DEV: Kill compute_from_{arrays,windows}.

All terms just implement `_compute` now. (We reserve `compute` for the
public API of `CustomFactor`.)

Also removed `TestingTermMixin` and its subclasses in favor of just
using `CustomFactor.`

tests/modelling/test_engine.py

@@ -40,7 +40,7 @@ from zipline.data.ffc.loaders.us_equity_pricing import (
 )
 from zipline.finance.trading import TradingEnvironment
 from zipline.modelling.engine import SimpleFFCEngine
-from zipline.modelling.factor import TestingFactor
+from zipline.modelling.factor import CustomFactor
 from zipline.modelling.factor.technical import (
     MaxDrawdown,
     SimpleMovingAverage,
@@ -54,12 +54,12 @@ from zipline.utils.test_utils import (
 )
 
 
-class RollingSumDifference(TestingFactor):
+class RollingSumDifference(CustomFactor):
     window_length = 3
     inputs = [USEquityPricing.open, USEquityPricing.close]
 
-    def from_windows(self, open, close):
-        return (open - close).sum(axis=0)
+    def compute(self, today, assets, out, open, close):
+        out[:] = (open - close).sum(axis=0)
 
 
 def assert_product(case, index, *levels):

tests/modelling/test_factor.py

@@ -7,13 +7,13 @@ from numpy import (
 )
 
 from zipline.errors import UnknownRankMethod
-from zipline.modelling.factor import TestingFactor
+from zipline.modelling.factor import Factor
 from zipline.utils.test_utils import check_arrays
 
 from .base import BaseFFCTestCase
 
 
-class F(TestingFactor):
+class F(Factor):
     inputs = ()
     window_length = 0
 

tests/modelling/test_filter.py

@@ -17,7 +17,7 @@ from numpy import (
 )
 
 from zipline.errors import BadPercentileBounds
-from zipline.modelling.factor import TestingFactor
+from zipline.modelling.factor import Factor
 from zipline.utils.test_utils import check_arrays
 
 from .base import BaseFFCTestCase
@@ -51,12 +51,12 @@ def rowwise_rank(array):
     return argsort(argsort(array))
 
 
-class SomeFactor(TestingFactor):
+class SomeFactor(Factor):
     inputs = ()
     window_length = 0
 
 
-class SomeOtherFactor(TestingFactor):
+class SomeOtherFactor(Factor):
     inputs = ()
     window_length = 0
 

tests/modelling/test_numerical_expression.py

@@ -28,21 +28,21 @@ from zipline.modelling.expression import (
     NumericalExpression,
     NUMEXPR_MATH_FUNCS,
 )
-from zipline.modelling.factor import TestingFactor
+from zipline.modelling.factor import Factor
 from zipline.utils.test_utils import check_arrays
 
 
-class F(TestingFactor):
+class F(Factor):
     inputs = ()
     window_length = 0
 
 
-class G(TestingFactor):
+class G(Factor):
     inputs = ()
     window_length = 0
 
 
-class H(TestingFactor):
+class H(Factor):
     inputs = ()
     window_length = 0
 
@@ -63,7 +63,7 @@ class NumericalExpressionTestCase(TestCase):
         self.mask = DataFrame(True, index=self.dates, columns=self.assets)
 
     def check_output(self, expr, expected):
-        result = expr.compute_from_arrays(
+        result = expr._compute(
             [self.fake_raw_data[input_] for input_ in expr.inputs],
             self.mask,
         )

zipline/modelling/engine.py

@@ -317,11 +317,7 @@ class SimpleFFCEngine(object):
                 for loaded_term, adj_array in zip_longest(to_load, loaded):
                     workspace[loaded_term] = adj_array
             else:
-                if term.windowed:
-                    compute = term.compute_from_windows
-                else:
-                    compute = term.compute_from_arrays
-                workspace[term] = compute(
+                workspace[term] = term._compute(
                     self._inputs_for_term(term, workspace, extra_rows),
                     base_mask_for_term,
                 )

zipline/modelling/expression.py

@@ -228,7 +228,7 @@ class NumericalExpression(Term):
             )
         return super(NumericalExpression, self)._validate()
 
-    def compute_from_arrays(self, arrays, mask):
+    def _compute(self, arrays, mask):
         """
         Compute our stored expression string with numexpr.
         """

zipline/modelling/factor/__init__.py

@@ -1,11 +1,23 @@
 from .factor import (
     Factor,
-    TestingFactor,
     CustomFactor,
 )
+from .latest import Latest
+from .technical import (
+    MaxDrawdown,
+    RSI,
+    SimpleMovingAverage,
+    VWAP,
+    WeightedAverageValue,
+)
 
 __all__ = [
-    'Factor',
-    'TestingFactor',
     'CustomFactor',
+    'Factor',
+    'Latest',
+    'MaxDrawdown',
+    'RSI',
+    'SimpleMovingAverage',
+    'VWAP',
+    'WeightedAverageValue',
 ]

zipline/modelling/factor/factor.py

@@ -19,7 +19,6 @@ from zipline.modelling.term import (
     RequiredWindowLengthMixin,
     SingleInputMixin,
     Term,
-    TestingTermMixin,
 )
 from zipline.modelling.expression import (
     BadBinaryOperator,
@@ -393,7 +392,7 @@ class Rank(SingleInputMixin, Factor):
             )
         return super(Rank, self)._validate()
 
