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MAINT: move constants to appropriate files

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This commit is contained in:
Maya Tydykov
2016-05-17 17:13:17 -04:00
parent 3d0764a50c
commit 751a08a8a1
14 changed files with 128 additions and 178 deletions
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tests/pipeline/test_13d_filings.py
+11 -9
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@@ -3,19 +3,15 @@ Tests for the reference loader for 13d filings.
"""
import pandas as pd
from zipline.pipeline.common import(
DAYS_SINCE_PREV_DISCLOSURE,
from zipline.pipeline.common import TS_FIELD_NAME
from zipline.pipeline.data import _13DFilings
from zipline.pipeline.factors.events import BusinessDaysSince13DFilingsDate
from zipline.pipeline.loaders._13d_filings import (
_13DFilingsLoader,
DISCLOSURE_DATE,
NUM_SHARES,
PERCENT_SHARES,
PREVIOUS_NUM_SHARES,
PREVIOUS_PERCENT_SHARES,
PREVIOUS_DISCLOSURE_DATE,
TS_FIELD_NAME,
)
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 (
zip_with_floats,
zip_with_dates
@@ -23,6 +19,12 @@ from zipline.pipeline.loaders.utils import (
from zipline.testing.fixtures import WithPipelineEventDataLoader
from zipline.testing.fixtures import ZiplineTestCase
DAYS_SINCE_PREV_DISCLOSURE = 'days_since_prev_disclosure'
PREVIOUS_DISCLOSURE_DATE = 'previous_disclosure_date'
PREVIOUS_NUM_SHARES = 'previous_number_shares'
PREVIOUS_PERCENT_SHARES = 'previous_percentage'
date_intervals = [
[['2014-01-01', '2014-01-04'],
['2014-01-05', '2014-01-09'],
tests/pipeline/test_buyback_auth.py
+14 -9
View File
@@ -7,21 +7,19 @@ 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,
)
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.buyback_auth import (
BUYBACK_AMOUNT_FIELD_NAME,
BUYBACK_ANNOUNCEMENT_FIELD_NAME,
BUYBACK_TYPE_FIELD_NAME,
BUYBACK_UNIT_FIELD_NAME,
BuybackAuthorizationsLoader,
)
from zipline.pipeline.loaders.blaze import BlazeBuybackAuthorizationsLoader
from zipline.pipeline.loaders.utils import (
zip_with_dates,
@@ -32,6 +30,13 @@ from zipline.testing.fixtures import (
WithPipelineEventDataLoader, ZiplineTestCase
)
PREVIOUS_BUYBACK_AMOUNT = 'previous_value'
PREVIOUS_BUYBACK_ANNOUNCEMENT = 'previous_buyback_announcement'
PREVIOUS_BUYBACK_CASH = 'previous_buyback_cash'
PREVIOUS_BUYBACK_SHARE_COUNT = 'previous_buyback_share_count'
PREVIOUS_BUYBACK_TYPE = 'previous_buyback_type'
PREVIOUS_BUYBACK_UNIT = 'previous_buyback_unit'
date_intervals = [
[['2014-01-01', '2014-01-04'], ['2014-01-05', '2014-01-09'],
['2014-01-10', '2014-01-31']]
tests/pipeline/test_consensus_estimates.py
+23 -21
