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Merge pull request #1185 from quantopian/redesign-buyback-auth

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Redesign buyback auth
This commit is contained in:
Maya Tydykov
2016-05-12 11:30:02 -04:00
parent 47da15592c 6b60e447a0
commit 3ef05522ed
16 changed files with 247 additions and 372 deletions
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tests/pipeline/test_13d_filings.py
+33 -31
View File
@@ -17,16 +17,17 @@ from zipline.pipeline.data import _13DFilings
from zipline.pipeline.factors.events import BusinessDaysSince13DFilingsDate
from zipline.pipeline.loaders._13d_filings import _13DFilingsLoader
from zipline.pipeline.loaders.utils import (
get_values_for_date_ranges,
zip_with_floats,
zip_with_dates
)
from zipline.testing.fixtures import WithPipelineEventDataLoader
from zipline.testing.fixtures import ZiplineTestCase
date_intervals = [[None, '2014-01-04'],
['2014-01-05', '2014-01-09'],
['2014-01-10', None]]
date_intervals = [
[['2014-01-01', '2014-01-04'],
['2014-01-05', '2014-01-09'],
['2014-01-10', '2014-01-31']]
]
empty_df = pd.DataFrame(
columns=[NUM_SHARES,
@@ -40,7 +41,7 @@ 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 = [
_13d_filings_cases = [
pd.DataFrame({
NUM_SHARES: [1, 15],
PERCENT_SHARES: [10, 20],
@@ -51,19 +52,6 @@ _13d_filngs_cases = [
]
def get_expected_previous_values(zip_date_index_with_vals,
vals,
date_intervals,
dates):
return pd.DataFrame({
0: get_values_for_date_ranges(zip_date_index_with_vals,
vals,
date_intervals,
dates),
1: zip_date_index_with_vals(dates, ['NaN'] * len(dates)),
}, index=dates)
class _13DFilingsLoaderTestCase(WithPipelineEventDataLoader,
ZiplineTestCase):
"""
@@ -88,23 +76,37 @@ class _13DFilingsLoaderTestCase(WithPipelineEventDataLoader,
def get_dataset(cls):
return {sid: frame
for sid, frame
in enumerate(_13d_filngs_cases)}
in enumerate(_13d_filings_cases)}
loader_type = _13DFilingsLoader
def setup(self, dates):
cols = {}
cols[
PREVIOUS_DISCLOSURE_DATE
] = get_expected_previous_values(zip_with_dates,
['NaT', '2014-01-04', '2014-01-09'],
date_intervals, dates)
cols[PREVIOUS_NUM_SHARES] = get_expected_previous_values(
zip_with_floats, ['NaN', 1, 15], date_intervals, dates
)
cols[PREVIOUS_PERCENT_SHARES] = get_expected_previous_values(
zip_with_floats, ['NaN', 10, 20], date_intervals, dates
)
cols = {
PREVIOUS_DISCLOSURE_DATE: self.get_sids_to_frames(
zip_with_dates,
[['NaT', '2014-01-04', '2014-01-09']],
date_intervals,
dates,
'datetime64[ns]',
'NaN'
),
PREVIOUS_NUM_SHARES: self.get_sids_to_frames(
zip_with_floats,
[['NaN', 1, 15]],
date_intervals,
dates,
'float',
'NaN'
),
PREVIOUS_PERCENT_SHARES: self.get_sids_to_frames(
zip_with_floats,
[['NaN', 10, 20]],
date_intervals,
dates,
'float',
'NaN'
)
}
cols[DAYS_SINCE_PREV_DISCLOSURE] = self._compute_busday_offsets(
cols[PREVIOUS_DISCLOSURE_DATE]
)
tests/pipeline/test_buyback_auth.py
+69 -129
View File
@@ -7,35 +7,26 @@ import pandas as pd
from six import iteritems
from zipline.pipeline.common import(
BUYBACK_AMOUNT_FIELD_NAME,
BUYBACK_ANNOUNCEMENT_FIELD_NAME,
CASH_FIELD_NAME,
BUYBACK_TYPE_FIELD_NAME,
BUYBACK_UNIT_FIELD_NAME,
DAYS_SINCE_PREV,
PREVIOUS_BUYBACK_AMOUNT,
PREVIOUS_BUYBACK_ANNOUNCEMENT,
PREVIOUS_BUYBACK_CASH,
PREVIOUS_BUYBACK_SHARE_COUNT,
SHARE_COUNT_FIELD_NAME,
PREVIOUS_BUYBACK_TYPE,
PREVIOUS_BUYBACK_UNIT,
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,
)
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_dates,
zip_with_floats,
zip_with_dates
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],
BUYBACK_AMOUNT_FIELD_NAME: [1, 15],
BUYBACK_UNIT_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=[BUYBACK_AMOUNT_FIELD_NAME,
BUYBACK_UNIT_FIELD_NAME,
BUYBACK_TYPE_FIELD_NAME,
BUYBACK_ANNOUNCEMENT_FIELD_NAME,
TS_FIELD_NAME],
dtype='datetime64[ns]'
@@ -64,18 +57,21 @@ buyback_authorizations_cases = [
]
class CashBuybackAuthLoaderTestCase(WithPipelineEventDataLoader,
ZiplineTestCase):
class BuybackAuthLoaderTestCase(WithPipelineEventDataLoader, ZiplineTestCase):
"""
Test for cash buyback authorizations dataset.
