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TST: update tests to handle new buyback auth design

Browse Source 
MAINT: add back cash amount constant

BUG: fix field names

BUG: pass remaining args

WIP: make buyback units parameterized so that user can choose

BUG: fix filtering based on units parameter

WIP: test for undesired units

Revert "WIP: make buyback units parameterized so that user can choose"

This reverts commit df3b838d525bff5026eba1d81865c6645d534c88.
This commit is contained in:
Maya Tydykov
2016-04-12 15:38:26 -04:00
parent 24019880af
commit 3d521561f5
8 changed files with 95 additions and 152 deletions
Download Patch File Download Diff File Expand all files Collapse all files
tests/pipeline/test_buyback_auth.py
+66 -130
View File
@@ -8,35 +8,26 @@ from six import iteritems
from zipline.pipeline.common import(
BUYBACK_ANNOUNCEMENT_FIELD_NAME,
CASH_FIELD_NAME,
BUYBACK_TYPE_FIELD_NAME,
DAYS_SINCE_PREV,
PREVIOUS_BUYBACK_ANNOUNCEMENT,
PREVIOUS_BUYBACK_CASH,
PREVIOUS_BUYBACK_SHARE_COUNT,
SHARE_COUNT_FIELD_NAME,
SID_FIELD_NAME,
TS_FIELD_NAME
)
from zipline.pipeline.data import (
CashBuybackAuthorizations,
ShareBuybackAuthorizations
)
from zipline.pipeline.factors.events import (
BusinessDaysSinceCashBuybackAuth,
BusinessDaysSinceShareBuybackAuth
)
from zipline.pipeline.loaders.buyback_auth import (
CashBuybackAuthorizationsLoader,
ShareBuybackAuthorizationsLoader
)
from zipline.pipeline.loaders.blaze import (
BlazeCashBuybackAuthorizationsLoader,
BlazeShareBuybackAuthorizationsLoader,
TS_FIELD_NAME,
VALUE_FIELD_NAME,
VALUE_TYPE_FIELD_NAME,
PREVIOUS_VALUE,
PREVIOUS_VALUE_TYPE,
PREVIOUS_BUYBACK_TYPE,
)
from zipline.pipeline.data import BuybackAuthorizations
from zipline.pipeline.factors.events import BusinessDaysSinceBuybackAuth
from zipline.pipeline.loaders.buyback_auth import BuybackAuthorizationsLoader
from zipline.pipeline.loaders.blaze import BlazeBuybackAuthorizationsLoader
from zipline.pipeline.loaders.utils import (
zip_with_floats,
zip_with_dates
)
zip_with_dates,
get_values_for_date_ranges,
zip_with_strs)
from zipline.testing.fixtures import (
WithPipelineEventDataLoader, ZiplineTestCase
)
@@ -48,15 +39,17 @@ date_intervals = [
buyback_authorizations_cases = [
pd.DataFrame({
SHARE_COUNT_FIELD_NAME: [1, 15],
CASH_FIELD_NAME: [10, 20],
VALUE_FIELD_NAME: [1, 15],
VALUE_TYPE_FIELD_NAME: ["$M", "Mshares"],
BUYBACK_TYPE_FIELD_NAME: ["New", "Additional"],
TS_FIELD_NAME: pd.to_datetime(['2014-01-05', '2014-01-10']),
BUYBACK_ANNOUNCEMENT_FIELD_NAME: pd.to_datetime(['2014-01-04',
'2014-01-09'])
}),
pd.DataFrame(
columns=[SHARE_COUNT_FIELD_NAME,
CASH_FIELD_NAME,
columns=[VALUE_FIELD_NAME,
VALUE_TYPE_FIELD_NAME,
BUYBACK_TYPE_FIELD_NAME,
BUYBACK_ANNOUNCEMENT_FIELD_NAME,
TS_FIELD_NAME],
dtype='datetime64[ns]'
@@ -64,18 +57,33 @@ buyback_authorizations_cases = [
]
class CashBuybackAuthLoaderTestCase(WithPipelineEventDataLoader,
ZiplineTestCase):
def get_expected_previous_values(zip_date_index_with_vals,
dates,
vals_for_date_intervals):
return pd.DataFrame({
0: get_values_for_date_ranges(zip_date_index_with_vals,
vals_for_date_intervals,
date_intervals,
dates),
1: zip_date_index_with_vals(dates, ['NaN'] * len(dates)),
}, index=dates)