View File
@@ -6,36 +6,19 @@ from blaze.compute.core import swap_resources_into_scope
import pandas as pd
from six import iteritems
from zipline.pipeline.common import (
from zipline.pipeline.common import SID_FIELD_NAME
from zipline.pipeline.data import ConsensusEstimates
from zipline.pipeline.loaders.consensus_estimates import (
ACTUAL_VALUE_FIELD_NAME,
ConsensusEstimatesLoader,
COUNT_FIELD_NAME,
FISCAL_QUARTER_FIELD_NAME,
FISCAL_YEAR_FIELD_NAME,
HIGH_FIELD_NAME,
LOW_FIELD_NAME,
MEAN_FIELD_NAME,
NEXT_COUNT,
NEXT_FISCAL_QUARTER,
NEXT_FISCAL_YEAR,
NEXT_HIGH,
NEXT_LOW,
NEXT_RELEASE_DATE,
NEXT_STANDARD_DEVIATION,
PREVIOUS_ACTUAL_VALUE,
PREVIOUS_COUNT,
PREVIOUS_FISCAL_QUARTER,
PREVIOUS_FISCAL_YEAR,
PREVIOUS_HIGH,
PREVIOUS_LOW,
PREVIOUS_MEAN, NEXT_MEAN,
PREVIOUS_RELEASE_DATE,
PREVIOUS_STANDARD_DEVIATION,
RELEASE_DATE_FIELD_NAME,
STANDARD_DEVIATION_FIELD_NAME,
SID_FIELD_NAME)
from zipline.pipeline.data import ConsensusEstimates
from zipline.pipeline.loaders.consensus_estimates import (
ConsensusEstimatesLoader
)
from zipline.pipeline.loaders.blaze import BlazeConsensusEstimatesLoader
from zipline.pipeline.loaders.utils import (
@@ -46,6 +29,25 @@ from zipline.testing.fixtures import (
WithNextAndPreviousEventDataLoader
)
NEXT_COUNT = 'next_count'
NEXT_FISCAL_QUARTER = 'next_fiscal_quarter'
NEXT_FISCAL_YEAR = 'next_fiscal_year'
NEXT_HIGH = 'next_high'
NEXT_LOW = 'next_low'
NEXT_MEAN = 'next_mean'
NEXT_RELEASE_DATE = 'next_release_date'
NEXT_STANDARD_DEVIATION = 'next_standard_deviation'
PREVIOUS_ACTUAL_VALUE = 'previous_actual_value'
PREVIOUS_COUNT = 'previous_count'
PREVIOUS_FISCAL_QUARTER = 'previous_fiscal_quarter'
PREVIOUS_FISCAL_YEAR = 'previous_fiscal_year'
PREVIOUS_HIGH = 'previous_high'
PREVIOUS_LOW = 'previous_low'
PREVIOUS_MEAN = 'previous_mean'
PREVIOUS_RELEASE_DATE = 'previous_release_date'
PREVIOUS_STANDARD_DEVIATION = 'previous_standard_deviation'
consensus_estimates_cases = [
# K1--K2--A1--A2.
pd.DataFrame({
tests/pipeline/test_dividends.py
+20 -18
View File
@@ -8,25 +8,8 @@ from six import iteritems
from zipline.pipeline.common import (
ANNOUNCEMENT_FIELD_NAME,
CASH_AMOUNT_FIELD_NAME,
CURRENCY_FIELD_NAME,
DAYS_SINCE_PREV_DIVIDEND_ANNOUNCEMENT,
DAYS_SINCE_PREV_EX_DATE,
DAYS_TO_NEXT_EX_DATE,
DIVIDEND_TYPE_FIELD_NAME,
EX_DATE_FIELD_NAME,
NEXT_AMOUNT,
NEXT_CURRENCY_TYPE,
NEXT_DIVIDEND_TYPE,
NEXT_EX_DATE,
NEXT_PAY_DATE,
PAY_DATE_FIELD_NAME,
PREVIOUS_AMOUNT,
PREVIOUS_ANNOUNCEMENT,
PREVIOUS_CURRENCY_TYPE,
PREVIOUS_DIVIDEND_TYPE,
PREVIOUS_EX_DATE,
PREVIOUS_PAY_DATE,
SID_FIELD_NAME,
TS_FIELD_NAME,
)
@@ -46,9 +29,14 @@ from zipline.pipeline.loaders.blaze.dividends import (
