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Merge pull request #1201 from quantopian/dividends-add-currency-col

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Dividends add currency col
This commit is contained in:
Maya Tydykov
2016-05-20 11:25:04 -04:00
parent de1780357a 751a08a8a1
commit ef08572f54
14 changed files with 344 additions and 174 deletions
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tests/pipeline/test_13d_filings.py
+11 -9
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@@ -3,19 +3,15 @@ Tests for the reference loader for 13d filings.
"""
import pandas as pd
from zipline.pipeline.common import(
DAYS_SINCE_PREV_DISCLOSURE,
from zipline.pipeline.common import TS_FIELD_NAME
from zipline.pipeline.data import _13DFilings
from zipline.pipeline.factors.events import BusinessDaysSince13DFilingsDate
from zipline.pipeline.loaders._13d_filings import (
_13DFilingsLoader,
DISCLOSURE_DATE,
NUM_SHARES,
PERCENT_SHARES,
PREVIOUS_NUM_SHARES,
PREVIOUS_PERCENT_SHARES,
PREVIOUS_DISCLOSURE_DATE,
TS_FIELD_NAME,
)
from zipline.pipeline.data import _13DFilings
from zipline.pipeline.factors.events import BusinessDaysSince13DFilingsDate
from zipline.pipeline.loaders._13d_filings import _13DFilingsLoader
from zipline.pipeline.loaders.utils import (
zip_with_floats,
zip_with_dates
@@ -23,6 +19,12 @@ from zipline.pipeline.loaders.utils import (
from zipline.testing.fixtures import WithPipelineEventDataLoader
from zipline.testing.fixtures import ZiplineTestCase
DAYS_SINCE_PREV_DISCLOSURE = 'days_since_prev_disclosure'
PREVIOUS_DISCLOSURE_DATE = 'previous_disclosure_date'
PREVIOUS_NUM_SHARES = 'previous_number_shares'
PREVIOUS_PERCENT_SHARES = 'previous_percentage'
date_intervals = [
[['2014-01-01', '2014-01-04'],
['2014-01-05', '2014-01-09'],
tests/pipeline/test_buyback_auth.py
+14 -9
View File
@@ -7,21 +7,19 @@ import pandas as pd
from six import iteritems
from zipline.pipeline.common import(
BUYBACK_AMOUNT_FIELD_NAME,
BUYBACK_ANNOUNCEMENT_FIELD_NAME,
BUYBACK_TYPE_FIELD_NAME,
BUYBACK_UNIT_FIELD_NAME,
DAYS_SINCE_PREV,
PREVIOUS_BUYBACK_AMOUNT,
PREVIOUS_BUYBACK_ANNOUNCEMENT,
PREVIOUS_BUYBACK_TYPE,
PREVIOUS_BUYBACK_UNIT,
SID_FIELD_NAME,
TS_FIELD_NAME,
)
from zipline.pipeline.data import BuybackAuthorizations
from zipline.pipeline.factors.events import BusinessDaysSinceBuybackAuth
from zipline.pipeline.loaders.buyback_auth import BuybackAuthorizationsLoader
from zipline.pipeline.loaders.buyback_auth import (
BUYBACK_AMOUNT_FIELD_NAME,
BUYBACK_ANNOUNCEMENT_FIELD_NAME,
BUYBACK_TYPE_FIELD_NAME,
BUYBACK_UNIT_FIELD_NAME,
BuybackAuthorizationsLoader,
)
from zipline.pipeline.loaders.blaze import BlazeBuybackAuthorizationsLoader
from zipline.pipeline.loaders.utils import (
zip_with_dates,
@@ -32,6 +30,13 @@ from zipline.testing.fixtures import (
WithPipelineEventDataLoader, ZiplineTestCase
)
PREVIOUS_BUYBACK_AMOUNT = 'previous_value'
PREVIOUS_BUYBACK_ANNOUNCEMENT = 'previous_buyback_announcement'
PREVIOUS_BUYBACK_CASH = 'previous_buyback_cash'
PREVIOUS_BUYBACK_SHARE_COUNT = 'previous_buyback_share_count'
PREVIOUS_BUYBACK_TYPE = 'previous_buyback_type'
PREVIOUS_BUYBACK_UNIT = 'previous_buyback_unit'
date_intervals = [
[['2014-01-01', '2014-01-04'], ['2014-01-05', '2014-01-09'],
['2014-01-10', '2014-01-31']]
tests/pipeline/test_consensus_estimates.py
+23 -21
View File
@@ -6,36 +6,19 @@ from blaze.compute.core import swap_resources_into_scope
import pandas as pd
from six import iteritems
