TST: Filter out pandas performance warnings in tests (for now)

tests/test_algorithm.py

@@ -16,7 +16,6 @@ from collections import namedtuple
 import datetime
 from datetime import timedelta
 from textwrap import dedent
-import warnings
 from unittest import skip
 from copy import deepcopy
 
@@ -32,11 +31,11 @@ from testfixtures import TempDirectory
 import numpy as np
 import pandas as pd
 import pytz
+from pandas.io.common import PerformanceWarning
 
-from zipline import (
-    run_algorithm,
-    TradingAlgorithm,
-)
+from zipline import run_algorithm
+from tests.warnings_catcher import WarningsCatcher
+from zipline import TradingAlgorithm
 from zipline.api import FixedSlippage
 from zipline.assets import Equity, Future
 from zipline.assets.synthetic import (
@@ -1960,7 +1959,7 @@ def handle_data(context, data):
             pass
         """)
 
-        with warnings.catch_warnings(record=True) as w:
+        with WarningsCatcher([PerformanceWarning]) as w:
             algo = TradingAlgorithm(
                 script=algocode,
                 sim_params=sim_params,

tests/test_api_shim.py

@@ -3,7 +3,9 @@ import warnings
 from mock import patch
 import numpy as np
 import pandas as pd
+from pandas.io.common import PerformanceWarning
 
+from tests.warnings_catcher import WarningsCatcher
 from zipline import TradingAlgorithm
 from zipline.finance.trading import SimulationParameters
 from zipline.protocol import BarData
@@ -290,7 +292,7 @@ class TestAPIShim(WithDataPortal, WithSimParams, ZiplineTestCase):
         cease to be supported, we also want to assert that we're seeing a
         deprecation warning.
         """
-        with warnings.catch_warnings(record=True) as w:
+        with WarningsCatcher([PerformanceWarning]) as w:
             warnings.simplefilter("default", ZiplineDeprecationWarning)
             algo = self.create_algo(sid_accessor_algo)
             algo.run(self.data_portal)
@@ -318,7 +320,7 @@ class TestAPIShim(WithDataPortal, WithSimParams, ZiplineTestCase):
         We also want to assert that we warn that iterating over the assets
         in `data` is deprecated.
         """
-        with warnings.catch_warnings(record=True) as w:
+        with WarningsCatcher([PerformanceWarning]) as w:
             warnings.simplefilter("default", ZiplineDeprecationWarning)
             algo = self.create_algo(data_items_algo)
             algo.run(self.data_portal)
@@ -342,7 +344,7 @@ class TestAPIShim(WithDataPortal, WithSimParams, ZiplineTestCase):
                     )
 
     def test_iterate_data(self):
-        with warnings.catch_warnings(record=True) as w:
+        with WarningsCatcher([PerformanceWarning]) as w:
             warnings.simplefilter("default", ZiplineDeprecationWarning)
 
             algo = self.create_algo(simple_algo)
@@ -372,7 +374,7 @@ class TestAPIShim(WithDataPortal, WithSimParams, ZiplineTestCase):
                     )
 
     def test_history(self):
-        with warnings.catch_warnings(record=True) as w:
+        with WarningsCatcher([PerformanceWarning]) as w:
             warnings.simplefilter("default", ZiplineDeprecationWarning)
 
             sim_params = self.sim_params.create_new(
@@ -413,7 +415,7 @@ class TestAPIShim(WithDataPortal, WithSimParams, ZiplineTestCase):
                                       expected_vol_with_split)
 
     def test_simple_transforms(self):
-        with warnings.catch_warnings(record=True) as w:
+        with WarningsCatcher([PerformanceWarning]) as w:
             warnings.simplefilter("default", ZiplineDeprecationWarning)
 
             sim_params = SimulationParameters(
@@ -483,7 +485,7 @@ class TestAPIShim(WithDataPortal, WithSimParams, ZiplineTestCase):
             self.assertAlmostEqual(346, algo.returns)
 
     def test_manipulation(self):
-        with warnings.catch_warnings(record=True) as w:
+        with WarningsCatcher([PerformanceWarning]) as w:
             warnings.simplefilter("default", ZiplineDeprecationWarning)
 
             algo = self.create_algo(simple_algo)

tests/test_clock.py

@@ -7,7 +7,6 @@ from zipline.gens.sim_engine import (
     SESSION_START,
     BEFORE_TRADING_START_BAR,
     BAR,
-    MINUTE_END,
     SESSION_END
 )
 
@@ -149,13 +148,12 @@ class TestClock(TestCase):
             bts_session_times[2]
         )
 
-
     def test_bts_after_session(self):
         clock = MinuteSimulationClock(
             self.sessions,
             self.opens,
             self.closes,
-            days_at_time(self.sessions, time(19, 05), "US/Eastern"),
+            days_at_time(self.sessions, time(19, 5), "US/Eastern"),
             False
         )
 

tests/warnings_catcher.py

@@ -0,0 +1,32 @@
+from warnings import catch_warnings, WarningMessage
+
+
+class WarningsCatcher(catch_warnings):
+    """
+    Subclass of warnings.catch_warnings that takes a list of warning types to
+    ignore.
+    """
+    def __init__(self, types_to_ignore=None):
+        super(WarningsCatcher, self).__init__(record=True)
+
+        self._types_to_ignore = set(types_to_ignore or [])
+
+    def __enter__(self):
+        if self._entered:
+            raise RuntimeError("Cannot enter %r twice" % self)
+        self._entered = True
+        self._filters = self._module.filters
+        self._module.filters = self._filters[:]
+        self._showwarning = self._module.showwarning
+        if self._record:
+            log = []
+
+            def showwarning(*args, **kwargs):
+                if args[1] in self._types_to_ignore:
+                    return
+                log.append(WarningMessage(*args, **kwargs))
+
+            self._module.showwarning = showwarning
+            return log
+        else:
+            return None

zipline/utils/calendars/trading_calendar.py

@@ -766,6 +766,9 @@ def days_at_time(days, t, tz, day_offset=0):
 
     # Shift all days to the target time in the local timezone, then
     # convert to UTC.
+
+    # FIXME: Once we're off Pandas 16, see if we can replace DateOffset with
+    # TimeDelta.
     return days_offset.shift(
         1, freq=DateOffset(hour=t.hour, minute=t.minute, second=t.second)
     ).tz_localize(tz).tz_convert('UTC')