"""
pipeline_columns = {
PREVIOUS_BUYBACK_CASH:
CashBuybackAuthorizations.cash_amount.latest,
PREVIOUS_BUYBACK_AMOUNT:
BuybackAuthorizations.previous_amount.latest,
PREVIOUS_BUYBACK_ANNOUNCEMENT:
CashBuybackAuthorizations.announcement_date.latest,
BuybackAuthorizations.previous_date.latest,
PREVIOUS_BUYBACK_UNIT:
BuybackAuthorizations.previous_unit.latest,
PREVIOUS_BUYBACK_TYPE:
BuybackAuthorizations.previous_type.latest,
DAYS_SINCE_PREV:
BusinessDaysSinceCashBuybackAuth(),
BusinessDaysSinceBuybackAuth(),
}
@classmethod
@@ -84,70 +80,45 @@ 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_BUYBACK_AMOUNT: self.get_sids_to_frames(zip_with_floats,
[['NaN', 1, 15]],
date_intervals,
dates,
'float',
'NaN'),
PREVIOUS_BUYBACK_ANNOUNCEMENT: self.get_sids_to_frames(
zip_with_dates,
[['NaT', '2014-01-04', '2014-01-09']],
date_intervals,
dates),
dates,
'datetime64[ns]',
'NaN'
),
PREVIOUS_BUYBACK_UNIT: self.get_sids_to_frames(
zip_with_strs,
[[None, "$M", "Mshares"]],
date_intervals,
dates,
'category',
None
),
PREVIOUS_BUYBACK_TYPE: self.get_sids_to_frames(
zip_with_strs,
[[None, "New", "Additional"]],
date_intervals,
dates,
'category',
None
)
}
cols[DAYS_SINCE_PREV] = self._compute_busday_offsets(
cols[PREVIOUS_BUYBACK_ANNOUNCEMENT]
)
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]
@@ -155,22 +126,26 @@ class ShareBuybackAuthLoaderTestCase(WithPipelineEventDataLoader,
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],
BUYBACK_AMOUNT_FIELD_NAME:
frame[BUYBACK_AMOUNT_FIELD_NAME],
BUYBACK_UNIT_FIELD_NAME:
frame[BUYBACK_UNIT_FIELD_NAME],
BUYBACK_TYPE_FIELD_NAME:
frame[BUYBACK_TYPE_FIELD_NAME],
TS_FIELD_NAME:
frame[TS_FIELD_NAME],
SID_FIELD_NAME: sid,
@@ -179,49 +154,14 @@ 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, {})
tests/pipeline/test_consensus_estimates.py
+9 -3
View File
@@ -301,8 +301,12 @@ class ConsensusEstimatesLoaderTestCase(WithNextAndPreviousEventDataLoader,
def setup(self, dates):
cols = {
PREVIOUS_RELEASE_DATE:
self.get_expected_previous_event_dates(dates),
NEXT_RELEASE_DATE: self.get_expected_next_event_dates(dates)
self.get_expected_previous_event_dates(
dates, 'datetime64[ns]', 'NaN'
),
NEXT_RELEASE_DATE: self.get_expected_next_event_dates(
dates, 'datetime64[ns]', 'NaN'
)
}
for field_name in field_name_to_expected_col:
cols[field_name] = self.get_sids_to_frames(
@@ -310,7 +314,9 @@ class ConsensusEstimatesLoaderTestCase(WithNextAndPreviousEventDataLoader,
self.prev_date_intervals
if field_name.startswith("previous")
else self.next_date_intervals,
dates
dates,
'float',
'NaN'
)
return cols
tests/pipeline/test_dividends.py
+18 -9
