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MAINT: Perspective offset for load adjustments.

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Add a perspective offset to `AdjustedArrayWindow` and `AdjustedArray`,
so that `HistoryLoader` does not need to twiddle with offsets to support
viewing the data from the bar after end of the window, (Which is the
case when a '1d' history window is retrieved in minute mode, which is
explained in the docstring for `HistoryLoader.history`)

Presently, this simplifies the logic in
`HistoryLoader._get_adjustments_in_range`, and other incoming
AdjustmentReader's, (e.g. the roll based adjustment reader for continous
futures.) This patch should also make it easier for history and pipeline
to converge on a singular `load_adjustments` method.
This commit is contained in:
Eddie Hebert
2016-10-17 14:23:39 -04:00
parent 837d8824de
commit 34d4e4b974
4 changed files with 118 additions and 24 deletions
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zipline/data/history_loader.py
+4 -19
View File
@@ -107,8 +107,7 @@ class HistoryLoader(with_metaclass(ABCMeta)):
def _array(self, start, end, assets, field):
pass
def _get_adjustments_in_range(self, asset, dts, field,
is_perspective_after):
def _get_adjustments_in_range(self, asset, dts, field):
"""
Get the Float64Multiply objects to pass to an AdjustedArrayWindow.
@@ -154,11 +153,6 @@ class HistoryLoader(with_metaclass(ABCMeta)):
if start < dt <= end:
end_loc = dts.searchsorted(dt)
adj_loc = end_loc
if is_perspective_after:
# Set adjustment pop location so that it applies
# to last value if adjustment occurs immediately after
# the last slot.
adj_loc -= 1
mult = Float64Multiply(0,
end_loc - 1,
0,
@@ -175,11 +169,6 @@ class HistoryLoader(with_metaclass(ABCMeta)):
if start < dt <= end:
end_loc = dts.searchsorted(dt)
adj_loc = end_loc
if is_perspective_after:
# Set adjustment pop location so that it applies
# to last value if adjustment occurs immediately after
# the last slot.
adj_loc -= 1
mult = Float64Multiply(0,
end_loc - 1,
0,
@@ -200,11 +189,6 @@ class HistoryLoader(with_metaclass(ABCMeta)):
ratio = s[1]
end_loc = dts.searchsorted(dt)
adj_loc = end_loc
if is_perspective_after:
# Set adjustment pop location so that it applies
# to last value if adjustment occurs immediately after
# the last slot.
adj_loc -= 1
mult = Float64Multiply(0,
end_loc - 1,
0,
@@ -284,7 +268,7 @@ class HistoryLoader(with_metaclass(ABCMeta)):
for i, asset in enumerate(needed_assets):
if self._adjustments_reader:
adjs = self._get_adjustments_in_range(
asset, prefetch_dts, field, is_perspective_after)
asset, prefetch_dts, field)
else:
adjs = {}
window = window_type(
@@ -292,7 +276,8 @@ class HistoryLoader(with_metaclass(ABCMeta)):
view_kwargs,
adjs,
offset,
size
size,
int(is_perspective_after)
)
sliding_window = SlidingWindow(window, size, start_ix, offset)
asset_windows[asset] = sliding_window