Richard Frank
bc9e754181
TST: Test that sharpe calculation succeeds with 0.0 benchmark
2020-07-16 10:36:04 -04:00
Richard Frank
abd4c61c64
TST: Generate test names and order deterministically
...
so they can be parallelized across boxes reliably
2019-09-13 10:26:23 -04:00
vikram-narayan
d708817e44
MAINT: use ISO 10383 codes for exchanges
2018-10-01 12:45:27 -04:00
Andrew Daniels
1ca8d8b1ea
TST: Update some overrides of make_equity_daily_bar_data to use sids arg
2018-09-22 20:52:55 -04:00
Andrew Daniels
adce6ff549
TST: Refactor make_equity_daily_bar_data to take sids and a country code
...
On the path of allowing for tests to easily set up data across multiple
countries.
Most of the existing overrides have just been updated to take the new
signature without any other changes. They'll be update to incorporate
the new parameters in a subsequent commit.
2018-09-22 20:52:55 -04:00
Joe Jevnik
275527b86b
ENH: Store more information about exchanges
2018-07-27 15:38:31 -04:00
Scott Sanderson
ce2a2363f8
MAINT: Remove TradingEnvironment.
2018-07-17 09:45:05 -04:00
Jacob Nazarenko
ce69ad0e28
ENH: custom class registration support ( #2210 )
...
Adds support for registration of custom classes and specification of custom command line arguments. See the description of #2210 for more information.
2018-07-12 17:58:59 -04:00
Jacob Nazarenko
7e642c8e7e
BUG: Fix rounding error in StopOrder/LimitOrder ( #2211 )
...
Includes a reorganization of the `Asset` class, as well as the revision in the logic of rounding in the `StopOrder`, `LimitOrder`, and `StopLimitOrder` classes. Some fields such as `price_multiplier` and `tick_size` have been moved up to the `Asset` class, and are now shared by futures and equities. Finally, all rounding done in the order classes will be based on the `tick_size` of assets.
2018-07-12 15:38:47 -04:00
Richard Frank
5ecb3b16c1
MAINT: Compat for normalize_date
2018-07-10 11:19:02 -04:00
Scott Sanderson
98c618c7ea
MAINT: Fix flake8.
2018-05-01 18:40:11 -04:00
Scott Sanderson
5d217aef1d
BUG: Fix broken commissions test.
2018-05-01 18:40:11 -04:00
Scott Sanderson
3cc73e6a65
MAINT: Use WithMakeAlgo in test_commissions.
2018-05-01 18:40:11 -04:00
Joe Jevnik
1f50b1b0d3
ENH: new risk metrics API
2018-02-26 17:48:14 -05:00
vikram-narayan
2f2aa17f8e
MAINT: set FixedBasisPointsSlippage as default
2018-01-19 14:08:40 -05:00
Scott Sanderson
dbd504ad0a
MAINT: Clarify test name.
2017-12-20 18:13:07 -05:00
vikram-narayan
3f849f142f
DOC: clarify test comment
2017-12-20 18:13:07 -05:00
vikram-narayan
9c5510253d
TST: add test_order_zero_shares
2017-12-20 18:13:07 -05:00
vikram-narayan
1dd8fc012c
TST: update test_broken_constructions
2017-12-13 17:37:03 -05:00
vikram-narayan
608cd285ea
STY: flake8
2017-12-13 17:25:02 -05:00
Scott Sanderson
d3485c7e89
Fixed bps slippage notes ( #2050 )
...
MAINT: PR Notes
2017-12-13 16:00:30 -05:00
vikram-narayan
bbf76b918d
TST: add volume limit tests
2017-12-12 19:30:34 -05:00
vikram-narayan
1b32f654ac
TST: add tests for shorts, less than vol limit
2017-12-12 10:38:28 -05:00
vikram-narayan
db7af4bda4
MAINT: use cls.asset_finder
2017-12-11 16:42:03 -05:00
vikram-narayan
ed8ffc3875
MAINT: set minutes array to one date
2017-12-11 16:40:00 -05:00
vikram-narayan
037bc52547
MAINT: don't set asset finder dates explicitly
2017-12-11 16:39:24 -05:00
vikram-narayan
8333a4d3a3
MAINT: remove unneeded WithSimParams
2017-12-11 16:02:23 -05:00
vikram-narayan
4c94cc6990
MAINT: add vol limit to FixedBasisPointsSlippage
2017-12-11 12:29:10 -05:00
vikram-narayan
d51d7f5a42
TST: add test_fixed_bps_slippage
2017-12-07 19:10:39 -05:00
Paul Sutherland
6a20636fcf
BUG per unit commissions should not be negative when shorting or selling ( #1849 )
...