from zipline.pipeline.common import (
from zipline.pipeline.common import SID_FIELD_NAME
from zipline.pipeline.data import ConsensusEstimates
from zipline.pipeline.loaders.consensus_estimates import (
ACTUAL_VALUE_FIELD_NAME,
ConsensusEstimatesLoader,
COUNT_FIELD_NAME,
FISCAL_QUARTER_FIELD_NAME,
FISCAL_YEAR_FIELD_NAME,
HIGH_FIELD_NAME,
LOW_FIELD_NAME,
MEAN_FIELD_NAME,
NEXT_COUNT,
NEXT_FISCAL_QUARTER,
NEXT_FISCAL_YEAR,
NEXT_HIGH,
NEXT_LOW,
NEXT_RELEASE_DATE,
NEXT_STANDARD_DEVIATION,
PREVIOUS_ACTUAL_VALUE,
PREVIOUS_COUNT,
PREVIOUS_FISCAL_QUARTER,
PREVIOUS_FISCAL_YEAR,
PREVIOUS_HIGH,
PREVIOUS_LOW,
PREVIOUS_MEAN, NEXT_MEAN,
PREVIOUS_RELEASE_DATE,
PREVIOUS_STANDARD_DEVIATION,
RELEASE_DATE_FIELD_NAME,
STANDARD_DEVIATION_FIELD_NAME,
SID_FIELD_NAME)
from zipline.pipeline.data import ConsensusEstimates
from zipline.pipeline.loaders.consensus_estimates import (
ConsensusEstimatesLoader
)
from zipline.pipeline.loaders.blaze import BlazeConsensusEstimatesLoader
from zipline.pipeline.loaders.utils import (
@@ -46,6 +29,25 @@ from zipline.testing.fixtures import (
WithNextAndPreviousEventDataLoader
)
NEXT_COUNT = 'next_count'
NEXT_FISCAL_QUARTER = 'next_fiscal_quarter'
NEXT_FISCAL_YEAR = 'next_fiscal_year'
NEXT_HIGH = 'next_high'
NEXT_LOW = 'next_low'
NEXT_MEAN = 'next_mean'
NEXT_RELEASE_DATE = 'next_release_date'
NEXT_STANDARD_DEVIATION = 'next_standard_deviation'
PREVIOUS_ACTUAL_VALUE = 'previous_actual_value'
PREVIOUS_COUNT = 'previous_count'
PREVIOUS_FISCAL_QUARTER = 'previous_fiscal_quarter'
PREVIOUS_FISCAL_YEAR = 'previous_fiscal_year'
PREVIOUS_HIGH = 'previous_high'
PREVIOUS_LOW = 'previous_low'
PREVIOUS_MEAN = 'previous_mean'
PREVIOUS_RELEASE_DATE = 'previous_release_date'
PREVIOUS_STANDARD_DEVIATION = 'previous_standard_deviation'
consensus_estimates_cases = [
# K1--K2--A1--A2.
pd.DataFrame({
tests/pipeline/test_dividends.py
+125 -24
View File
@@ -8,21 +8,10 @@ from six import iteritems
from zipline.pipeline.common import (
ANNOUNCEMENT_FIELD_NAME,
DAYS_SINCE_PREV_DIVIDEND_ANNOUNCEMENT,
DAYS_SINCE_PREV_EX_DATE,
DAYS_TO_NEXT_EX_DATE,
NEXT_AMOUNT,
NEXT_EX_DATE,
NEXT_PAY_DATE,
PREVIOUS_ANNOUNCEMENT,
PREVIOUS_EX_DATE,
PREVIOUS_PAY_DATE,
PREVIOUS_AMOUNT,
PREVIOUS_ANNOUNCEMENT,
SID_FIELD_NAME,
TS_FIELD_NAME,
CASH_AMOUNT_FIELD_NAME,
EX_DATE_FIELD_NAME,
PAY_DATE_FIELD_NAME
)
from zipline.pipeline.data.dividends import (
DividendsByAnnouncementDate,
@@ -40,19 +29,39 @@ from zipline.pipeline.loaders.blaze.dividends import (
BlazeDividendsByExDateLoader
)
from zipline.pipeline.loaders.dividends import (
CASH_AMOUNT_FIELD_NAME,
CURRENCY_FIELD_NAME,
DIVIDEND_TYPE_FIELD_NAME,
DividendsByAnnouncementDateLoader,
DividendsByExDateLoader,
DividendsByPayDateLoader
DividendsByPayDateLoader,
EX_DATE_FIELD_NAME,
PAY_DATE_FIELD_NAME,
)
from zipline.pipeline.loaders.utils import (
zip_with_dates,
zip_with_floats
zip_with_floats,
zip_with_strs,
)
from zipline.testing.fixtures import (
WithPipelineEventDataLoader,
ZiplineTestCase
)
DAYS_SINCE_PREV_DIVIDEND_ANNOUNCEMENT = 'days_since_prev_dividend_announcement'
DAYS_SINCE_PREV_EX_DATE = 'days_since_prev_ex_date'
DAYS_TO_NEXT_EX_DATE = 'days_to_next_ex_date'
NEXT_AMOUNT = 'next_amount'
NEXT_CURRENCY_TYPE = 'next_currency_type'
NEXT_DIVIDEND_TYPE = 'next_dividend_type'
NEXT_EX_DATE = 'next_ex_date'
NEXT_PAY_DATE = 'next_pay_date'
PREVIOUS_CURRENCY_TYPE = 'previous_currency_type'
PREVIOUS_DIVIDEND_TYPE = 'previous_dividend_type'
PREVIOUS_EX_DATE = 'previous_ex_date'
PREVIOUS_PAY_DATE = 'previous_pay_date'
