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MAINT: More renaming.

Browse Source 
s/FFCEngine/PipelineEngine/
s/FFCLoader/PipelineLoader/
This commit is contained in:
Scott Sanderson
2015-10-01 18:03:54 -04:00
parent f82a01841b
commit 2d683961bd
17 changed files with 79 additions and 82 deletions
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tests/pipeline/base.py
+5 -5
View File
@@ -1,5 +1,5 @@
"""
Base class for FFC unit tests.
Base class for Pipeline API unittests.
"""
from functools import wraps
from unittest import TestCase
@@ -9,7 +9,7 @@ from pandas import date_range, Int64Index, DataFrame
from six import iteritems
from zipline.finance.trading import TradingEnvironment
from zipline.pipeline.engine import SimpleFFCEngine
from zipline.pipeline.engine import SimplePipelineEngine
from zipline.pipeline.term import AssetExists
from zipline.utils.pandas_utils import explode
from zipline.utils.test_utils import make_simple_asset_info, ExplodingObject
@@ -43,7 +43,7 @@ def with_defaults(**default_funcs):
with_default_shape = with_defaults(shape=lambda self: self.default_shape)
class BaseFFCTestCase(TestCase):
class BasePipelineTestCase(TestCase):
def setUp(self):
self.__calendar = date_range('2014', '2015', freq=trading_day)
@@ -81,7 +81,7 @@ class BaseFFCTestCase(TestCase):
graph : zipline.pipeline.graph.TermGraph
Graph to run.
initial_workspace : dict
Initial workspace to forward to SimpleFFCEngine.compute_chunk.
Initial workspace to forward to SimplePipelineEngine.compute_chunk.
mask : DataFrame, optional
This is a value to pass to `initial_workspace` as the mask from
`AssetExists()`. Defaults to a frame of shape `self.default_shape`
@@ -92,7 +92,7 @@ class BaseFFCTestCase(TestCase):
results : dict
Mapping from termname -> computed result.
"""
engine = SimpleFFCEngine(
engine = SimplePipelineEngine(
ExplodingObject(),
self.__calendar,
self.__finder,
tests/pipeline/test_engine.py
+14 -14
View File
@@ -1,5 +1,5 @@
"""
Tests for SimpleFFCEngine
Tests for SimplePipelineEngine
"""
from __future__ import division
from unittest import TestCase
@@ -33,12 +33,12 @@ from zipline.pipeline.loaders.synthetic import (
from zipline.finance.trading import TradingEnvironment
from zipline.pipeline import Pipeline
from zipline.pipeline.data import USEquityPricing
from zipline.pipeline.loaders.frame import DataFrameFFCLoader, MULTIPLY
from zipline.pipeline.loaders.frame import DataFrameLoader, MULTIPLY
from zipline.pipeline.loaders.equity_pricing_loader import (
BcolzDailyBarReader,
USEquityPricingLoader,
)
from zipline.pipeline.engine import SimpleFFCEngine
from zipline.pipeline.engine import SimplePipelineEngine
from zipline.pipeline.factor import CustomFactor
from zipline.pipeline.factor.technical import (
MaxDrawdown,
@@ -115,7 +115,7 @@ class ConstantInputTestCase(TestCase):
def test_bad_dates(self):
loader = self.loader
engine = SimpleFFCEngine(loader, self.dates, self.asset_finder)
engine = SimplePipelineEngine(loader, self.dates, self.asset_finder)
p = Pipeline('test')
@@ -129,7 +129,7 @@ class ConstantInputTestCase(TestCase):
loader = self.loader
finder = self.asset_finder
assets = array(self.assets)
engine = SimpleFFCEngine(loader, self.dates, self.asset_finder)
engine = SimplePipelineEngine(loader, self.dates, self.asset_finder)
num_dates = 5
dates = self.dates[10:10 + num_dates]
@@ -152,7 +152,7 @@ class ConstantInputTestCase(TestCase):
loader = self.loader
finder = self.asset_finder
assets = self.assets
engine = SimpleFFCEngine(loader, self.dates, self.asset_finder)
engine = SimplePipelineEngine(loader, self.dates, self.asset_finder)
result_shape = (num_dates, num_assets) = (5, len(assets))