* BUG per unit commissions should not be negative when shorting or selling
* BUG treat commission amounts as positive in Position object even if short position
* MAINT update example data for changes in short orders
* MAINT update example data for changes in short orders under python 3.5.2
* REV keep cost_basis consistent to what it already was
* STY removing unneeded line break
* TST add coverage for commissions' impact on cost_basis for shorts
2017-06-22 17:40:00 -04:00
Andrew Liang
a382dda034
MAINT: Remove __eq__ implementation from slippage
2017-05-22 23:00:24 -04:00
David Michalowicz
43d1af0240
MAINT: Refactor commission model class hierarchies
2017-05-12 12:31:36 -04:00
dmichalowicz
a4464e7d20
MAINT: Various futures slippage model fixes and cleanup
...
- Handle history lookback error before start date
- Adjust default futures slippage volume limit
- Allow subclassing EquitySlippageModel and FutureSlippageModel together.
2017-05-09 11:47:55 -04:00
Freddie Vargus
caed14adcc
Merge pull request #1746 from quantopian/update-transaction-repr
...
MAINT: Add better repr for transactions
2017-05-08 14:54:24 -04:00
Richard Frank
0e0cb2f343
BUG: Fixed abstractness of MarketImpactBase
2017-05-05 14:09:02 -04:00
Freddie Vargus
e0433c4718
MAINT: Add better repr for transactions
...
Flake8
2017-04-28 11:13:40 -04:00
dmichalowicz
6beb4d6a36
BUG: Futures slippage model could have zero transaction volume
2017-04-26 13:35:00 -04:00
dmichalowicz
dd21346eca
API: Add slippage and commission models for futures
2017-04-25 17:29:41 -04:00
Jean Bredeche
9a0d9d868c
REF: Remove asset_finder and multipliers from PositionTracker
2017-04-24 15:41:22 -04:00
Jean Bredeche
e429664fa6
REF: Blotter no longer needs AssetFinder
2017-04-24 15:41:21 -04:00
Jean Bredeche
b1248cb6d6
REF: Explicitly use Assets in Position, Order, Transaction
...
(Instead of `sid`, which were already usually assets)
Perf packets are unchanged and still emit `sid`: int
2017-04-24 15:41:13 -04:00
dmichalowicz
f6e1a95ca9
ENH: Preliminary support for Futures slippage and commission models
2017-04-10 14:37:20 -04:00
Jean Bredeche
f11b6467ac
Rename _attrs_to_check to asdict
2017-02-23 11:32:04 -05:00
Eddie Hebert
3d47aee2ab
STY: Wrap/reformat lines over 80 chars.
...
Newer versions of flake8 detect these versions, though current zipline version
of flake8 does not.
2017-02-08 00:47:33 -05:00
Jean Bredeche
0b8fee49d1
ENH: Solidify equality comparisons for SlippageModel classes
2017-01-24 11:28:32 -05:00
Jean Bredeche
a9c0ce1dde
ENH: Small refactoring of fill price check.
2017-01-18 09:22:05 -05:00
Andrew Liang
3b5031a829
MAINT: Rename restrictions.py to asset_restrictions.py
...
For clarity as to what sort of restrictions these are
2016-09-30 16:35:24 -04:00
Scott Sanderson
d47144dfb8
DOC: Rename NoopRestrictions to NoRestrictions.
2016-09-30 16:35:23 -04:00
Andrew Liang
5e276d0e72
TEST: Modify tests for extra BarData parameter
...
Introducing a WithCreateBarData fixture which allows for the
creation of a BarData using only the `simulation_dt_func` and
`restrictions` params. Assumes that each suite uses the same
`data_portal`, `data_frequency` and `trading_calendar`
2016-09-29 10:11:15 -04:00
Jean Bredeche
fbd3774278
ENH: Update can_trade to check exchange time
...
BarData now takes the trading calendar as a parameter.
can_trade now checks if the asset’s exchange is open at the current or
next market minute (defined by the given trading calendar).
2016-08-31 21:22:06 -04:00
