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Merge pull request #761 from quantopian/move-us-equity-to-data

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MAINT: Move equity data formats out of loader.
This commit is contained in:
Eddie Hebert
2015-10-09 17:28:37 -04:00
parent 4e2039c9b0 e33f6dcdcd
commit e6ba59b580
11 changed files with 844 additions and 754 deletions
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tests/data/__init__.py
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tests/data/test_us_equity_pricing.py
+268
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@@ -0,0 +1,268 @@
#
# Copyright 2015 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.
from unittest import TestCase
from nose_parameterized import parameterized
from numpy import (
arange,
datetime64,
)
from numpy.testing import (
assert_array_equal,
)
from pandas import (
DataFrame,
DatetimeIndex,
Timestamp,
)
from pandas.util.testing import assert_index_equal
from testfixtures import TempDirectory
from zipline.pipeline.loaders.synthetic import (
SyntheticDailyBarWriter,
)
from zipline.data.us_equity_pricing import (
BcolzDailyBarReader,
)
from zipline.finance.trading import TradingEnvironment
from zipline.pipeline.data import USEquityPricing
from zipline.utils.test_utils import (
seconds_to_timestamp,
)
TEST_CALENDAR_START = Timestamp('2015-06-01', tz='UTC')
TEST_CALENDAR_STOP = Timestamp('2015-06-30', tz='UTC')
TEST_QUERY_START = Timestamp('2015-06-10', tz='UTC')
TEST_QUERY_STOP = Timestamp('2015-06-19', tz='UTC')
# One asset for each of the cases enumerated in load_raw_arrays_from_bcolz.
EQUITY_INFO = DataFrame(
[
# 1) The equity's trades start and end before query.
{'start_date': '2015-06-01', 'end_date': '2015-06-05'},
# 2) The equity's trades start and end after query.
{'start_date': '2015-06-22', 'end_date': '2015-06-30'},
# 3) The equity's data covers all dates in range.
{'start_date': '2015-06-02', 'end_date': '2015-06-30'},
# 4) The equity's trades start before the query start, but stop
# before the query end.
{'start_date': '2015-06-01', 'end_date': '2015-06-15'},
# 5) The equity's trades start and end during the query.
{'start_date': '2015-06-12', 'end_date': '2015-06-18'},
# 6) The equity's trades start during the query, but extend through
# the whole query.
{'start_date': '2015-06-15', 'end_date': '2015-06-25'},
],
index=arange(1, 7),
columns=['start_date', 'end_date'],
).astype(datetime64)
TEST_QUERY_ASSETS = EQUITY_INFO.index
class BcolzDailyBarTestCase(TestCase):
@classmethod
def setUpClass(cls):
all_trading_days = TradingEnvironment().trading_days
cls.trading_days = all_trading_days[
all_trading_days.get_loc(TEST_CALENDAR_START):
all_trading_days.get_loc(TEST_CALENDAR_STOP) + 1
]
def setUp(self):
self.asset_info = EQUITY_INFO
self.writer = SyntheticDailyBarWriter(
self.asset_info,
self.trading_days,
)
self.dir_ = TempDirectory()
self.dir_.create()
self.dest = self.dir_.getpath('daily_equity_pricing.bcolz')
def tearDown(self):
self.dir_.cleanup()
@property
def assets(self):
return self.asset_info.index
def trading_days_between(self, start, end):
return self.trading_days[self.trading_days.slice_indexer(start, end)]
def asset_start(self, asset_id):
return self.writer.asset_start(asset_id)
def asset_end(self, asset_id):
return self.writer.asset_end(asset_id)
def dates_for_asset(self, asset_id):
start, end = self.asset_start(asset_id), self.asset_end(asset_id)
return self.trading_days_between(start, end)
def test_write_ohlcv_content(self):
result = self.writer.write(self.dest, self.trading_days, self.assets)
for column in SyntheticDailyBarWriter.OHLCV:
idx = 0
data = result[column][:]
multiplier = 1 if column == 'volume' else 1000
for asset_id in self.assets:
for date in self.dates_for_asset(asset_id):
self.assertEqual(
SyntheticDailyBarWriter.expected_value(
asset_id,
date,
column
) * multiplier,
data[idx],
)
idx += 1
self.assertEqual(idx, len(data))
def test_write_day_and_id(self):
result = self.writer.write(self.dest, self.trading_days, self.assets)
idx = 0
ids = result['id']
days = result['day']
for asset_id in self.assets:
for date in self.dates_for_asset(asset_id):
self.assertEqual(ids[idx], asset_id)
self.assertEqual(date, seconds_to_timestamp(days[idx]))
idx += 1
def test_write_attrs(self):
result = self.writer.write(self.dest, self.trading_days, self.assets)
expected_first_row = {
'1': 0,
'2': 5, # Asset 1 has 5 trading days.