dates = self.dates[10:10 + num_dates]
@@ -186,7 +186,7 @@ class ConstantInputTestCase(TestCase):
loader = self.loader
finder = self.asset_finder
assets = self.assets
engine = SimpleFFCEngine(loader, self.dates, self.asset_finder)
engine = SimplePipelineEngine(loader, self.dates, self.asset_finder)
shape = num_dates, num_assets = (5, len(assets))
dates = self.dates[10:10 + num_dates]
@@ -230,7 +230,7 @@ class ConstantInputTestCase(TestCase):
def test_numeric_factor(self):
constants = self.constants
loader = self.loader
engine = SimpleFFCEngine(loader, self.dates, self.asset_finder)
engine = SimplePipelineEngine(loader, self.dates, self.asset_finder)
num_dates = 5
dates = self.dates[10:10 + num_dates]
high, low = USEquityPricing.high, USEquityPricing.low
@@ -347,7 +347,7 @@ class FrameInputTestCase(TestCase):
]
)
low_base = DataFrame(self.make_frame(30.0))
low_loader = DataFrameFFCLoader(low, low_base.copy(), adjustments=None)
low_loader = DataFrameLoader(low, low_base.copy(), adjustments=None)
# Pre-apply inverse of adjustments to the baseline.
high_base = DataFrame(self.make_frame(30.0))
@@ -355,10 +355,10 @@ class FrameInputTestCase(TestCase):
high_base.iloc[:apply_idxs[1], 1] /= 3.0
high_base.iloc[:apply_idxs[2], 1] /= 5.0
high_loader = DataFrameFFCLoader(high, high_base, adjustments)
high_loader = DataFrameLoader(high, high_base, adjustments)
loader = MultiColumnLoader({low: low_loader, high: high_loader})
engine = SimpleFFCEngine(loader, self.dates, self.asset_finder)
engine = SimplePipelineEngine(loader, self.dates, self.asset_finder)
for window_length in range(1, 4):
low_mavg = SimpleMovingAverage(
@@ -468,7 +468,7 @@ class SyntheticBcolzTestCase(TestCase):
df.ix[end + 1:, asset] = nan # +1 to *not* overwrite end_date
def test_SMA(self):
engine = SimpleFFCEngine(
engine = SimplePipelineEngine(
self.ffc_loader,
self.env.trading_days,
self.finder,
@@ -520,7 +520,7 @@ class SyntheticBcolzTestCase(TestCase):
# computed results are pretty much useless (everything is either NaN)
# or zero, but verifying we correctly handle those corner cases is
# valuable.
engine = SimpleFFCEngine(
engine = SimplePipelineEngine(
self.ffc_loader,
self.env.trading_days,
self.finder,
@@ -588,7 +588,7 @@ class MultiColumnLoaderTestCase(TestCase):
dates=self.dates,
assets=self.assets,
)
engine = SimpleFFCEngine(loader, self.dates, self.asset_finder)
engine = SimplePipelineEngine(loader, self.dates, self.asset_finder)
sumdiff = RollingSumDifference()
tests/pipeline/test_factor.py
+2 -2
View File
@@ -6,7 +6,7 @@ from zipline.errors import UnknownRankMethod
from zipline.pipeline import Factor, Filter, TermGraph
from zipline.utils.test_utils import check_arrays
from .base import BaseFFCTestCase
from .base import BasePipelineTestCase
class F(Factor):
@@ -19,7 +19,7 @@ class Mask(Filter):
window_length = 0
class FactorTestCase(BaseFFCTestCase):
class FactorTestCase(BasePipelineTestCase):
def setUp(self):
super(FactorTestCase, self).setUp()
tests/pipeline/test_filter.py
+2 -2
View File
@@ -23,7 +23,7 @@ from zipline.errors import BadPercentileBounds
from zipline.pipeline import Filter, Factor, TermGraph
from zipline.utils.test_utils import check_arrays
from .base import BaseFFCTestCase, with_default_shape
from .base import BasePipelineTestCase, with_default_shape
def rowwise_rank(array, mask=None):
@@ -69,7 +69,7 @@ class Mask(Filter):
window_length = 0
class FilterTestCase(BaseFFCTestCase):
class FilterTestCase(BasePipelineTestCase):
def setUp(self):
super(FilterTestCase, self).setUp()
tests/pipeline/test_frameload.py
+6 -9
View File
@@ -1,5 +1,5 @@
"""
Tests for zipline.pipeline.loaders.frame.DataFrameFFCLoader.
