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MAINT: incorporate string support

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STY: remove unused imports

MAINT: change dtype to object for compatibility with python3

MAINT: rename pipeline columns and constants for clarity

MAINT: rename column
This commit is contained in:
Maya Tydykov
2016-05-12 10:50:31 -04:00
parent 3d521561f5
commit 6b60e447a0
13 changed files with 185 additions and 143 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
+47 -43
View File
@@ -7,27 +7,27 @@ import pandas as pd
from six import iteritems
from zipline.pipeline.common import(
BUYBACK_AMOUNT_FIELD_NAME,
BUYBACK_ANNOUNCEMENT_FIELD_NAME,
BUYBACK_TYPE_FIELD_NAME,
BUYBACK_UNIT_FIELD_NAME,
DAYS_SINCE_PREV,
PREVIOUS_BUYBACK_AMOUNT,
PREVIOUS_BUYBACK_ANNOUNCEMENT,
PREVIOUS_BUYBACK_TYPE,
PREVIOUS_BUYBACK_UNIT,
SID_FIELD_NAME,
TS_FIELD_NAME,
VALUE_FIELD_NAME,
VALUE_TYPE_FIELD_NAME,
PREVIOUS_VALUE,
PREVIOUS_VALUE_TYPE,
PREVIOUS_BUYBACK_TYPE,
)
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_floats,
zip_with_dates,
get_values_for_date_ranges,
zip_with_strs)
zip_with_floats,
zip_with_strs
)
from zipline.testing.fixtures import (
WithPipelineEventDataLoader, ZiplineTestCase
)
@@ -39,16 +39,16 @@ date_intervals = [
buyback_authorizations_cases = [
pd.DataFrame({
VALUE_FIELD_NAME: [1, 15],
VALUE_TYPE_FIELD_NAME: ["$M", "Mshares"],
BUYBACK_AMOUNT_FIELD_NAME: [1, 15],
BUYBACK_UNIT_FIELD_NAME: ["$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=[VALUE_FIELD_NAME,
VALUE_TYPE_FIELD_NAME,
columns=[BUYBACK_AMOUNT_FIELD_NAME,
BUYBACK_UNIT_FIELD_NAME,
BUYBACK_TYPE_FIELD_NAME,
BUYBACK_ANNOUNCEMENT_FIELD_NAME,
TS_FIELD_NAME],
@@ -57,31 +57,19 @@ buyback_authorizations_cases = [
]
def get_expected_previous_values(zip_date_index_with_vals,
dates,
vals_for_date_intervals):
return pd.DataFrame({
0: get_values_for_date_ranges(zip_date_index_with_vals,
vals_for_date_intervals,
date_intervals,
dates),
1: zip_date_index_with_vals(dates, ['NaN'] * len(dates)),
}, index=dates)
class BuybackAuthLoaderTestCase(WithPipelineEventDataLoader, ZiplineTestCase):
"""
Test for cash buyback authorizations dataset.
"""
pipeline_columns = {
PREVIOUS_VALUE:
BuybackAuthorizations.previous_value.latest,
PREVIOUS_BUYBACK_AMOUNT:
BuybackAuthorizations.previous_amount.latest,
PREVIOUS_BUYBACK_ANNOUNCEMENT:
BuybackAuthorizations.previous_date.latest,
PREVIOUS_VALUE_TYPE:
BuybackAuthorizations.previous_value_type.latest,
PREVIOUS_BUYBACK_UNIT:
BuybackAuthorizations.previous_unit.latest,
PREVIOUS_BUYBACK_TYPE:
BuybackAuthorizations.previous_buyback_type.latest,
BuybackAuthorizations.previous_type.latest,
DAYS_SINCE_PREV:
BusinessDaysSinceBuybackAuth(),
}
@@ -100,23 +88,38 @@ class BuybackAuthLoaderTestCase(WithPipelineEventDataLoader, ZiplineTestCase):
def setup(self, dates):
cols = {
PREVIOUS_VALUE: self.get_sids_to_frames(zip_with_floats,
[['NaN', 1, 15]],
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),
PREVIOUS_VALUE_TYPE: self.get_sids_to_frames(
zip_with_strs, [["", "$M", "Mshares"]], date_intervals, dates
dates,
'datetime64[ns]',
'NaN'
),
PREVIOUS_BUYBACK_UNIT: self.get_sids_to_frames(
zip_with_strs,
[[None, "$M", "Mshares"]],
date_intervals,
dates,
'category',
None
),
PREVIOUS_BUYBACK_TYPE: self.get_sids_to_frames(
zip_with_strs, [["", "New", "Additional"]], date_intervals,
dates
zip_with_strs,
[[None, "New", "Additional"]],
date_intervals,
dates,
'category',
None
)
}
cols[DAYS_SINCE_PREV] = self._compute_busday_offsets(
cols[PREVIOUS_BUYBACK_ANNOUNCEMENT]
)
@@ -137,10 +140,10 @@ class BlazeBuybackAuthLoaderTestCase(BuybackAuthLoaderTestCase):
pd.DataFrame({
BUYBACK_ANNOUNCEMENT_FIELD_NAME:
frame[BUYBACK_ANNOUNCEMENT_FIELD_NAME],
VALUE_FIELD_NAME:
frame[VALUE_FIELD_NAME],
VALUE_TYPE_FIELD_NAME:
frame[VALUE_TYPE_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:
@@ -152,7 +155,8 @@ class BlazeBuybackAuthLoaderTestCase(BuybackAuthLoaderTestCase):
class BlazeBuybackAuthLoaderNotInteractiveTestCase(
BlazeBuybackAuthLoaderTestCase):
BlazeBuybackAuthLoaderTestCase
):
"""Test case for passing a non-interactive symbol and a dict of resources.
"""
def pipeline_event_loader_args(self, dates):
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]