'3': 12, # Asset 2 has 7 trading days.
'4': 33, # Asset 3 has 21 trading days.
'5': 44, # Asset 4 has 11 trading days.
'6': 49, # Asset 5 has 5 trading days.
}
expected_last_row = {
'1': 4,
'2': 11,
'3': 32,
'4': 43,
'5': 48,
'6': 57, # Asset 6 has 9 trading days.
}
expected_calendar_offset = {
'1': 0, # Starts on 6-01, 1st trading day of month.
'2': 15, # Starts on 6-22, 16th trading day of month.
'3': 1, # Starts on 6-02, 2nd trading day of month.
'4': 0, # Starts on 6-01, 1st trading day of month.
'5': 9, # Starts on 6-12, 10th trading day of month.
'6': 10, # Starts on 6-15, 11th trading day of month.
}
self.assertEqual(result.attrs['first_row'], expected_first_row)
self.assertEqual(result.attrs['last_row'], expected_last_row)
self.assertEqual(
result.attrs['calendar_offset'],
expected_calendar_offset,
)
assert_index_equal(
self.trading_days,
DatetimeIndex(result.attrs['calendar'], tz='UTC'),
)
def _check_read_results(self, columns, assets, start_date, end_date):
table = self.writer.write(self.dest, self.trading_days, self.assets)
reader = BcolzDailyBarReader(table)
results = reader.load_raw_arrays(columns, start_date, end_date, assets)
dates = self.trading_days_between(start_date, end_date)
for column, result in zip(columns, results):
assert_array_equal(
result,
self.writer.expected_values_2d(
dates,
assets,
column.name,
)
)
@parameterized.expand([
([USEquityPricing.open],),
([USEquityPricing.close, USEquityPricing.volume],),
([USEquityPricing.volume, USEquityPricing.high, USEquityPricing.low],),
(USEquityPricing.columns,),
])
def test_read(self, columns):
self._check_read_results(
columns,
self.assets,
TEST_QUERY_START,
TEST_QUERY_STOP,
)
def test_start_on_asset_start(self):
"""
Test loading with queries that starts on the first day of each asset's
lifetime.
"""
columns = [USEquityPricing.high, USEquityPricing.volume]
for asset in self.assets:
self._check_read_results(
columns,
self.assets,
start_date=self.asset_start(asset),
end_date=self.trading_days[-1],
)
def test_start_on_asset_end(self):
"""
Test loading with queries that start on the last day of each asset's
lifetime.
"""
columns = [USEquityPricing.close, USEquityPricing.volume]
for asset in self.assets:
self._check_read_results(
columns,
self.assets,
start_date=self.asset_end(asset),
end_date=self.trading_days[-1],
)
def test_end_on_asset_start(self):
"""
Test loading with queries that end on the first day of each asset's
lifetime.
"""
columns = [USEquityPricing.close, USEquityPricing.volume]
for asset in self.assets:
self._check_read_results(
columns,
self.assets,
start_date=self.trading_days[0],
end_date=self.asset_start(asset),
)
def test_end_on_asset_end(self):
"""
Test loading with queries that end on the last day of each asset's
lifetime.