dividends_cases = [
# K1--K2--A1--A2.
pd.DataFrame({
@@ -60,7 +69,9 @@ 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: ["$", "EUR"],
DIVIDEND_TYPE_FIELD_NAME: ["Stock", "Mixed"]
}),
# K1--K2--A2--A1.
pd.DataFrame({
@@ -68,7 +79,9 @@ dividends_cases = [
EX_DATE_FIELD_NAME: pd.to_datetime(['2014-01-20', '2014-01-15']),
PAY_DATE_FIELD_NAME: pd.to_datetime(['2014-01-20', '2014-01-15']),
TS_FIELD_NAME: pd.to_datetime(['2014-01-05', '2014-01-10']),
ANNOUNCEMENT_FIELD_NAME: pd.to_datetime(['2014-01-04', '2014-01-09'])
ANNOUNCEMENT_FIELD_NAME: pd.to_datetime(['2014-01-04', '2014-01-09']),
CURRENCY_FIELD_NAME: ["EUR", "$"],
DIVIDEND_TYPE_FIELD_NAME: ["Mixed", "Stock"]
}),
# K1--A1--K2--A2.
pd.DataFrame({
@@ -76,7 +89,9 @@ 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: ["$", "EUR"],
DIVIDEND_TYPE_FIELD_NAME: ["Stock", "Mixed"]
}),
# K1 == K2.
pd.DataFrame({
@@ -84,14 +99,18 @@ dividends_cases = [
EX_DATE_FIELD_NAME: pd.to_datetime(['2014-01-10', '2014-01-15']),
PAY_DATE_FIELD_NAME: pd.to_datetime(['2014-01-10', '2014-01-15']),
TS_FIELD_NAME: pd.to_datetime(['2014-01-05'] * 2),
ANNOUNCEMENT_FIELD_NAME: pd.to_datetime(['2014-01-04', '2014-01-04'])
ANNOUNCEMENT_FIELD_NAME: pd.to_datetime(['2014-01-04', '2014-01-04']),
CURRENCY_FIELD_NAME: ["$", "EUR"],
DIVIDEND_TYPE_FIELD_NAME: ["Stock", "Mixed"]
}),
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,
DIVIDEND_TYPE_FIELD_NAME],
dtype='datetime64[ns]'
),
]
@@ -157,6 +176,26 @@ 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]]
prev_dividend_types = [[None, "Stock", "Mixed"],
[None, "Stock", "Mixed"],
[None, "Stock", "Mixed"],
[None, "Stock", "Mixed"]]
next_dividend_types = [[None, "Stock", "Mixed", None],
[None, "Mixed", "Stock", "Mixed", None],
[None, "Stock", None, "Mixed", None],
[None, "Stock", "Mixed", None]]
class DividendsByAnnouncementDateTestCase(WithPipelineEventDataLoader,
ZiplineTestCase):
@@ -169,6 +208,10 @@ class DividendsByAnnouncementDateTestCase(WithPipelineEventDataLoader,
PREVIOUS_AMOUNT: DividendsByAnnouncementDate.previous_amount.latest,
DAYS_SINCE_PREV_DIVIDEND_ANNOUNCEMENT:
BusinessDaysSinceDividendAnnouncement(),
PREVIOUS_CURRENCY_TYPE:
DividendsByAnnouncementDate.previous_currency.latest,
PREVIOUS_DIVIDEND_TYPE:
DividendsByAnnouncementDate.previous_type.latest,
}
@classmethod
@@ -204,6 +247,10 @@ 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"], [None, "EUR"]]
dividend_types = [[None, "Stock", "Mixed"], [None, "Mixed", "Stock"],
[None, "Stock", "Mixed"], [None, "Mixed"]]
cols = {
PREVIOUS_ANNOUNCEMENT: self.get_sids_to_frames(
zip_with_dates, announcement_dates, date_intervals, dates,
@@ -212,6 +259,14 @@ 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
),
PREVIOUS_DIVIDEND_TYPE: self.get_sids_to_frames(
zip_with_strs, dividend_types, date_intervals, dates,
'category', None
),
}
cols[
@@ -235,7 +290,9 @@ class BlazeDividendsByAnnouncementDateTestCase(
ANNOUNCEMENT_FIELD_NAME: df[ANNOUNCEMENT_FIELD_NAME],
TS_FIELD_NAME: df[TS_FIELD_NAME],
SID_FIELD_NAME: sid,
CASH_AMOUNT_FIELD_NAME: df[CASH_AMOUNT_FIELD_NAME]
CASH_AMOUNT_FIELD_NAME: df[CASH_AMOUNT_FIELD_NAME],
CURRENCY_FIELD_NAME: df[CURRENCY_FIELD_NAME],
DIVIDEND_TYPE_FIELD_NAME: df[DIVIDEND_TYPE_FIELD_NAME],