BlazeDividendsByExDateLoader
)
from zipline.pipeline.loaders.dividends import (
CASH_AMOUNT_FIELD_NAME,
CURRENCY_FIELD_NAME,
DIVIDEND_TYPE_FIELD_NAME,
DividendsByAnnouncementDateLoader,
DividendsByExDateLoader,
DividendsByPayDateLoader
DividendsByPayDateLoader,
EX_DATE_FIELD_NAME,
PAY_DATE_FIELD_NAME,
)
from zipline.pipeline.loaders.utils import (
zip_with_dates,
@@ -60,6 +48,20 @@ from zipline.testing.fixtures import (
ZiplineTestCase
)
DAYS_SINCE_PREV_DIVIDEND_ANNOUNCEMENT = 'days_since_prev_dividend_announcement'
DAYS_SINCE_PREV_EX_DATE = 'days_since_prev_ex_date'
DAYS_TO_NEXT_EX_DATE = 'days_to_next_ex_date'
NEXT_AMOUNT = 'next_amount'
NEXT_CURRENCY_TYPE = 'next_currency_type'
NEXT_DIVIDEND_TYPE = 'next_dividend_type'
NEXT_EX_DATE = 'next_ex_date'
NEXT_PAY_DATE = 'next_pay_date'
PREVIOUS_CURRENCY_TYPE = 'previous_currency_type'
PREVIOUS_DIVIDEND_TYPE = 'previous_dividend_type'
PREVIOUS_EX_DATE = 'previous_ex_date'
PREVIOUS_PAY_DATE = 'previous_pay_date'
dividends_cases = [
# K1--K2--A1--A2.
pd.DataFrame({
zipline/pipeline/common.py
-64
View File
@@ -1,77 +1,13 @@
"""
Common constants for Pipeline.
"""
ACTUAL_VALUE_FIELD_NAME = 'actual_value'
AD_FIELD_NAME = 'asof_date'
ANNOUNCEMENT_FIELD_NAME = 'announcement_date'
BUYBACK_AMOUNT_FIELD_NAME = 'buyback_amount'
CASH_FIELD_NAME = 'cash'
CASH_AMOUNT_FIELD_NAME = 'cash_amount'
COUNT_FIELD_NAME = 'count'
CURRENCY_FIELD_NAME = 'currency_type'
BUYBACK_ANNOUNCEMENT_FIELD_NAME = 'buyback_date'
BUYBACK_TYPE_FIELD_NAME = 'buyback_type'
BUYBACK_UNIT_FIELD_NAME = 'buyback_unit'
CASH_AMOUNT_FIELD_NAME = 'cash_amount'
CASH_FIELD_NAME = 'cash'
COUNT_FIELD_NAME = 'count'
DAYS_SINCE_PREV = 'days_since_prev'
DAYS_SINCE_PREV_DISCLOSURE = 'days_since_prev_disclosure'
DAYS_SINCE_PREV_DIVIDEND_ANNOUNCEMENT = 'days_since_prev_dividend_announcement'
DAYS_SINCE_PREV_EX_DATE = 'days_since_prev_ex_date'
DAYS_TO_NEXT = 'days_to_next'
DAYS_TO_NEXT_EX_DATE = 'days_to_next_ex_date'
DISCLOSURE_DATE = 'disclosure_date'
DIVIDEND_TYPE_FIELD_NAME = 'dividend_type'
EX_DATE_FIELD_NAME = 'ex_date'
FISCAL_QUARTER_FIELD_NAME = 'fiscal_quarter'
FISCAL_YEAR_FIELD_NAME = 'fiscal_year'
HIGH_FIELD_NAME = 'high'
LOW_FIELD_NAME = 'low'
MEAN_FIELD_NAME = 'mean'
NEXT_AMOUNT = 'next_amount'
NEXT_ANNOUNCEMENT = 'next_announcement'
NEXT_COUNT = 'next_count'
NEXT_CURRENCY_TYPE = 'next_currency_type'
NEXT_DIVIDEND_TYPE = 'next_dividend_type'
NEXT_EX_DATE = 'next_ex_date'
NEXT_FISCAL_QUARTER = 'next_fiscal_quarter'
NEXT_FISCAL_YEAR = 'next_fiscal_year'
NEXT_HIGH = 'next_high'
NEXT_LOW = 'next_low'
NEXT_MEAN = 'next_mean'
NEXT_PAY_DATE = 'next_pay_date'
