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MAINT: Refactor in prep for downsampled terms.
- Split out extra_rows handling into an `ExecutionPlan` subclass.
`ExecutionPlan` now requires the dates and calendar against which a
set of terms will be computed, and now defers to a term's
`compute_extra_rows` method when deciding how many extra rows are
required to compute for that term. This will allow downsampled terms
to request enough extra rows to guarantee that we can maintain consistent
calculation dates.
As a consequence of the above, `TermGraph` now only deals with logical
dependencies, not with metadata surrounding extra row calculations.
This means that TermGraph can be used to generate dependency
visualizations in interactive contexts where we don't yet have a
calendar or start/end dates.
- Refactored test_{filter,factor,classifier} to use check_terms instead
of run_graph. This makes it easier to make changes to TermGraph,
since the testing interface is now to simply provide a dict of terms.
- Refactored BasePipelineTestCase to use fixtures to create an asset
finder. This fixes a potential leak of the test's asset db, which was
not being explicitly cleaned up.
- Refactored test_technical to use BasePipelineTestCase.
- Added a new special term, `InputDates()`, which can be used to request
date labels for inputs. Like `AssetExists`, `InputDates` is provided
in the initial workspace by default.
- Added a default (failing) `_compute` method to `AssetExists` which
provides a more useful error than AttributeError.
This commit is contained in:
@@ -40,6 +40,7 @@ from six import iteritems, itervalues
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from toolz import merge
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from zipline.assets.synthetic import make_rotating_equity_info
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from zipline.errors import NoFurtherDataError
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from zipline.lib.adjustment import MULTIPLY
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from zipline.lib.labelarray import LabelArray
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from zipline.pipeline import CustomFactor, Pipeline
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@@ -65,6 +66,7 @@ from zipline.pipeline.loaders.synthetic import (
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expected_bar_values_2d,
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)
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from zipline.pipeline.sentinels import NotSpecified
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from zipline.pipeline.term import InputDates
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from zipline.testing import (
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AssetID,
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AssetIDPlusDay,
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@@ -81,7 +83,7 @@ from zipline.testing.fixtures import (
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ZiplineTestCase,
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)
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from zipline.utils.memoize import lazyval
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from zipline.utils.numpy_utils import bool_dtype
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from zipline.utils.numpy_utils import bool_dtype, datetime64ns_dtype
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class RollingSumDifference(CustomFactor):
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@@ -229,6 +231,31 @@ class ConstantInputTestCase(WithTradingEnvironment, ZiplineTestCase):
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with self.assertRaises(NoFurtherDataError) as e:
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engine.run_pipeline(p, self.dates[8], self.dates[8])
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def test_input_dates_provided_by_default(self):
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loader = self.loader
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engine = SimplePipelineEngine(
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lambda column: loader, self.dates, self.asset_finder,
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)
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class TestFactor(CustomFactor):
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inputs = [InputDates(), USEquityPricing.close]
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window_length = 10
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dtype = datetime64ns_dtype
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def compute(self, today, assets, out, dates, closes):
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first, last = dates[[0, -1], 0]
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assert last == today.asm8
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assert len(dates) == len(closes) == self.window_length
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out[:] = first
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p = Pipeline(columns={'t': TestFactor()})
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results = engine.run_pipeline(p, self.dates[9], self.dates[10])
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# All results are the same, so just grab one column.
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column = results.unstack().iloc[:, 0].values
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check_arrays(column, self.dates[:2].values)
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def test_same_day_pipeline(self):
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loader = self.loader
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engine = SimplePipelineEngine(
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