View File
@@ -206,10 +206,11 @@ class DividendsByAnnouncementDateTestCase(WithPipelineEventDataLoader,
amounts = [['NaN', 1, 15], ['NaN', 7, 13], ['NaN', 3, 1], ['NaN', 23]]
cols = {
PREVIOUS_ANNOUNCEMENT: self.get_sids_to_frames(
zip_with_dates, announcement_dates, date_intervals, dates
zip_with_dates, announcement_dates, date_intervals, dates,
'datetime64[ns]', 'NaN'
),
PREVIOUS_AMOUNT: self.get_sids_to_frames(
zip_with_floats, amounts, date_intervals, dates
zip_with_floats, amounts, date_intervals, dates, 'float', 'NaN'
),
}
@@ -281,16 +282,20 @@ class DividendsByExDateTestCase(WithPipelineEventDataLoader, ZiplineTestCase):
NEXT_EX_DATE: self.get_sids_to_frames(
zip_with_dates, next_ex_and_pay_dates, next_date_intervals,
dates,
'datetime64[ns]', 'NaN'
),
PREVIOUS_EX_DATE: self.get_sids_to_frames(
zip_with_dates, prev_ex_and_pay_dates, prev_date_intervals,
dates
dates,
'datetime64[ns]', 'NaN'
),
NEXT_AMOUNT: self.get_sids_to_frames(
zip_with_floats, next_amounts, next_date_intervals, dates
zip_with_floats, next_amounts, next_date_intervals, dates,
'float', 'NaN'
),
PREVIOUS_AMOUNT: self.get_sids_to_frames(
zip_with_floats, prev_amounts, prev_date_intervals, dates
zip_with_floats, prev_amounts, prev_date_intervals, dates,
'float', 'NaN'
)
}
@@ -360,17 +365,21 @@ class DividendsByPayDateTestCase(WithPipelineEventDataLoader, ZiplineTestCase):
return {
NEXT_PAY_DATE: self.get_sids_to_frames(
zip_with_dates, next_ex_and_pay_dates, next_date_intervals,
dates
dates,
'datetime64[ns]', 'NaN'
),
PREVIOUS_PAY_DATE: self.get_sids_to_frames(
zip_with_dates, prev_ex_and_pay_dates, prev_date_intervals,
dates
dates,
'datetime64[ns]', 'NaN'
),
NEXT_AMOUNT: self.get_sids_to_frames(
zip_with_floats, next_amounts, next_date_intervals, dates
zip_with_floats, next_amounts, next_date_intervals, dates,
'float', 'NaN'
),
PREVIOUS_AMOUNT: self.get_sids_to_frames(
zip_with_floats, prev_amounts, prev_date_intervals, dates
zip_with_floats, prev_amounts, prev_date_intervals, dates,
'float', 'NaN'
)
}
tests/pipeline/test_earnings.py
+5 -2
View File
@@ -51,9 +51,12 @@ class EarningsCalendarLoaderTestCase(WithNextAndPreviousEventDataLoader,
def setup(self, dates):
cols = {
PREVIOUS_ANNOUNCEMENT: self.get_expected_previous_event_dates(
dates
dates,
'datetime64[ns]', 'NaN'
),
NEXT_ANNOUNCEMENT: self.get_expected_next_event_dates(
dates, 'datetime64[ns]', 'NaN'
),
NEXT_ANNOUNCEMENT: self.get_expected_next_event_dates(dates),
}
cols[DAYS_TO_NEXT] = self._compute_busday_offsets(
cols[NEXT_ANNOUNCEMENT]
zipline/pipeline/common.py
+13 -7
View File
@@ -4,10 +4,13 @@ Common constants for Pipeline.
