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  • f60794067e reworked directory Stephen Diehl 2012-05-09 09:12:11 -04:00
  • 602f70d0fe flattened the finance package. draft test for vwap in a complete zipline. fawce 2012-05-08 17:12:41 -04:00
  • a48db838c1 refactored transforms to be a package. added vwap, moving average, returns. basic tests for calculations, need to add a test to run the calculations in a zipline. fawce 2012-05-08 13:07:55 -04:00
  • c6947ee72c Merge pull request #42 from quantopian/fawce_sprint5 fawce 2012-05-07 12:43:47 -07:00
  • 9b42a1e63f draft of a vwap transform. fawce 2012-05-04 13:32:29 -04:00
  • 4da50156e7 added a test to mix long/short orders fawce 2012-05-02 11:10:03 -04:00
  • a60154dd6b intersticial commit for transforms fawce 2012-05-01 16:00:53 -04:00
  • e4a0c7af7f added initialize method to the algorithm protocol. fawce 2012-05-01 15:25:04 -04:00
  • ceab47b59e Merge pull request #41 from quantopian/cancellation2 Stephen Diehl 2012-05-01 10:32:55 -07:00
  • 79318e98e1 Merge branch 'master' of github.com:quantopian/zipline Thomas Wiecki 2012-05-01 07:31:10 -04:00
  • 0cf48698b8 Dispatch cancellation in REQ/REP Stephen Diehl 2012-04-27 15:56:30 -04:00
  • d9294d2ff9 Base class for transitions. Stephen Diehl 2012-04-26 21:21:57 -04:00
  • cfe71196c5 Fail on timeouts & timeout handlers. Stephen Diehl 2012-04-26 14:45:28 -04:00
  • 08f7b115ac Cleaner exception/shutdown procedures. Stephen Diehl 2012-04-26 14:42:38 -04:00
  • e0d3811aed Fail fast in monitor on errors. Stephen Diehl 2012-04-26 14:26:06 -04:00
  • d09aa1ad93 Make monitor have proper state transitions. Stephen Diehl 2012-04-26 13:52:46 -04:00
  • 0bf425a8dc initial work on new protocol Stephen Diehl 2012-04-25 19:52:14 -04:00
  • f391519285 Merge pull request #40 from quantopian/fawce_sprint4 jbredeche 2012-04-25 09:01:41 -07:00
  • a6a1bdae0a Merge branch 'master' of github.com:quantopian/zipline Thomas Wiecki 2012-04-25 10:06:18 -04:00
  • 54f8d7d013 removed lines sending messages to the control channel, simplified logic for handling max loss case, DONE'ing trading client on max loss. Zipline continues to run until all components are finished. fawce 2012-04-24 17:51:02 -04:00
  • 1f04ee4ece committed a set_trace... fawce 2012-04-23 21:04:51 -04:00
  • fe793b503d hotpatching a merge error (duplication of the max dd check). fawce 2012-04-23 20:50:08 -04:00
  • 1030182e6d Merge pull request #39 from quantopian/fawce_sprint3 fawce 2012-04-23 14:17:11 -07:00
  • 54d3579ceb added boolean to results for exceeding max losses in a single simulated day. fawce 2012-04-23 15:10:44 -04:00
  • 17f17eceb2 Merge branch 'master' of github.com:quantopian/zipline Thomas Wiecki 2012-04-23 07:21:46 -04:00
  • 1d9953255a added stop out for max drawdown. fawce 2012-04-20 23:41:23 -04:00
  • 308bd5724f Merge pull request #38 from quantopian/heartless fawce 2012-04-20 18:49:47 -07:00
  • bab0e2bd19 made distinction between cumulative behavior and daily behavior a bit more clear. fawce 2012-04-20 15:08:39 -04:00
  • bc14e7e3b7 zipline, now a cold, heartless, http://open.spotify.com/track/1xshgoh575otNXRfeYgh9D Pretty fast too... fawce 2012-04-20 11:45:57 -04:00
  • 28c380c245 removed heartbeat on every iteration, resulted in a 50% reduction in processing time per day. However, the big lesson from this experiment is that the major bottleneck is in the feedback loop. By eliminating the feedback loop and instead putting the transaction simulation into the client end of the zipline, I think we could accelerate by 10x. fawce 2012-04-20 00:58:24 -04:00
  • d8c3ab151f trying to make jenks install iso8061 fawce 2012-04-20 12:16:42 -04:00
  • 7408e207f1 Merge pull request #37 from quantopian/mo_mongo fawce 2012-04-20 09:08:21 -07:00
  • e2d1c580d3 Resolved conflict. Thomas Wiecki 2012-04-20 09:33:57 -04:00
