TST: add test for 13d filings dataset

MAINT: add 13d filings to factors init

MAINT: rename constant

MAINT: add event_date_col field

zipline/pipeline/common.py

@@ -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

@@ -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

@@ -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

@@ -65,4 +65,4 @@ class Blaze_13DFilingsLoader(BlazeEventsLoader):
     })
 
     concrete_loader = _13DFilingsLoader
-    concrete_dataset=_13DFilings
+    concrete_dataset = _13DFilings

zipline/pipeline/loaders/blaze/__init__.py

@@ -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',