})
for sid, df in iteritems(mapping)
).reset_index(drop=True)),)
@@ -263,6 +320,10 @@ 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,
PREVIOUS_DIVIDEND_TYPE: DividendsByExDate.previous_type.latest,
NEXT_DIVIDEND_TYPE: DividendsByExDate.next_type.latest,
DAYS_TO_NEXT_EX_DATE: BusinessDaysUntilNextExDate(),
DAYS_SINCE_PREV_EX_DATE: BusinessDaysSincePreviousExDate()
}
@@ -296,7 +357,23 @@ 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
),
PREVIOUS_DIVIDEND_TYPE: self.get_sids_to_frames(
zip_with_strs, prev_dividend_types, prev_date_intervals, dates,
'category', None
),
NEXT_DIVIDEND_TYPE: self.get_sids_to_frames(
zip_with_strs, next_dividend_types, next_date_intervals, dates,
'category', None
),
}
cols[DAYS_TO_NEXT_EX_DATE] = self._compute_busday_offsets(
@@ -321,7 +398,9 @@ class BlazeDividendsByExDateLoaderTestCase(DividendsByExDateTestCase):
EX_DATE_FIELD_NAME: df[EX_DATE_FIELD_NAME],
TS_FIELD_NAME: df[TS_FIELD_NAME],
SID_FIELD_NAME: sid,
CASH_AMOUNT_FIELD_NAME: df[CASH_AMOUNT_FIELD_NAME]
CASH_AMOUNT_FIELD_NAME: df[CASH_AMOUNT_FIELD_NAME],
CURRENCY_FIELD_NAME: df[CURRENCY_FIELD_NAME],
DIVIDEND_TYPE_FIELD_NAME: df[DIVIDEND_TYPE_FIELD_NAME],
})
for sid, df in iteritems(mapping)
).reset_index(drop=True)),)
@@ -349,6 +428,10 @@ 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,
PREVIOUS_DIVIDEND_TYPE: DividendsByPayDate.previous_type.latest,
NEXT_DIVIDEND_TYPE: DividendsByPayDate.next_type.latest,
}
@classmethod
@@ -380,7 +463,23 @@ 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
),
PREVIOUS_DIVIDEND_TYPE: self.get_sids_to_frames(
zip_with_strs, prev_dividend_types, prev_date_intervals, dates,
'category', None
),
NEXT_DIVIDEND_TYPE: self.get_sids_to_frames(
zip_with_strs, next_dividend_types, next_date_intervals, dates,
'category', None
),
}
@@ -397,7 +496,9 @@ class BlazeDividendsByPayDateLoaderTestCase(DividendsByPayDateTestCase):
PAY_DATE_FIELD_NAME: df[PAY_DATE_FIELD_NAME],
TS_FIELD_NAME: df[TS_FIELD_NAME],
SID_FIELD_NAME: sid,
CASH_AMOUNT_FIELD_NAME: df[CASH_AMOUNT_FIELD_NAME]
CASH_AMOUNT_FIELD_NAME: df[CASH_AMOUNT_FIELD_NAME],
CURRENCY_FIELD_NAME: df[CURRENCY_FIELD_NAME],
DIVIDEND_TYPE_FIELD_NAME: df[DIVIDEND_TYPE_FIELD_NAME],
})
for sid, df in iteritems(mapping)
).reset_index(drop=True)),)
zipline/pipeline/common.py
-55
View File
@@ -1,68 +1,13 @@
"""
Common constants for Pipeline.
"""
ACTUAL_VALUE_FIELD_NAME = 'actual_value'
AD_FIELD_NAME = 'asof_date'
ANNOUNCEMENT_FIELD_NAME = 'announcement_date'
BUYBACK_AMOUNT_FIELD_NAME = 'buyback_amount'
BUYBACK_ANNOUNCEMENT_FIELD_NAME = 'buyback_date'
BUYBACK_TYPE_FIELD_NAME = 'buyback_type'
BUYBACK_UNIT_FIELD_NAME = 'buyback_unit'
CASH_AMOUNT_FIELD_NAME = 'cash_amount'
CASH_FIELD_NAME = 'cash'
COUNT_FIELD_NAME = 'count'
DAYS_SINCE_PREV = 'days_since_prev'
DAYS_SINCE_PREV_DISCLOSURE = 'days_since_prev_disclosure'
DAYS_SINCE_PREV_DIVIDEND_ANNOUNCEMENT = 'days_since_prev_dividend_announcement'
DAYS_SINCE_PREV_EX_DATE = 'days_since_prev_ex_date'
DAYS_TO_NEXT = 'days_to_next'
DAYS_TO_NEXT_EX_DATE = 'days_to_next_ex_date'
DISCLOSURE_DATE = 'disclosure_date'
EX_DATE_FIELD_NAME = 'ex_date'
FISCAL_QUARTER_FIELD_NAME = 'fiscal_quarter'