Tests for zipline.pipeline.loaders.frame.DataFrameLoader.
"""
from unittest import TestCase
@@ -20,14 +20,14 @@ from zipline.lib.adjustment import (
from zipline.pipeline.data import USEquityPricing
from zipline.pipeline.loaders.frame import (
ADD,
DataFrameFFCLoader,
DataFrameLoader,
MULTIPLY,
OVERWRITE,
)
from zipline.utils.tradingcalendar import trading_day
class DataFrameFFCLoaderTestCase(TestCase):
class DataFrameLoaderTestCase(TestCase):
def setUp(self):
self.nsids = 5
@@ -48,7 +48,7 @@ class DataFrameFFCLoaderTestCase(TestCase):
def test_bad_input(self):
data = arange(100).reshape(self.ndates, self.nsids)
baseline = DataFrame(data, index=self.dates, columns=self.sids)
loader = DataFrameFFCLoader(
loader = DataFrameLoader(
USEquityPricing.close,
baseline,
)
@@ -71,10 +71,7 @@ class DataFrameFFCLoaderTestCase(TestCase):
def test_baseline(self):
data = arange(100).reshape(self.ndates, self.nsids)
baseline = DataFrame(data, index=self.dates, columns=self.sids)
loader = DataFrameFFCLoader(
USEquityPricing.close,
baseline,
)
loader = DataFrameLoader(USEquityPricing.close, baseline)
dates_slice = slice(None, 10, None)
sids_slice = slice(1, 3, None)
@@ -178,7 +175,7 @@ class DataFrameFFCLoaderTestCase(TestCase):
]
adjustments = DataFrame(relevant_adjustments + irrelevant_adjustments)
loader = DataFrameFFCLoader(
loader = DataFrameLoader(
USEquityPricing.close,
baseline,
adjustments=adjustments,
tests/pipeline/test_pipeline_algo.py
+4 -4
View File
@@ -1,5 +1,5 @@
"""
Tests for Algorithms running the full FFC stack.
Tests for Algorithms using the Pipeline API.
"""
from unittest import TestCase
from os.path import (
@@ -44,7 +44,7 @@ from zipline.finance import trading
from zipline.pipeline import Pipeline
from zipline.pipeline.factor.technical import VWAP
from zipline.pipeline.data import USEquityPricing
from zipline.pipeline.loaders.frame import DataFrameFFCLoader, MULTIPLY
from zipline.pipeline.loaders.frame import DataFrameLoader, MULTIPLY
from zipline.pipeline.loaders.equity_pricing_loader import (
BcolzDailyBarReader,
DailyBarWriterFromCSVs,
@@ -149,7 +149,7 @@ class ClosesOnly(TestCase):
self.adj_closes = adj_closes = self.closes.copy()
adj_closes.ix[:self.split_date, self.split_asset] *= self.split_ratio
self.ffc_loader = DataFrameFFCLoader(
self.ffc_loader = DataFrameLoader(
column=USEquityPricing.close,
baseline=self.closes,
adjustments=self.adjustments,
@@ -304,7 +304,7 @@ class ClosesOnly(TestCase):
algo.run(source=self.closes.iloc[10:17])
class FFCAlgorithmTestCase(TestCase):
class PipelineAlgorithmTestCase(TestCase):
@classmethod
def setUpClass(cls):
zipline/algorithm.py
+8 -8
View File
@@ -75,8 +75,8 @@ from zipline.assets.futures import FutureChain
from zipline.gens.composites import date_sorted_sources
from zipline.gens.tradesimulation import AlgorithmSimulator
from zipline.pipeline.engine import (
NoOpFFCEngine,
SimpleFFCEngine,
NoOpPipelineEngine,
SimplePipelineEngine,
)
from zipline.sources import DataFrameSource, DataPanelSource
from zipline.utils.api_support import (
@@ -323,18 +323,18 @@ class TradingAlgorithm(object):
def init_engine(self, loader):
"""
Construct and save an FFCEngine from loader.
