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252 commits

Author SHA1 Message Date
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
Scott Sanderson
60a671e2c5 MAINT: Prevent inconsistent calendars. 2018-07-17 09:45:05 -04:00
Scott Sanderson
ce2a2363f8 MAINT: Remove TradingEnvironment. 2018-07-17 09:45:05 -04:00
Scott Sanderson
b8c1824686 MAINT: Remove data_frequency from blotter. 2018-07-16 16:06:34 -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
Vikram Narayan
f61d3dfb14
Merge pull request #2219 from quantopian/use-trading-calendars 
use trading_calendars in zipline
 2018-07-02 11:59:27 -04:00
vikram-narayan
d4ba48709d MAINT: use trading_calendars in zipline 
- remove zipline.utils.calendars
- update imports
- add trading-calendars to requirements
 2018-07-02 11:10:49 -04:00
Preston Yadegar
5a16574e1a ENH: prevent zero capital base runs from zipline 
FIX: squashing commits

FIX: remove duplicate error message
 2018-06-26 12:41:54 -04:00
Scott Sanderson
d4de30860b MAINT: Remove unused imports. 2018-05-22 10:03:36 -04:00
Scott Sanderson
2ae0c14074 MAINT: Remove more algorithm subclass usages. 2018-05-22 10:03:36 -04:00
Scott Sanderson
729524e81f MAINT: Update input validation test to use fixture 2018-05-22 10:03:36 -04:00
Scott Sanderson
56321d6f4d TEST: Use WithMakeAlgo for auto close tests. 2018-05-22 10:03:36 -04:00
Scott Sanderson
b6128840f4 MAINT: Use algo fixture in TestFuturesAlgo. 2018-05-22 10:03:36 -04:00
Scott Sanderson
f9cffa053f MAINT: Use fixtures in TestOrderCancellation. 2018-05-22 10:03:36 -04:00
Scott Sanderson
0f3e3b6f89 MAINT: Update TestTradingAlgorithm. 2018-05-22 10:03:36 -04:00
Scott Sanderson
10cea4c3ab TEST: Remove skipped test. 
We have coverage elsewhere for `order_target` for futures.
 2018-05-22 10:03:36 -04:00
Scott Sanderson
2cd1f2e9d0 MAINT: Remove commented test suite. 
We have coverage elsewhere for delisted assets.
 2018-05-22 10:03:36 -04:00
Scott Sanderson
7723c19297 DOC: Fix typo. 2018-05-18 16:57:07 -04:00
Scott Sanderson
97d2938a6a MAINT: Use fixture in TestTradingControls. 2018-05-18 16:57:07 -04:00
Scott Sanderson
e3f328da1f MAINT: Unbreak remaining test_algorithm suites. 2018-05-07 21:59:47 -04:00
Scott Sanderson
538e1f7f7a MAINT: Drop TestPanelData. 
- We're going to drop support for this feature soon, so it's not worth
  refactoring the test suite.
 2018-05-07 21:59:47 -04:00
Scott Sanderson
81441847e8 MAINT: Use WithMakeAlgo for TestOrderAfterDelist. 2018-05-07 21:59:47 -04:00
Scott Sanderson
d208bde165 MAINT: Use WithMakeAlgo in TestGetDatetime. 2018-05-07 21:59:47 -04:00
Scott Sanderson
f72d91f4fe MAINT: Use WithMakeAlgo in TestCapitalChanges. 2018-05-07 21:59:47 -04:00
Scott Sanderson
f13fa2b329 MAINT: Use WithMakeAlgo in TestAlgoScript. 2018-05-07 21:59:47 -04:00
Scott Sanderson
b3a2f756e2 MAINT: Use WithMakeAlgo in TestBeforeTradingStart. 2018-05-07 21:59:47 -04:00
Scott Sanderson
242bd2721a MAINT: Rework TestTransformAlgorithm. 
- Move ordering tests to a new `test_ordering` suite.
- Drop `test_data_frequency_setting`.
 2018-05-07 21:59:47 -04:00
Scott Sanderson
9f812e96d2 MAINT: Update TestMiscellaneousAPI to use fixtures 2018-05-07 21:59:47 -04:00
Scott Sanderson
673ed6071c MAINT: Use fixture in WithRecordAlgorithm. 2018-05-07 21:59:47 -04:00
Joe Jevnik
1f50b1b0d3 ENH: new risk metrics API 2018-02-26 17:48:14 -05:00
Richard Frank
fbfba16fe8 TST: Updated daily history test to look at daily history 2018-02-06 11:03:00 -05:00
Richard Frank
93fa848c19 BUG: cal attribute of aggregate rules was not being propagated 2018-01-26 17:34:17 -05:00
vikram-narayan
2f2aa17f8e MAINT: set FixedBasisPointsSlippage as default 2018-01-19 14:08:40 -05:00
Samantha Klonaris
fa711f87ff Create MinLeverage control 2017-12-29 14:45:42 -05:00
Joe Jevnik
5b503823fb MAINT: duplicate definition of nop_context 2017-11-10 16:19:00 -05:00
Samantha Klonaris
49db00887f ENH: Change default commission to .001 and default minimum cost per trade to 0 2017-09-26 14:13:58 -04:00
Nathan Wolfe
64af3d3ff2 BUG: Fix daily history for minute panel data backtest (#1920) 
* BUG: Fix daily history for minute panel data backtest
 2017-09-22 11:00:01 -04:00
David Michalowicz
cfa7600dce Perform account validation at the end of the day 2017-07-28 17:25:28 -04:00
David Michalowicz
caa75383c3 REF: Change auto close to happen at session end 2017-07-20 16:41:14 -04:00
David Michalowicz
602a799a6b Fix weights calculation to use portfolio value as denominator 2017-06-07 15:46:45 -04:00
David Michalowicz
568bf0aa59 ENH: Add method for computing current portfolio weights 2017-06-07 13:13:14 -04:00
Richard Frank
8734224701 TST: Use testing market data with run_algorithm 
so env doesn't need to download it
 2017-05-18 12:54:06 -04:00
Richard Frank
3ca5a15859 TST: Use fixture's data with tmp_trading_env 
instead of env needing to download it
 2017-05-18 12:54:05 -04:00
Richard Frank
955862b4b3 TST: Use fixture's trading env for FakeDataPortal or TradingAlgo 
to avoid a new trading env needing to download data unnecessarily
 2017-05-18 11:55:48 -04:00
Scott Sanderson
d653820be3 MAINT: batch_order_target_percent -> batch_market_order. 
The only downstream contex that was using batch_order_target_percent
already had all necessary prices, so calling batch_order_target_percent
was wasteful.
 2017-05-09 13:52:57 -04:00
Andrew Daniels
0d9f4d29f5 MAINT: Handle gaps in input to daily bars writer (#1778) 
Previously, a dataframe passed into BcolzDailyBarWriter.write that was
missing an expected session between its first and last sessions would be
written incorrectly. Upon converting the dataframe to a ctable, the
values for all days following the gap would be shifted backwards, and
nans would be shifted in at the end.

This commit handles the issue by asserting that the number of rows in
the input table matches the number of sessions in the calendar between
the table's first and last sessions.

Also fixes a test that was mistakenly using minutes_in_range where it
should have been using sessions_in_range (uncovered by this change).
 2017-05-03 20:49:22 -04:00
dmichalowicz
dd21346eca API: Add slippage and commission models for futures 2017-04-25 17:29:41 -04:00
Jean Bredeche
e429664fa6 REF: Blotter no longer needs AssetFinder 2017-04-24 15:41:21 -04:00