class BuybackAuthLoaderTestCase(WithPipelineEventDataLoader, ZiplineTestCase):
"""
Test for cash buyback authorizations dataset.
"""
pipeline_columns = {
PREVIOUS_BUYBACK_CASH:
CashBuybackAuthorizations.cash_amount.latest,
PREVIOUS_VALUE:
BuybackAuthorizations.previous_value.latest,
PREVIOUS_BUYBACK_ANNOUNCEMENT:
CashBuybackAuthorizations.announcement_date.latest,
BuybackAuthorizations.previous_date.latest,
PREVIOUS_VALUE_TYPE:
BuybackAuthorizations.previous_value_type.latest,
PREVIOUS_BUYBACK_TYPE:
BuybackAuthorizations.previous_buyback_type.latest,
DAYS_SINCE_PREV:
BusinessDaysSinceCashBuybackAuth(),
BusinessDaysSinceBuybackAuth(),
}
@classmethod
@@ -84,24 +92,30 @@ class CashBuybackAuthLoaderTestCase(WithPipelineEventDataLoader,
@classmethod
def get_dataset(cls):
return {sid:
frame.drop(SHARE_COUNT_FIELD_NAME, axis=1)
return {sid: frame
for sid, frame
in enumerate(buyback_authorizations_cases)}
loader_type = CashBuybackAuthorizationsLoader
loader_type = BuybackAuthorizationsLoader
def setup(self, dates):
cols = {
PREVIOUS_BUYBACK_CASH: self.get_sids_to_frames(zip_with_floats,
[['NaN', 10, 20]],
date_intervals,
dates),
PREVIOUS_VALUE: self.get_sids_to_frames(zip_with_floats,
[['NaN', 1, 15]],
date_intervals,
dates),
PREVIOUS_BUYBACK_ANNOUNCEMENT: self.get_sids_to_frames(
zip_with_dates,
[['NaT', '2014-01-04', '2014-01-09']],
date_intervals,
dates),
PREVIOUS_VALUE_TYPE: self.get_sids_to_frames(
zip_with_strs, [["", "$M", "Mshares"]], date_intervals, dates
),
PREVIOUS_BUYBACK_TYPE: self.get_sids_to_frames(
zip_with_strs, [["", "New", "Additional"]], date_intervals,
dates
)
}
cols[DAYS_SINCE_PREV] = self._compute_busday_offsets(
cols[PREVIOUS_BUYBACK_ANNOUNCEMENT]
@@ -109,68 +123,26 @@ class CashBuybackAuthLoaderTestCase(WithPipelineEventDataLoader,
return cols
class ShareBuybackAuthLoaderTestCase(WithPipelineEventDataLoader,
ZiplineTestCase):
"""
Test for share buyback authorizations dataset.
"""
pipeline_columns = {
PREVIOUS_BUYBACK_SHARE_COUNT:
ShareBuybackAuthorizations.share_count.latest,
PREVIOUS_BUYBACK_ANNOUNCEMENT:
ShareBuybackAuthorizations.announcement_date.latest,
DAYS_SINCE_PREV:
BusinessDaysSinceShareBuybackAuth(),
}
@classmethod
def get_sids(cls):
return range(2)
@classmethod
def get_dataset(cls):
return {sid:
frame.drop(CASH_FIELD_NAME, axis=1)
for sid, frame
in enumerate(buyback_authorizations_cases)}
loader_type = ShareBuybackAuthorizationsLoader
def setup(self, dates):
cols = {PREVIOUS_BUYBACK_SHARE_COUNT:
self.get_sids_to_frames(zip_with_floats,
[['NaN', 1, 15]],
date_intervals,
dates,),
PREVIOUS_BUYBACK_ANNOUNCEMENT:
self.get_sids_to_frames(zip_with_dates,
[['NaT', '2014-01-04', '2014-01-09']],
date_intervals,
dates,),
}
cols[DAYS_SINCE_PREV] = self._compute_busday_offsets(
cols[PREVIOUS_BUYBACK_ANNOUNCEMENT]
)
return cols
class BlazeCashBuybackAuthLoaderTestCase(CashBuybackAuthLoaderTestCase):
class BlazeBuybackAuthLoaderTestCase(BuybackAuthLoaderTestCase):
""" Test case for loading via blaze.
"""
loader_type = BlazeCashBuybackAuthorizationsLoader
loader_type = BlazeBuybackAuthorizationsLoader
def pipeline_event_loader_args(self, dates):
_, mapping = super(
BlazeCashBuybackAuthLoaderTestCase,
BlazeBuybackAuthLoaderTestCase,
self,
).pipeline_event_loader_args(dates)