NEXT_RELEASE_DATE = 'next_release_date'
NEXT_STANDARD_DEVIATION = 'next_standard_deviation'
NUM_SHARES = 'number_shares'
PAY_DATE_FIELD_NAME = 'pay_date'
PERCENT_SHARES = 'percent_shares'
PREVIOUS_ACTUAL_VALUE = 'previous_actual_value'
PREVIOUS_AMOUNT = 'previous_amount'
PREVIOUS_ANNOUNCEMENT = 'previous_announcement'
PREVIOUS_BUYBACK_AMOUNT = 'previous_value'
PREVIOUS_BUYBACK_ANNOUNCEMENT = 'previous_buyback_announcement'
PREVIOUS_BUYBACK_CASH = 'previous_buyback_cash'
PREVIOUS_BUYBACK_SHARE_COUNT = 'previous_buyback_share_count'
PREVIOUS_COUNT = 'previous_count'
PREVIOUS_BUYBACK_TYPE = 'previous_buyback_type'
PREVIOUS_BUYBACK_UNIT = 'previous_buyback_unit'
PREVIOUS_CURRENCY_TYPE = 'previous_currency_type'
PREVIOUS_DISCLOSURE_DATE = 'previous_disclosure_date'
PREVIOUS_DIVIDEND_TYPE = 'previous_dividend_type'
PREVIOUS_EX_DATE = 'previous_ex_date'
PREVIOUS_FISCAL_QUARTER = 'previous_fiscal_quarter'
PREVIOUS_FISCAL_YEAR = 'previous_fiscal_year'
PREVIOUS_HIGH = 'previous_high'
PREVIOUS_LOW = 'previous_low'
PREVIOUS_MEAN = 'previous_mean'
PREVIOUS_NUM_SHARES = 'previous_number_shares'
PREVIOUS_PAY_DATE = 'previous_pay_date'
PREVIOUS_PERCENT_SHARES = 'previous_percentage'
PREVIOUS_RELEASE_DATE = 'previous_release_date'
PREVIOUS_STANDARD_DEVIATION = 'previous_standard_deviation'
RELEASE_DATE_FIELD_NAME = 'release_date'
SHARE_COUNT_FIELD_NAME = 'share_count'
SID_FIELD_NAME = 'sid'
STANDARD_DEVIATION_FIELD_NAME = 'standard_deviation'
TS_FIELD_NAME = 'timestamp'
zipline/pipeline/data/dividends.py
+3 -3
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@@ -2,9 +2,9 @@
Dataset representing dates of upcoming dividends.
"""
from zipline.utils.numpy_utils import (
categorical_dtype,
datetime64ns_dtype,
float64_dtype,
categorical_dtype
)
from .dataset import Column, DataSet
@@ -17,8 +17,8 @@ class DividendsByExDate(DataSet):
previous_amount = Column(float64_dtype)
next_currency = Column(categorical_dtype)
previous_currency = Column(categorical_dtype)
previous_type = Column(categorical_dtype)
next_type = Column(categorical_dtype)
previous_type = Column(categorical_dtype)
class DividendsByPayDate(DataSet):
@@ -28,8 +28,8 @@ class DividendsByPayDate(DataSet):
previous_amount = Column(float64_dtype)
next_currency = Column(categorical_dtype)
previous_currency = Column(categorical_dtype)
previous_type = Column(categorical_dtype)
next_type = Column(categorical_dtype)
previous_type = Column(categorical_dtype)
class DividendsByAnnouncementDate(DataSet):
zipline/pipeline/loaders/_13d_filings.py
+5 -5
View File
@@ -2,16 +2,16 @@
Reference implementation for 13d filings loaders.