FISCAL_YEAR_FIELD_NAME = 'fiscal_year'
HIGH_FIELD_NAME = 'high'
LOW_FIELD_NAME = 'low'
MEAN_FIELD_NAME = 'mean'
NEXT_AMOUNT = 'next_amount'
NEXT_ANNOUNCEMENT = 'next_announcement'
NEXT_COUNT = 'next_count'
NEXT_EX_DATE = 'next_ex_date'
NEXT_FISCAL_QUARTER = 'next_fiscal_quarter'
NEXT_FISCAL_YEAR = 'next_fiscal_year'
NEXT_HIGH = 'next_high'
NEXT_LOW = 'next_low'
NEXT_MEAN = 'next_mean'
NEXT_PAY_DATE = 'next_pay_date'
NEXT_RELEASE_DATE = 'next_release_date'
NEXT_STANDARD_DEVIATION = 'next_standard_deviation'
NUM_SHARES = 'number_shares'
PAY_DATE_FIELD_NAME = 'pay_date'
PERCENT_SHARES = 'percent_shares'
PREVIOUS_ACTUAL_VALUE = 'previous_actual_value'
PREVIOUS_AMOUNT = 'previous_amount'
PREVIOUS_ANNOUNCEMENT = 'previous_announcement'
PREVIOUS_BUYBACK_AMOUNT = 'previous_value'
PREVIOUS_BUYBACK_ANNOUNCEMENT = 'previous_buyback_announcement'
PREVIOUS_BUYBACK_CASH = 'previous_buyback_cash'
PREVIOUS_BUYBACK_SHARE_COUNT = 'previous_buyback_share_count'
PREVIOUS_BUYBACK_TYPE = 'previous_buyback_type'
PREVIOUS_BUYBACK_UNIT = 'previous_value_type'
PREVIOUS_COUNT = 'previous_count'
PREVIOUS_DISCLOSURE_DATE = 'previous_disclosure_date'
PREVIOUS_EX_DATE = 'previous_ex_date'
PREVIOUS_FISCAL_QUARTER = 'previous_fiscal_quarter'
PREVIOUS_FISCAL_YEAR = 'previous_fiscal_year'
PREVIOUS_HIGH = 'previous_high'
PREVIOUS_LOW = 'previous_low'
PREVIOUS_MEAN = 'previous_mean'
PREVIOUS_NUM_SHARES = 'previous_number_shares'
PREVIOUS_PAY_DATE = 'previous_pay_date'
PREVIOUS_PERCENT_SHARES = 'previous_percentage'
PREVIOUS_RELEASE_DATE = 'previous_release_date'
PREVIOUS_STANDARD_DEVIATION = 'previous_standard_deviation'
RELEASE_DATE_FIELD_NAME = 'release_date'
SHARE_COUNT_FIELD_NAME = 'share_count'
SID_FIELD_NAME = 'sid'
STANDARD_DEVIATION_FIELD_NAME = 'standard_deviation'
TS_FIELD_NAME = 'timestamp'
zipline/pipeline/data/dividends.py
+15 -1
View File
@@ -1,7 +1,11 @@
"""
Dataset representing dates of upcoming dividends.
"""
from zipline.utils.numpy_utils import datetime64ns_dtype, float64_dtype
from zipline.utils.numpy_utils import (
categorical_dtype,
datetime64ns_dtype,
float64_dtype,
)
from .dataset import Column, DataSet
@@ -11,6 +15,10 @@ class DividendsByExDate(DataSet):
previous_date = Column(datetime64ns_dtype)
next_amount = Column(float64_dtype)
previous_amount = Column(float64_dtype)
next_currency = Column(categorical_dtype)
previous_currency = Column(categorical_dtype)
next_type = Column(categorical_dtype)
previous_type = Column(categorical_dtype)
class DividendsByPayDate(DataSet):
@@ -18,8 +26,14 @@ class DividendsByPayDate(DataSet):
previous_date = Column(datetime64ns_dtype)
next_amount = Column(float64_dtype)
previous_amount = Column(float64_dtype)
next_currency = Column(categorical_dtype)
previous_currency = Column(categorical_dtype)
next_type = Column(categorical_dtype)
previous_type = Column(categorical_dtype)
class DividendsByAnnouncementDate(DataSet):
previous_announcement_date = Column(datetime64ns_dtype)
previous_amount = Column(float64_dtype)
previous_currency = Column(categorical_dtype)
previous_type = Column(categorical_dtype)
zipline/pipeline/loaders/_13d_filings.py
+5 -5
View File
@@ -2,16 +2,16 @@
Reference implementation for 13d filings loaders.
