu of "use_environment" decorator Jonathan Kamens 2013-06-24 17:13:14 -04:00
• 61f22f0b0d Merge changes to RollingPanel that allow new sids to be added mid-run. Eddie Hebert 2013-06-21 10:43:48 -04:00
• a7818f853a DOC: Add note about performance issue when updating. Thomas Wiecki 2013-06-06 16:39:05 -04:00
• 102cddb4cb ENH: Use smarter matching for updating RollingPanel. Thomas Wiecki 2013-06-06 16:38:30 -04:00
• 236fe92a53 ENH: Make RollingPanel update itself if new fields arrive. Thomas Wiecki 2013-06-06 11:26:36 -04:00
• 33c23af503 BUG: Do not try to set non-existent items. Thomas Wiecki 2013-06-13 16:15:00 -04:00
• aca338c9e5 MAINT: Remove unused NaiveRollingPanel from rolling panel module. Eddie Hebert 2013-06-20 18:00:13 -04:00
• d6abe172a2 ENH: Add check to ensure transactions and orders are aligned. Eddie Hebert 2013-06-19 13:13:35 -04:00
• c36fe01637 STY: Use return instead of StopIteration to short circuit blotter gen. Eddie Hebert 2013-06-20 13:01:09 -04:00
• ebe00b83f7 MAINT: Pass order emitted from slippage up to tradesimulation. Eddie Hebert 2013-06-20 12:36:49 -04:00
• e160f9afd8 TST: Skip TALib related tests. Eddie Hebert 2013-06-20 00:13:06 -04:00
• afdb6c99af MAINT: Return orders alongside transactions from slippage simulate. Eddie Hebert 2013-06-19 16:35:05 -04:00
• 2aa038c2a7 MAINT: Make usage of absolute`value more clear in slippage. Eddie Hebert 2013-06-18 11:22:35 -04:00
• b1234adee6 BUG: Protect against transactions with an amount less than 1. Eddie Hebert 2013-06-18 11:14:52 -04:00
• eaa9880203 DOC: Reference example in quickstart to keep it up-to-date. Ben McCann 2013-06-07 10:46:39 -07:00
• eb027833b3 DEV: Make the other example charts larger as well Ben McCann 2013-06-07 10:52:08 -07:00
• 972eb1707d Merge fixes to docstring for TradingAlgorithm. Eddie Hebert 2013-06-14 15:44:12 -04:00
• 43d3757004 DOC: Fix docstring for TradingAlgorithm Matti Hanninen 2013-06-14 14:17:16 +03:00
• d475766c63 DOC: Fix docstring for TradingAlgorithm Matti Hanninen 2013-06-14 13:13:36 +03:00
• 8e27cc053c DEV: Don't invoke hardwired Python Matti Hanninen 2013-06-14 13:54:58 +03:00
• d41aff9a99 ENH: Provide a process_order method to override for custom slippage. Eddie Hebert 2013-06-13 19:01:00 -04:00
• e727bfbd03 MAINT: Factor out order processing from slippage models. Eddie Hebert 2013-06-13 17:49:18 -04:00
• 7f669c4391 MAINT: Separate volume and direction while calculating volume share. Eddie Hebert 2013-06-13 15:20:30 -04:00
• 0ae41f4d01 MAINT: Remove check in slippage model which is always true. Eddie Hebert 2013-06-13 12:35:58 -04:00
• 88b9881145 TST: Include the label in the failure message of isinstance asserts Richard Frank 2013-06-12 14:02:38 -04:00
• dc14f0e9ff MAINT: Remove _period_trading_days member from TradingEnvironment. Eddie Hebert 2013-06-12 13:26:31 -04:00
• 59edea66f1 MAINT: Remove unused method from TradingEnvironment. Eddie Hebert 2013-06-12 13:25:11 -04:00
• 692da712b8 MAINT: Removed unused member from risk class. Eddie Hebert 2013-06-12 12:31:25 -04:00
• fd60d775d5 BUG: Fix early exit from fixed slippage when a order amount is zero. Eddie Hebert 2013-06-12 10:15:11 -04:00
• d1968429f1 ENH: Add a convenience property for open amount of a blotter.Order Eddie Hebert 2013-06-12 10:10:09 -04:00
• e24f581dcd BUG: Extend trading environment's trading days with extra_dates Richard Frank 2013-06-10 12:57:07 -04:00
• 2b5b670493 MAINT: Change signature of create_transaction. Eddie Hebert 2013-06-10 17:10:48 -04:00
• 7d26168359 MAINT: Reduce number of parameters for create_transaction. Eddie Hebert 2013-06-10 15:36:58 -04:00
• 4bde1e4c11 MAINT: Change slippage guard to check for slippage model base type. Eddie Hebert 2013-06-10 10:27:16 -04:00
• 5727080b21 MAINT: Provide a callable base class for slippage models. Eddie Hebert 2013-06-07 17:19:43 -04:00
• cc7969e777 DEV: Make the example chart larger so that it's readable Ben McCann 2013-06-06 22:55:21 -07:00
• b2895e06ee MAINT: Remove logging processer from transaction stub. Eddie Hebert 2013-06-06 17:43:39 -04:00