"""
from zipline.pipeline.common import (
DISCLOSURE_DATE,
PERCENT_SHARES,
NUM_SHARES
)
from zipline.pipeline.data import _13DFilings
from zipline.pipeline.loaders.events import EventsLoader
from zipline.utils.memoize import lazyval
DISCLOSURE_DATE = 'disclosure_date'
NUM_SHARES = 'number_shares'
PERCENT_SHARES = 'percent_shares'
class _13DFilingsLoader(EventsLoader):
"""
Reference loader for
zipline/pipeline/loaders/blaze/_13d_filings.py
+6 -6
View File
@@ -1,12 +1,12 @@
from zipline.pipeline.common import (
SID_FIELD_NAME,
TS_FIELD_NAME,
PERCENT_SHARES,
NUM_SHARES,
DISCLOSURE_DATE)
from zipline.pipeline.common import SID_FIELD_NAME, TS_FIELD_NAME
from zipline.pipeline.data import _13DFilings
from zipline.pipeline.loaders import _13DFilingsLoader
from .events import BlazeEventsLoader
from zipline.pipeline.loaders._13d_filings import (
DISCLOSURE_DATE,
NUM_SHARES,
PERCENT_SHARES,
)
class Blaze_13DFilingsLoader(BlazeEventsLoader):
zipline/pipeline/loaders/blaze/buyback_auth.py
+6 -5
View File
@@ -2,15 +2,16 @@ from .core import (
SID_FIELD_NAME,
TS_FIELD_NAME,
)
from zipline.pipeline.common import (
BUYBACK_AMOUNT_FIELD_NAME,
from zipline.pipeline.data import BuybackAuthorizations
from zipline.pipeline.loaders import BuybackAuthorizationsLoader
from .events import BlazeEventsLoader
from zipline.pipeline.loaders.buyback_auth import (
BUYBACK_ANNOUNCEMENT_FIELD_NAME,
BUYBACK_TYPE_FIELD_NAME,
BUYBACK_UNIT_FIELD_NAME,
)
from zipline.pipeline.data import BuybackAuthorizations
from zipline.pipeline.loaders import BuybackAuthorizationsLoader
from .events import BlazeEventsLoader
from zipline.pipeline.loaders.buyback_auth import BUYBACK_AMOUNT_FIELD_NAME
class BlazeBuybackAuthorizationsLoader(BlazeEventsLoader):
zipline/pipeline/loaders/blaze/consensus_estimates.py
+6 -7
View File
@@ -1,4 +1,9 @@
from zipline.pipeline.common import (
from .events import BlazeEventsLoader
from zipline.pipeline.common import SID_FIELD_NAME, TS_FIELD_NAME
from zipline.pipeline.data import ConsensusEstimates
from zipline.pipeline.loaders import ConsensusEstimatesLoader
from zipline.pipeline.loaders.consensus_estimates import (
ACTUAL_VALUE_FIELD_NAME,
COUNT_FIELD_NAME,
FISCAL_QUARTER_FIELD_NAME,
FISCAL_YEAR_FIELD_NAME,
@@ -6,14 +11,8 @@ from zipline.pipeline.common import (
LOW_FIELD_NAME,
MEAN_FIELD_NAME,
RELEASE_DATE_FIELD_NAME,
SID_FIELD_NAME,
STANDARD_DEVIATION_FIELD_NAME,
TS_FIELD_NAME,
ACTUAL_VALUE_FIELD_NAME
)
from zipline.pipeline.data import ConsensusEstimates
from zipline.pipeline.loaders import ConsensusEstimatesLoader
from .events import BlazeEventsLoader
class BlazeConsensusEstimatesLoader(BlazeEventsLoader):
zipline/pipeline/loaders/blaze/dividends.py
+7 -5
View File
@@ -1,10 +1,5 @@
from zipline.pipeline.common import (
ANNOUNCEMENT_FIELD_NAME,
CASH_AMOUNT_FIELD_NAME,
CURRENCY_FIELD_NAME,
DIVIDEND_TYPE_FIELD_NAME,
EX_DATE_FIELD_NAME,
PAY_DATE_FIELD_NAME,
SID_FIELD_NAME,
TS_FIELD_NAME,
)
@@ -19,6 +14,13 @@ from zipline.pipeline.loaders import (
DividendsByExDateLoader
)
from .events import BlazeEventsLoader
from zipline.pipeline.loaders.dividends import (
CASH_AMOUNT_FIELD_NAME,
CURRENCY_FIELD_NAME,
DIVIDEND_TYPE_FIELD_NAME,
EX_DATE_FIELD_NAME,
PAY_DATE_FIELD_NAME,
)
class BlazeDividendsByAnnouncementDateLoader(BlazeEventsLoader):
zipline/pipeline/loaders/buyback_auth.py
+6 -6
View File
@@ -4,14 +4,14 @@ Reference implementation for buyback auth loaders.
