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ENH: Allow for stock dividends, and in particular, Google's

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recent 2 for 1 stock split, where 1 class C share was distributed
for each share of class A held.

Now a dividend can specify a sid and ratio of stock that will be paid
to owners of the original security.  If the ratio is 2.0, then for every
existing share, two shares will be paid.
This commit is contained in:
Richard Frank
2014-04-24 14:00:39 -04:00
parent 0e4f3f957a
commit f21bbe58fc
4 changed files with 109 additions and 12 deletions
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zipline/utils/factory.py
+21 -4
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@@ -138,10 +138,11 @@ def create_dividend(sid, payment, declared_date, ex_date, pay_date):
'sid': sid,
'gross_amount': payment,
'net_amount': payment,
'dt': declared_date.replace(hour=0, minute=0, second=0, microsecond=0),
'ex_date': ex_date.replace(hour=0, minute=0, second=0, microsecond=0),
'pay_date': pay_date.replace(hour=0, minute=0, second=0,
microsecond=0),
'payment_sid': None,
'ratio': None,
'dt': pd.tslib.normalize_date(declared_date),
'ex_date': pd.tslib.normalize_date(ex_date),
'pay_date': pd.tslib.normalize_date(pay_date),
'type': DATASOURCE_TYPE.DIVIDEND,
'source_id': 'MockDividendSource'
})
@@ -149,6 +150,22 @@ def create_dividend(sid, payment, declared_date, ex_date, pay_date):
return div
def create_stock_dividend(sid, payment_sid, ratio, declared_date,
ex_date, pay_date):
return Event({
'sid': sid,
'payment_sid': payment_sid,
'ratio': ratio,
'net_amount': None,
'gross_amount': None,
'dt': pd.tslib.normalize_date(declared_date),
'ex_date': pd.tslib.normalize_date(ex_date),
'pay_date': pd.tslib.normalize_date(pay_date),
'type': DATASOURCE_TYPE.DIVIDEND,
'source_id': 'MockDividendSource'
})
def create_split(sid, ratio, date):
return Event({
'sid': sid,