"""
columns = [USEquityPricing.close, USEquityPricing.volume]
for asset in self.assets:
self._check_read_results(
columns,
self.assets,
start_date=self.trading_days[0],
end_date=self.asset_end(asset),
)
tests/pipeline/test_engine.py
+1 -1
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@@ -30,12 +30,12 @@ from zipline.pipeline.loaders.synthetic import (
NullAdjustmentReader,
SyntheticDailyBarWriter,
)
from zipline.data.us_equity_pricing import BcolzDailyBarReader
from zipline.finance.trading import TradingEnvironment
from zipline.pipeline import Pipeline
from zipline.pipeline.data import USEquityPricing
from zipline.pipeline.loaders.frame import DataFrameLoader, MULTIPLY
from zipline.pipeline.loaders.equity_pricing_loader import (
BcolzDailyBarReader,
USEquityPricingLoader,
)
from zipline.pipeline.engine import SimplePipelineEngine
tests/pipeline/test_pipeline_algo.py
+6 -4
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@@ -40,16 +40,18 @@ from zipline.errors import (
PipelineOutputDuringInitialize,
NoSuchPipeline,
)
from zipline.data.us_equity_pricing import (
BcolzDailyBarReader,
DailyBarWriterFromCSVs,
SQLiteAdjustmentWriter,
SQLiteAdjustmentReader,
)
from zipline.finance import trading
from zipline.pipeline import Pipeline
from zipline.pipeline.factors import VWAP
from zipline.pipeline.data import USEquityPricing
from zipline.pipeline.loaders.frame import DataFrameLoader, MULTIPLY
from zipline.pipeline.loaders.equity_pricing_loader import (
BcolzDailyBarReader,
DailyBarWriterFromCSVs,
SQLiteAdjustmentReader,
SQLiteAdjustmentWriter,
USEquityPricingLoader,
)
from zipline.utils.test_utils import (
tests/pipeline/test_us_equity_pricing_loader.py
+4 -199
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@@ -17,7 +17,6 @@ Tests for USEquityPricingLoader and related classes.
"""
from unittest import TestCase
from nose_parameterized import parameterized
from numpy import (
arange,
datetime64,
@@ -32,11 +31,9 @@ from numpy.testing import (
from pandas import (
concat,
DataFrame,
DatetimeIndex,
Int64Index,
Timestamp,
)
from pandas.util.testing import assert_index_equal
from testfixtures import TempDirectory
from zipline.lib.adjustment import Float64Multiply
@@ -44,12 +41,15 @@ from zipline.pipeline.loaders.synthetic import (
NullAdjustmentReader,
SyntheticDailyBarWriter,
)
from zipline.pipeline.loaders.equity_pricing_loader import (
from zipline.data.us_equity_pricing import (
BcolzDailyBarReader,
SQLiteAdjustmentReader,
SQLiteAdjustmentWriter,
)
from zipline.pipeline.loaders.equity_pricing_loader import (
USEquityPricingLoader,
)
from zipline.errors import WindowLengthTooLong
from zipline.finance.trading import TradingEnvironment
from zipline.pipeline.data import USEquityPricing
@@ -97,201 +97,6 @@ EQUITY_INFO = DataFrame(
TEST_QUERY_ASSETS = EQUITY_INFO.index
class BcolzDailyBarTestCase(TestCase):
@classmethod
def setUpClass(cls):
all_trading_days = TradingEnvironment().trading_days
cls.trading_days = all_trading_days[
all_trading_days.get_loc(TEST_CALENDAR_START):
all_trading_days.get_loc(TEST_CALENDAR_STOP) + 1
]
def setUp(self):
self.asset_info = EQUITY_INFO
self.writer = SyntheticDailyBarWriter(
self.asset_info,
self.trading_days,
)
self.dir_ = TempDirectory()
self.dir_.create()
self.dest = self.dir_.getpath('daily_equity_pricing.bcolz')
def tearDown(self):
self.dir_.cleanup()
@property
def assets(self):
return self.asset_info.index
def trading_days_between(self, start, end):
return self.trading_days[self.trading_days.slice_indexer(start, end)]
def asset_start(self, asset_id):
return self.writer.asset_start(asset_id)
def asset_end(self, asset_id):
return self.writer.asset_end(asset_id)
def dates_for_asset(self, asset_id):
start, end = self.asset_start(asset_id), self.asset_end(asset_id)
return self.trading_days_between(start, end)
def test_write_ohlcv_content(self):
result = self.writer.write(self.dest, self.trading_days, self.assets)
for column in SyntheticDailyBarWriter.OHLCV:
idx = 0
data = result[column][:]
multiplier = 1 if column == 'volume' else 1000
for asset_id in self.assets:
for date in self.dates_for_asset(asset_id):
self.assertEqual(
SyntheticDailyBarWriter.expected_value(
asset_id,
date,
column
) * multiplier,
data[idx],
)
idx += 1
self.assertEqual(idx, len(data))
def test_write_day_and_id(self):
result = self.writer.write(self.dest, self.trading_days, self.assets)
idx = 0
ids = result['id']
days = result['day']
for asset_id in self.assets:
for date in self.dates_for_asset(asset_id):
self.assertEqual(ids[idx], asset_id)
self.assertEqual(date, seconds_to_timestamp(days[idx]))
idx += 1
def test_write_attrs(self):
result = self.writer.write(self.dest, self.trading_days, self.assets)
expected_first_row = {
'1': 0,
'2': 5, # Asset 1 has 5 trading days.
