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• f978d4807e MAINT: Simplify current date logic in tradesimulation loop. Eddie Hebert 2013-06-06 17:37:38 -04:00
• 99676067d7 DOC: Add some more installation instructions Ben McCann 2013-06-06 00:01:10 -07:00
• fa13a98aa2 MAINT: Update TA-Lib to latest release. Eddie Hebert 2013-06-05 13:30:11 -04:00
• 9ee0d5e3a3 Upgrade Logbook to 0.4.2 Jonathan Kamens 2013-06-04 13:30:42 -04:00
• efadc6cf68 MAINT: blotter shouldn't allow orders of more than 1e+11 shares Jonathan Kamens 2013-05-30 11:24:29 -04:00
• f9580316c9 MAINT: Reformat comment to make flake8 happy Jonathan Kamens 2013-05-30 10:06:23 -04:00
• 3390c017bb MAINT: Upgrade dependent package versions, add pip-tools Jonathan Kamens 2013-05-30 09:38:28 -04:00
• 48a7ce5310 BUG: Improve check for orders for zero shares Jonathan Kamens 2013-05-29 12:46:24 -04:00
• 6c6b45659b BUG: Fix bar data contains check when override is used. Eddie Hebert 2013-05-23 11:37:12 -04:00
• 25d6f3afd1 BUG: Fix contains logic when override is not used. Eddie Hebert 2013-05-23 11:31:58 -04:00
• 0ef428c8e0 BUG: Fix exception when using capital_base as a kwarg to an algorithm. Eddie Hebert 2013-05-21 17:51:51 -04:00
• 8be617c4bf MAINT: Allow overriding of order id creation Richard Frank 2013-05-13 11:49:42 -04:00
• fa4b5a7ea4 MAINT: Importing zipline protocol as zp Richard Frank 2013-05-13 11:49:04 -04:00
• 3ea8ac8da2 BUG: Fix updating of trading_days_total in minute. Thomas Wiecki 2013-05-16 08:58:40 -04:00
• 4a991c062b BUG: Change trading_days to num_trading_days in repr. Fixes #162. Thomas Wiecki 2013-05-16 09:12:04 -04:00
• 54541eb24c BUG: Fix short circuit in StateTransform loop. Eddie Hebert 2013-05-15 16:57:09 -04:00
• b87d454938 BUG: Add bar kwarg to batch_transform. Thomas Wiecki 2013-05-11 15:26:14 -04:00
• c1c71398d6 ENH: Add example that uses talib transform. Thomas Wiecki 2013-05-09 12:54:37 -04:00
• 087d4d2c74 DOC: Add ta transforms to manual. Thomas Wiecki 2013-05-09 09:27:59 -04:00
• aa7d5de073 BUG: Fix off-by-one error in TALib wrapper. Thomas Wiecki 2013-05-09 11:52:21 -04:00
• 5cf1b2880d DOC: Removed obsolete docs. Thomas Wiecki 2013-05-09 13:01:52 -04:00
• c22b86194f DOC: Add __doc__ string for all talib functions. Thomas Wiecki 2013-05-09 09:26:53 -04:00
• 2e327a4d1e MAINT: Add a has_key method to BarData for compatibility. Eddie Hebert 2013-05-11 00:07:50 -04:00
• 4177a2c073 DOC: Add @verdverm to contributors list. Eddie Hebert 2013-05-10 21:38:59 -04:00
• 381df3534d MAINT: Ensure we're not setting the blotter to None. Richard Frank 2013-05-10 12:00:43 -04:00
• a12e907f55 BUG: Fix datetime when a benchmark is the only datum in a bar. Eddie Hebert 2013-05-09 03:50:45 -04:00
• b33243da63 BUG: Ensure that data_frequency set on algo is set on sim_params. Eddie Hebert 2013-05-09 03:44:51 -04:00
• e9d80cc044 BUG: Fix out of order emission of performance with minutely data. Eddie Hebert 2013-05-08 15:17:45 -04:00
• 74e743b8c6 MAINT: Add data frequency to simulation parameters. Eddie Hebert 2013-05-08 18:52:43 -04:00
• 24019de573 BUG: Paper over multiple types for algorithm returns. Eddie Hebert 2013-05-08 20:58:28 -04:00
• 5a2a51f796 MAINT: Use cumulative benchmark and algo returns in risk report. fawce 2013-05-08 17:47:07 -04:00
• c0acbe2bc1 MAINT: Revert slice into returns containers instead of using .valid() Eddie Hebert 2013-05-08 18:29:49 -04:00
• ad06acd49d MAINT: Slice into returns containers instead of using .valid() Eddie Hebert 2013-05-08 11:29:35 -04:00
