Changed zipline -> catalyst import paths

* Updated cython build scripts
 * Updated setup.py to to install catalyst package
 * Updated momentum example to use catalyst package
 * catalyst executable now supports loading pipelines from multiple bundles

catalyst/errors.py

@@ -0,0 +1,798 @@
+#
+# 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 textwrap import dedent
+
+from catalyst.utils.memoize import lazyval
+
+
+class ZiplineError(Exception):
+    msg = None
+
+    def __init__(self, **kwargs):
+        self.kwargs = kwargs
+
+    @lazyval
+    def message(self):
+        return str(self)
+
+    def __str__(self):
+        msg = self.msg.format(**self.kwargs)
+        return msg
+
+    __unicode__ = __str__
+    __repr__ = __str__
+
+
+class NoTradeDataAvailable(ZiplineError):
+    pass
+
+
+class NoTradeDataAvailableTooEarly(NoTradeDataAvailable):
+    msg = "{sid} does not exist on {dt}. It started trading on {start_dt}."
+
+
+class NoTradeDataAvailableTooLate(NoTradeDataAvailable):
+    msg = "{sid} does not exist on {dt}. It stopped trading on {end_dt}."
+
+
+class BenchmarkAssetNotAvailableTooEarly(NoTradeDataAvailableTooEarly):
+    pass
+
+
+class BenchmarkAssetNotAvailableTooLate(NoTradeDataAvailableTooLate):
+    pass
+
+
+class InvalidBenchmarkAsset(ZiplineError):
+    msg = """
+{sid} cannot be used as the benchmark because it has a stock \
+dividend on {dt}.  Choose another asset to use as the benchmark.
+""".strip()
+
+
+class WrongDataForTransform(ZiplineError):
+    """
+    Raised whenever a rolling transform is called on an event that
+    does not have the necessary properties.
+    """
+    msg = "{transform} requires {fields}. Event cannot be processed."
+
+
+class UnsupportedSlippageModel(ZiplineError):
+    """
+    Raised if a user script calls the set_slippage magic
+    with a slipage object that isn't a VolumeShareSlippage or
+    FixedSlipapge
+    """
+    msg = """
+You attempted to set slippage with an unsupported class. \
+Please use VolumeShareSlippage or FixedSlippage.
+""".strip()
+
+
+class IncompatibleSlippageModel(ZiplineError):
+    """
+    Raised if a user tries to set a futures slippage model for equities or vice
+    versa.
+    """
+    msg = """
+You attempted to set an incompatible slippage model for {asset_type}. \
+The slippage model '{given_model}' only supports {supported_asset_types}.
+""".strip()
+
+
+class SetSlippagePostInit(ZiplineError):
+    # Raised if a users script calls set_slippage magic
+    # after the initialize method has returned.
+    msg = """
+You attempted to set slippage outside of `initialize`. \
+You may only call 'set_slippage' in your initialize method.
+""".strip()
+
+
+class SetCancelPolicyPostInit(ZiplineError):
+    # Raised if a users script calls set_cancel_policy
+    # after the initialize method has returned.
+    msg = """
+You attempted to set the cancel policy outside of `initialize`. \
+You may only call 'set_cancel_policy' in your initialize method.
+""".strip()
+
+
+class RegisterTradingControlPostInit(ZiplineError):
+    # Raised if a user's script register's a trading control after initialize
+    # has been run.
+    msg = """
+You attempted to set a trading control outside of `initialize`. \
+Trading controls may only be set in your initialize method.
+""".strip()
+
+
+class RegisterAccountControlPostInit(ZiplineError):
+    # Raised if a user's script register's a trading control after initialize
+    # has been run.
+    msg = """
+You attempted to set an account control outside of `initialize`. \
+Account controls may only be set in your initialize method.
+""".strip()
+
+
+class UnsupportedCommissionModel(ZiplineError):
+    """
+    Raised if a user script calls the set_commission magic
+    with a commission object that isn't a PerShare, PerTrade or
+    PerDollar commission
+    """
+    msg = """
+You attempted to set commission with an unsupported class. \
+Please use PerShare or PerTrade.
+""".strip()
+
+
+class IncompatibleCommissionModel(ZiplineError):
+    """
+    Raised if a user tries to set a futures commission model for equities or
+    vice versa.
+    """
+    msg = """
+You attempted to set an incompatible commission model for {asset_type}. \
+The commission model '{given_model}' only supports {supported_asset_types}.