ACTUAL_VALUE_FIELD_NAME = 'actual_value'
AD_FIELD_NAME = 'asof_date'
ANNOUNCEMENT_FIELD_NAME = 'announcement_date'
CASH_FIELD_NAME = 'cash'
CASH_AMOUNT_FIELD_NAME = 'cash_amount'
COUNT_FIELD_NAME = 'count'
BUYBACK_AMOUNT_FIELD_NAME = 'buyback_amount'
BUYBACK_ANNOUNCEMENT_FIELD_NAME = 'buyback_date'
BUYBACK_TYPE_FIELD_NAME = 'buyback_type'
BUYBACK_UNIT_FIELD_NAME = 'buyback_unit'
CASH_AMOUNT_FIELD_NAME = 'cash_amount'
CASH_FIELD_NAME = 'cash'
COUNT_FIELD_NAME = 'count'
DAYS_SINCE_PREV = 'days_since_prev'
DAYS_SINCE_PREV_DISCLOSURE = 'days_since_prev_disclosure'
DAYS_SINCE_PREV_DIVIDEND_ANNOUNCEMENT = 'days_since_prev_dividend_announcement'
@@ -24,33 +27,36 @@ MEAN_FIELD_NAME = 'mean'
NEXT_AMOUNT = 'next_amount'
NEXT_ANNOUNCEMENT = 'next_announcement'
NEXT_COUNT = 'next_count'
NEXT_EX_DATE = 'next_ex_date'
NEXT_FISCAL_QUARTER = 'next_fiscal_quarter'
NEXT_FISCAL_YEAR = 'next_fiscal_year'
NEXT_EX_DATE = 'next_ex_date'
NEXT_HIGH = 'next_high'
NEXT_LOW = 'next_low'
NEXT_MEAN = 'next_mean'
NEXT_PAY_DATE = 'next_pay_date'
NUM_SHARES = 'number_shares'
NEXT_RELEASE_DATE = 'next_release_date'
NEXT_STANDARD_DEVIATION = 'next_standard_deviation'
NUM_SHARES = 'number_shares'
PAY_DATE_FIELD_NAME = 'pay_date'
PERCENT_SHARES = 'percent_shares'
PREVIOUS_ACTUAL_VALUE = 'previous_actual_value'
PREVIOUS_AMOUNT = 'previous_amount'
PREVIOUS_ANNOUNCEMENT = 'previous_announcement'
PREVIOUS_BUYBACK_AMOUNT = 'previous_value'
PREVIOUS_BUYBACK_ANNOUNCEMENT = 'previous_buyback_announcement'
PREVIOUS_BUYBACK_CASH = 'previous_buyback_cash'
PREVIOUS_BUYBACK_SHARE_COUNT = 'previous_buyback_share_count'
PREVIOUS_DISCLOSURE_DATE = 'previous_disclosure_date'
PREVIOUS_BUYBACK_TYPE = 'previous_buyback_type'
PREVIOUS_BUYBACK_UNIT = 'previous_value_type'
PREVIOUS_COUNT = 'previous_count'
PREVIOUS_DISCLOSURE_DATE = 'previous_disclosure_date'
PREVIOUS_EX_DATE = 'previous_ex_date'
PREVIOUS_NUM_SHARES = 'previous_number_shares'
PREVIOUS_FISCAL_QUARTER = 'previous_fiscal_quarter'
PREVIOUS_FISCAL_YEAR = 'previous_fiscal_year'
PREVIOUS_HIGH = 'previous_high'
PREVIOUS_LOW = 'previous_low'
PREVIOUS_MEAN = 'previous_mean'
PREVIOUS_NUM_SHARES = 'previous_number_shares'
PREVIOUS_PAY_DATE = 'previous_pay_date'
PREVIOUS_PERCENT_SHARES = 'previous_percentage'
PREVIOUS_RELEASE_DATE = 'previous_release_date'
zipline/pipeline/data/__init__.py
+2 -3
View File
@@ -1,5 +1,5 @@
from ._13d_filings import _13DFilings
from .buyback_auth import CashBuybackAuthorizations, ShareBuybackAuthorizations
from .buyback_auth import BuybackAuthorizations
from .dividends import (
DividendsByAnnouncementDate,
DividendsByExDate,
@@ -13,7 +13,7 @@ from .dataset import DataSet, Column, BoundColumn
__all__ = [
'_13DFilings',
'BoundColumn',
'CashBuybackAuthorizations',
'BuybackAuthorizations',
'Column',
'DataSet',
'DividendsByAnnouncementDate',
@@ -21,6 +21,5 @@ __all__ = [
'DividendsByPayDate',
'EarningsCalendar',
'ConsensusEstimates',
'ShareBuybackAuthorizations',
'USEquityPricing',
]
zipline/pipeline/data/buyback_auth.py
+10 -13
View File
@@ -1,24 +1,21 @@
"""
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
class CashBuybackAuthorizations(DataSet):
class BuybackAuthorizations(DataSet):
"""
Dataset representing dates of recently announced cash buyback
authorizations.