return (bz.data(pd.concat(
pd.DataFrame({
BUYBACK_ANNOUNCEMENT_FIELD_NAME:
frame[BUYBACK_ANNOUNCEMENT_FIELD_NAME],
CASH_FIELD_NAME:
frame[CASH_FIELD_NAME],
VALUE_FIELD_NAME:
frame[VALUE_FIELD_NAME],
VALUE_TYPE_FIELD_NAME:
frame[VALUE_TYPE_FIELD_NAME],
BUYBACK_TYPE_FIELD_NAME:
frame[BUYBACK_TYPE_FIELD_NAME],
TS_FIELD_NAME:
frame[TS_FIELD_NAME],
SID_FIELD_NAME: sid,
@@ -179,49 +151,13 @@ class BlazeCashBuybackAuthLoaderTestCase(CashBuybackAuthLoaderTestCase):
).reset_index(drop=True)),)
class BlazeShareBuybackAuthLoaderTestCase(ShareBuybackAuthLoaderTestCase):
""" Test case for loading via blaze.
"""
loader_type = BlazeShareBuybackAuthorizationsLoader
def pipeline_event_loader_args(self, dates):
_, mapping = super(
BlazeShareBuybackAuthLoaderTestCase,
self,
).pipeline_event_loader_args(dates)
return (bz.data(pd.concat(
pd.DataFrame({
BUYBACK_ANNOUNCEMENT_FIELD_NAME:
frame[BUYBACK_ANNOUNCEMENT_FIELD_NAME],
SHARE_COUNT_FIELD_NAME:
frame[SHARE_COUNT_FIELD_NAME],
TS_FIELD_NAME:
frame[TS_FIELD_NAME],
SID_FIELD_NAME: sid,
})
for sid, frame in iteritems(mapping)
).reset_index(drop=True)),)
class BlazeShareBuybackAuthLoaderNotInteractiveTestCase(
BlazeShareBuybackAuthLoaderTestCase):
class BlazeBuybackAuthLoaderNotInteractiveTestCase(
BlazeBuybackAuthLoaderTestCase):
"""Test case for passing a non-interactive symbol and a dict of resources.
"""
def pipeline_event_loader_args(self, dates):
(bound_expr,) = super(
BlazeShareBuybackAuthLoaderNotInteractiveTestCase,
self,
).pipeline_event_loader_args(dates)
return swap_resources_into_scope(bound_expr, {})
class BlazeCashBuybackAuthLoaderNotInteractiveTestCase(
BlazeCashBuybackAuthLoaderTestCase):
"""Test case for passing a non-interactive symbol and a dict of resources.
"""
def pipeline_event_loader_args(self, dates):
(bound_expr,) = super(
BlazeCashBuybackAuthLoaderNotInteractiveTestCase,
BlazeBuybackAuthLoaderNotInteractiveTestCase,
self,
).pipeline_event_loader_args(dates)
return swap_resources_into_scope(bound_expr, {})
zipline/pipeline/common.py
+1
View File
@@ -9,6 +9,7 @@ CASH_AMOUNT_FIELD_NAME = 'cash_amount'
COUNT_FIELD_NAME = 'count'
BUYBACK_ANNOUNCEMENT_FIELD_NAME = 'buyback_date'
BUYBACK_TYPE_FIELD_NAME = 'buyback_type'
CASH_AMOUNT_FIELD_NAME = 'cash_amount'
DAYS_SINCE_PREV = 'days_since_prev'
DAYS_SINCE_PREV_DISCLOSURE = 'days_since_prev_disclosure'
DAYS_SINCE_PREV_DIVIDEND_ANNOUNCEMENT = 'days_since_prev_dividend_announcement'
zipline/pipeline/data/__init__.py
+1 -1
View File
@@ -20,6 +20,6 @@ __all__ = [
'DividendsByExDate',
'DividendsByPayDate',
'EarningsCalendar',
'ConsensusEstimates',
'ConsensusEstimates',
'USEquityPricing',
]
zipline/pipeline/data/buyback_auth.py
+4 -3
View File
@@ -1,7 +1,8 @@
"""
Datasets representing dates of recently announced buyback authorizations.
"""
from zipline.utils.numpy_utils import datetime64ns_dtype, float64_dtype
from zipline.utils.numpy_utils import datetime64ns_dtype, float64_dtype, \
categorical_dtype
from .dataset import Column, DataSet
@@ -13,5 +14,5 @@ class BuybackAuthorizations(DataSet):
"""
previous_value = Column(float64_dtype)
previous_date = Column(datetime64ns_dtype)
previous_value_type = Column(float64_dtype) # TODO: should be string