+""".strip()
+
+
+class UnsupportedCancelPolicy(ZiplineError):
+    """
+    Raised if a user script calls set_cancel_policy with an object that isn't
+    a CancelPolicy.
+    """
+    msg = """
+You attempted to set the cancel policy with an unsupported class.  Please use
+an instance of CancelPolicy.
+""".strip()
+
+
+class SetCommissionPostInit(ZiplineError):
+    """
+    Raised if a users script calls set_commission magic
+    after the initialize method has returned.
+    """
+    msg = """
+You attempted to override commission outside of `initialize`. \
+You may only call 'set_commission' in your initialize method.
+""".strip()
+
+
+class TransactionWithNoVolume(ZiplineError):
+    """
+    Raised if a transact call returns a transaction with zero volume.
+    """
+    msg = """
+Transaction {txn} has a volume of zero.
+""".strip()
+
+
+class TransactionWithWrongDirection(ZiplineError):
+    """
+    Raised if a transact call returns a transaction with a direction that
+    does not match the order.
+    """
+    msg = """
+Transaction {txn} not in same direction as corresponding order {order}.
+""".strip()
+
+
+class TransactionWithNoAmount(ZiplineError):
+    """
+    Raised if a transact call returns a transaction with zero amount.
+    """
+    msg = """
+Transaction {txn} has an amount of zero.
+""".strip()
+
+
+class TransactionVolumeExceedsOrder(ZiplineError):
+    """
+    Raised if a transact call returns a transaction with a volume greater than
+the corresponding order.
+    """
+    msg = """
+Transaction volume of {txn} exceeds the order volume of {order}.
+""".strip()
+
+
+class UnsupportedOrderParameters(ZiplineError):
+    """
+    Raised if a set of mutually exclusive parameters are passed to an order
+    call.
+    """
+    msg = "{msg}"
+
+
+class CannotOrderDelistedAsset(ZiplineError):
+    """
+    Raised if an order is for a delisted asset.
+    """
+    msg = "{msg}"
+
+
+class BadOrderParameters(ZiplineError):
+    """
+    Raised if any impossible parameters (nan, negative limit/stop)
+    are passed to an order call.
+    """
+    msg = "{msg}"
+
+
+class OrderDuringInitialize(ZiplineError):
+    """
+    Raised if order is called during initialize()
+    """
+    msg = "{msg}"
+
+
+class SetBenchmarkOutsideInitialize(ZiplineError):
+    """
+    Raised if set_benchmark is called outside initialize()
+    """
+    msg = "'set_benchmark' can only be called within initialize function."
+
+
+class AccountControlViolation(ZiplineError):
+    """
+    Raised if the account violates a constraint set by a AccountControl.
+    """
+    msg = """
+Account violates account constraint {constraint}.
+""".strip()
+
+
+class TradingControlViolation(ZiplineError):
+    """
+    Raised if an order would violate a constraint set by a TradingControl.
+    """
+    msg = """
+Order for {amount} shares of {asset} at {datetime} violates trading constraint
+{constraint}.
+""".strip()
+
+
+class IncompatibleHistoryFrequency(ZiplineError):
+    """
+    Raised when a frequency is given to history which is not supported.
+    At least, not yet.
+    """
+    msg = """
+Requested history at frequency '{frequency}' cannot be created with data
+at frequency '{data_frequency}'.
+""".strip()
+
+
+class HistoryInInitialize(ZiplineError):
+    """
+    Raised when an algorithm calls history() in initialize.
+    """
+    msg = "history() should only be called in handle_data()"
+
+
+class OrderInBeforeTradingStart(ZiplineError):
+    """
+    Raised when an algorithm calls an order method in before_trading_start.
+    """
+    msg = "Cannot place orders inside before_trading_start."
+
+
+class MultipleSymbolsFound(ZiplineError):
+    """
+    Raised when a symbol() call contains a symbol that changed over
+    time and is thus not resolvable without additional information
+    provided via as_of_date.
+    """
+    msg = """
+Multiple symbols with the name '{symbol}' found. Use the
+as_of_date' argument to to specify when the date symbol-lookup
+should be valid.
+
+Possible options: {options}
+    """.strip()
+
+
+class SymbolNotFound(ZiplineError):
+    """
+    Raised when a symbol() call contains a non-existant symbol.