"""
from zipline.pipeline.common import (
DISCLOSURE_DATE,
PERCENT_SHARES,
NUM_SHARES
)
from zipline.pipeline.data import _13DFilings
from zipline.pipeline.loaders.events import EventsLoader
from zipline.utils.memoize import lazyval
DISCLOSURE_DATE = 'disclosure_date'
NUM_SHARES = 'number_shares'
PERCENT_SHARES = 'percent_shares'
class _13DFilingsLoader(EventsLoader):
"""
Reference loader for
zipline/pipeline/loaders/blaze/_13d_filings.py
+6 -6
View File
@@ -1,12 +1,12 @@
from zipline.pipeline.common import (
SID_FIELD_NAME,
TS_FIELD_NAME,
PERCENT_SHARES,
NUM_SHARES,
DISCLOSURE_DATE)
from zipline.pipeline.common import SID_FIELD_NAME, TS_FIELD_NAME
from zipline.pipeline.data import _13DFilings
from zipline.pipeline.loaders import _13DFilingsLoader
from .events import BlazeEventsLoader
from zipline.pipeline.loaders._13d_filings import (
DISCLOSURE_DATE,
NUM_SHARES,
PERCENT_SHARES,
)
class Blaze_13DFilingsLoader(BlazeEventsLoader):
zipline/pipeline/loaders/blaze/buyback_auth.py
+6 -5
View File
@@ -2,15 +2,16 @@ from .core import (
SID_FIELD_NAME,
TS_FIELD_NAME,
)
from zipline.pipeline.common import (
BUYBACK_AMOUNT_FIELD_NAME,
from zipline.pipeline.data import BuybackAuthorizations
from zipline.pipeline.loaders import BuybackAuthorizationsLoader
from .events import BlazeEventsLoader
from zipline.pipeline.loaders.buyback_auth import (
BUYBACK_ANNOUNCEMENT_FIELD_NAME,
BUYBACK_TYPE_FIELD_NAME,
BUYBACK_UNIT_FIELD_NAME,
)
from zipline.pipeline.data import BuybackAuthorizations
from zipline.pipeline.loaders import BuybackAuthorizationsLoader
from .events import BlazeEventsLoader
from zipline.pipeline.loaders.buyback_auth import BUYBACK_AMOUNT_FIELD_NAME
class BlazeBuybackAuthorizationsLoader(BlazeEventsLoader):
zipline/pipeline/loaders/blaze/consensus_estimates.py
+6 -7
View File
@@ -1,4 +1,9 @@
from zipline.pipeline.common import (
from .events import BlazeEventsLoader
from zipline.pipeline.common import SID_FIELD_NAME, TS_FIELD_NAME
from zipline.pipeline.data import ConsensusEstimates
from zipline.pipeline.loaders import ConsensusEstimatesLoader
from zipline.pipeline.loaders.consensus_estimates import (
ACTUAL_VALUE_FIELD_NAME,
COUNT_FIELD_NAME,
FISCAL_QUARTER_FIELD_NAME,
FISCAL_YEAR_FIELD_NAME,
@@ -6,14 +11,8 @@ from zipline.pipeline.common import (
LOW_FIELD_NAME,
MEAN_FIELD_NAME,
RELEASE_DATE_FIELD_NAME,
SID_FIELD_NAME,
STANDARD_DEVIATION_FIELD_NAME,
TS_FIELD_NAME,
ACTUAL_VALUE_FIELD_NAME
)
from zipline.pipeline.data import ConsensusEstimates
from zipline.pipeline.loaders import ConsensusEstimatesLoader
from .events import BlazeEventsLoader
class BlazeConsensusEstimatesLoader(BlazeEventsLoader):
zipline/pipeline/loaders/blaze/dividends.py
+27 -5
View File
@@ -1,8 +1,5 @@
from zipline.pipeline.common import (
ANNOUNCEMENT_FIELD_NAME,
CASH_AMOUNT_FIELD_NAME,
EX_DATE_FIELD_NAME,
PAY_DATE_FIELD_NAME,
SID_FIELD_NAME,
TS_FIELD_NAME,
)
@@ -17,6 +14,13 @@ from zipline.pipeline.loaders import (
DividendsByExDateLoader
)
from .events import BlazeEventsLoader
from zipline.pipeline.loaders.dividends import (
CASH_AMOUNT_FIELD_NAME,
CURRENCY_FIELD_NAME,
DIVIDEND_TYPE_FIELD_NAME,
EX_DATE_FIELD_NAME,
PAY_DATE_FIELD_NAME,
)
class BlazeDividendsByAnnouncementDateLoader(BlazeEventsLoader):
@@ -47,6 +51,8 @@ class BlazeDividendsByAnnouncementDateLoader(BlazeEventsLoader):
{TS_FIELD_NAME}: datetime,
