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ENH: add column for currency type

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This commit is contained in:
Maya Tydykov
2016-05-20 10:47:55 -04:00
parent 18d1577d56
commit 8a3b82c536
5 changed files with 128 additions and 18 deletions
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tests/pipeline/test_dividends.py
+53 -8
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@@ -15,6 +15,7 @@ from zipline.pipeline.common import (
NEXT_EX_DATE,
NEXT_PAY_DATE,
PREVIOUS_ANNOUNCEMENT,
PREVIOUS_CURRENCY_TYPE,
PREVIOUS_EX_DATE,
PREVIOUS_PAY_DATE,
PREVIOUS_AMOUNT,
@@ -22,8 +23,8 @@ from zipline.pipeline.common import (
TS_FIELD_NAME,
CASH_AMOUNT_FIELD_NAME,
EX_DATE_FIELD_NAME,
PAY_DATE_FIELD_NAME
)
PAY_DATE_FIELD_NAME,
CURRENCY_FIELD_NAME, NEXT_CURRENCY_TYPE)
from zipline.pipeline.data.dividends import (
DividendsByAnnouncementDate,
DividendsByExDate,
@@ -46,7 +47,8 @@ from zipline.pipeline.loaders.dividends import (
)
from zipline.pipeline.loaders.utils import (
zip_with_dates,
zip_with_floats
zip_with_floats,
zip_with_strs,
)
from zipline.testing.fixtures import (
WithPipelineEventDataLoader,
@@ -60,7 +62,8 @@ dividends_cases = [
EX_DATE_FIELD_NAME: pd.to_datetime(['2014-01-15', '2014-01-20']),
PAY_DATE_FIELD_NAME: pd.to_datetime(['2014-01-15', '2014-01-20']),
TS_FIELD_NAME: pd.to_datetime(['2014-01-05', '2014-01-10']),
ANNOUNCEMENT_FIELD_NAME: pd.to_datetime(['2014-01-04', '2014-01-09'])
ANNOUNCEMENT_FIELD_NAME: pd.to_datetime(['2014-01-04', '2014-01-09']),
CURRENCY_FIELD_NAME: ["$", "EUR"]
}),
# K1--K2--A2--A1.
pd.DataFrame({
@@ -68,7 +71,8 @@ dividends_cases = [
EX_DATE_FIELD_NAME: pd.to_datetime(['2014-01-20', '2014-01-15']),
PAY_DATE_FIELD_NAME: pd.to_datetime(['2014-01-20', '2014-01-15']),
TS_FIELD_NAME: pd.to_datetime(['2014-01-05', '2014-01-10']),
ANNOUNCEMENT_FIELD_NAME: pd.to_datetime(['2014-01-04', '2014-01-09'])
ANNOUNCEMENT_FIELD_NAME: pd.to_datetime(['2014-01-04', '2014-01-09']),
CURRENCY_FIELD_NAME: ["EUR", "$"]
}),
# K1--A1--K2--A2.
pd.DataFrame({
@@ -76,7 +80,8 @@ dividends_cases = [
EX_DATE_FIELD_NAME: pd.to_datetime(['2014-01-10', '2014-01-20']),
PAY_DATE_FIELD_NAME: pd.to_datetime(['2014-01-10', '2014-01-20']),
TS_FIELD_NAME: pd.to_datetime(['2014-01-05', '2014-01-15']),
ANNOUNCEMENT_FIELD_NAME: pd.to_datetime(['2014-01-04', '2014-01-14'])
ANNOUNCEMENT_FIELD_NAME: pd.to_datetime(['2014-01-04', '2014-01-14']),
CURRENCY_FIELD_NAME: ["$", "EUR"]
