Commit Graph

Select branches

Hide Pull Requests

5-minute

abnera-patch-2

cloud

cloud_conn

concurrent-exchanges

damo1884-talib_example

develop

gh-pages

live-trading

master

new_exchange_config

pandas0.2

pandas_0.22.0

revert-180-jupyter-allow-root-docker

server-0.3.10

unit-tests

0.1.dev3

0.1.dev4

0.1.dev5

0.1.dev6

0.1.dev7

0.1.dev8

0.1.dev9

0.2.dev1

0.2.dev2

0.2.dev3

0.2.dev4

0.2.dev5

0.3

0.3.1

0.3.10

0.3.2

0.3.3

0.3.4

0.3.5

0.3.6

0.3.7

0.3.8

0.3.9

0.4.0

0.4.1

0.4.2

0.4.3

0.4.4

0.4.6

0.4.7

0.5.0

0.5.1

0.5.2

0.5.3

0.5.4

0.5.5

0.5.6

0.5.7

0.5.8

Mono Color

• 3ae02281da Fixed bugs in the sequence of dividend payment calculations. Previously, we were using midnight of the current trading day in market close. That meant that we were "rewinding" the clock, and then checking the ex_date and pay_date. As a result, we were delaying payments by one day. fawce 2013-02-08 17:40:41 -05:00
• ccd3ab33e7 Upgrade numpy to 1.7.0 Jonathan Kamens 2013-02-14 11:48:05 -05:00
• 3c2e1d0726 Merge pull request #80 from quantopian/add_bars_yahoo Thomas Wiecki 2013-02-13 13:23:42 -08:00
• 8c182ad66e ENH: load_bars_from_yahoo provides OHLC. Based on Brian Cappello's code. Thomas Wiecki 2013-02-12 13:26:13 -05:00
• f914c53790 Added parameter type validation to record_variables Richard Frank 2013-02-11 18:07:05 -05:00
• 59d76ce378 Don't let record_variables be used after initialize. Richard Frank 2013-02-11 14:44:46 -05:00
• 2600bbe1de Backfills a batch transform panel with supplemental data. Eddie Hebert 2013-02-10 21:35:41 -05:00
• aa1caae261 Fixes for trading calendar holidays for weekend holidays. Eddie Hebert 2013-02-10 17:23:29 -05:00
• 3e050dff9c Changes rules for generating Thanksgiving holiday. Eddie Hebert 2013-02-09 23:42:31 -05:00
• 699a47fe3d Converts batch transform panel to use pd.Panel dictionary arg. Eddie Hebert 2013-02-06 14:06:58 -05:00
• 79f7fe69ef Checks to make sure that an Event has a type before checking type. Eddie Hebert 2013-02-07 18:17:26 -05:00
• 26ff73072c Emergency fix - filtering down to TRADE events in the transforms. fawce 2013-02-07 18:01:21 -05:00
• 2b9368dedf Merge pull request #76 from quantopian/dividends_for_shorts fawce 2013-02-07 10:55:14 -08:00
• 31b528e8dd Implemented dividend costs for short positions. Based on user feedback in Quantopian forums: https://www.quantopian.com/posts/total-return-slash-dividends fawce 2013-02-06 23:34:14 -05:00
• 817ed88e38 Adds dividends to performance tracking. fawce 2013-02-04 17:00:14 -05:00
• 372a714eb8 deleting the portfolio object from every event. fawce 2013-02-05 21:41:15 -05:00
• 983f3fab30 Fixes New Year's holidays inclusion in trading calendar. Eddie Hebert 2013-02-04 22:34:45 -05:00
• 40d25c5519 Update README.md fawce 2013-02-03 16:28:20 -05:00
• 8c04621f57 Changes stddev and vwap transforms to accept parameters as kwargs. Eddie Hebert 2013-02-02 13:22:37 -05:00
• 48c874f22a Deprecates market_aware and delta kwargs to EventWindow. Eddie Hebert 2013-02-01 16:38:19 -05:00
• 1bc19c052b Removes unused test transform. Eddie Hebert 2013-02-01 16:01:49 -05:00
• be6572f1aa Change flag value on unit tests that use market_aware==False. Eddie Hebert 2013-02-01 15:34:53 -05:00
• 18c7905ab9 Merge pull request #69 from mjhanninen/fix-example Eddie Hebert 2013-02-01 09:50:47 -08:00
• 3225c03c75 Merge pull request #70 from bernarpa/patch-1 Eddie Hebert 2013-02-01 09:47:53 -08:00
• a11a57cec8 Update zipline/transforms/stddev.py Paolo Bernardi 2013-02-01 17:47:31 +01:00
• 68327f5a10 Removes documentation references to pavement. Eddie Hebert 2013-02-01 11:33:32 -05:00
• 4026e6122f Fixes an incorrect order in examples. Matti Hanninen 2013-02-01 18:17:23 +02:00
• 079d7b322e Updates README to distinguish between backtesting and trading. Eddie Hebert 2013-02-01 10:17:02 -05:00
