ENH: Change default commission to .001#1946
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samklonaris
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After discussion with Josh, I also updated I had to update some of the tests too. Because the issue here: https://github.com/quantopian/zipline/blob/master/tests/resources/rebuild_example_data#L105 I can't rebuild the example data, so I had to manually set the commisions in each example to the old commision values so that the results would be the same. This should be a temporary fix until we can rebuld the example data again. @dmichalowicz do you mind taking a look again? |
| self.assertAlmostEqual(results.port_value.iloc[1], | ||
| 10000 + 780 - 392 - 1) | ||
| 10000 + 780 - 392 - 0, | ||
| places=2) |
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I was getting this failure '10387.99899997449 != 10388 within 7 places' without adding places=2 I'm not sure if there is a better way to do this.
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I think this is fine.
| self.assertAlmostEqual(results.port_value.iloc[1], | ||
| 10000 + 780 - 392 - 1) | ||
| 10000 + 780 - 392 - 0, | ||
| places=2) |
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I think this is fine.
| # Explicitly set the commission to the "old" value until we can | ||
| # rebuild example data. | ||
| # github.com/quantopian/zipline/blob/master/tests/resources/ | ||
| # rebuild_example_data#L105 |
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TLDR: What you have here is good.
It's actually still possible to rebuild the example data (with a couple minor tweaks), I did so here only about a month ago. We now get benchmark data from Google instead of Yahoo, as seen here.
However, it appears that as of only a week or two ago, Google changed the URL from which they are serving their financial data, causing pandas datareader to break. As a result, after checking out your branch I was unable to rebuild the data like I was previously (without having to either (1) make our own pandas-datareader fork, or (2) make a bunch of extra changes to the tests and test dates; neither of which I want or think we need to do).
For more info see the following:
- It seems that Google does no longer provide historical stock data? pydata/pandas-datareader#391
- https://stackoverflow.com/questions/46259528/datareader-google-finance-date-not-working/46356247#46356247
- https://stackoverflow.com/questions/46243360/google-api-changed-for-data-from-google-finance
All that being said, I think your solution of keeping the old parameters for now is best. When the pandas datareader issue is fixed though I think this may be worth revisiting.
@richafrank @freddiev4 Is this breakage something we should be worried about anywhere else?
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Yea, I think we need to revisit our benchmark downloading, either fixing google, adding back yahoo (via pandas-datareader if it supports it), or both.
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@srklonaris Looks good to me |
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@srklonaris Quick note before you merge, I would rebase this off of master first as it looked like it was branched off a really old commit |
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Change default commission to .001 to be consistent with the contest.