"""
cash_amount = Column(float64_dtype)
announcement_date = Column(datetime64ns_dtype)
class ShareBuybackAuthorizations(DataSet):
"""
Dataset representing dates of recently announced share buyback
authorizations.
"""
share_count = Column(float64_dtype)
announcement_date = Column(datetime64ns_dtype)
previous_amount = Column(float64_dtype)
previous_date = Column(datetime64ns_dtype)
previous_unit = Column(categorical_dtype, missing_value=None)
previous_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/factors/events.py
+5 -21
View File
@@ -5,8 +5,7 @@ announcements, acquisitions, dividends, etc.).
from numpy import newaxis
from ..data import (
_13DFilings,
CashBuybackAuthorizations,
ShareBuybackAuthorizations,
BuybackAuthorizations,
DividendsByAnnouncementDate,
DividendsByExDate,
EarningsCalendar
@@ -132,33 +131,18 @@ class BusinessDaysSincePreviousEarnings(BusinessDaysSincePreviousEvents):
inputs = [EarningsCalendar.previous_announcement]
class BusinessDaysSinceCashBuybackAuth(
class BusinessDaysSinceBuybackAuth(
BusinessDaysSincePreviousEvents
):
"""
Factor returning the number of **business days** (not trading days!) since
the most recent cash buyback authorization for each asset.
the most recent buyback authorization for each asset.
See Also
--------
zipline.pipeline.factors.BusinessDaysSinceCashBuybackAuth
zipline.pipeline.factors.BusinessDaysSinceBuybackAuth
"""
inputs = [CashBuybackAuthorizations.announcement_date]
class BusinessDaysSinceShareBuybackAuth(
BusinessDaysSincePreviousEvents
):
"""
Factor returning the number of **business days** (not trading days!) since
the most recent share buyback authorization for each asset.
See Also
--------
zipline.pipeline.factors.BusinessDaysSinceShareBuybackAuth
"""
inputs = [ShareBuybackAuthorizations.announcement_date]
inputs = [BuybackAuthorizations.previous_date]
class BusinessDaysSinceDividendAnnouncement(
zipline/pipeline/loaders/__init__.py
+3 -7
View File
@@ -1,10 +1,7 @@
from ._13d_filings import _13DFilingsLoader
from .earnings import EarningsCalendarLoader
from .buyback_auth import BuybackAuthorizationsLoader
from .consensus_estimates import ConsensusEstimatesLoader
from .buyback_auth import (
CashBuybackAuthorizationsLoader,
ShareBuybackAuthorizationsLoader
)
from .earnings import EarningsCalendarLoader
from .dividends import (
DividendsByAnnouncementDateLoader,
DividendsByExDateLoader,
@@ -14,12 +11,11 @@ from .equity_pricing_loader import USEquityPricingLoader
__all__ = [
'_13DFilingsLoader',
'CashBuybackAuthorizationsLoader',
'BuybackAuthorizationsLoader',
'DividendsByAnnouncementDateLoader',
'DividendsByExDateLoader',
'DividendsByPayDateLoader',
'EarningsCalendarLoader',
'ConsensusEstimatesLoader',
'ShareBuybackAuthorizationsLoader',
'USEquityPricingLoader',
]
zipline/pipeline/loaders/blaze/__init__.py
+3 -6
View File
@@ -1,8 +1,6 @@
from ._13d_filings import Blaze_13DFilingsLoader
from .buyback_auth import (
BlazeCashBuybackAuthorizationsLoader,
BlazeShareBuybackAuthorizationsLoader
)
from .buyback_auth import BlazeBuybackAuthorizationsLoader
from .core import (
BlazeLoader,
NoDeltasWarning,
@@ -21,14 +19,13 @@ from .consensus_estimates import BlazeConsensusEstimatesLoader
__all__ = (
'Blaze_13DFilingsLoader',
'BlazeCashBuybackAuthorizationsLoader',
'BlazeBuybackAuthorizationsLoader',
'BlazeDividendsByAnnouncementDateLoader',
