simple transforms #429
simple transforms #429
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| @@ -1,5 +1,5 @@ | |||
| # | |||
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Note: The diff here is crazy; however, this file was re-written entirely.
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"454 additions and 942 deletions. " <- that's great! |
| self.registered_transforms[tag] = {'class': transform_class, | ||
| 'args': args, | ||
| 'kwargs': kwargs} | ||
| self.add_history(2, '1d', 'price') |
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So returns are always daily?
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Yes, because a history of '1d' in daily will have index -1 be the current minute's price, this gives us the price and yesterday's eod price.
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So I just can't get minute returns. I suppose that wasn't possible before either?
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| def __init__(self, initial_values=None): | ||
| if initial_values: |
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Always better to check explicitly initial_values is not None
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I think that leaving the implicit truth value here is okay because if initial_values={} then this should still be avoided.
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I like this a lot. My main concern is the complexity inside of https://github.com/quantopian/zipline/pull/429/files#diff-318b64beea94178a9d6b7fa10381f433R280. I suppose it's necessary for all that smart caching. Could the complexity be reduced by caching less? |
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transforms to quantopian syntax. Adds the sid attribute to the siddata so it is aware of which security it represents.
more efficient means of jumping larger gaps of dates. Adds a docstring to explain the usage of the function.
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Removes the old transform classes and machinery to make simple transforms use history under the hood.
Changes the
add_transformmethod to accept a string naming the simple transform and a window length (unless you pass returns).simple transforms are now actual methods on the SIDData that do internal calls to history and apply the proper transforms.