• 16c488e5bc TST: Fix increment in risk test that drops leading values. Eddie Hebert 2013-05-08 08:31:08 -04:00
• 41f1200dbd BLD: Exclude test_examples from Travis-CI, also exclude scipy. Eddie Hebert 2013-05-07 21:20:55 -04:00
• cdc3886e91 Merge fixes for intraday perfomance. Eddie Hebert 2013-05-07 19:48:40 -04:00
• ede8471663 BUG: Fix next trading calculation. fawce 2013-05-07 18:44:44 -04:00
• 3d8674ffb6 MAINT: Cleaned up to_dict highlighting daily and minutely difference. fawce 2013-05-07 18:44:44 -04:00
• 2d850d0970 BUG: Fix calculation of cumulative risk stats. fawce 2013-05-07 16:32:35 -04:00
• 32835b87f3 MAINT: Rename perfomances intraday_perf to minute_perf. Eddie Hebert 2013-05-07 18:34:41 -04:00
• b53da8d4b3 MAINT: Refactor check_entry method to also look at np.inf fawce 2013-05-07 18:45:35 -04:00
• 5c883659b5 BUG: Fix missing values from supplemental data in batch transform. Eddie Hebert 2013-05-07 18:17:08 -04:00
• d3ade5050c MAINT: Tune logging of StateTransform start/end to debug. Eddie Hebert 2013-05-07 17:27:06 -04:00
• 3e1ac4f19a TST: Add tests to verify risk calcualtions from streamed events. Eddie Hebert 2013-05-04 19:56:30 -04:00
• 91e5abbc44 MAINT: Use a for loop for main algorithm run loop instead of list Eddie Hebert 2013-05-06 17:35:44 -04:00
• aa54d0ae0e MAINT: Allow the algorithm benchmark returns to be overrideable. Eddie Hebert 2013-05-07 11:58:36 -04:00
• e6c156c50b ENH: Add intraday risk and performance for minute emission. fawce 2013-05-03 23:39:07 -04:00
• 6afc85c17d BUG: Fix missing and delayed transaction last_sale_price's. Eddie Hebert 2013-05-06 16:26:38 -04:00
• 1752f78447 ENH: Allow algorithm to run past end of trading.environment history. fawce 2013-05-02 16:53:51 -04:00
• d686fac02d MAINT: Use property for tradesimulation perf_key. Eddie Hebert 2013-05-05 04:43:10 -04:00
• a04ece1840 MAINT: Use up-to-date field names in test_source Eddie Hebert 2013-05-05 10:51:49 -04:00
• 4b7afb43d2 MAINT: Change repr's so that they are both human and machine readable. Eddie Hebert 2013-05-04 22:18:50 -04:00
• 5ae1aab2af TST: Add nose-ignore-docstring plugin to requirements and setup.cfg Eddie Hebert 2013-05-04 12:52:38 -04:00
• e3c783e163 BLD: Add scipy to test requirements. Eddie Hebert 2013-05-03 13:32:30 -04:00
• 727f7bef19 BLD: Use statsmodels 0.4.3 for test scripts. Eddie Hebert 2013-05-03 09:40:27 -04:00
• 42ad791f39 BLD: Add libraries needed for running examples. Eddie Hebert 2013-05-03 09:17:17 -04:00
• c3cbe4e6b1 Merge addition of unit tests that exercise examples. Eddie Hebert 2013-05-02 17:05:06 -04:00
• 7bc20639da BLD: Add matplotlib to test requirements. Eddie Hebert 2013-05-02 16:48:53 -04:00
• b748ba62e0 MAINT: Shortened time frame over which examples are run to speed up tests. Thomas Wiecki 2013-05-02 15:55:44 -04:00
• f5a8d76a91 BUG: Do not update last price if price is nan. Thomas Wiecki 2013-05-02 15:28:37 -04:00
• d56f1b73f8 BUG: Removed SlippageModel from olmar example. Thomas Wiecki 2013-04-25 13:37:04 -04:00
• b8b21b347f TST: Added unittest that runs all examples. Thomas Wiecki 2013-04-25 13:36:42 -04:00
• 3711bf3775 ENH: Add a utility to reverse a utc timestamp to dst. Eddie Hebert 2013-05-01 16:35:51 -04:00
• 823416e9fd MAINT: Remove unecessary conversion to Series on each risk update. Eddie Hebert 2013-05-02 14:36:10 -04:00
• 4ed0250424 added a fake window_length to be compatible with transform protocol fawce 2013-05-01 22:42:17 -04:00
• 59dcf0f6cd exposes stateful transform's window length fawce 2013-05-01 22:05:06 -04:00