'BlazeConsensusEstimatesLoader',
'BlazeDividendsByExDateLoader',
'BlazeDividendsByPayDateLoader',
'BlazeEarningsCalendarLoader',
'BlazeLoader',
'BlazeShareBuybackAuthorizationsLoader',
'from_blaze',
'global_loader',
'NoDeltasWarning',
zipline/pipeline/loaders/blaze/buyback_auth.py
+21 -74
View File
@@ -1,25 +1,20 @@
from .core import (
TS_FIELD_NAME,
SID_FIELD_NAME,
TS_FIELD_NAME,
)
from zipline.pipeline.common import (
BUYBACK_AMOUNT_FIELD_NAME,
BUYBACK_ANNOUNCEMENT_FIELD_NAME,
CASH_FIELD_NAME,
SHARE_COUNT_FIELD_NAME
)
from zipline.pipeline.data import (
CashBuybackAuthorizations,
ShareBuybackAuthorizations
)
from zipline.pipeline.loaders import (
CashBuybackAuthorizationsLoader,
ShareBuybackAuthorizationsLoader,
BUYBACK_TYPE_FIELD_NAME,
BUYBACK_UNIT_FIELD_NAME,
)
from zipline.pipeline.data import BuybackAuthorizations
from zipline.pipeline.loaders import BuybackAuthorizationsLoader
from .events import BlazeEventsLoader
class BlazeCashBuybackAuthorizationsLoader(BlazeEventsLoader):
"""A pipeline loader for the ``CashBuybackAuthorizations`` dataset that
class BlazeBuybackAuthorizationsLoader(BlazeEventsLoader):
"""A pipeline loader for the ``BuybackAuthorizations`` dataset that
loads data from a blaze expression.
Parameters
@@ -45,12 +40,15 @@ class BlazeCashBuybackAuthorizationsLoader(BlazeEventsLoader):
{SID_FIELD_NAME}: int64,
{TS_FIELD_NAME}: datetime,
{BUYBACK_ANNOUNCEMENT_FIELD_NAME}: ?datetime,
{CASH_FIELD_NAME}: ?float64
{BUYBACK_AMOUNT_FIELD_NAME}: ?float64,
{BUYBACK_UNIT_FIELD_NAME}: ?str,
{BUYBACK_TYPE_FIELD_NAME}: ?str,
}}
Where each row of the table is a record including the sid to identify the
company, the timestamp where we learned about the announcement, the
date when the buyback was announced, the share count, and the cash amount.
date when the buyback was announced, the buyback amount, the buyback unit,
and the buyback type.
If the '{TS_FIELD_NAME}' field is not included it is assumed that we
start the backtest with knowledge of all announcements.
@@ -59,70 +57,19 @@ class BlazeCashBuybackAuthorizationsLoader(BlazeEventsLoader):
TS_FIELD_NAME=TS_FIELD_NAME,
SID_FIELD_NAME=SID_FIELD_NAME,
BUYBACK_ANNOUNCEMENT_FIELD_NAME=BUYBACK_ANNOUNCEMENT_FIELD_NAME,
CASH_FIELD_NAME=CASH_FIELD_NAME
BUYBACK_AMOUNT_FIELD_NAME=BUYBACK_AMOUNT_FIELD_NAME,
BUYBACK_UNIT_FIELD_NAME=BUYBACK_UNIT_FIELD_NAME,
BUYBACK_TYPE_FIELD_NAME=BUYBACK_TYPE_FIELD_NAME
)
_expected_fields = frozenset({
TS_FIELD_NAME,
SID_FIELD_NAME,
BUYBACK_ANNOUNCEMENT_FIELD_NAME,
CASH_FIELD_NAME
BUYBACK_AMOUNT_FIELD_NAME,
BUYBACK_UNIT_FIELD_NAME,
BUYBACK_TYPE_FIELD_NAME
})
concrete_loader = CashBuybackAuthorizationsLoader
default_dataset = CashBuybackAuthorizations
class BlazeShareBuybackAuthorizationsLoader(BlazeEventsLoader):
"""A pipeline loader for the ``ShareBuybackAuthorizations`` dataset that
loads data from a blaze expression.
Parameters
----------
expr : Expr
The expression representing the data to load.
resources : dict, optional
Mapping from the loadable terms of ``expr`` to actual data resources.
odo_kwargs : dict, optional
Extra keyword arguments to pass to odo when executing the expression.
data_query_time : time, optional
The time to use for the data query cutoff.
data_query_tz : tzinfo or str
The timezeone to use for the data query cutoff.
dataset: DataSet
The DataSet object for which this loader loads data.