-    def compute_from_arrays(self, arrays, mask):
+    def _compute(self, arrays, mask):
         """
         For each row in the input, compute a like-shaped array of per-row
         ranks.
@@ -441,11 +440,3 @@ class CustomFactor(RequiredWindowLengthMixin, CustomTermMixin, Factor):
         if self.dtype != float64:
             raise UnsupportedDataType(self.dtype)
         return super(CustomFactor, self)._validate()
-
-
-class TestingFactor(TestingTermMixin, Factor):
-    """
-    Base class for testing engines that asserts all inputs are correctly
-    shaped.
-    """
-    pass

zipline/modelling/filter.py

@@ -16,7 +16,6 @@ from zipline.errors import (
 from zipline.modelling.term import (
     SingleInputMixin,
     Term,
-    TestingTermMixin,
 )
 from zipline.modelling.expression import (
     BadBinaryOperator,
@@ -124,11 +123,11 @@ class NumExprFilter(NumericalExpression, Filter):
     A Filter computed from a numexpr expression.
     """
 
-    def compute_from_arrays(self, arrays, mask):
+    def _compute(self, arrays, mask):
         """
         Compute our result with numexpr, then apply `mask`.
         """
-        return super(NumExprFilter, self).compute_from_arrays(
+        return super(NumExprFilter, self)._compute(
             arrays,
             mask,
         ) & mask.values
@@ -181,7 +180,7 @@ class PercentileFilter(SingleInputMixin, Filter):
             )
         return super(PercentileFilter, self)._validate()
 
-    def compute_from_arrays(self, arrays, mask):
+    def _compute(self, arrays, mask):
         """
         For each row in the input, compute a mask of all values falling between
         the given percentiles.
@@ -261,21 +260,13 @@ class SequencedFilter(Filter):
             then,
         )
 
-    def compute_from_arrays(self, arrays, mask):
+    def _compute(self, arrays, mask):
         """
         Call our second filter on its inputs, masking out any inputs rejected
         by our first filter.
         """
         first_result, then_inputs = arrays[0], arrays[1:]
-        return self._then.compute_from_arrays(
+        return self._then._compute(
             then_inputs,
             mask & first_result,
         )
-
-
-class TestingFilter(TestingTermMixin, Filter):
-    """
-    Base class for testing engines that asserts all inputs are correctly
-    shaped.
-    """
-    pass

zipline/modelling/term.py

@@ -172,17 +172,12 @@ class Term(object):
         """
         return max(0, self.window_length - 1)
 
-    def compute_from_windows(self, windows, mask):
+    def _compute(self, inputs, mask):
         """
-        Subclasses should implement this for computations requiring moving
-        windows of continually-adjusting data.
-        """
-        raise NotImplementedError()
+        Subclasses should implement this to perform actual computation.
 
-    def compute_from_arrays(self, arrays, mask):
-        """
-        Subclasses should implement this for computations that can be expressed
-        directly as array computations.
+        This is `_compute` rather than just `compute` because `compute` is
+        reserved for user-supplied functions in CustomFactor.
         """
         raise NotImplementedError()
 
@@ -235,7 +230,7 @@ class CustomTermMixin(object):
         """
         raise NotImplementedError()
 
-    def compute_from_windows(self, windows, mask):
+    def _compute(self, windows, mask):
         """
         Call the user's `compute` function on each window with a pre-built
         output array.
@@ -256,37 +251,3 @@ class CustomTermMixin(object):
                 )
         out[~mask.values] = nan
         return out
-
-
-class TestingTermMixin(object):
-    """
-    Mixin for Term subclasses testing engines that asserts all inputs are
-    correctly shaped.
-
-    Used by TestingTerm, TestingFilter, TestingClassifier, etc.
-    """
-    def compute_from_windows(self, windows, mask):
-        assert self.window_length > 0
-        dates, assets = mask.index, mask.columns
-        outbuf = empty(mask.shape, dtype=self.dtype)
-        for idx, _ in enumerate(dates):
-            result = self.from_windows(*(next(w) for w in windows))
-            assert result.shape == (len(assets),)
-            outbuf[idx] = result
-
-        for window in windows:
-            try:
-                next(window)
-            except StopIteration:
-                pass
-            else:
-                raise AssertionError("window %s was not exhausted" % window)
-        return outbuf
-
-    def compute_from_arrays(self, arrays, mask):
-        assert self.window_length == 0
-        outbuf = empty(mask.shape, dtype=self.dtype)
-        for array in arrays:
-            assert array.shape == outbuf.shape
-        outbuf[:] = self.from_arrays(*arrays)
-        return outbuf

zipline/utils/lazyval.py

@@ -1,46 +0,0 @@
-"""
-An immutable, lazily loaded value descriptor.
-"""
-
-
-from weakref import WeakKeyDictionary
-
-
-class lazyval(object):
-    """
-    Decorator that marks that an attribute should not be computed until
-    needed, and that the value should be memoized.
-
-    Example
-    -------
-
-    >>> from zipline.utils.lazyval import lazyval
-    >>> class C(object):
-    ...     def __init__(self):
-    ...         self.count = 0
-    ...     @lazyval
-    ...     def val(self):
-    ...         self.count += 1
-    ...         return "val"
-    ...
-    >>> c = C()
-    >>> c.count
-    0
-    >>> c.val, c.count
-    ('val', 1)
-    >>> c.val, c.count
-    ('val', 1)
-    """
-    def __init__(self, get):
-        self._get = get
-        self._cache = WeakKeyDictionary()
-
-    def __get__(self, instance, owner):
-        if instance is None:
-            return self
-
-        try:
-            return self._cache[instance]
-        except KeyError:
-            self._cache[instance] = val = self._get(instance)
-            return val