+    """
+    msg = """
+Symbol '{symbol}' was not found.
+""".strip()
+
+
+class RootSymbolNotFound(ZiplineError):
+    """
+    Raised when a lookup_future_chain() call contains a non-existant symbol.
+    """
+    msg = """
+Root symbol '{root_symbol}' was not found.
+""".strip()
+
+
+class ValueNotFoundForField(ZiplineError):
+    """
+    Raised when a lookup_by_supplementary_mapping() call contains a
+    value does not exist for the specified mapping type.
+    """
+    msg = """
+Value '{value}' was not found for field '{field}'.
+""".strip()
+
+
+class MultipleValuesFoundForField(ZiplineError):
+    """
+    Raised when a lookup_by_supplementary_mapping() call contains a
+    value that changed over time for the specified field and is
+    thus not resolvable without additional information provided via
+    as_of_date.
+    """
+    msg = """
+Multiple occurrences of the value '{value}' found for field '{field}'.
+Use the as_of_date' argument to specify when the lookup should be valid.
+
+Possible options: {options}
+    """.strip()
+
+
+class NoValueForSid(ZiplineError):
+    """
+    Raised when a get_supplementary_field() call contains a sid that
+    does not have a value for the specified mapping type.
+    """
+    msg = """
+No '{field}' value found for sid '{sid}'.
+""".strip()
+
+
+class MultipleValuesFoundForSid(ZiplineError):
+    """
+    Raised when a get_supplementary_field() call contains a value that
+    changed over time for the specified field and is thus not resolvable
+    without additional information provided via as_of_date.
+    """
+    msg = """
+Multiple '{field}' values found for sid '{sid}'. Use the as_of_date' argument
+to specify when the lookup should be valid.
+
+Possible options: {options}
+""".strip()
+
+
+class SidsNotFound(ZiplineError):
+    """
+    Raised when a retrieve_asset() or retrieve_all() call contains a
+    non-existent sid.
+    """
+    @lazyval
+    def plural(self):
+        return len(self.sids) > 1
+
+    @lazyval
+    def sids(self):
+        return self.kwargs['sids']
+
+    @lazyval
+    def msg(self):
+        if self.plural:
+            return "No assets found for sids: {sids}."
+        return "No asset found for sid: {sids[0]}."
+
+
+class EquitiesNotFound(SidsNotFound):
+    """
+    Raised when a call to `retrieve_equities` fails to find an asset.
+    """
+    @lazyval
+    def msg(self):
+        if self.plural:
+            return "No equities found for sids: {sids}."
+        return "No equity found for sid: {sids[0]}."
+
+
+class FutureContractsNotFound(SidsNotFound):
+    """
+    Raised when a call to `retrieve_futures_contracts` fails to find an asset.
+    """
+    @lazyval
+    def msg(self):
+        if self.plural:
+            return "No future contracts found for sids: {sids}."
+        return "No future contract found for sid: {sids[0]}."
+
+
+class ConsumeAssetMetaDataError(ZiplineError):
+    """
+    Raised when AssetFinder.consume() is called on an invalid object.
+    """
+    msg = """
+AssetFinder can not consume metadata of type {obj}. Metadata must be a dict, a
+DataFrame, or a tables.Table. If the provided metadata is a Table, the rows
+must contain both or one of 'sid' or 'symbol'.
+""".strip()
+
+
+class MapAssetIdentifierIndexError(ZiplineError):
+    """
+    Raised when AssetMetaData.map_identifier_index_to_sids() is called on an
+    index of invalid objects.
+    """
+    msg = """
+AssetFinder can not map an index with values of type {obj}. Asset indices of
+DataFrames or Panels must be integer sids, string symbols, or Asset objects.
+""".strip()
+
+
+class SidAssignmentError(ZiplineError):
+    """
+    Raised when an AssetFinder tries to build an Asset that does not have a sid
+    and that AssetFinder is not permitted to assign sids.
+    """
+    msg = """
+AssetFinder metadata is missing a SID for identifier '{identifier}'.
+""".strip()
+
+
+class NoSourceError(ZiplineError):
+    """
+    Raised when no source is given to the pipeline
+    """
+    msg = """
+No data source given.