• 440e7ce076 BLD: Add Cython as a requirement. For TA-Lib. Eddie Hebert 2013-04-30 21:24:24 -04:00
• 16e75a31d4 TST: Fix check() test utility function to detect all list differences Jonathan Kamens 2013-04-30 21:13:18 -04:00
• 419c03dedb BUG: Smooth test and compile issues with TALib Eddie Hebert 2013-04-30 20:19:37 -04:00
• 56dae3a288 BLD: Include TA-Lib package as a dependency. Eddie Hebert 2013-04-30 19:52:40 -04:00
• 4b102676a5 Merge in branch with support for TALib based transforms. Eddie Hebert 2013-04-30 17:39:58 -04:00
• ae6e40499b BLD: Add build ta-lib to Travis config. Eddie Hebert 2013-04-30 17:33:01 -04:00
• cc39ec3aef ENH: Add support for TALib based transforms. Jeremiah Lowin 2013-04-27 21:31:34 -04:00
• beecebc7d8 ENH: Support multi-day minutely emission. fawce 2013-04-30 17:05:59 -04:00
• d381865a89 BUG: Ensure that order exists before attempting to cancel. fawce 2013-04-30 17:04:57 -04:00
• 34f1dd783a STY: Tweak comments in performance to match rest of file. fawce 2013-04-30 16:48:13 -04:00
• 28df9ec423 MAINT: Refactor performance tracker as part of algorithm. fawce 2013-04-30 16:45:19 -04:00
• ff36240179 Merge batch transform and rolling panel enhancements. Eddie Hebert 2013-04-29 15:31:38 -04:00
• 06a01b1469 BUG: Explicitly add support for refresh period of 0. Eddie Hebert 2013-04-29 14:50:52 -04:00
• 38ae8bbb67 BUG: Ensure that window length value is sanity checked. Eddie Hebert 2013-04-29 14:34:50 -04:00
• c12102d7b1 MAINT: Removed self.sids from batchtransform. Externally sets static_sids. Thomas Wiecki 2013-04-18 13:44:50 -07:00
• 2be7014d51 ENH: Rewrite of batch_transform to use rolling panel. Thomas Wiecki 2013-04-02 12:33:56 -07:00
• c5f4d00bf1 ENH: prototype data structure for managing a rolling datapanel Wes McKinney 2013-03-21 23:16:32 -04:00
• 2522a6fc4c MAINT: Remove unused Passthrough transform. Eddie Hebert 2013-04-29 14:58:29 -04:00
• 9ffaec64d8 MAINT: Factor out check for window length value sanity. Eddie Hebert 2013-04-29 14:31:46 -04:00
• 38bd4214a2 MAINT: Remove unused TransformMessage class. Eddie Hebert 2013-04-29 14:17:43 -04:00
• a4ea33218d TST: Move batch transform tests to their own file. Eddie Hebert 2013-04-26 23:56:35 -04:00
• de37a08c23 MAINT: flake8 error fawce 2013-04-26 19:57:45 -04:00
• 9a66614ff2 Merge pull request #146 from quantopian/orders_m1d fawce 2013-04-26 16:55:28 -07:00
• f3cfc9623d ENH: new order management methods: fawce 2013-04-26 14:21:55 -04:00
• afef4ea34c ENH: added cancel function fawce 2013-04-25 23:11:51 -04:00
• 9062b9636a MAINT: refactoring for orders api fawce 2013-04-25 22:41:44 -04:00
• b3efb5eb69 MAINT: Remove ndict class. Eddie Hebert 2013-04-26 16:03:01 -04:00
• 89ea97ec52 MAINT: Use a distinct object for minute/day data instead of ndict. Eddie Hebert 2013-04-26 15:26:01 -04:00
• d4a8878c6e TST: Ensure holiday edge case is covered in dividend performance test. Eddie Hebert 2013-04-26 10:56:54 -04:00
• 24dfcaffc8 MAINT: Remove TradeSimulationClient class layer. fawce 2013-04-24 17:07:59 -04:00
• 6cf8db458d ENH: Emit minute benchmarks, refactor event loop, fix order timing. Eddie Hebert 2013-04-25 17:18:58 -04:00
• 427ea8d4ca ENH: Change simulation loop to use benchmarks as simulation 'clock'. fawce 2013-04-23 23:55:29 -04:00
• d31303b86c ENH: Add basis for minute rate emission of performance. Eddie Hebert 2013-04-15 16:34:46 -04:00
• 7d615c5af5 MAINT: Improve message for return mismatch by including current dt. Eddie Hebert 2013-04-25 16:48:19 -04:00