MAINT: added typed errors module

- added exceptions in place of asserts for expected fields for rolling
transforms.
- removed assertions with Messages in favor of typed exceptions.

zipline/MESSAGES.py

@@ -1,40 +0,0 @@
-
-
-# ---------------------
-# Error Messages.
-# User facing.
-# ---------------------
-
-class ERRORS(object):
-
-    # Raised if a user script calls the override_slippage magic
-    # with a slipage object that isn't a VolumeShareSlippage or
-    # FixedSlipapge
-    UNSUPPORTED_SLIPPAGE_MODEL = """
-You attempted to override slippage with an unsupported class. \
-Please use VolumeShareSlippage or FixedSlippage.
-""".strip()
-
-    # Raised if a users script calls override_slippage magic
-    # after the initialize method has returned.
-    OVERRIDE_SLIPPAGE_POST_INIT = """
-You attempted to override slippage after the simulation has \
-started. You may only call override_slippage in your initialize \
-method.
-""".strip()
-
-    # Raised if a user script calls the override_commission magic
-    # with a commission object that isn't a PerShare or
-    # PerTrade commission
-    UNSUPPORTED_COMMISSION_MODEL = """
-You attempted to override commission with an unsupported class. \
-Please use PerShare or PerTrade.
-""".strip()
-
-    # Raised if a users script calls override_commission magic
-    # after the initialize method has returned.
-    OVERRIDE_COMMISSION_POST_INIT = """
-You attempted to override commission after the simulation has \
-started. You may only call override_commission in your initialize \
-method.
-""".strip()

zipline/algorithm.py

@@ -23,6 +23,12 @@ from datetime import datetime
 from itertools import groupby
 from operator import attrgetter
 
+from zipline.errors import (
+    UnsupportedSlippageModel,
+    OverrideSlippagePostInit,
+    UnsupportedCommissionModel,
+    OverrideCommissionPostInit
+)
 from zipline.sources import DataFrameSource, DataPanelSource
 from zipline.utils.factory import create_simulation_parameters
 from zipline.transforms.utils import StatefulTransform
@@ -40,7 +46,6 @@ from zipline.gens.composites import (
     alias_dt
 )
 from zipline.gens.tradesimulation import TradeSimulationClient as tsc
-from zipline import MESSAGES
 
 DEFAULT_CAPITAL_BASE = float("1.0e5")
 
@@ -319,18 +324,18 @@ class TradingAlgorithm(object):
         self.trading_client.ordering_client.transact = transact
 
     def set_slippage(self, slippage):
-        assert isinstance(slippage, (VolumeShareSlippage, FixedSlippage)), \
-            MESSAGES.ERRORS.UNSUPPORTED_SLIPPAGE_MODEL
+        if not isinstance(slippage, (VolumeShareSlippage, FixedSlippage)):
+            raise UnsupportedSlippageModel()
         if self.initialized:
-            raise Exception(MESSAGES.ERRORS.OVERRIDE_SLIPPAGE_POST_INIT)
+            raise OverrideSlippagePostInit()
         self.slippage = slippage
 
     def set_commission(self, commission):
-        assert isinstance(commission, (PerShare, PerTrade)), \
-            MESSAGES.ERRORS.UNSUPPORTED_COMMISSION_MODEL
+        if not isinstance(commission, (PerShare, PerTrade)):
+            raise UnsupportedCommissionModel()
 
         if self.initialized:
-            raise Exception(MESSAGES.ERRORS.OVERRIDE_COMMISSION_POST_INIT)
+            raise OverrideCommissionPostInit()
         self.commission = commission
 
     def set_sources(self, sources):

zipline/errors.py

@@ -0,0 +1,84 @@
+#
+# Copyright 2013 Quantopian, Inc.
+#
+# Licensed under the Apache License, Version 2.0 (the "License");
+# you may not use this file except in compliance with the License.
+# You may obtain a copy of the License at
+#
+#     http://www.apache.org/licenses/LICENSE-2.0
+#
+# Unless required by applicable law or agreed to in writing, software
+# distributed under the License is distributed on an "AS IS" BASIS,
+# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+# See the License for the specific language governing permissions and
+# limitations under the License.
+
+
+class ZiplineError(Exception):
+    msg = None
+
+    def __init__(self, *args, **kwargs):
+        self.args = args
+        self.kwargs = kwargs
+        self.message = str(self)
+
+    def __str__(self):
+        msg = self.msg.format(**self.kwargs)
+        return msg
+
+    __unicode__ = __str__
+    __repr__ = __str__
+
+
+class WrongDataForTransform(ZiplineError):
+    """
+    Raised whenever a rolling transform is called on an event that
+    does not have the necessary properties.
+    """
+    msg = "{transform} requires {fields}. Event cannot be processed."
+
+
+class UnsupportedSlippageModel(ZiplineError):
+    """
+    Raised if a user script calls the override_slippage magic
+    with a slipage object that isn't a VolumeShareSlippage or
+    FixedSlipapge
+    """
+    msg = """
+You attempted to override slippage with an unsupported class. \
+Please use VolumeShareSlippage or FixedSlippage.
+""".strip()
+
+
+class OverrideSlippagePostInit(ZiplineError):
+    # Raised if a users script calls override_slippage magic
+    # after the initialize method has returned.
+    msg = """
+You attempted to override slippage after the simulation has \
+started. You may only call override_slippage in your initialize \
+method.
+""".strip()
+
+
+class UnsupportedCommissionModel(ZiplineError):
+    """
+    Raised if a user script calls the override_commission magic
+    with a commission object that isn't a PerShare or
+    PerTrade commission
+    """
+    msg = """
+You attempted to override commission with an unsupported class. \
+Please use PerShare or PerTrade.
+""".strip()
+
+
+class OverrideCommissionPostInit(ZiplineError):
+    """
+    Raised if a users script calls override_commission magic
+    after the initialize method has returned.
+    """
+    msg = """
+You attempted to override commission after the simulation has \
+started. You may only call override_commission in your initialize \
+method.
+""".strip()