• 2859afa032 Fixes assert type of window length check. Eddie Hebert 2013-01-31 21:16:41 -05:00
• 3dd1b36d38 Changes unit tests asserts to UnitTest methods. Eddie Hebert 2013-01-31 20:10:47 -05:00
• 4d56f57468 Add the information ratio to risk metrics. Ryan Day 2013-01-29 22:14:22 -05:00
• e43dfef65d Adjusts start date of test algo gen to account for market dates. Eddie Hebert 2013-01-31 13:20:11 -05:00
• 69b87b859b Fixes trading day generation logic in test source. Eddie Hebert 2013-01-31 13:06:15 -05:00
• c298cfda03 Adds recorded variable to dual moving average example. Eddie Hebert 2013-01-31 08:11:01 -05:00
• 81337d1306 Adds the ability to record variables. Eddie Hebert 2013-01-31 08:03:00 -05:00
• dfd9f2105d Changes test_source date_gen to only emit trading days. Eddie Hebert 2013-01-31 07:13:53 -05:00
• a6ce57ef4f Removes code branching on sequential/merged flags in StatefulTransform. Eddie Hebert 2013-01-30 16:23:40 -05:00
• 7443b0c602 Pulls alias_dt wrapper out of sequential_transforms. Eddie Hebert 2013-01-30 16:20:58 -05:00
• 946ecfafc0 Adds a trading day index to tradingcalander. Eddie Hebert 2013-01-30 10:45:08 -05:00
• 47c8015489 Moves creation of non_trading_days into a function. Eddie Hebert 2013-01-30 10:43:38 -05:00
• 44140d2de7 Fixes dates used in test factory for batch transforms. Eddie Hebert 2013-01-30 14:06:56 -05:00
• 2587cd6512 Enriches message returned for test batch transform. Eddie Hebert 2013-01-30 14:04:17 -05:00
• d52a9f3a67 Corrects wording on event_window test, with regards to empty values. Eddie Hebert 2013-01-30 14:00:06 -05:00
• 5b294faf0c Removes unused method. Eddie Hebert 2013-01-28 23:22:04 -05:00
• c65522c787 Merge pull request #66 from rday/sortino_ratio Eddie Hebert 2013-01-28 11:14:59 -08:00
• bb16eda1fa Force float value, and compare result against boundary Ryan Day 2013-01-28 14:08:44 -05:00
• 64ffa055c9 Add the Sortino ratio for downside risk Ryan Day 2013-01-28 08:55:14 -05:00
• 88070a0f12 Fixes dictionary-style lookup on Position and Portfolio. Eddie Hebert 2013-01-27 22:49:20 -05:00
• 2352c1e576 Adds dictionary style access to Portfolio object. Eddie Hebert 2013-01-27 21:21:01 -05:00
• 480ca65f56 Adds dictionary style access to Position object. Eddie Hebert 2013-01-27 21:19:59 -05:00
• b3e8d56c02 Removes unused parameters in test trade info creation. Eddie Hebert 2013-01-26 09:43:22 -05:00
• 629b6d6bd8 Upgrade to Pandas 0.10.1 Jonathan Kamens 2013-01-24 20:24:44 -05:00
• a49bd4af4b Adds a contains method to SIDData to support in statement. Eddie Hebert 2013-01-23 17:17:35 -05:00
• 87f99331e8 Uses an object for sid data to be passed to handle data. Eddie Hebert 2013-01-23 13:41:57 -05:00
• 4723e836e7 Changes use of ndict in transforms to be name object. Eddie Hebert 2013-01-23 09:30:26 -05:00
• 6f6434cf51 Converts slippage orders to use a simple object. Eddie Hebert 2013-01-23 09:21:59 -05:00
• d5a0446f7b Moves slippage transactions off of ndict. Eddie Hebert 2013-01-22 20:55:24 -05:00
• 649fb10c8e Creates a new averages container for each call to get_averages. Eddie Hebert 2013-01-22 20:40:37 -05:00
• 9313077152 Creates a container object for averages in mavg window. Eddie Hebert 2013-01-22 20:21:15 -05:00
• e2f091c96e Upgrade nose-parameterized to 0.2 Jonathan Kamens 2013-01-21 09:37:37 -05:00
• f017218b64 Uses class constants for message text instead of ndict. Eddie Hebert 2013-01-21 08:54:19 -05:00
• b6779a85c7 Removes Jenkins configurations. Eddie Hebert 2013-01-21 01:01:27 -05:00
• 39f44a44f8 Reverting changes MovingStandardDevWindow. Eddie Hebert 2013-01-21 00:12:33 -05:00
• 9e31d83084 Fixes check of ticks in stddev, now that __len__ has been removed. Eddie Hebert 2013-01-17 18:11:27 -05:00
• dbcfc0a2a5 Restores previous get_stddev method and uses the price value. Eddie Hebert 2013-01-17 17:44:21 -05:00