{CASH_AMOUNT_FIELD_NAME}: ?float64,
{ANNOUNCEMENT_FIELD_NAME}: ?datetime,
{CURRENCY_FIELD_NAME}: ?string,
{DIVIDEND_TYPE_FIELD_NAME}: ?string,
}}
Where each row of the table is a record including the sid to identify the
@@ -61,14 +67,18 @@ class BlazeDividendsByAnnouncementDateLoader(BlazeEventsLoader):
TS_FIELD_NAME=TS_FIELD_NAME,
SID_FIELD_NAME=SID_FIELD_NAME,
CASH_AMOUNT_FIELD_NAME=CASH_AMOUNT_FIELD_NAME,
ANNOUNCEMENT_FIELD_NAME=ANNOUNCEMENT_FIELD_NAME
ANNOUNCEMENT_FIELD_NAME=ANNOUNCEMENT_FIELD_NAME,
CURRENCY_FIELD_NAME=CURRENCY_FIELD_NAME,
DIVIDEND_TYPE_FIELD_NAME=DIVIDEND_TYPE_FIELD_NAME,
)
_expected_fields = frozenset({
TS_FIELD_NAME,
SID_FIELD_NAME,
CASH_AMOUNT_FIELD_NAME,
ANNOUNCEMENT_FIELD_NAME
CURRENCY_FIELD_NAME,
ANNOUNCEMENT_FIELD_NAME,
DIVIDEND_TYPE_FIELD_NAME
})
concrete_loader = DividendsByAnnouncementDateLoader
@@ -103,6 +113,8 @@ class BlazeDividendsByExDateLoader(BlazeEventsLoader):
{TS_FIELD_NAME}: datetime,
{EX_DATE_FIELD_NAME}: ?datetime,
{CASH_AMOUNT_FIELD_NAME}: ?datetime,
{CURRENCY_FIELD_NAME}: ?string,
{DIVIDEND_TYPE_FIELD_NAME}: ?string,
}}
Where each row of the table is a record including the sid to identify the
@@ -118,6 +130,8 @@ class BlazeDividendsByExDateLoader(BlazeEventsLoader):
SID_FIELD_NAME=SID_FIELD_NAME,
EX_DATE_FIELD_NAME=EX_DATE_FIELD_NAME,
CASH_AMOUNT_FIELD_NAME=CASH_AMOUNT_FIELD_NAME,
CURRENCY_FIELD_NAME=CURRENCY_FIELD_NAME,
DIVIDEND_TYPE_FIELD_NAME=DIVIDEND_TYPE_FIELD_NAME,
)
_expected_fields = frozenset({
@@ -125,6 +139,8 @@ class BlazeDividendsByExDateLoader(BlazeEventsLoader):
SID_FIELD_NAME,
EX_DATE_FIELD_NAME,
CASH_AMOUNT_FIELD_NAME,
CURRENCY_FIELD_NAME,
DIVIDEND_TYPE_FIELD_NAME,
})
concrete_loader = DividendsByExDateLoader
@@ -159,6 +175,8 @@ class BlazeDividendsByPayDateLoader(BlazeEventsLoader):
{TS_FIELD_NAME}: datetime,
{PAY_DATE_FIELD_NAME}: ?datetime,
{CASH_AMOUNT_FIELD_NAME}: ?datetime,
{CURRENCY_FIELD_NAME}: ?string,
{DIVIDEND_TYPE_FIELD_NAME}: ?string,
}}
Where each row of the table is a record including the sid to identify the
@@ -174,6 +192,8 @@ class BlazeDividendsByPayDateLoader(BlazeEventsLoader):
SID_FIELD_NAME=SID_FIELD_NAME,
PAY_DATE_FIELD_NAME=PAY_DATE_FIELD_NAME,
CASH_AMOUNT_FIELD_NAME=CASH_AMOUNT_FIELD_NAME,
CURRENCY_FIELD_NAME=CURRENCY_FIELD_NAME,
DIVIDEND_TYPE_FIELD_NAME=DIVIDEND_TYPE_FIELD_NAME
)
_expected_fields = frozenset({
@@ -181,6 +201,8 @@ class BlazeDividendsByPayDateLoader(BlazeEventsLoader):
SID_FIELD_NAME,
PAY_DATE_FIELD_NAME,
CASH_AMOUNT_FIELD_NAME,
CURRENCY_FIELD_NAME,
DIVIDEND_TYPE_FIELD_NAME,
})
concrete_loader = DividendsByPayDateLoader
zipline/pipeline/loaders/buyback_auth.py
+6 -6
View File
@@ -4,14 +4,14 @@ Reference implementation for buyback auth loaders.
from ..data import BuybackAuthorizations
from .events import EventsLoader
from zipline.pipeline.common import (
BUYBACK_AMOUNT_FIELD_NAME,
BUYBACK_ANNOUNCEMENT_FIELD_NAME,
BUYBACK_TYPE_FIELD_NAME,
BUYBACK_UNIT_FIELD_NAME
)
from zipline.utils.memoize import lazyval
BUYBACK_AMOUNT_FIELD_NAME = 'buyback_amount'
BUYBACK_ANNOUNCEMENT_FIELD_NAME = 'buyback_date'
BUYBACK_TYPE_FIELD_NAME = 'buyback_type'
BUYBACK_UNIT_FIELD_NAME = 'buyback_unit'
class BuybackAuthorizationsLoader(EventsLoader):
"""
zipline/pipeline/loaders/consensus_estimates.py
+10 -10
View File
@@ -4,18 +4,18 @@ Reference implementation for ConsensusEstimates loaders.