zipline/transforms/mavg.py

@@ -13,10 +13,10 @@
 # See the License for the specific language governing permissions and
 # limitations under the License.
 
-from numbers import Number
 from collections import defaultdict
 
 from zipline.transforms.utils import EventWindow, TransformMeta
+from zipline.errors import WrongDataForTransform
 
 
 class MovingAverage(object):
@@ -153,6 +153,7 @@ class MovingAverageEventWindow(EventWindow):
         We only allow events with all of our tracked fields.
         """
         for field in self.fields:
-            assert isinstance(event[field], Number), \
-                "Got %s for %s in MovingAverageEventWindow" % (event[field],
-                                                               field)
+            if field not in event:
+                raise WrongDataForTransform(
+                    transform="MovingAverageEventWindow",
+                    fields=self.fields)

zipline/transforms/returns.py

@@ -13,6 +13,8 @@
 # See the License for the specific language governing permissions and
 # limitations under the License.
 
+from numbers import Number
+from zipline.errors import WrongDataForTransform
 from zipline.transforms.utils import TransformMeta
 from collections import defaultdict, deque
 
@@ -57,7 +59,7 @@ class ReturnsFromPriorClose(object):
         self.window_length = window_length
 
     def update(self, event):
-
+        self.assert_required_fields(event)
         if self.last_event:
 
             # Day has changed since the last event we saw.  Treat
@@ -88,3 +90,13 @@ class ReturnsFromPriorClose(object):
 
         # the current event is now the last_event
         self.last_event = event
+
+    def assert_required_fields(self, event):
+        """
+        We only allow events with a price field to be run through
+        the returns transform.
+        """
+        if 'price' not in event:
+            raise WrongDataForTransform(
+                transform="ReturnsEventWindow",
+                fields='price')

zipline/transforms/stddev.py

@@ -13,12 +13,12 @@
 # See the License for the specific language governing permissions and
 # limitations under the License.
 
-from numbers import Number
 from collections import defaultdict
 from math import sqrt
 
 import numpy as np
 
+from zipline.errors import WrongDataForTransform
 from zipline.transforms.utils import EventWindow, TransformMeta
 
 
@@ -73,6 +73,16 @@ class MovingStandardDev(object):
         window.update(event)
         return window.get_stddev()
 
+    def assert_required_fields(self, event):
+        """
+        We only allow events with a price field to be run through
+        the returns transform.
+        """
+        if 'price' not in event:
+                raise WrongDataForTransform(
+                    transform="StdDevEventWindow",
+                    fields='price')
+
 
 class MovingStandardDevWindow(EventWindow):
     """
@@ -90,14 +100,10 @@ class MovingStandardDevWindow(EventWindow):
         self.sum_sqr = 0.0
 
     def handle_add(self, event):
-        assert isinstance(event.price, Number)
-
         self.sum += event.price
         self.sum_sqr += event.price ** 2
 
     def handle_remove(self, event):
-        assert isinstance(event.price, Number)
-
         self.sum -= event.price
         self.sum_sqr -= event.price ** 2
 

zipline/transforms/vwap.py

@@ -13,10 +13,9 @@
 # See the License for the specific language governing permissions and
 # limitations under the License.
 
-
-from numbers import Number
 from collections import defaultdict
 
+from zipline.errors import WrongDataForTransform
 from zipline.transforms.utils import EventWindow, TransformMeta
 
 
@@ -100,5 +99,7 @@ class VWAPEventWindow(EventWindow):
 
     # We need numerical price and volume to calculate a vwap.
     def assert_required_fields(self, event):
-        assert isinstance(event.price, Number)
-        assert isinstance(event.volume, Number)
+        if 'price' not in event or 'volume' not in event:
+            raise WrongDataForTransform(
+                transform="VWAPEventWindow",
+                fields=self.fields)