MAINT: Moved DailyReturn to protocol module to break circular references

and removed code that solved that same problem with conditional imports.

tests/test_risk_compare_batch_iterative.py

@@ -1,5 +1,5 @@
 #
-# Copyright 2012 Quantopian, Inc.
+# 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.
@@ -21,8 +21,9 @@ import pytz
 import numpy as np
 
 import zipline.finance.risk as risk
-
 import zipline.finance.trading as trading
+from zipline.protocol import DailyReturn
+
 from test_risk import RETURNS
 
 
@@ -52,7 +53,7 @@ class RiskCompareIterativeToBatch(unittest.TestCase):
 
         cur_returns = []
         for i, ret in enumerate(RETURNS):
-            todays_return_obj = trading.DailyReturn(
+            todays_return_obj = DailyReturn(
                 todays_date,
                 ret
             )

zipline/data/benchmarks.py

@@ -1,5 +1,5 @@
 #
-# Copyright 2012 Quantopian, Inc.
+# 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.
@@ -25,11 +25,10 @@ import requests
 
 from loader_utils import (
     date_conversion,
-    source_to_records
+    source_to_records,
+    Mapping
 )
-
-from loader_utils import Mapping
-
+from zipline.protocol import DailyReturn
 
 _BENCHMARK_MAPPING = {
     # Need to add 'symbol'
@@ -94,8 +93,6 @@ def get_benchmark_data(symbol):
 
 
 def get_benchmark_returns(symbol):
-    from zipline.finance.trading import DailyReturn
-
     benchmark_returns = []
 
     for data_point in get_benchmark_data(symbol):

zipline/data/loader.py

@@ -1,5 +1,5 @@
 #
-# Copyright 2012 Quantopian, Inc.
+# 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.
@@ -23,6 +23,7 @@ from collections import OrderedDict
 from treasuries import get_treasury_data
 from benchmarks import get_benchmark_returns
 
+from zipline.protocol import DailyReturn
 from zipline.utils.date_utils import tuple_to_date
 from operator import attrgetter
 
@@ -91,8 +92,6 @@ def get_benchmark_filename(symbol):
 
 
 def load_market_data(bm_symbol='^GSPC'):
-    from zipline.finance.trading import DailyReturn
-
     try:
         fp_bm = get_datafile(get_benchmark_filename(bm_symbol), "rb")
     except IOError:

zipline/finance/performance.py

@@ -1,5 +1,5 @@
 #
-# Copyright 2012 Quantopian, Inc.
+# 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.
@@ -281,7 +281,7 @@ class PerformanceTracker(object):
         self.cumulative_performance.update_dividends(todays_date)
         self.todays_performance.update_dividends(todays_date)
 
-        todays_return_obj = trading.DailyReturn(
+        todays_return_obj = zp.DailyReturn(
             todays_date,
             self.todays_performance.returns
         )

zipline/finance/trading.py

@@ -23,6 +23,7 @@ from collections import defaultdict, OrderedDict
 from delorean import Delorean
 from pandas import DatetimeIndex
 
+from zipline.data.loader import load_market_data
 import zipline.protocol as zp
 from zipline.finance.slippage import (
     VolumeShareSlippage,
@@ -111,7 +112,6 @@ class TradingEnvironment(object):
         self.trading_day_map = OrderedDict()
         self.bm_symbol = bm_symbol
         if not load:
-            from zipline.data.loader import load_market_data
             load = load_market_data
 
         self.benchmark_returns, self.treasury_curves = \
@@ -321,24 +321,6 @@ class SimulationParameters(object):
              })
 
 
-class DailyReturn(object):
-
-    def __init__(self, date, returns):
-
-        assert isinstance(date, datetime.datetime)
-        self.date = date.replace(hour=0, minute=0, second=0)
-        self.returns = returns
-
-    def to_dict(self):
-        return {
-            'dt': self.date,
-            'returns': self.returns
-        }
-
-    def __repr__(self):
-        return str(self.date) + " - " + str(self.returns)
-
-
 class use_environment(object):
     """A decorator to wrap a method in a particular
     trading environment."""

zipline/protocol.py

@@ -1,5 +1,5 @@
 #
-# Copyright 2012 Quantopian, Inc.
+# 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.
@@ -14,6 +14,8 @@
 # limitations under the License.
 
 
+import datetime
+
 from utils.protocol_utils import Enum
 
 # Datasource type should completely determine the other fields of a
@@ -113,3 +115,21 @@ class SIDData(object):
 
     def __repr__(self):
         return "SIDData({0})".format(self.__dict__)
+
+
+class DailyReturn(object):
+
+    def __init__(self, date, returns):
+
+        assert isinstance(date, datetime.datetime)
+        self.date = date.replace(hour=0, minute=0, second=0)
+        self.returns = returns
+
+    def to_dict(self):
+        return {
+            'dt': self.date,
+            'returns': self.returns
+        }
+
+    def __repr__(self):
+        return str(self.date) + " - " + str(self.returns)

zipline/utils/factory.py

@@ -1,5 +1,5 @@
 #
-# Copyright 2012 Quantopian, Inc.
+# 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.
@@ -27,7 +27,7 @@ from pandas.io.data import DataReader
 import numpy as np
 from datetime import datetime, timedelta
 
-from zipline.protocol import Event, DATASOURCE_TYPE
+from zipline.protocol import DailyReturn, Event, DATASOURCE_TYPE
 from zipline.sources import (SpecificEquityTrades,
                              DataFrameSource,
                              DataPanelSource)
@@ -62,7 +62,7 @@ def create_noop_environment():
     bm_returns = []
     tr_curves = OrderedDict()
     for day in date_gen(start=start, delta=oneday, count=252):
-        dr = trading.DailyReturn(day, 0.01)
+        dr = DailyReturn(day, 0.01)
         bm_returns.append(dr)
         curve = {
             '10year': 0.0799,
@@ -194,7 +194,7 @@ def create_returns(daycount, sim_params):
     for day in range(daycount):
         current = current + one_day
         if trading.environment.is_trading_day(current):
-            r = trading.DailyReturn(current, random.random())
+            r = DailyReturn(current, random.random())
             test_range.append(r)
 
     return test_range
@@ -206,7 +206,7 @@ def create_returns_from_range(sim_params):
     one_day = timedelta(days=1)
     test_range = []
     while current <= end:
-        r = trading.DailyReturn(current, random.random())
+        r = DailyReturn(current, random.random())
         test_range.append(r)
         current = get_next_trading_dt(current, one_day)
 
@@ -223,7 +223,7 @@ def create_returns_from_list(returns, sim_params):
         current = get_next_trading_dt(current, one_day)
 
     for return_val in returns:
-        r = trading.DailyReturn(current, return_val)
+        r = DailyReturn(current, return_val)
         test_range.append(r)
         current = get_next_trading_dt(current, one_day)