ENH: Adds Security cython class in new package 'zipline.assets'

The class is not yet used. Adding this class is part of the effort to allow Zipline
simulation of more types of assets than stocks.

DEV: Adds build_ext to .travis.yml

.travis.yml

@@ -41,6 +41,7 @@ install:
   - grep nose-ignore-docstring== etc/requirements_dev.txt | xargs pip install
   - pip install coveralls
   - pip install nose-timer
+  - python setup.py build_ext --inplace
 before_script:
   - "flake8 zipline tests"
 script:

setup.py

@@ -14,7 +14,17 @@
 # See the License for the specific language governing permissions and
 # limitations under the License.
 
-from setuptools import setup, find_packages
+from setuptools import setup, find_packages, Extension
+from Cython.Build import cythonize
+import numpy as np
+
+ext_modules = [
+    Extension(
+        'zipline.assets._securities',
+        ['zipline/assets/_securities.pyx'],
+        include_dirs=[np.get_include()],
+    ),
+]
 
 setup(
     name='zipline',
@@ -23,6 +33,7 @@ setup(
     author='Quantopian Inc.',
     author_email='opensource@quantopian.com',
     packages=find_packages(),
+    ext_modules=cythonize(ext_modules),
     scripts=['scripts/run_algo.py'],
     include_package_data=True,
     license='Apache 2.0',
@@ -45,9 +56,10 @@ setup(
         'requests',
         'numpy',
         'pandas',
-        'six'
+        'six',
+        'Cython==0.20.1'
     ],
-    extras_require = {
+    extras_require={
         'talib':  ["talib"],
     },
     url="http://zipline.io"

tests/test_assets.py

@@ -0,0 +1,49 @@
+#
+# Copyright 2015 Quantopian, Inc.
+#
+# Licensed under the Apache License, Version 2.0 (the "License");
+# you may not use this file except in compliance with the License.
+# You may obtain a copy of the License at
+#
+#     http://www.apache.org/licenses/LICENSE-2.0
+#
+# Unless required by applicable law or agreed to in writing, software
+# distributed under the License is distributed on an "AS IS" BASIS,
+# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+# See the License for the specific language governing permissions and
+# limitations under the License.
+
+"""
+Tests for the zipline.assets package
+"""
+
+from unittest import TestCase
+
+from zipline.assets._securities import Security
+
+
+class SecurityTestCase(TestCase):
+
+    def test_security_object(self):
+        self.assertEquals({5061: 'foo'}[Security(5061)], 'foo')
+        self.assertEquals(Security(5061), 5061)
+        self.assertEquals(5061, Security(5061))
+
+        self.assertEquals(Security(5061), Security(5061))
+        self.assertEquals(int(Security(5061)), 5061)
+
+        self.assertEquals(str(Security(5061)), 'Security(5061)')
+
+        # TODO: we can't provide this property while subclassing
+        # int. Need to subclass object to fix all the following
+        # cases.
+        # assert Security(5061) != 5061.0
+
+        # with self.assertRaises(TypeError):
+        #    assert Security(5061) + Security(5061)
+
+        # with self.assertRaises(TypeError):
+        #    print float(Security(5061))
+
+        # with self.assertRaises(TypeError):
+        #    print float(Security(5061))

zipline/assets/__init__.py

@@ -0,0 +1,14 @@
+#
+# Copyright 2015 Quantopian, Inc.
+#
+# Licensed under the Apache License, Version 2.0 (the "License");
+# you may not use this file except in compliance with the License.
+# You may obtain a copy of the License at
+#
+#     http://www.apache.org/licenses/LICENSE-2.0
+#
+# Unless required by applicable law or agreed to in writing, software
+# distributed under the License is distributed on an "AS IS" BASIS,
+# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+# See the License for the specific language governing permissions and
+# limitations under the License.