• 46b04ebe46 Merge pull request #63 from quantopian/transform_default_field Eddie Hebert 2013-01-17 09:18:21 -08:00
• 685b2ed6fd REF: Fields is kwarg is MovingStandardDevWindow. Thomas Wiecki 2013-01-17 12:10:09 -05:00
• eb1cb27a07 REF: fields now defaults to price for mavg and stddev transform. Also allows string specification. Thomas Wiecki 2013-01-17 11:46:17 -05:00
• 0d6b8309b7 Merge branch 'master' of github.com:quantopian/zipline Thomas Wiecki 2013-01-16 11:59:19 -05:00
• 4ab82601a5 Resolved unittest import problems. Thomas Wiecki 2013-01-16 11:54:04 -05:00
• fd9bbbebfa Fix for stddev during merging. Thomas Wiecki 2013-01-16 11:53:35 -05:00
• 77e9147a8b Merge branch 'master' of github.com:quantopian/zipline into stddev_multifield Thomas Wiecki 2013-01-16 11:42:11 -05:00
• 65138fbceb Uses numpy.dot instead numpy.vdot to calculate positions value. Eddie Hebert 2013-01-16 11:38:37 -05:00
• d0640d56c8 Refactored stdev transform to be applied to multiple fields, not just price UnitTest for transforms refactored to account for changed stdev transform, introduced AssertAlmostEqual Elektra58 2013-01-12 17:47:23 +01:00
• a2b1b1b71e Uses vdot and numpy arrays for position totals. Eddie Hebert 2013-01-14 21:27:27 -05:00
• c044648275 Rolls over existing PerformancePeriod. Eddie Hebert 2013-01-14 21:13:45 -05:00
• 61773a2ebe Upgrade requests module to 1.1.0 Jonathan Kamens 2013-01-14 11:05:58 -05:00
• a3235bb1a5 Recycles objects for positions. Eddie Hebert 2013-01-11 23:54:52 -05:00
• a889f814fc Recycles the portfolio container to be passed to handle_data. Eddie Hebert 2013-01-11 23:30:43 -05:00
• 48dba943db Uses a Portfolio object instead of an ndict. Eddie Hebert 2013-01-11 14:50:00 -05:00
• 0ecdac83f4 DOC: Typo. Thomas Wiecki 2012-12-30 21:47:17 -05:00
• abf482c2a6 MIN: Changed isinstance check to allow more types. Thomas Wiecki 2013-01-03 16:46:58 -05:00
• 456639d02c ENH: New batch_transform feature: compute_only_full. Thomas Wiecki 2012-12-30 17:26:07 -05:00
• 52b099f6db ENH: Added new kwarg to batch_transform: create_panel. Thomas Wiecki 2012-12-30 17:04:01 -05:00
• a63d4bca28 ENH: sid and field filter kwargs can also be strings or ints. Thomas Wiecki 2012-12-20 11:58:23 -05:00
• b815a57430 ENH: batch_transform now supports field filtering. Thomas Wiecki 2012-12-20 11:56:49 -05:00
• b68c51afb4 ENH: batch_transform now supports sid-filtering. DOC: Added docs to batch_transform. Thomas Wiecki 2012-12-20 11:09:32 -05:00
• 018ac67966 Uses vdot and numpy arrays for position totals. Eddie Hebert 2013-01-14 21:27:27 -05:00
• e7405d04ad Rolls over existing PerformancePeriod. Eddie Hebert 2013-01-14 21:13:45 -05:00
• 3227ba49a4 Upgrade requests module to 1.1.0 Jonathan Kamens 2013-01-14 11:05:58 -05:00
• fc031f9c39 Merge pull request #58 from quantopian/placeholder-object-in-performance-inner-loop Eddie Hebert 2013-01-12 13:57:01 -08:00
• 34d577d3d7 Recycles objects for positions. Eddie Hebert 2013-01-11 23:54:52 -05:00
• 1ddfadf5b4 Recycles the portfolio container to be passed to handle_data. Eddie Hebert 2013-01-11 23:30:43 -05:00
• ca9fdcfe84 Uses a Portfolio object instead of an ndict. Eddie Hebert 2013-01-11 14:50:00 -05:00
• df18dd1682 Merge pull request #54 from quantopian/enhance_batch_full_panel Eddie Hebert 2013-01-07 12:13:31 -08:00
• bf2e8e3586 DOC: Typo. Thomas Wiecki 2012-12-30 21:47:17 -05:00
• 471521f305 Merge pull request #53 from quantopian/performance-improvements-sorting-and-done-message Richard Frank 2013-01-07 10:13:09 -08:00
• ee02ff6445 Adds _ prefix to decorate_source to imply internal usage. Eddie Hebert 2013-01-07 13:03:12 -05:00
• 48b05397e2 MIN: Changed isinstance check to allow more types. Thomas Wiecki 2013-01-03 16:46:58 -05:00
• 0f88e4133d ENH: New batch_transform feature: compute_only_full. Thomas Wiecki 2012-12-30 17:26:07 -05:00