'3': 12, # Asset 2 has 7 trading days.
'4': 33, # Asset 3 has 21 trading days.
'5': 44, # Asset 4 has 11 trading days.
'6': 49, # Asset 5 has 5 trading days.
}
expected_last_row = {
'1': 4,
'2': 11,
'3': 32,
'4': 43,
'5': 48,
'6': 57, # Asset 6 has 9 trading days.
}
expected_calendar_offset = {
'1': 0, # Starts on 6-01, 1st trading day of month.
'2': 15, # Starts on 6-22, 16th trading day of month.
'3': 1, # Starts on 6-02, 2nd trading day of month.
'4': 0, # Starts on 6-01, 1st trading day of month.
'5': 9, # Starts on 6-12, 10th trading day of month.
'6': 10, # Starts on 6-15, 11th trading day of month.
}
self.assertEqual(result.attrs['first_row'], expected_first_row)
self.assertEqual(result.attrs['last_row'], expected_last_row)
self.assertEqual(
result.attrs['calendar_offset'],
expected_calendar_offset,
)
assert_index_equal(
self.trading_days,
DatetimeIndex(result.attrs['calendar'], tz='UTC'),
)
def _check_read_results(self, columns, assets, start_date, end_date):
table = self.writer.write(self.dest, self.trading_days, self.assets)
reader = BcolzDailyBarReader(table)
results = reader.load_raw_arrays(columns, start_date, end_date, assets)
dates = self.trading_days_between(start_date, end_date)
for column, result in zip(columns, results):
assert_array_equal(
result,
self.writer.expected_values_2d(
dates,
assets,
column.name,
)
)
@parameterized.expand([
([USEquityPricing.open],),
([USEquityPricing.close, USEquityPricing.volume],),
([USEquityPricing.volume, USEquityPricing.high, USEquityPricing.low],),
(USEquityPricing.columns,),
])
def test_read(self, columns):
self._check_read_results(
columns,
self.assets,
TEST_QUERY_START,
TEST_QUERY_STOP,
)
def test_start_on_asset_start(self):
"""
Test loading with queries that starts on the first day of each asset's
lifetime.
"""
columns = [USEquityPricing.high, USEquityPricing.volume]
for asset in self.assets:
self._check_read_results(
columns,
self.assets,
start_date=self.asset_start(asset),
end_date=self.trading_days[-1],
)
def test_start_on_asset_end(self):
"""
Test loading with queries that start on the last day of each asset's
lifetime.
"""
columns = [USEquityPricing.close, USEquityPricing.volume]
for asset in self.assets:
self._check_read_results(
columns,
self.assets,
start_date=self.asset_end(asset),
end_date=self.trading_days[-1],
)
def test_end_on_asset_start(self):
"""
Test loading with queries that end on the first day of each asset's
lifetime.
"""
columns = [USEquityPricing.close, USEquityPricing.volume]
for asset in self.assets:
self._check_read_results(
columns,
self.assets,
start_date=self.trading_days[0],
end_date=self.asset_start(asset),
)
def test_end_on_asset_end(self):
"""
Test loading with queries that end on the last day of each asset's
lifetime.
"""
columns = [USEquityPricing.close, USEquityPricing.volume]
for asset in self.assets:
self._check_read_results(
columns,
self.assets,
start_date=self.trading_days[0],
end_date=self.asset_end(asset),
)
# ADJUSTMENTS use the following scheme to indicate information about the value
# upon inspection.
#