  • 6f5e9b0559 fixed documentation fawce 2012-04-19 23:32:37 -04:00
  • 08a5bd5a0d re-arranged fields so that history includes daily snapshots for cumulative measures. fawce 2012-04-19 23:27:35 -04:00
  • ddb1c51569 moved epoch_now to date_utils fawce 2012-04-18 23:14:21 -04:00
  • 1c65cc30a5 Merge pull request #36 from quantopian/fawce_dates fawce 2012-04-18 14:15:24 -07:00
  • 68040bad9a consolidated some of the date util methods. added iso8061 support fawce 2012-04-18 17:11:01 -04:00
  • 12d3963431 Merge pull request #35 from quantopian/bt_persist fawce 2012-04-18 09:45:29 -07:00
  • 1b5b92d75f dropped unwanted fields. fawce 2012-04-18 12:27:09 -04:00
  • 6561292e4c some efficiency changes - no longer transferring the list of daily returns, no longer holding transactions in the daily and the cumulative performance periods. fawce 2012-04-18 10:55:21 -04:00
  • 7eb0ba67ac clarifying the results protocol for the backtest. fawce 2012-04-17 17:54:25 -04:00
  • 309f78a030 modification of the transport protocol -- keeping it close to the export of data from the performance tracker. fawce 2012-04-16 22:09:16 -04:00
  • 5fd30216e5 revised protocol to maintain original structure. fawce 2012-04-16 16:33:53 -04:00
  • 2fcb68f59e Merge branch 'master' of github.com:quantopian/zipline fawce 2012-04-18 12:36:32 -04:00
  • 89e6796062 Merge pull request #34 from quantopian/ndicts fawce 2012-04-18 09:36:11 -07:00
  • 864899003b Clean up test case. Stephen Diehl 2012-04-18 12:29:40 -04:00
  • 28f975fd55 Don't replace right now. Stephen Diehl 2012-04-18 11:19:10 -04:00
  • b3de0a2fcc Added ndict test suite. Stephen Diehl 2012-04-18 11:18:48 -04:00
  • e2638f1cbb Fixed arguments on magic methods. Stephen Diehl 2012-04-18 11:01:12 -04:00
  • daaa45e9c1 Namedicts edges fixed, and awesomer ndict Stephen Diehl 2012-04-18 10:53:04 -04:00
  • 9db18846c9 fixed type-os in serialization code fawce 2012-04-16 13:37:54 -04:00
  • 25d43b51f6 Merge pull request #33 from quantopian/fawce_sprint1 fawce 2012-04-16 09:09:13 -07:00
  • bd616a9ec0 eliminated special handling for non-blocking components. fawce 2012-04-16 12:06:39 -04:00
  • 2dddfbb1a5 Merge pull request #32 from quantopian/fawce_sprint1 fawce 2012-04-16 08:10:17 -07:00
  • 02d7f0a4c8 heavy work on the feedback loop from trade client to order source. tests are passing using a busy wait inside the trade client. hopefully we can find a more elegant approach. fawce 2012-04-14 15:09:52 -04:00
  • 4486dd0cad removed some straggling test code. fawce 2012-04-13 16:54:49 -04:00
  • 38982fcdab major fix is with the non-blocking behavior of order source. also fixed time-compression in the trading client. fawce 2012-04-13 15:08:17 -04:00
  • dfc3523197 fixed default to be partial fill fawce 2012-04-13 09:58:12 -04:00
  • 1559a84c7b added simulation style to transation simulator, to facilitate tests. Fixed roll-over bug in max cap and max leverage calculation. fawce 2012-04-13 09:53:20 -04:00
  • aea2e1189c fixes to the calculation of transactions and associated tests for long and short orders. fawce 2012-04-12 10:46:10 -04:00
  • b78097241a rounded out tests to cover more trading cases (spreading, collapsing, expiring) fawce 2012-04-11 12:00:16 -04:00
  • f759cac61b added a simple test for the transaction simulator, heavily revised the simulator as a result. fawce 2012-04-10 22:46:50 -04:00
  • db7a4d2f91 Merge pull request #29 from quantopian/fawce_sprint1 fawce 2012-04-10 11:17:37 -07:00
  • 368341ce61 moved transaction store to PerformancePeriod. added the position data to the performance message. fawce 2012-04-10 14:12:03 -04:00
  • 013e23383c ENH: Loading of benchmark data now path independent. BUG: Correctly close file descriptor after use. ENH: Use attrgetter instead of lambda function to sort keys. ENH: Added package_data so that benchmark datasets will get installed. Thomas Wiecki 2012-04-10 10:18:18 -04:00