previous_buyback_type = Column(float64_dtype) # TODO: should be string
previous_value_type = Column(categorical_dtype, missing_value="<<NONE>>")
previous_buyback_type = Column(categorical_dtype, missing_value="<<NONE>>")
zipline/pipeline/factors/__init__.py
+2 -4
View File
@@ -6,13 +6,12 @@ from .factor import (
)
from .events import (
BusinessDaysSince13DFilingsDate,
BusinessDaysSinceCashBuybackAuth,
BusinessDaysSinceBuybackAuth,
BusinessDaysSinceDividendAnnouncement,
BusinessDaysUntilNextExDate,
BusinessDaysSincePreviousExDate,
BusinessDaysUntilNextEarnings,
BusinessDaysSincePreviousEarnings,
BusinessDaysSinceShareBuybackAuth,
)
from .technical import (
AverageDollarVolume,
@@ -30,13 +29,12 @@ from .technical import (
__all__ = [
'BusinessDaysSince13DFilingsDate',
'BusinessDaysSinceCashBuybackAuth',
'BusinessDaysSinceBuybackAuth',
'BusinessDaysSinceDividendAnnouncement',
'BusinessDaysUntilNextExDate',
'BusinessDaysSincePreviousExDate',
'BusinessDaysUntilNextEarnings',
'BusinessDaysSincePreviousEarnings',
'BusinessDaysSinceShareBuybackAuth',
'CustomFactor',
'AverageDollarVolume',
'EWMA',
zipline/pipeline/loaders/blaze/buyback_auth.py
+6 -3
View File
@@ -4,7 +4,10 @@ from .core import (
)
from zipline.pipeline.common import (
BUYBACK_ANNOUNCEMENT_FIELD_NAME,
VALUE_FIELD_NAME, VALUE_TYPE_FIELD_NAME, BUYBACK_TYPE_FIELD_NAME)
BUYBACK_TYPE_FIELD_NAME,
VALUE_FIELD_NAME,
VALUE_TYPE_FIELD_NAME,
)
from zipline.pipeline.data import BuybackAuthorizations
from zipline.pipeline.loaders import BuybackAuthorizationsLoader
from .events import BlazeEventsLoader
@@ -38,8 +41,8 @@ class BlazeBuybackAuthorizationsLoader(BlazeEventsLoader):
{TS_FIELD_NAME}: datetime,
{BUYBACK_ANNOUNCEMENT_FIELD_NAME}: ?datetime,
{VALUE_FIELD_NAME}: ?float64,
{VALUE_TYPE_FIELD_NAME}: ?float64,
{BUYBACK_TYPE_FIELD_NAME}: ?float64,
{VALUE_TYPE_FIELD_NAME}: ?str,
{BUYBACK_TYPE_FIELD_NAME}: ?str,
}}
Where each row of the table is a record including the sid to identify the
zipline/pipeline/loaders/buyback_auth.py
+11 -11
View File
@@ -44,26 +44,26 @@ class BuybackAuthorizationsLoader(EventsLoader):
@lazyval
def previous_value_loader(self):
return self._previous_event_value_loader(
self.dataset.cash_amount,
self.dataset.previous_value,
VALUE_FIELD_NAME
)
@lazyval
def previous_date_loader(self):
return self._previous_event_date_loader(
self.dataset.announcement_date,
)
@lazyval
def previous_buyback_type_loader(self):
return self._previous_event_date_loader(
self.dataset.announcement_date,
BUYBACK_TYPE_FIELD_NAME,
self.dataset.previous_date,
)
@lazyval
def previous_value_type_loader(self):
return self._previous_event_date_loader(
self.dataset.announcement_date,
return self._previous_event_value_loader(
self.dataset.previous_value_type,
VALUE_TYPE_FIELD_NAME,
)
@lazyval
def previous_buyback_type_loader(self):
return self._previous_event_value_loader(
self.dataset.previous_buyback_type,
BUYBACK_TYPE_FIELD_NAME,
)
zipline/pipeline/loaders/utils.py
+4
View File
@@ -280,6 +280,10 @@ def zip_with_floats(dates, flts):
return pd.Series(flts, index=dates, dtype='float')
def zip_with_strs(dates, flts):
return pd.Series(flts, index=dates, dtype='string')
def zip_with_dates(index_dates, dts):
return pd.Series(pd.to_datetime(dts), index=index_dates)