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TST: add test for 13d filings dataset

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MAINT: add 13d filings to factors init

MAINT: rename constant

MAINT: add event_date_col field
This commit is contained in:
Maya Tydykov
2016-03-31 00:29:04 -04:00
parent e726cc94c9
commit 11d666daaa
6 changed files with 49 additions and 53 deletions
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tests/pipeline/test_13d_filings.py
+42 -46
View File
@@ -1,12 +1,8 @@
"""
Tests for the reference loader for 13d filings.
"""
from unittest import TestCase
from contextlib2 import ExitStack
import pandas as pd
from .base import EventLoaderCommonMixin
from zipline.pipeline.common import(
DAYS_SINCE_PREV_DISCLOSURE,
DISCLOSURE_DATE,
@@ -25,11 +21,25 @@ from zipline.pipeline.loaders.utils import (
zip_with_floats,
zip_with_dates
)
from zipline.testing import tmp_asset_finder
from zipline.testing.fixtures import WithPipelineEventDataLoader
from zipline.testing.fixtures import ZiplineTestCase
date_intervals = [[None, '2014-01-04'], ['2014-01-05', '2014-01-09'],
date_intervals = [[None, '2014-01-04'],
['2014-01-05', '2014-01-09'],
['2014-01-10', None]]
empty_df = pd.DataFrame(
columns=[NUM_SHARES,
PERCENT_SHARES,
DISCLOSURE_DATE,
TS_FIELD_NAME],
)
empty_df[NUM_SHARES] = empty_df[NUM_SHARES].astype('float')
empty_df[PERCENT_SHARES] = empty_df[PERCENT_SHARES].astype('float')
empty_df[TS_FIELD_NAME] = empty_df[TS_FIELD_NAME].astype('datetime64[ns]')
empty_df[DISCLOSURE_DATE] = empty_df[DISCLOSURE_DATE].astype('datetime64[ns]')
_13d_filngs_cases = [
pd.DataFrame({
NUM_SHARES: [1, 15],
@@ -37,29 +47,25 @@ _13d_filngs_cases = [
TS_FIELD_NAME: pd.to_datetime(['2014-01-05', '2014-01-10']),
DISCLOSURE_DATE: pd.to_datetime(['2014-01-04', '2014-01-09'])
}),
pd.DataFrame(
columns=[NUM_SHARES,
PERCENT_SHARES,
DISCLOSURE_DATE,
TS_FIELD_NAME],
dtype='datetime64[ns]'
),
empty_df
]
def get_expected_previous_values(zip_date_index_with_vals,
dates,
vals_for_date_intervals):
vals,
date_intervals,
dates):
return pd.DataFrame({
0: get_values_for_date_ranges(zip_date_index_with_vals,
vals_for_date_intervals,
vals,
date_intervals,
dates),
1: zip_date_index_with_vals(dates, ['NaN'] * len(dates)),
}, index=dates)
class _13DFilingsLoaderTestCase(TestCase, EventLoaderCommonMixin):
class _13DFilingsLoaderTestCase(WithPipelineEventDataLoader,
ZiplineTestCase):
"""
Test for _13_filings dataset.
"""
@@ -79,37 +85,27 @@ class _13DFilingsLoaderTestCase(TestCase, EventLoaderCommonMixin):
return range(2)
@classmethod
def setUpClass(cls):
cls._cleanup_stack = stack = ExitStack()
cls.finder = stack.enter_context(
tmp_asset_finder(equities=cls.get_equity_info()),
)
cls.cols = {}
cls.dataset = {sid:
frame
for sid, frame
in enumerate(_13d_filngs_cases)}
cls.loader_type = _13DFilingsLoader
def get_dataset(cls):
return {sid: frame
for sid, frame
in enumerate(_13d_filngs_cases)}
@classmethod
def tearDownClass(cls):
cls._cleanup_stack.close()
loader_type = _13DFilingsLoader
def setup(self, dates):
_expected_previous_num_shares = get_expected_previous_values(
zip_with_floats, dates,
['NaN', 1, 15]
)
_expected_previous_percent_shares = get_expected_previous_values(
zip_with_floats, dates,
['NaN', 10, 20]
)
self.cols[
cols = {}