Notes
-----
The expression should have a tabular dshape of::
Dim * {{
{SID_FIELD_NAME}: int64,
{TS_FIELD_NAME}: datetime,
{BUYBACK_ANNOUNCEMENT_FIELD_NAME}: ?datetime,
{SHARE_COUNT_FIELD_NAME}: ?float64,
}}
Where each row of the table is a record including the sid to identify the
company, the timestamp where we learned about the announcement, the
date when the buyback was announced, the share count, and the value.
If the '{TS_FIELD_NAME}' field is not included it is assumed that we
start the backtest with knowledge of all announcements.
"""
__doc__ = __doc__.format(
TS_FIELD_NAME=TS_FIELD_NAME,
SID_FIELD_NAME=SID_FIELD_NAME,
BUYBACK_ANNOUNCEMENT_FIELD_NAME=BUYBACK_ANNOUNCEMENT_FIELD_NAME,
SHARE_COUNT_FIELD_NAME=SHARE_COUNT_FIELD_NAME,
)
_expected_fields = frozenset({
TS_FIELD_NAME,
SID_FIELD_NAME,
BUYBACK_ANNOUNCEMENT_FIELD_NAME,
SHARE_COUNT_FIELD_NAME,
})
concrete_loader = ShareBuybackAuthorizationsLoader
default_dataset = ShareBuybackAuthorizations
concrete_loader = BuybackAuthorizationsLoader
default_dataset = BuybackAuthorizations
zipline/pipeline/loaders/buyback_auth.py
+24 -53
View File
@@ -2,30 +2,30 @@
Reference implementation for buyback auth loaders.
"""
from ..data import (
CashBuybackAuthorizations,
ShareBuybackAuthorizations
)
from ..data import BuybackAuthorizations
from .events import EventsLoader
from zipline.pipeline.common import (
BUYBACK_AMOUNT_FIELD_NAME,
BUYBACK_ANNOUNCEMENT_FIELD_NAME,
CASH_FIELD_NAME,
SHARE_COUNT_FIELD_NAME
BUYBACK_TYPE_FIELD_NAME,
BUYBACK_UNIT_FIELD_NAME
)
from zipline.utils.memoize import lazyval
class CashBuybackAuthorizationsLoader(EventsLoader):
class BuybackAuthorizationsLoader(EventsLoader):
"""
Reference loader for
:class:`zipline.pipeline.data.CashBuybackAuthorizations`.
:class:`zipline.pipeline.data.BuybackAuthorizations`.
events_by_sid: dict[sid -> pd.DataFrame(knowledge date,
event date, cash value)]
event date, buyback amount, buyback unit, buyback type)]
"""
expected_cols = frozenset([BUYBACK_ANNOUNCEMENT_FIELD_NAME,
CASH_FIELD_NAME])
BUYBACK_AMOUNT_FIELD_NAME,
BUYBACK_UNIT_FIELD_NAME,
BUYBACK_TYPE_FIELD_NAME])
event_date_col = BUYBACK_ANNOUNCEMENT_FIELD_NAME
@@ -33,8 +33,8 @@ class CashBuybackAuthorizationsLoader(EventsLoader):
all_dates,
events_by_sid,
infer_timestamps=False,
dataset=CashBuybackAuthorizations):
super(CashBuybackAuthorizationsLoader, self).__init__(
dataset=BuybackAuthorizations):
super(BuybackAuthorizationsLoader, self).__init__(
all_dates,
events_by_sid,
infer_timestamps=infer_timestamps,
@@ -42,57 +42,28 @@ class CashBuybackAuthorizationsLoader(EventsLoader):
)
@lazyval
def cash_amount_loader(self):
def previous_amount_loader(self):
return self._previous_event_value_loader(
self.dataset.cash_amount,
CASH_FIELD_NAME
self.dataset.previous_amount,
BUYBACK_AMOUNT_FIELD_NAME
)
@lazyval
def announcement_date_loader(self):
def previous_date_loader(self):
return self._previous_event_date_loader(
self.dataset.announcement_date,
)
class ShareBuybackAuthorizationsLoader(EventsLoader):
"""
Reference loader for
:class:`zipline.pipeline.data.ShareBuybackAuthorizations`.