Construct and save a PipelineEngine from loader.
If loader is None, constructs a NoOpFFCEngine.
If loader is None, constructs a NoOpPipelineEngine.
"""
if loader is not None:
self.engine = SimpleFFCEngine(
self.engine = SimplePipelineEngine(
loader,
self.trading_environment.trading_days,
self.asset_finder,
)
else:
self.engine = NoOpFFCEngine()
self.engine = NoOpPipelineEngine()
def initialize(self, *args, **kwargs):
"""
@@ -1369,7 +1369,7 @@ class TradingAlgorithm(object):
See Also
--------
:meth:`zipline.pipeline.engine.FFCEngine.run_pipeline`
:meth:`zipline.pipeline.engine.PipelineEngine.run_pipeline`
"""
# NOTE: We don't currently support multiple pipelines, but we plan to
# in the future.
@@ -1421,7 +1421,7 @@ class TradingAlgorithm(object):
See Also
--------
FFCEngine.run_pipeline
PipelineEngine.run_pipeline
"""
days = self.trading_environment.trading_days
zipline/assets/assets.py
+1 -1
View File
@@ -627,7 +627,7 @@ class AssetFinder(object):
See Also
--------
numpy.putmask
zipline.pipeline.engine.SimpleFFCEngine._compute_root_mask
zipline.pipeline.engine.SimplePipelineEngine._compute_root_mask
"""
# This is a less than ideal place to do this, because if someone adds
# assets to the finder after we've touched lifetimes we won't have
zipline/errors.py
+3 -3
View File
@@ -318,8 +318,8 @@ class WindowLengthNotPositive(ZiplineError):
class InputTermNotAtomic(ZiplineError):
"""
Raised when a non-atomic term is specified as an input to an FFC term with
a lookback window.
Raised when a non-atomic term is specified as an input to a Pipeline API
term with a lookback window.
"""
msg = (
"Can't compute {parent} with non-atomic input {child}."
@@ -409,7 +409,7 @@ class NoSuchPipeline(ZiplineError, KeyError):
class UnsupportedDataType(ZiplineError):
"""
Raised by FFC CustomFactors with unsupported dtypes.
Raised by CustomFactors with unsupported dtypes.
"""
msg = "CustomFactors with dtype {dtype} are not supported."
zipline/pipeline/engine.py
+10 -10
View File
@@ -1,5 +1,5 @@
"""
Compute Engine for FFC API
Compute Engine definitions for the Pipeline API.
"""
from abc import (
ABCMeta,
@@ -28,7 +28,7 @@ from zipline.utils.pandas_utils import explode
from .term import AssetExists
class FFCEngine(with_metaclass(ABCMeta)):
class PipelineEngine(with_metaclass(ABCMeta)):
@abstractmethod
def run_pipeline(self, pipeline, start_date, end_date):
@@ -63,9 +63,9 @@ class FFCEngine(with_metaclass(ABCMeta)):
raise NotImplementedError("run_pipeline")
class NoOpFFCEngine(FFCEngine):
class NoOpPipelineEngine(PipelineEngine):
"""
An FFCEngine that doesn't do anything.
