diff --git a/tests/pipeline/test_13d_filings.py b/tests/pipeline/test_13d_filings.py index 7688ff22..9bf1964a 100644 --- a/tests/pipeline/test_13d_filings.py +++ b/tests/pipeline/test_13d_filings.py @@ -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'], diff --git a/tests/pipeline/test_buyback_auth.py b/tests/pipeline/test_buyback_auth.py index 4baee11a..debb24e1 100644 --- a/tests/pipeline/test_buyback_auth.py +++ b/tests/pipeline/test_buyback_auth.py @@ -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']] diff --git a/tests/pipeline/test_consensus_estimates.py b/tests/pipeline/test_consensus_estimates.py index d7aa88ac..9a3806ea 100644 --- a/tests/pipeline/test_consensus_estimates.py +++ b/tests/pipeline/test_consensus_estimates.py @@ -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({ diff --git a/tests/pipeline/test_dividends.py b/tests/pipeline/test_dividends.py index 7534ef73..3e1864ce 100644 --- a/tests/pipeline/test_dividends.py +++ b/tests/pipeline/test_dividends.py @@ -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)),) diff --git a/zipline/pipeline/common.py b/zipline/pipeline/common.py index 9dbab69d..cfa08a71 100644 --- a/zipline/pipeline/common.py +++ b/zipline/pipeline/common.py @@ -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' diff --git a/zipline/pipeline/data/dividends.py b/zipline/pipeline/data/dividends.py index 176aac43..b3975215 100644 --- a/zipline/pipeline/data/dividends.py +++ b/zipline/pipeline/data/dividends.py @@ -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) diff --git a/zipline/pipeline/loaders/_13d_filings.py b/zipline/pipeline/loaders/_13d_filings.py index ad35bf77..4a45d879 100644 --- a/zipline/pipeline/loaders/_13d_filings.py +++ b/zipline/pipeline/loaders/_13d_filings.py @@ -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 diff --git a/zipline/pipeline/loaders/blaze/_13d_filings.py b/zipline/pipeline/loaders/blaze/_13d_filings.py index d6502d64..592d847e 100644 --- a/zipline/pipeline/loaders/blaze/_13d_filings.py +++ b/zipline/pipeline/loaders/blaze/_13d_filings.py @@ -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): diff --git a/zipline/pipeline/loaders/blaze/buyback_auth.py b/zipline/pipeline/loaders/blaze/buyback_auth.py index 39efcabe..db5cd3cc 100644 --- a/zipline/pipeline/loaders/blaze/buyback_auth.py +++ b/zipline/pipeline/loaders/blaze/buyback_auth.py @@ -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): diff --git a/zipline/pipeline/loaders/blaze/consensus_estimates.py b/zipline/pipeline/loaders/blaze/consensus_estimates.py index 6e4ea31b..78686738 100644 --- a/zipline/pipeline/loaders/blaze/consensus_estimates.py +++ b/zipline/pipeline/loaders/blaze/consensus_estimates.py @@ -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): diff --git a/zipline/pipeline/loaders/blaze/dividends.py b/zipline/pipeline/loaders/blaze/dividends.py index 6fd86be1..6ee8b34e 100644 --- a/zipline/pipeline/loaders/blaze/dividends.py +++ b/zipline/pipeline/loaders/blaze/dividends.py @@ -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 diff --git a/zipline/pipeline/loaders/buyback_auth.py b/zipline/pipeline/loaders/buyback_auth.py index 3f796b0e..0cc55e04 100644 --- a/zipline/pipeline/loaders/buyback_auth.py +++ b/zipline/pipeline/loaders/buyback_auth.py @@ -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): """ diff --git a/zipline/pipeline/loaders/consensus_estimates.py b/zipline/pipeline/loaders/consensus_estimates.py index 9d8f20f8..e9eed4e9 100644 --- a/zipline/pipeline/loaders/consensus_estimates.py +++ b/zipline/pipeline/loaders/consensus_estimates.py @@ -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): diff --git a/zipline/pipeline/loaders/dividends.py b/zipline/pipeline/loaders/dividends.py index 339435c1..c68d95b4 100644 --- a/zipline/pipeline/loaders/dividends.py +++ b/zipline/pipeline/loaders/dividends.py @@ -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 + )