}),
# K1 == K2.
pd.DataFrame({
@@ -84,14 +89,16 @@ dividends_cases = [
EX_DATE_FIELD_NAME: pd.to_datetime(['2014-01-10', '2014-01-15']),
PAY_DATE_FIELD_NAME: pd.to_datetime(['2014-01-10', '2014-01-15']),
TS_FIELD_NAME: pd.to_datetime(['2014-01-05'] * 2),
ANNOUNCEMENT_FIELD_NAME: pd.to_datetime(['2014-01-04', '2014-01-04'])
ANNOUNCEMENT_FIELD_NAME: pd.to_datetime(['2014-01-04', '2014-01-04']),
CURRENCY_FIELD_NAME: ["$", "EUR"]
}),
pd.DataFrame(
columns=[CASH_AMOUNT_FIELD_NAME,
EX_DATE_FIELD_NAME,
PAY_DATE_FIELD_NAME,
TS_FIELD_NAME,
ANNOUNCEMENT_FIELD_NAME],
ANNOUNCEMENT_FIELD_NAME,
CURRENCY_FIELD_NAME],
dtype='datetime64[ns]'
),
]
@@ -157,6 +164,16 @@ next_amounts = [['NaN', 1, 15, 'NaN'],
['NaN', 3, 'NaN', 1, 'NaN'],
['NaN', 6, 23, 'NaN']]
prev_currency_types = [[None, "$", "EUR"],
[None, "$", "EUR"],
[None, "$", "EUR"],
[None, "$", "EUR"]]
next_currency_types = [[None, "$", "EUR", None],
[None, "EUR", "$", "EUR", None],
[None, "$", None, "EUR", None],
[None, "$", "EUR", None]]
class DividendsByAnnouncementDateTestCase(WithPipelineEventDataLoader,
ZiplineTestCase):
@@ -169,6 +186,8 @@ class DividendsByAnnouncementDateTestCase(WithPipelineEventDataLoader,
PREVIOUS_AMOUNT: DividendsByAnnouncementDate.previous_amount.latest,
DAYS_SINCE_PREV_DIVIDEND_ANNOUNCEMENT:
BusinessDaysSinceDividendAnnouncement(),
PREVIOUS_CURRENCY_TYPE:
DividendsByAnnouncementDate.previous_currency.latest,
}
@classmethod
@@ -204,6 +223,8 @@ class DividendsByAnnouncementDateTestCase(WithPipelineEventDataLoader,
['NaT', '2014-01-04', '2014-01-14'],
['NaT', '2014-01-04']]
amounts = [['NaN', 1, 15], ['NaN', 7, 13], ['NaN', 3, 1], ['NaN', 23]]
currency_types = [[None, "$", "EUR"], [None, "$", "EUR"],
[None, "$", "EUR"]]
cols = {
PREVIOUS_ANNOUNCEMENT: self.get_sids_to_frames(
zip_with_dates, announcement_dates, date_intervals, dates,
@@ -212,6 +233,10 @@ class DividendsByAnnouncementDateTestCase(WithPipelineEventDataLoader,
PREVIOUS_AMOUNT: self.get_sids_to_frames(
zip_with_floats, amounts, date_intervals, dates, 'float', 'NaN'
),
PREVIOUS_CURRENCY_TYPE: self.get_sids_to_frames(
zip_with_strs, currency_types, date_intervals, dates,
'category', None
),
}
cols[
@@ -263,6 +288,8 @@ class DividendsByExDateTestCase(WithPipelineEventDataLoader, ZiplineTestCase):
PREVIOUS_EX_DATE: DividendsByExDate.previous_date.latest,
NEXT_AMOUNT: DividendsByExDate.next_amount.latest,
PREVIOUS_AMOUNT: DividendsByExDate.previous_amount.latest,
PREVIOUS_CURRENCY_TYPE: DividendsByExDate.previous_currency.latest,
NEXT_CURRENCY_TYPE: DividendsByExDate.next_currency.latest,
DAYS_TO_NEXT_EX_DATE: BusinessDaysUntilNextExDate(),
DAYS_SINCE_PREV_EX_DATE: BusinessDaysSincePreviousExDate()
}
@@ -296,6 +323,14 @@ class DividendsByExDateTestCase(WithPipelineEventDataLoader, ZiplineTestCase):
PREVIOUS_AMOUNT: self.get_sids_to_frames(
zip_with_floats, prev_amounts, prev_date_intervals, dates,
'float', 'NaN'
),
PREVIOUS_CURRENCY_TYPE: self.get_sids_to_frames(
zip_with_strs, prev_currency_types, prev_date_intervals, dates,
'category', None
),
NEXT_CURRENCY_TYPE: self.get_sids_to_frames(
zip_with_strs, next_currency_types, next_date_intervals, dates,
'category', None
)
}
@@ -349,6 +384,8 @@ class DividendsByPayDateTestCase(WithPipelineEventDataLoader, ZiplineTestCase):
PREVIOUS_PAY_DATE: DividendsByPayDate.previous_date.latest,
NEXT_AMOUNT: DividendsByPayDate.next_amount.latest,
PREVIOUS_AMOUNT: DividendsByPayDate.previous_amount.latest,
PREVIOUS_CURRENCY_TYPE: DividendsByPayDate.previous_currency.latest,
NEXT_CURRENCY_TYPE: DividendsByPayDate.next_currency.latest,
}
@classmethod
@@ -380,6 +417,14 @@ class DividendsByPayDateTestCase(WithPipelineEventDataLoader, ZiplineTestCase):
PREVIOUS_AMOUNT: self.get_sids_to_frames(
zip_with_floats, prev_amounts, prev_date_intervals, dates,
'float', 'NaN'
),
PREVIOUS_CURRENCY_TYPE: self.get_sids_to_frames(
zip_with_strs, prev_currency_types, prev_date_intervals, dates,
'category', None
),
NEXT_CURRENCY_TYPE: self.get_sids_to_frames(
zip_with_strs, next_currency_types, next_date_intervals, dates,
'category', None
)
}