+""".strip()
+
+
+class PipelineDateError(ZiplineError):
+    """
+    Raised when only one date is passed to the pipeline
+    """
+    msg = """
+Only one simulation date given. Please specify both the 'start' and 'end' for
+the simulation, or neither. If neither is given, the start and end of the
+DataSource will be used. Given start = '{start}', end = '{end}'
+""".strip()
+
+
+class WindowLengthTooLong(ZiplineError):
+    """
+    Raised when a trailing window is instantiated with a lookback greater than
+    the length of the underlying array.
+    """
+    msg = (
+        "Can't construct a rolling window of length "
+        "{window_length} on an array of length {nrows}."
+    ).strip()
+
+
+class WindowLengthNotPositive(ZiplineError):
+    """
+    Raised when a trailing window would be instantiated with a length less than
+    1.
+    """
+    msg = (
+        "Expected a window_length greater than 0, got {window_length}."
+    ).strip()
+
+
+class NonWindowSafeInput(ZiplineError):
+    """
+    Raised when a Pipeline API term that is not deemed window safe is specified
+    as an input to another windowed term.
+
+    This is an error because it's generally not safe to compose windowed
+    functions on split/dividend adjusted data.
+    """
+    msg = (
+        "Can't compute windowed expression {parent} with "
+        "windowed input {child}."
+    )
+
+
+class TermInputsNotSpecified(ZiplineError):
+    """
+    Raised if a user attempts to construct a term without specifying inputs and
+    that term does not have class-level default inputs.
+    """
+    msg = "{termname} requires inputs, but no inputs list was passed."
+
+
+class TermOutputsEmpty(ZiplineError):
+    """
+    Raised if a user attempts to construct a term with an empty outputs list.
+    """
+    msg = (
+        "{termname} requires at least one output when passed an outputs "
+        "argument."
+    )
+
+
+class InvalidOutputName(ZiplineError):
+    """
+    Raised if a term's output names conflict with any of its attributes.
+    """
+    msg = (
+        "{output_name!r} cannot be used as an output name for {termname}. "
+        "Output names cannot start with an underscore or be contained in the "
+        "following list: {disallowed_names}."
+    )
+
+
+class WindowLengthNotSpecified(ZiplineError):
+    """
+    Raised if a user attempts to construct a term without specifying window
+    length and that term does not have a class-level default window length.
+    """
+    msg = (
+        "{termname} requires a window_length, but no window_length was passed."
+    )
+
+
+class InvalidTermParams(ZiplineError):
+    """
+    Raised if a user attempts to construct a Term using ParameterizedTermMixin
+    without specifying a `params` list in the class body.
+    """
+    msg = (
+        "Expected a list of strings as a class-level attribute for "
+        "{termname}.params, but got {value} instead."
+    )
+
+
+class DTypeNotSpecified(ZiplineError):
+    """
+    Raised if a user attempts to construct a term without specifying dtype and
+    that term does not have class-level default dtype.
+    """
+    msg = (
+        "{termname} requires a dtype, but no dtype was passed."
+    )
+
+
+class NotDType(ZiplineError):
+    """
+    Raised when a pipeline Term is constructed with a dtype that isn't a numpy
+    dtype object.
+    """
+    msg = (
+        "{termname} expected a numpy dtype "
+        "object for a dtype, but got {dtype} instead."
+    )
+
+
+class UnsupportedDType(ZiplineError):
+    """
+    Raised when a pipeline Term is constructed with a dtype that's not
+    supported.
+    """
+    msg = (
+        "Failed to construct {termname}.\n"
+        "Pipeline terms of dtype {dtype} are not yet supported."
+    )
+
+
+class BadPercentileBounds(ZiplineError):
+    """
+    Raised by API functions accepting percentile bounds when the passed bounds
+    are invalid.
+    """
+    msg = (
+        "Percentile bounds must fall between 0.0 and {upper_bound}, and min "
+        "must be less than max."
+        "\nInputs were min={min_percentile}, max={max_percentile}."
+    )
+
+
+class UnknownRankMethod(ZiplineError):
+    """
+    Raised during construction of a Rank factor when supplied a bad Rank
+    method.
+    """
+    msg = (
+        "Unknown ranking method: '{method}'. "
+        "`method` must be one of {choices}"
+    )
+
+
+class AttachPipelineAfterInitialize(ZiplineError):
+    """
+    Raised when a user tries to call add_pipeline outside of initialize.
+    """
+    msg = (
+        "Attempted to attach a pipeline after initialize()."
+        "attach_pipeline() can only be called during initialize."