zipline/assets/_securities.pyx

@@ -0,0 +1,174 @@
+#
+# Copyright 2015 Quantopian, Inc.
+#
+# Licensed under the Apache License, Version 2.0 (the "License");
+# you may not use this file except in compliance with the License.
+# You may obtain a copy of the License at
+#
+#     http://www.apache.org/licenses/LICENSE-2.0
+#
+# Unless required by applicable law or agreed to in writing, software
+# distributed under the License is distributed on an "AS IS" BASIS,
+# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+# See the License for the specific language governing permissions and
+# limitations under the License.
+
+"""
+Cythonized Security object.
+"""
+cimport cython
+
+import numpy as np
+cimport numpy as np
+
+
+cdef class Security:
+
+    cdef readonly int sid
+    # Cached hash of self.sid
+    cdef int sid_hash
+
+    cdef readonly object symbol
+    cdef readonly object security_name
+
+    # TODO: Maybe declare as pandas Timestamp?
+    cdef readonly object start_date
+    cdef readonly object end_date
+    cdef public object first_traded
+
+    cdef readonly object exchange
+
+    def __cinit__(self,
+                  int sid, # sid is required
+                  object symbol="",
+                  object security_name="",
+                  object start_date=None,
+                  object end_date=None,
+                  object first_traded=None,
+                  object exchange=""):
+
+        self.sid           = sid
+        self.sid_hash = hash(sid)
+        self.symbol        = symbol
+        self.security_name = security_name
+        self.exchange      = exchange
+        self.start_date    = start_date
+        self.end_date      = end_date
+        self.first_traded  = first_traded
+
+    def __int__(self):
+        return self.sid
+
+    def __hash__(self):
+        return self.sid_hash
+
+    property security_start_date:
+        """
+        Alias for start_date to disambiguate from other `start_date`s in the
+        system.
+        """
+        def __get__(self):
+            return self.start_date
+
+    property security_end_date:
+        """
+        Alias for end_date to disambiguate from other `end_date`s in the
+        system.
+        """
+        def __get__(self):
+            return self.end_date
+
+    def __richcmp__(self, other, int op):
+        """
+        Cython rich comparison method.  This is used in place of various
+        equality checkers in pure python.
+
+        <	0
+        <=	1
+        ==	2
+        !=	3
+        >	4
+        >=	5
+        """
+        cdef int other_as_int
+        if isinstance(other, Security):
+            other_as_int = other.sid
+        elif isinstance(other, int):
+            other_as_int = other
+        else:
+            retvals = [True, True, False, True, False, False]
+            return retvals[op]
+
+        compared = cmp(self.sid, other_as_int)
+
+        # Handle == and != first because they're significantly more common
+        # operations.
+        if op == 2:
+            # Equality
+            return compared == 0
+        elif op == 3:
+            # Non-equality
+            return compared != 0
+        elif op == 0:
+            # <
+            return compared == -1
+        elif op == 1:
+            # <=
+            return compared == -1 or compared == 0
+        elif op == 4:
+            # >
+            return compared == 1
+        elif op == 5:
+            # >=
+            return compared == -1 or compared == 0
+
+    def __str__(self):
+        if self.symbol:
+            return 'Security(%d [%s])' % (self.sid, self.symbol)
+        else:
+            return 'Security(%d)' % self.sid
+
+    def __repr__(self):
+        attrs = ('symbol', 'security_name', 'exchange',
+                 'start_date', 'end_date', 'first_traded')
+        tuples = ((attr, repr(getattr(self, attr, None)))
+                  for attr in attrs)
+        strings = ('%s=%s' % (t[0], t[1]) for t in tuples)
+        params = ', '.join(strings)
+        return 'Security(%d, %s)' % (self.sid, params)
+
+    cpdef __reduce__(self):
+        """
+        Function used by pickle to determine how to serialize/deserialize this
+        class.  Should return a tuple whose first element is self.__class__,
+        and whose second element is a tuple of all the attributes that should
+        be serialized/deserialized during pickling.
+        """
+        return (self.__class__, (self.sid,
+                                 self.symbol,
+                                 self.security_name,
+                                 self.start_date,
+                                 self.end_date,
+                                 self.first_traded,
+                                 self.exchange,))
+
+    cpdef to_dict(self):
+        """
+        Convert to a python dict.
+        """
+        return {
+            'sid': self.sid,
+            'symbol': self.symbol,
+            'security_name': self.security_name,
+            'start_date': self.start_date,
+            'end_date': self.end_date,
+            'first_traded': self.first_traded,
+            'exchange': self.exchange,
+        }
+
+    @staticmethod
+    def from_dict(dict_):
+        """
+        Build a Security instance from a dict.
+        """
+        return Security(**dict_)