Does not currently support adjustments to the dates of known buyback
authorizations.
events_by_sid: dict[sid -> pd.DataFrame(knowledge date,
event date, share value)]
"""
expected_cols = frozenset([BUYBACK_ANNOUNCEMENT_FIELD_NAME,
SHARE_COUNT_FIELD_NAME])
event_date_col = BUYBACK_ANNOUNCEMENT_FIELD_NAME
def __init__(self,
all_dates,
events_by_sid,
infer_timestamps=False,
dataset=ShareBuybackAuthorizations):
super(ShareBuybackAuthorizationsLoader, self).__init__(
all_dates,
events_by_sid,
infer_timestamps=infer_timestamps,
dataset=dataset,
self.dataset.previous_date,
)
@lazyval
def share_count_loader(self):
def previous_unit_loader(self):
return self._previous_event_value_loader(
self.dataset.share_count,
SHARE_COUNT_FIELD_NAME
self.dataset.previous_unit,
BUYBACK_UNIT_FIELD_NAME,
)
@lazyval
def announcement_date_loader(self):
return self._previous_event_date_loader(
self.dataset.announcement_date,
def previous_type_loader(self):
return self._previous_event_value_loader(
self.dataset.previous_type,
BUYBACK_TYPE_FIELD_NAME,
)
zipline/pipeline/loaders/utils.py
+10 -2
View File
@@ -5,7 +5,7 @@ import pandas as pd
from six import iteritems
from six.moves import zip
from zipline.utils.numpy_utils import NaTns
from zipline.utils.numpy_utils import categorical_dtype, NaTns
def next_event_frame(events_by_sid,
@@ -116,9 +116,11 @@ def previous_event_frame(events_by_sid,
next_date_frame
"""
sids = list(events_by_sid)
populate_value = None if field_dtype == categorical_dtype else \
missing_value
out = np.full(
(len(date_index), len(sids)),
missing_value,
populate_value,
dtype=field_dtype
)
d_n = date_index[-1].asm8
@@ -140,6 +142,8 @@ def previous_event_frame(events_by_sid,
frame = pd.DataFrame(out, index=date_index, columns=sids)
frame.ffill(inplace=True)
if field_dtype == categorical_dtype:
frame[frame.isnull()] = missing_value
return frame
@@ -280,6 +284,10 @@ def zip_with_floats(dates, flts):
return pd.Series(flts, index=dates, dtype='float')
def zip_with_strs(dates, strs):
return pd.Series(strs, index=dates, dtype='object')
def zip_with_dates(index_dates, dts):
return pd.Series(pd.to_datetime(dts), index=index_dates)
zipline/testing/fixtures.py
+20 -8
View File
@@ -887,7 +887,9 @@ class WithPipelineEventDataLoader(with_metaclass(
zip_date_index_with_vals,
vals,
date_intervals,
dates):
dates,
dtype_name,
missing_dtype):
"""
Construct a DataFrame that maps sid to the expected values for the
given dates.
@@ -907,6 +909,11 @@ class WithPipelineEventDataLoader(with_metaclass(
dates: DatetimeIndex
The dates which will serve as the index for each Series for each
sid in the DataFrame.
dtype_name: str
The name of the dtype of the values in `vals`.
missing_dtype: str
The name of the value that should be used as the missing value
for the dtype of `vals` - e.g., 'NaN' for floats.
"""
frame = pd.DataFrame({sid: get_values_for_date_ranges(
zip_date_index_with_vals,
@@ -914,10 +921,10 @@ class WithPipelineEventDataLoader(with_metaclass(
pd.DatetimeIndex(list(zip(*date_intervals[sid]))[0]),
pd.DatetimeIndex(list(zip(*date_intervals[sid]))[1]),
dates
) for sid in self.get_sids()[:-1]})
).astype(dtype_name) for sid in self.get_sids()[:-1]})
frame[self.get_sids()[-1]] = zip_date_index_with_vals(
dates, ['NaN'] * len(dates)
)
dates, [missing_dtype] * len(dates)
).astype(dtype_name)
return frame
@staticmethod
@@ -1232,18 +1239,23 @@ class WithNextAndPreviousEventDataLoader(WithPipelineEventDataLoader):
['NaT']
]
def get_expected_previous_event_dates(self, dates):
def get_expected_previous_event_dates(self, dates, dtype_name,
missing_dtype):
return self.get_sids_to_frames(
zip_with_dates,
self.prev_dates,
self.prev_date_intervals,
dates
dates,
dtype_name,
missing_dtype
)
def get_expected_next_event_dates(self, dates):
def get_expected_next_event_dates(self, dates, dtype_name, missing_dtype):
return self.get_sids_to_frames(
zip_with_dates,
self.next_dates,
self.next_date_intervals,
dates
dates,
dtype_name,
missing_dtype
)