Thomas Wiecki 3ea8ac8da2 BUG: Fix updating of trading_days_total in minute. ...

In the batch_transform we were incrementing the trading_days counter if there
is a new day event. Thus with a window_length of 1 and daily bars you will
update the batch_transform on the first day which is correct. But with minutes
you update with the first minute bar of the day which is not correct.

This is fixed by calculating the market_close explicity and seeing whether the
event.dt is on or past it.

I also added a unittest to test the correct behavior of this.

2013-05-16 14:51:19 -04:00

..

finance

MAINT: refactoring for orders api

2013-04-26 19:45:59 -04:00

__init__.py

Moved the test folder.

2012-05-09 13:34:13 -04:00

test_algorithm_gen.py

BUG: Fix environment minute date range start and volume.

2013-04-15 16:35:41 -04:00

test_algorithm.py

TST: Explicitly define the data frequency of record incr test.

2013-04-25 01:12:58 -04:00

test_batchtransform.py

BUG: Fix updating of trading_days_total in minute.

2013-05-16 14:51:19 -04:00

test_data_util.py

ENH: prototype data structure for managing a rolling datapanel

2013-04-29 15:19:02 -04:00

test_events_through_risk.py

BUG: Fix out of order emission of performance with minutely data.

2013-05-08 21:20:25 -04:00

test_examples.py

TST: Added unittest that runs all examples.

2013-05-02 16:33:08 -04:00

test_exception_handling.py

REL: Update copyright on all files touched since end of 2012.

2013-04-05 14:28:15 -04:00

test_finance.py

MAINT: refactoring for orders api

2013-04-26 19:45:59 -04:00

test_minute_risk.py

ENH: Add basis for minute rate emission of performance.

2013-04-25 16:49:38 -04:00

test_perf_tracking.py

MAINT: Rename perfomances intraday_perf to minute_perf.

2013-05-07 19:21:20 -04:00

test_quarter_utils.py

Updates quarter utilities to fix offset.

2012-11-28 10:53:08 -05:00

test_risk_compare_batch_iterative.py

TST: Fix increment in risk test that drops leading values.

2013-05-08 08:31:08 -04:00

test_risk.py

MAINT: Use pd.Series for benchmarks and algorithm returns in risk.

2013-04-15 11:37:21 -04:00

test_sources.py

REL: Update copyright on all files touched since end of 2012.

2013-04-05 14:28:15 -04:00

test_tradingcalendar.py

REL: Update copyright on all files touched since end of 2012.

2013-04-05 14:28:15 -04:00

test_transforms.py

BUG: Fix off-by-one error in TALib wrapper.

2013-05-11 15:42:27 -04:00

test_utils.py

REL: Update copyright on all files touched since end of 2012.

2013-04-05 14:28:15 -04:00