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MAINT: Set dividend effective date to ex_date.

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The price shock occurs on the effective_date. Had changed the effective_date to
be day before the ex_date with the belief that pipeline was applying values up
and until the effective_date, but the lookback windows apply before the
effective_date. Thus, the price shock calculation should still use the previous
days data but be dated on the ex_date to stay aligned with splits and
merger dating.
This commit is contained in:
Eddie Hebert
2015-10-21 13:31:05 -04:00
parent 4008b6a3a4
commit 55b25bdd3f
2 changed files with 11 additions and 11 deletions
Download Patch File Download Diff File Expand all files Collapse all files
tests/pipeline/test_us_equity_pricing_loader.py
+8 -8
View File
@@ -175,43 +175,43 @@ DIVIDENDS = DataFrame(
[
# Before query range, should be excluded.
{'declared_date': Timestamp('2015-05-01', tz='UTC').to_datetime64(),
'ex_date': Timestamp('2015-06-02', tz='UTC').to_datetime64(),
'ex_date': Timestamp('2015-06-01', tz='UTC').to_datetime64(),
'record_date': Timestamp('2015-06-03', tz='UTC').to_datetime64(),
'pay_date': Timestamp('2015-06-05', tz='UTC').to_datetime64(),
'amount': 90.0,
'sid': 1},
# First day of query range, should be excluded.
{'declared_date': Timestamp('2015-06-01', tz='UTC').to_datetime64(),
'ex_date': Timestamp('2015-06-11', tz='UTC').to_datetime64(),
'ex_date': Timestamp('2015-06-10', tz='UTC').to_datetime64(),
'record_date': Timestamp('2015-06-15', tz='UTC').to_datetime64(),
'pay_date': Timestamp('2015-06-17', tz='UTC').to_datetime64(),
'amount': 80.0,
'sid': 3},
# Third day of query range, should have last_row of 2
{'declared_date': Timestamp('2015-06-01', tz='UTC').to_datetime64(),
'ex_date': Timestamp('2015-06-15', tz='UTC').to_datetime64(),
'record_date': Timestamp('2015-06-16', tz='UTC').to_datetime64(),
'ex_date': Timestamp('2015-06-12', tz='UTC').to_datetime64(),
'record_date': Timestamp('2015-06-15', tz='UTC').to_datetime64(),
'pay_date': Timestamp('2015-06-17', tz='UTC').to_datetime64(),
'amount': 70.0,
'sid': 3},
# After query range, should be excluded.
{'declared_date': Timestamp('2015-06-01', tz='UTC').to_datetime64(),
'ex_date': Timestamp('2015-06-26', tz='UTC').to_datetime64(),
'ex_date': Timestamp('2015-06-25', tz='UTC').to_datetime64(),
'record_date': Timestamp('2015-06-28', tz='UTC').to_datetime64(),
'pay_date': Timestamp('2015-06-30', tz='UTC').to_datetime64(),
'amount': 60.0,
'sid': 6},
# Another action in query range, should have last_row of 3
{'declared_date': Timestamp('2015-06-01', tz='UTC').to_datetime64(),
'ex_date': Timestamp('2015-06-16', tz='UTC').to_datetime64(),
'ex_date': Timestamp('2015-06-15', tz='UTC').to_datetime64(),
'record_date': Timestamp('2015-06-18', tz='UTC').to_datetime64(),
'pay_date': Timestamp('2015-06-20', tz='UTC').to_datetime64(),
'amount': 50.0,
'sid': 3},
# Last day of range. Should have last_row of 7
{'declared_date': Timestamp('2015-06-01', tz='UTC').to_datetime64(),
'ex_date': Timestamp('2015-06-22', tz='UTC').to_datetime64(),
'record_date': Timestamp('2015-06-23', tz='UTC').to_datetime64(),
'ex_date': Timestamp('2015-06-19', tz='UTC').to_datetime64(),
'record_date': Timestamp('2015-06-22', tz='UTC').to_datetime64(),
'pay_date': Timestamp('2015-06-30', tz='UTC').to_datetime64(),
'amount': 40.0,
'sid': 3},
zipline/data/us_equity_pricing.py
+3 -3
View File
@@ -654,15 +654,15 @@ class SQLiteAdjustmentWriter(object):
sid = sids[i]
ex_date = ex_dates[i]
day_loc = calendar.get_loc(ex_date)
div_adj_date = calendar[day_loc - 1]
prev_close_date = calendar[day_loc - 1]
try:
prev_close = daily_bar_reader.spot_price(
sid, div_adj_date, 'close')
sid, prev_close_date, 'close')
if prev_close != 0.0:
ratio = 1.0 - amount / prev_close
ratios[i] = ratio
# only assign effective_date when data is found
effective_dates[i] = div_adj_date.value
effective_dates[i] = ex_date
except NoDataOnDate:
logger.warn("Couldn't compute ratio for dividend %s" % {
'sid': sid,