A PipelineEngine that doesn't do anything.
"""
def run_pipeline(self, pipeline, start_date, end_date):
return DataFrame(
@@ -76,13 +76,13 @@ class NoOpFFCEngine(FFCEngine):
)
class SimpleFFCEngine(object):
class SimplePipelineEngine(object):
"""
FFC Engine class that computes each term independently.
PipelineEngine class that computes each term independently.
Parameters
----------
loader : FFCLoader
loader : PipelineLoader
A loader to use to retrieve raw data for atomic terms.
calendar : DatetimeIndex
Array of dates to consider as trading days when computing a range
@@ -149,7 +149,7 @@ class SimpleFFCEngine(object):
See Also
--------
FFCEngine.run_pipeline
PipelineEngine.run_pipeline
"""
if end_date <= start_date:
raise ValueError(
@@ -205,7 +205,7 @@ class SimpleFFCEngine(object):
start_idx, end_idx = self._calendar.slice_locs(start_date, end_date)
if start_idx < extra_rows:
raise NoFurtherDataError(
msg="Insufficient data to compute FFC Matrix: "
msg="Insufficient data to compute Pipeline mask: "
"start date was %s, "
"earliest known date was %s, "
"and %d extra rows were requested." % (
@@ -275,7 +275,7 @@ class SimpleFFCEngine(object):
def compute_chunk(self, graph, dates, assets, initial_workspace):
"""
Compute the FFC terms in the graph for the requested start and end
Compute the Pipeline terms in the graph for the requested start and end
dates.
Parameters
zipline/pipeline/factor/factor.py
+1 -1
View File
@@ -437,7 +437,7 @@ class CustomFactor(RequiredWindowLengthMixin, CustomTermMixin, Factor):
Base class for user-defined Factors operating on windows of raw data.
TODO: This is basically the most important class to document in the whole
FFC API...
Pipeline API...
We currently only support CustomFactors of type float64.
"""
zipline/pipeline/graph.py
+4 -4
View File
@@ -1,5 +1,5 @@
"""
FFC-specific extensions to networkx.DiGraph
Dependency-Graph representation of Pipeline API terms.
"""
from networkx import (
DiGraph,
@@ -16,7 +16,7 @@ class CyclicDependency(Exception):
class TermGraph(DiGraph):
"""
Graph represention of FFC Term dependencies.
Graph represention of Pipeline Term dependencies.
Each node in the graph has an `extra_rows` attribute, indicating how many,
if any, extra rows we should compute for the node. Extra rows are most
@@ -99,8 +99,8 @@ class TermGraph(DiGraph):
See Also
--------
zipline.pipeline.graph.TermGraph.offset
zipline.pipeline.engine.SimpleFFCEngine._inputs_for_term
zipline.pipeline.engine.SimpleFFCEngine._mask_for_term
zipline.pipeline.engine.SimplePipelineEngine._inputs_for_term
zipline.pipeline.engine.SimplePipelineEngine._mask_and_dates_for_term
"""
out = {}
for term in self:
zipline/pipeline/loaders/base.py
+2 -2
View File
@@ -1,5 +1,5 @@
"""
Base class for FFC data loaders.
Base class for Pipeline API data loaders.
"""
from abc import (
ABCMeta,
@@ -10,7 +10,7 @@ from abc import (
from six import with_metaclass
class FFCLoader(with_metaclass(ABCMeta)):
class PipelineLoader(with_metaclass(ABCMeta)):
"""
ABC for classes that can load data for use with zipline.pipeline APIs.
zipline/pipeline/loaders/equity_pricing_loader.py
+3 -3
View File
@@ -52,7 +52,7 @@ from zipline.lib.adjusted_array import (
)
from zipline.errors import NoFurtherDataError
from .base import FFCLoader
from .base import PipelineLoader
from ._equities import _compute_row_slices, _read_bcolz_data
from ._adjustments import load_adjustments_from_sqlite
@@ -571,9 +571,9 @@ class SQLiteAdjustmentReader(object):
)
class USEquityPricingLoader(FFCLoader):
class USEquityPricingLoader(PipelineLoader):
"""
FFCLoader for US Equity Pricing
PipelineLoader for US Equity Pricing data
Delegates loading of baselines and adjustments.
