TST: add test for 13d filings dataset

MAINT: add 13d filings to factors init

MAINT: rename constant

MAINT: add event_date_col field

tests/pipeline/test_13d_filings.py

@@ -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(
+    empty_df
-        columns=[NUM_SHARES,
-                 PERCENT_SHARES,
-                 DISCLOSURE_DATE,
-                 TS_FIELD_NAME],
-        dtype='datetime64[ns]'
-    ),
 ]
 
 
 def get_expected_previous_values(zip_date_index_with_vals,
-                                 dates,
+                                 vals,
-                                 vals_for_date_intervals):
+                                 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):
+    def get_dataset(cls):
-        cls._cleanup_stack = stack = ExitStack()
+        return {sid: frame
-        cls.finder = stack.enter_context(
+                for sid, frame
-            tmp_asset_finder(equities=cls.get_equity_info()),
+                in enumerate(_13d_filngs_cases)}
-        )
-        cls.cols = {}
-        cls.dataset = {sid:
-                       frame
-                       for sid, frame
-                       in enumerate(_13d_filngs_cases)}
-        cls.loader_type = _13DFilingsLoader
 
-    @classmethod
+    loader_type = _13DFilingsLoader
-    def tearDownClass(cls):
-        cls._cleanup_stack.close()
 
     def setup(self, dates):
-        _expected_previous_num_shares = get_expected_previous_values(
+        cols = {}
-            zip_with_floats, dates,
+        cols[
-            ['NaN', 1, 15]
-        )
-        _expected_previous_percent_shares = get_expected_previous_values(
-            zip_with_floats, dates,
-            ['NaN', 10, 20]
-        )
-        self.cols[
             PREVIOUS_DISCLOSURE_DATE
-        ] = get_expected_previous_values(zip_with_dates, dates,
+        ] = get_expected_previous_values(zip_with_dates,
-                                         ['NaT', '2014-01-04', '2014-01-09'])
+                                         ['NaT', '2014-01-04', '2014-01-09'],
-        self.cols[PREVIOUS_NUM_SHARES] = _expected_previous_num_shares
+                                         date_intervals, dates)
-        self.cols[PREVIOUS_PERCENT_SHARES] = _expected_previous_percent_shares
+        cols[PREVIOUS_NUM_SHARES] = get_expected_previous_values(
-        self.cols[DAYS_SINCE_PREV_DISCLOSURE] = self._compute_busday_offsets(
+            zip_with_floats, ['NaN', 1, 15], date_intervals, dates
-            self.cols[PREVIOUS_DISCLOSURE_DATE]
         )
+        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

@@ -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',