  • 8ce5159e91 Merge pull request #30 from quantopian/stable_upstream fawce 2012-04-10 08:00:39 -07:00
  • ea340b6186 Datetime subclasses with tzinfo=UTC by default Stephen Diehl 2012-04-10 08:30:37 -04:00
  • 6f27009e82 Started datetime utiles lib. Stephen Diehl 2012-04-10 00:30:53 -04:00
  • 2eeb92442e added transactions to the daily update objects. fawce 2012-04-10 00:02:54 -04:00
  • 04d389b774 Remove old pandas-zmq protocol. Stephen Diehl 2012-04-09 23:43:53 -04:00
  • 1ddca6e6e0 Merge pull request #28 from twiecki/patch-1 fawce 2012-04-09 17:24:04 -07:00
  • 55b8ccbb3c DOC: Added missing etc path to README.md. Minor restructuring of text. Thomas Wiecki 2012-04-09 18:51:33 -03:00
  • 6bc3e7df20 Merge pull request #27 from quantopian/date_fixes fawce 2012-04-09 08:12:56 -07:00
  • 73d63057c1 Updated ordersource to be concurrency agnostic! fawce 2012-04-09 11:10:41 -04:00
  • 6c71169f47 Merge pull request #26 from quantopian/date_fixes fawce 2012-04-09 07:35:26 -07:00
  • 14166ccc30 dropped the extra days in trading range... fawce 2012-04-09 10:31:11 -04:00
  • 57c39bf615 switching to only calculate the returns and risk on market close, rather than per trade. fawce 2012-04-09 10:20:08 -04:00
  • 1dbe0975fc NumpyChannel Stephen Diehl 2012-04-09 07:55:11 -04:00
  • aa2bcdf83e ending values for portfolio, equity, and cash in cumulative were removed, because they are redundant to the same values in daily. Also removed starting cash, as it is unchanging and equal to the capital base. fawce 2012-04-08 21:09:42 -04:00
  • 237b42c11e switched reporting to provide cash, equity, and total portfolio value fawce 2012-04-08 13:53:40 -04:00
  • 16ceb68c7c Move zmq topology mapper to dev/ folder Stephen Diehl 2012-04-07 09:58:50 -04:00
  • 37a8bda4b2 fixed bogus initial portfolio value (should be zero). fawce 2012-04-06 22:31:35 -04:00
  • 30dfc86ba9 fixed dates front to back to be proper market open/close, and to use start/end first_open/last_close from the TradingEnvironment. fawce 2012-04-06 20:49:56 -04:00
  • 80bfbd5dcb Performance reports take either socket address or socket. Stephen Diehl 2012-04-06 13:31:39 -04:00
  • 5aee03212d Replayable error log. Stephen Diehl 2012-04-06 12:39:27 -04:00
  • 70d32f1bbc Merge branch 'master' of github.com:quantopian/zipline fawce 2012-04-05 23:54:04 -04:00
  • 130b996a63 dropped the cursor from the protocol in zipline. fawce 2012-04-05 23:43:56 -04:00
  • cad62346e7 updated zipline to fix missing fields in the performance and risk messages. also moved cumulative performance to be a sub component of the daily performance object. fawce 2012-04-05 23:35:21 -04:00
  • dea4271fbd Merge branch 'master' of github.com:quantopian/zipline Stephen Diehl 2012-04-05 14:52:58 -04:00
  • b924f57e53 "Fix" for hanging tests in simulator. Stephen Diehl 2012-04-05 14:52:43 -04:00
  • aaf2fae2b8 patched guard logic in max drawdown calculation. needs real work. fawce 2012-04-05 12:43:43 -04:00
  • 14b57dad07 patching the filter test because we are now trying to calculate end of test risk fawce 2012-04-04 18:44:19 -04:00
  • 21f0f13e3b Merge pull request #25 from quantopian/exception_reporting Stephen Diehl 2012-04-04 15:24:12 -07:00
  • 4998bc2e37 Send a soft kill, not a hard kill. Stephen Diehl 2012-04-04 18:23:06 -04:00
  • 70cae31442 Merge pull request #23 from quantopian/integration fawce 2012-04-04 15:05:35 -07:00
  • 50591c9913 Merge pull request #24 from quantopian/exception_reporting fawce 2012-04-04 15:05:05 -07:00
  • c4dbec1e30 MergedParallelBuffer -> Merge, ParallelBuffer -> Feed Stephen Diehl 2012-04-04 18:03:13 -04:00
  • 4adf8ff854 changes risk report period label to YYYY-MM format fawce 2012-04-04 17:01:49 -04:00
  • f3035c5739 monitor.py killing softly Stephen Diehl 2012-04-04 14:32:31 -04:00