"""
zipline/pipeline/loaders/frame.py
+4 -4
View File
@@ -1,5 +1,5 @@
"""
FFC Loader accepting a DataFrame as input.
PipelineLoader accepting a DataFrame as input.
"""
from numpy import (
ix_,
@@ -18,7 +18,7 @@ from zipline.lib.adjustment import (
Float64Overwrite,
)
from .base import FFCLoader
from .base import PipelineLoader
ADD, MULTIPLY, OVERWRITE = range(3)
@@ -37,9 +37,9 @@ ADJUSTMENT_COLUMNS = Index([
])
class DataFrameFFCLoader(FFCLoader):
class DataFrameLoader(PipelineLoader):
"""
An FFCLoader that reads its input from DataFrames.
A PipelineLoader that reads its input from DataFrames.
Mostly useful for testing, but can also be used for real work if your data
fits in memory.
zipline/pipeline/loaders/synthetic.py
+6 -6
View File
@@ -15,8 +15,8 @@ from pandas import DataFrame, Timestamp
from six import iteritems
from sqlite3 import connect as sqlite3_connect
from .base import FFCLoader
from .frame import DataFrameFFCLoader
from .base import PipelineLoader
from .frame import DataFrameLoader
from .equity_pricing_loader import (
BcolzDailyBarWriter,
SQLiteAdjustmentReader,
@@ -32,9 +32,9 @@ def nanos_to_seconds(nanos):
return nanos / (1000 * 1000 * 1000)
class MultiColumnLoader(FFCLoader):
class MultiColumnLoader(PipelineLoader):
"""
FFCLoader that can delegate to sub-loaders.
PipelineLoader that can delegate to sub-loaders.
Parameters
----------
@@ -60,7 +60,7 @@ class MultiColumnLoader(FFCLoader):
class ConstantLoader(MultiColumnLoader):
"""
Synthetic FFCLoader that returns a constant value for each column.
Synthetic PipelineLoader that returns a constant value for each column.
Parameters
----------
@@ -85,7 +85,7 @@ class ConstantLoader(MultiColumnLoader):
columns=assets,
dtype=column.dtype,
)
loaders[column] = DataFrameFFCLoader(
loaders[column] = DataFrameLoader(
column=column,
baseline=frame,
adjustments=None,
zipline/pipeline/term.py
+4 -4
View File
@@ -40,7 +40,7 @@ class NotSpecified(object):
class Term(object):
"""
Base class for terms in an FFC API compute graph.
Base class for terms in a Pipeline API compute graph.
"""
# These are NotSpecified because a subclass is required to provide them.
inputs = NotSpecified
@@ -63,7 +63,7 @@ class Term(object):
Memoized constructor for Terms.
Caching previously-constructed Terms is useful because it allows us to
only compute equivalent sub-expressions once when traversing an FFC
only compute equivalent sub-expressions once when traversing a Pipeline
dependency graph.
Caching previously-constructed Terms is **sane** because terms and
@@ -301,7 +301,7 @@ class AssetExists(Term):
This is morally a Filter, in the sense that it produces a boolean value for
every asset on every date. We don't subclass Filter, however, because
`AssetExists` is computed directly by the FFCEngine.
`AssetExists` is computed directly by the PipelineEngine.
See Also
--------
@@ -314,7 +314,7 @@ class AssetExists(Term):
def _compute(self, *args, **kwargs):
# TODO: Consider moving the bulk of the logic from
# SimpleFFCEngine._compute_root_mask here.
# SimplePipelineEngine._compute_root_mask here.
raise NotImplementedError(
"Direct computation of AssetExists is not supported!"
)