from ..data import BuybackAuthorizations
from .events import EventsLoader
from zipline.pipeline.common import (
BUYBACK_AMOUNT_FIELD_NAME,
BUYBACK_ANNOUNCEMENT_FIELD_NAME,
BUYBACK_TYPE_FIELD_NAME,
BUYBACK_UNIT_FIELD_NAME
)
from zipline.utils.memoize import lazyval
BUYBACK_AMOUNT_FIELD_NAME = 'buyback_amount'
BUYBACK_ANNOUNCEMENT_FIELD_NAME = 'buyback_date'
BUYBACK_TYPE_FIELD_NAME = 'buyback_type'
BUYBACK_UNIT_FIELD_NAME = 'buyback_unit'
class BuybackAuthorizationsLoader(EventsLoader):
"""
zipline/pipeline/loaders/consensus_estimates.py
+10 -10
View File
@@ -4,18 +4,18 @@ Reference implementation for ConsensusEstimates loaders.
from ..data import ConsensusEstimates
from .events import EventsLoader
from zipline.pipeline.common import (
COUNT_FIELD_NAME,
FISCAL_QUARTER_FIELD_NAME,
FISCAL_YEAR_FIELD_NAME,
HIGH_FIELD_NAME,
LOW_FIELD_NAME,
MEAN_FIELD_NAME,
RELEASE_DATE_FIELD_NAME,
STANDARD_DEVIATION_FIELD_NAME,
ACTUAL_VALUE_FIELD_NAME)
from zipline.utils.memoize import lazyval
ACTUAL_VALUE_FIELD_NAME = 'actual_value'
COUNT_FIELD_NAME = 'count'
FISCAL_QUARTER_FIELD_NAME = 'fiscal_quarter'
FISCAL_YEAR_FIELD_NAME = 'fiscal_year'
HIGH_FIELD_NAME = 'high'
LOW_FIELD_NAME = 'low'
MEAN_FIELD_NAME = 'mean'
RELEASE_DATE_FIELD_NAME = 'release_date'
STANDARD_DEVIATION_FIELD_NAME = 'standard_deviation'
class ConsensusEstimatesLoader(EventsLoader):
zipline/pipeline/loaders/dividends.py
+11 -10
View File
@@ -1,20 +1,21 @@
from zipline.pipeline.common import (
ANNOUNCEMENT_FIELD_NAME,
CASH_AMOUNT_FIELD_NAME,
CURRENCY_FIELD_NAME,
DIVIDEND_TYPE_FIELD_NAME,
EX_DATE_FIELD_NAME,
PAY_DATE_FIELD_NAME,
)
from zipline.pipeline.common import ANNOUNCEMENT_FIELD_NAME
from zipline.pipeline.loaders.events import EventsLoader
from ..data import (
DividendsByExDate,
DividendsByAnnouncementDate,
DividendsByPayDate
DividendsByExDate,
DividendsByPayDate,
)
from zipline.utils.memoize import lazyval
CASH_AMOUNT_FIELD_NAME = 'cash_amount'
CASH_AMOUNT_FIELD_NAME = 'cash_amount'
CURRENCY_FIELD_NAME = 'currency_type'
DIVIDEND_TYPE_FIELD_NAME = 'dividend_type'
EX_DATE_FIELD_NAME = 'ex_date'
PAY_DATE_FIELD_NAME = 'pay_date'
class DividendsByAnnouncementDateLoader(EventsLoader):
expected_cols = frozenset([ANNOUNCEMENT_FIELD_NAME,
CASH_AMOUNT_FIELD_NAME,