from ..data import ConsensusEstimates
from .events import EventsLoader
from zipline.pipeline.common import (
COUNT_FIELD_NAME,
FISCAL_QUARTER_FIELD_NAME,
FISCAL_YEAR_FIELD_NAME,
HIGH_FIELD_NAME,
LOW_FIELD_NAME,
MEAN_FIELD_NAME,
RELEASE_DATE_FIELD_NAME,
STANDARD_DEVIATION_FIELD_NAME,
ACTUAL_VALUE_FIELD_NAME)
from zipline.utils.memoize import lazyval
ACTUAL_VALUE_FIELD_NAME = 'actual_value'
COUNT_FIELD_NAME = 'count'
FISCAL_QUARTER_FIELD_NAME = 'fiscal_quarter'
FISCAL_YEAR_FIELD_NAME = 'fiscal_year'
HIGH_FIELD_NAME = 'high'
LOW_FIELD_NAME = 'low'
MEAN_FIELD_NAME = 'mean'
RELEASE_DATE_FIELD_NAME = 'release_date'
STANDARD_DEVIATION_FIELD_NAME = 'standard_deviation'
class ConsensusEstimatesLoader(EventsLoader):
zipline/pipeline/loaders/dividends.py
+90 -11
View File
@@ -1,21 +1,26 @@
from zipline.pipeline.common import (
EX_DATE_FIELD_NAME,
PAY_DATE_FIELD_NAME,
CASH_AMOUNT_FIELD_NAME,
ANNOUNCEMENT_FIELD_NAME
)
from zipline.pipeline.common import ANNOUNCEMENT_FIELD_NAME
from zipline.pipeline.loaders.events import EventsLoader
from ..data import (
DividendsByExDate,
DividendsByAnnouncementDate,
DividendsByPayDate
DividendsByExDate,
DividendsByPayDate,
)
from zipline.utils.memoize import lazyval
CASH_AMOUNT_FIELD_NAME = 'cash_amount'
CASH_AMOUNT_FIELD_NAME = 'cash_amount'
CURRENCY_FIELD_NAME = 'currency_type'
DIVIDEND_TYPE_FIELD_NAME = 'dividend_type'
EX_DATE_FIELD_NAME = 'ex_date'
PAY_DATE_FIELD_NAME = 'pay_date'
class DividendsByAnnouncementDateLoader(EventsLoader):
expected_cols = frozenset([ANNOUNCEMENT_FIELD_NAME,
CASH_AMOUNT_FIELD_NAME])
CASH_AMOUNT_FIELD_NAME,
CURRENCY_FIELD_NAME,
DIVIDEND_TYPE_FIELD_NAME])
event_date_col = ANNOUNCEMENT_FIELD_NAME
@@ -39,10 +44,26 @@ class DividendsByAnnouncementDateLoader(EventsLoader):
CASH_AMOUNT_FIELD_NAME
)
@lazyval
def previous_currency_loader(self):
return self._previous_event_value_loader(
self.dataset.previous_currency,
CURRENCY_FIELD_NAME
)
@lazyval
def previous_type_loader(self):
return self._previous_event_value_loader(
self.dataset.previous_type,
DIVIDEND_TYPE_FIELD_NAME
)
class DividendsByPayDateLoader(EventsLoader):
expected_cols = frozenset([PAY_DATE_FIELD_NAME,
CASH_AMOUNT_FIELD_NAME])
CASH_AMOUNT_FIELD_NAME,
CURRENCY_FIELD_NAME,
DIVIDEND_TYPE_FIELD_NAME])
event_date_col = PAY_DATE_FIELD_NAME
@@ -75,10 +96,40 @@ class DividendsByPayDateLoader(EventsLoader):
CASH_AMOUNT_FIELD_NAME
)
@lazyval
def previous_currency_loader(self):
return self._previous_event_value_loader(
self.dataset.previous_currency,
CURRENCY_FIELD_NAME
)
@lazyval
def next_currency_loader(self):
return self._next_event_value_loader(
self.dataset.next_currency,
CURRENCY_FIELD_NAME
)
@lazyval
def previous_type_loader(self):
return self._previous_event_value_loader(
self.dataset.previous_type,
DIVIDEND_TYPE_FIELD_NAME
)
@lazyval
def next_type_loader(self):
return self._next_event_value_loader(
self.dataset.next_type,
DIVIDEND_TYPE_FIELD_NAME
)
class DividendsByExDateLoader(EventsLoader):
expected_cols = frozenset([EX_DATE_FIELD_NAME,
CASH_AMOUNT_FIELD_NAME])
CASH_AMOUNT_FIELD_NAME,
CURRENCY_FIELD_NAME,
DIVIDEND_TYPE_FIELD_NAME])
event_date_col = EX_DATE_FIELD_NAME
@@ -110,3 +161,31 @@ class DividendsByExDateLoader(EventsLoader):
self.dataset.previous_amount,
CASH_AMOUNT_FIELD_NAME
)
@lazyval
def previous_currency_loader(self):
return self._previous_event_value_loader(
self.dataset.previous_currency,
CURRENCY_FIELD_NAME
)
@lazyval
def next_currency_loader(self):
return self._next_event_value_loader(
self.dataset.next_currency,
CURRENCY_FIELD_NAME
)
@lazyval
def previous_type_loader(self):
return self._previous_event_value_loader(
self.dataset.previous_type,
DIVIDEND_TYPE_FIELD_NAME
)
@lazyval
def next_type_loader(self):
return self._next_event_value_loader(
self.dataset.next_type,
DIVIDEND_TYPE_FIELD_NAME
)