cols[
PREVIOUS_DISCLOSURE_DATE
] = get_expected_previous_values(zip_with_dates, dates,
['NaT', '2014-01-04', '2014-01-09'])
self.cols[PREVIOUS_NUM_SHARES] = _expected_previous_num_shares
self.cols[PREVIOUS_PERCENT_SHARES] = _expected_previous_percent_shares
self.cols[DAYS_SINCE_PREV_DISCLOSURE] = self._compute_busday_offsets(
self.cols[PREVIOUS_DISCLOSURE_DATE]
] = get_expected_previous_values(zip_with_dates,
['NaT', '2014-01-04', '2014-01-09'],
date_intervals, dates)
cols[PREVIOUS_NUM_SHARES] = get_expected_previous_values(
zip_with_floats, ['NaN', 1, 15], date_intervals, dates
)
cols[PREVIOUS_PERCENT_SHARES] = get_expected_previous_values(
zip_with_floats, ['NaN', 10, 20], date_intervals, dates
)
cols[DAYS_SINCE_PREV_DISCLOSURE] = self._compute_busday_offsets(
cols[PREVIOUS_DISCLOSURE_DATE]
)
return cols
zipline/pipeline/common.py
+1 -1
View File
@@ -35,7 +35,7 @@ NUM_SHARES = 'number_shares'
NEXT_RELEASE_DATE = 'next_release_date'
NEXT_STANDARD_DEVIATION = 'next_standard_deviation'
PAY_DATE_FIELD_NAME = 'pay_date'
PERCENT_SHARES = 'percentage'
PERCENT_SHARES = 'percent_shares'
PREVIOUS_ACTUAL_VALUE = 'previous_actual_value'
PREVIOUS_AMOUNT = 'previous_amount'
PREVIOUS_ANNOUNCEMENT = 'previous_announcement'
zipline/pipeline/factors/__init__.py
+2
View File
@@ -5,6 +5,7 @@ from .factor import (
RecarrayField,
)
from .events import (
BusinessDaysSince13DFilingsDate,
BusinessDaysSinceCashBuybackAuth,
BusinessDaysSinceDividendAnnouncement,
BusinessDaysUntilNextExDate,
@@ -28,6 +29,7 @@ from .technical import (
)
__all__ = [
'BusinessDaysSince13DFilingsDate',
'BusinessDaysSinceCashBuybackAuth',
'BusinessDaysSinceDividendAnnouncement',
'BusinessDaysUntilNextExDate',
zipline/pipeline/loaders/_13d_filings.py
+1 -3
View File
@@ -24,6 +24,7 @@ class _13DFilingsLoader(EventsLoader):
expected_cols = frozenset([DISCLOSURE_DATE,
PERCENT_SHARES,
NUM_SHARES])
event_date_col = DISCLOSURE_DATE
def __init__(self, all_dates, events_by_sid,
infer_timestamps=False,
@@ -36,14 +37,12 @@ class _13DFilingsLoader(EventsLoader):
def disclosure_date_loader(self):
return self._previous_event_date_loader(
self.dataset.disclosure_date,
DISCLOSURE_DATE
)
@lazyval
def percent_shares_loader(self):
return self._previous_event_value_loader(
self.dataset.percent_shares,
DISCLOSURE_DATE,
PERCENT_SHARES
)
@@ -51,6 +50,5 @@ class _13DFilingsLoader(EventsLoader):
def number_shares_loader(self):
return self._previous_event_value_loader(
self.dataset.number_shares,
DISCLOSURE_DATE,
NUM_SHARES
)
zipline/pipeline/loaders/blaze/_13d_filings.py
+1 -1
View File
@@ -65,4 +65,4 @@ class Blaze_13DFilingsLoader(BlazeEventsLoader):
})
concrete_loader = _13DFilingsLoader
concrete_dataset=_13DFilings
concrete_dataset = _13DFilings
zipline/pipeline/loaders/blaze/__init__.py
+2 -2
View File
@@ -1,4 +1,4 @@
from ._13d_filings import _13DFilingsLoader
from ._13d_filings import Blaze_13DFilingsLoader
from .buyback_auth import (
BlazeCashBuybackAuthorizationsLoader,
BlazeShareBuybackAuthorizationsLoader
@@ -20,7 +20,7 @@ from .earnings import (
from .consensus_estimates import BlazeConsensusEstimatesLoader
__all__ = (
'_13DFilingsLoader',
'Blaze_13DFilingsLoader',
'BlazeCashBuybackAuthorizationsLoader',
'BlazeDividendsByAnnouncementDateLoader',
'BlazeConsensusEstimatesLoader',