Deprecates market_aware and delta kwargs to EventWindow.

The eventual goal is to remove the market_aware and delta kwargs,
but removing the kwarg completely would break the init
method of EventWindow based classes for existing algorithms.

In the meantime, this ensures that only market_aware is only ever
set to True and raises an error if it is False.

Also raises exceptions if values are set for delta, which was only
used if market_aware was False

Also, since the logic for checking window length is changed,
because in market aware mode we should always be checking the
window length, this adds some sanity checking to the window length.

zipline/transforms/utils.py

@@ -35,6 +35,24 @@ from zipline.gens.utils import assert_sort_unframe_protocol, hash_args
 log = logbook.Logger('Transform')
 
 
+class UnsupportedEventWindowFlagValue(Exception):
+    """
+    Error state when an EventWindow option is attempted to be set
+    to a value that is no longer supported by the library.
+
+    This is to help enforce deprecation of the market_aware and delta flags,
+    without completely removing it and breaking existing algorithms.
+    """
+    pass
+
+
+class InvalidWindowLength(Exception):
+    """
+    Error raised when the window length is unusable.
+    """
+    pass
+
+
 class TransformMessage(object):
     pass
 
@@ -156,27 +174,32 @@ class EventWindow(object):
 
     def __init__(self, market_aware=True, window_length=None, delta=None):
 
-        self.market_aware = market_aware
         self.window_length = window_length
-        self.delta = delta
 
         self.ticks = deque()
 
-        # Market-aware mode only works with full-day windows.
-        if self.market_aware:
-            assert self.window_length and self.delta is None, \
-                "Market-aware mode only works with full-day windows."
-        # Non-market-aware mode requires a timedelta.
-        else:
-            assert self.delta and not self.window_length, \
-                "Non-market-aware mode requires a timedelta."
+        # Only Market-aware mode is now supported.
+        if not market_aware:
+            raise UnsupportedEventWindowFlagValue(
+                "Non-'market aware' mode is no longer supported."
+            )
+        if delta:
+            raise UnsupportedEventWindowFlagValue(
+                "delta values are no longer supported."
+            )
+        if self.window_length is None:
+            raise InvalidWindowLength("window_length must be provided")
+        if not isinstance(self.window_length, Integral):
+            raise InvalidWindowLength(
+                "window_length must be an integer-like number")
+        if self.window_length == 0:
+            raise InvalidWindowLength("window_length must be non-zero")
+        if self.window_length < 0:
+            raise InvalidWindowLength("window_length must be positive")
 
         # Set the behavior for dropping events from the back of the
         # event window.
-        if self.market_aware:
-            self.drop_condition = self.out_of_market_window
-        else:
-            self.drop_condition = self.out_of_delta
+        self.drop_condition = self.out_of_market_window
 
     @abstractmethod
     def handle_add(self, event):
@@ -198,8 +221,7 @@ class EventWindow(object):
         # adding new ticks.
         self.handle_add(event)
 
-        # Clear out any expired events. drop_condition changes depending
-        # on whether or not we are running in market_aware mode.
+        # Clear out any expired events.
         #
         #                              oldest               newest
         #                                |                    |
@@ -227,9 +249,6 @@ class EventWindow(object):
 
         return trading_days_between >= self.window_length
 
-    def out_of_delta(self, oldest, newest):
-        return (newest - oldest) >= self.delta
-
     # All event windows expect to receive events with datetime fields
     # that arrive in sorted order.
     def assert_well_formed(self, event):