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BUG: fix blaze pipeline queries for asof_date

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This commit is contained in:
Joe Jevnik
2016-12-01 14:35:59 -05:00
committed by Joe Jevnik
parent 3e1a518ae6
commit c1063eac26
2 changed files with 64 additions and 24 deletions
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tests/pipeline/test_blaze.py
+58 -20
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@@ -857,28 +857,28 @@ class BlazeToPipelineTestCase(WithAssetFinder, ZiplineTestCase):
def test_id(self):
"""
input (self.df):
asof_date sid timestamp value
0 2014-01-01 65 2014-01-01 0
1 2014-01-01 66 2014-01-01 1
2 2014-01-01 67 2014-01-01 2
3 2014-01-02 65 2014-01-02 1
4 2014-01-02 66 2014-01-02 2
5 2014-01-02 67 2014-01-02 3
6 2014-01-03 65 2014-01-03 2
7 2014-01-03 66 2014-01-03 3
8 2014-01-03 67 2014-01-03 4
asof_date sid timestamp int_value value
0 2014-01-01 65 2014-01-01 0 0
1 2014-01-01 66 2014-01-01 1 1
2 2014-01-01 67 2014-01-01 2 2
3 2014-01-02 65 2014-01-02 1 1
4 2014-01-02 66 2014-01-02 2 2
5 2014-01-02 67 2014-01-02 3 3
6 2014-01-03 65 2014-01-03 2 2
7 2014-01-03 66 2014-01-03 3 3
8 2014-01-03 67 2014-01-03 4 4
output (expected)
value
2014-01-01 Equity(65 [A]) 0
Equity(66 [B]) 1
Equity(67 [C]) 2
2014-01-02 Equity(65 [A]) 1
Equity(66 [B]) 2
Equity(67 [C]) 3
2014-01-03 Equity(65 [A]) 2
Equity(66 [B]) 3
Equity(67 [C]) 4
int_value value
2014-01-01 Equity(65 [A]) 0 0
Equity(66 [B]) 1 1
Equity(67 [C]) 2 2
2014-01-02 Equity(65 [A]) 1 1
Equity(66 [B]) 2 2
Equity(67 [C]) 3 3
2014-01-03 Equity(65 [A]) 2 2
Equity(66 [B]) 3 3
Equity(67 [C]) 4 4
"""
expected = self.df.drop('asof_date', axis=1).set_index(
['timestamp', 'sid'],
@@ -892,6 +892,44 @@ class BlazeToPipelineTestCase(WithAssetFinder, ZiplineTestCase):
('int_value', 'value',)
)
def test_id_with_asof_date(self):
"""
input (self.df):
asof_date sid timestamp int_value value
0 2014-01-01 65 2014-01-01 0 0
1 2014-01-01 66 2014-01-01 1 1
2 2014-01-01 67 2014-01-01 2 2
3 2014-01-02 65 2014-01-02 1 1
4 2014-01-02 66 2014-01-02 2 2
5 2014-01-02 67 2014-01-02 3 3
6 2014-01-03 65 2014-01-03 2 2
7 2014-01-03 66 2014-01-03 3 3
8 2014-01-03 67 2014-01-03 4 4
output (expected)
asof_date
2014-01-01 Equity(65 [A]) 2014-01-01
Equity(66 [B]) 2014-01-01
Equity(67 [C]) 2014-01-01
2014-01-02 Equity(65 [A]) 2014-01-02
Equity(66 [B]) 2014-01-02
Equity(67 [C]) 2014-01-02
2014-01-03 Equity(65 [A]) 2014-01-03
Equity(66 [B]) 2014-01-03
Equity(67 [C]) 2014-01-03
"""
expected = self.df.drop(['value', 'int_value'], axis=1).set_index(
['timestamp', 'sid'],
)
expected.index = pd.MultiIndex.from_product((
expected.index.levels[0],
self.asset_finder.retrieve_all(expected.index.levels[1]),
))
self._test_id(
self.df, self.dshape, expected, self.asset_finder,
('asof_date',)
)
def test_id_ffill_out_of_window(self):
"""
input (df):