Merge Quantopian's zipline/master branch to zipline-live/master #25
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Useful for avoiding the need to create Asset objects when sids are easier to use. This is based off the existing implementation of StaticAssets, and StaticAssets is now implemented as a wrapper around StaticSids.
Allow DataPortal.get_spot_value to accept multiple assets
Add ContinuousFuture to lookup_generic
The CFE was closed along with the NYSE in observation of the days of mourning in honor of the passing of presidents Gerald Ford and Ronald Reagan. The CFE also observed the closures due to Hurricane Sandy, along with NYSE. Adding those adhoc holidays to exchange_calendar_cfe and removing them from cfe.csv in tests. To fit with USNationalDaysofMourning, also removing the closure in observation of the day of mourning in honor of the passing of president Nixon in 1994, despite the fact that the exchange did not exist at that time. Signed-off-by: Maxwell Rounds <maxwell.j.rounds@gmail.com>
ENH: Add CFE Adhoc Holidays
…-test TST: Adhoc holidays in CFEExchangeCalendar
MAINT: Add try finally block to deal with exceptions
…t-path.py ENH: Remove path.py as its not a dependency
* ENH: Use regular rounding to calculate order amounts. We previously tried to prevent accidental over-ordering by truncating orders down unless they were within 1e-4 of the next higher integer. Unfortunately, this makes it easy for a sell order to be one share short of the desired position. Using regular rounding treats both buys and sells in the same way. * ENH keep non-rounding behavior consistent, but leave code structured to make easier to override * DOC make round_order public and describe behavior in docstring
…e-cleanup STY: Cleanup trailing whitespace in resample module.
- Instead of maintaining a separate `j` value, set the bounds of the range so that `i` is the values emitted by the range. - Change `close_loc` to `prev_close_loc` since the market close location is used to ensure that the data index stops at the market open if the entire day is nans. - Change the setting of `loc` to be done before the loop which check for nans, instead of setting to the previous close loc at the end of the loop. This prepares for a separate fix to prevent out of bounds access when the first session has nans for all minutes.
MAINT: Clear up naming and logic in resample close.
Negative indexing in cython without wraparound
Make continuous future adjustment style an argument
Should be no functional change. By making the raise on `if not isinstance` instead of doing a continue on `if isinstance` (with a raise at the end of the loop if no 'good' conditions were met'), the function should be more amenable to adding an additional validity check, after the type check passes. This is on the path to adding an additional validity checks parameter to `check_parameters`, e.g. adding an 'is positive' check.
Add safeguard if current contract of continuous future is None
…ty-checks MAINT: Prepare parameter check for adding an additional check.
…ne-engine With equity pipeline engine
A TypeError exception was raised with message "Cannot join tz-naive with tz-aware DatetimeIndex". Removing old unnecessary workaround in `holidays_at_time` function (Pandas already fixed that before 0.18) fixes this issue.
BLD: Update CI files for py35
Fix bug in TradingCalendar initialization
Add this version to the Conda build matrix and to the setup.py file.
…ailures and updated base image from python 2.7 to 3.5
…ison MAINT: Remove __eq__ implementation from slippage
…ints_docker DOC: Add instructions for common Docker build failures
Do not explicitly round asset prices
BLD: Change url to just channel/label path
* BLD: Modify conda label for Travis CI We've been unnecessarily building packages that are already in the ci channel because conda build isn't respecting the full URL for that channel when using --skip-existing. We updated it to be just the name of the channel.
…k-source ENH: Add get_range to BenchmarkSource
…pian#1816) MAINT: Remove environment as an argument to benchmark source. To allow the BenchmarkSource class to be more easily used in contexts other than a TradingAlgorithm, remove the TradingEnvironment as an argument to the benchmark source. Instead: - Pass a benchmark Asset, instead of a bencmark sid; so that the asset_finder does not need to be passed to the benchmark source. - Pass the pre-calculated benchmark_returns instead of an env, which contains the benchmark_returns; a consumer can let the benchmark_returns stay as the default of `None` when using an asset. We may want to further refactor and make two different classes, instead of relying on a combination of existence/non-existence of benchmark_asset and benchmark_returns. That refactoring should be easier to do with this change.
MAINT: Switch to https
BLD: Add some missing Python 3.5 references
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Tests are failing due to PEP8 problems in @pbharrin : do you mind if I remove that file? |
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@tibkiss you can remove live_demo.py, it is no longer needed. |
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Changes Unknown when pulling 5cb266a on tibkiss:merge_upstream_20170601 into ** on zipline-live:master**. |
bartosh
approved these changes
Jun 1, 2017
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Thanks for merging, Ed! |
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btw, are you going to rebase live branch the same way? |
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This is the first step of moving live branch into master.
Bringing zipline-live's master in sync with Quantopian's master.