Files
catalyst/zipline/lib
Scott Sanderson 49bb8264dc ENH: Finish adding groupby to rank/top/bottom.
- Added test coverage for grouped and masked top/bottom.

- Added test coverage for grouped rank on datetime factors.

- Fixed an issue where grouped rank would fail on datetime inputs
  because unary-negative isn't defined for datetimes.  We now instead
  directly invoke a function from rank.pyx that does the normalizations
  as neeeded.

- Fixed an issue where GroupedRowTransform assumed that it produced the
  same dtype as its input.  This isn't true for rank() of a
  datetime-dtype factor.  GroupedRowTransform now takes a required dtype
  parameter.

- Similarly, fixed an issue where GroupedRowTransform assumed that its
  missing_value was the same as its parent's, which isn't true for
  rank() of a datetime-dtype factor.  GroupedRowTransform now takes a
  required dtype parameter.

- Fixed an issue where Factor.demean() and Factor.zscore() weren't
  properly cached because their static_identity included a closure that
  was dynamically generated on each invocation.  They both now always
  use a function defined at module scope.
2016-07-26 02:57:35 -04:00
..
2016-03-25 15:11:18 -04:00