+    )
+
+
+class PipelineOutputDuringInitialize(ZiplineError):
+    """
+    Raised when a user tries to call `pipeline_output` during initialize.
+    """
+    msg = (
+        "Attempted to call pipeline_output() during initialize. "
+        "pipeline_output() can only be called once initialize has completed."
+    )
+
+
+class NoSuchPipeline(ZiplineError, KeyError):
+    """
+    Raised when a user tries to access a non-existent pipeline by name.
+    """
+    msg = (
+        "No pipeline named '{name}' exists. Valid pipeline names are {valid}. "
+        "Did you forget to call attach_pipeline()?"
+    )
+
+
+class UnsupportedDataType(ZiplineError):
+    """
+    Raised by CustomFactors with unsupported dtypes.
+    """
+    msg = "{typename} instances with dtype {dtype} are not supported."
+
+
+class NoFurtherDataError(ZiplineError):
+    """
+    Raised by calendar operations that would ask for dates beyond the extent of
+    our known data.
+    """
+    # This accepts an arbitrary message string because it's used in more places
+    # that can be usefully templated.
+    msg = '{msg}'
+
+    @classmethod
+    def from_lookback_window(cls,
+                             initial_message,
+                             first_date,
+                             lookback_start,
+                             lookback_length):
+        return cls(
+            msg=dedent(
+                """
+                {initial_message}
+
+                lookback window started at {lookback_start}
+                earliest known date was {first_date}
+                {lookback_length} extra rows of data were required
+                """
+            ).format(
+                initial_message=initial_message,
+                first_date=first_date,
+                lookback_start=lookback_start,
+                lookback_length=lookback_length,
+            )
+        )
+
+
+class UnsupportedDatetimeFormat(ZiplineError):
+    """
+    Raised when an unsupported datetime is passed to an API method.
+    """
+    msg = ("The input '{input}' passed to '{method}' is not "
+           "coercible to a pandas.Timestamp object.")
+
+
+class AssetDBVersionError(ZiplineError):
+    """
+    Raised by an AssetDBWriter or AssetFinder if the version number in the
+    versions table does not match the ASSET_DB_VERSION in asset_writer.py.
+    """
+    msg = (
+        "The existing Asset database has an incorrect version: {db_version}. "
+        "Expected version: {expected_version}. Try rebuilding your asset "
+        "database or updating your version of Zipline."
+    )
+
+
+class AssetDBImpossibleDowngrade(ZiplineError):
+    msg = (
+        "The existing Asset database is version: {db_version} which is lower "
+        "than the desired downgrade version: {desired_version}."
+    )
+
+
+class HistoryWindowStartsBeforeData(ZiplineError):
+    msg = (
+        "History window extends before {first_trading_day}. To use this "
+        "history window, start the backtest on or after {suggested_start_day}."
+        )
+
+
+class NonExistentAssetInTimeFrame(ZiplineError):
+    msg = (
+        "The target asset '{asset}' does not exist for the entire timeframe "
+        "between {start_date} and {end_date}."
+    )
+
+
+class InvalidCalendarName(ZiplineError):
+    """
+    Raised when a calendar with an invalid name is requested.
+    """
+    msg = (
+        "The requested TradingCalendar, {calendar_name}, does not exist."
+    )
+
+
+class CalendarNameCollision(ZiplineError):
+    """
+    Raised when the static calendar registry already has a calendar with a
+    given name.
+    """
+    msg = (
+        "A calendar with the name {calendar_name} is already registered."
+    )
+
+
+class CyclicCalendarAlias(ZiplineError):
+    """
+    Raised when calendar aliases form a cycle.
+    """
+    msg = "Cycle in calendar aliases: [{cycle}]"
+
+
+class ScheduleFunctionWithoutCalendar(ZiplineError):
+    """
+    Raised when schedule_function is called but there is not a calendar to be
+    used in the construction of an event rule.
+    """
+    # TODO update message when new TradingSchedules are built
+    msg = (
+        "To use schedule_function, the TradingAlgorithm must be running on an "
+        "ExchangeTradingSchedule, rather than {schedule}."
+    )
+
+
+class ScheduleFunctionInvalidCalendar(ZiplineError):
+    """
+    Raised when schedule_function is called with an invalid calendar argument.
+    """
+    msg = (
+        "Invalid calendar '{given_calendar}' passed to schedule_function. "
+        "Allowed options are {allowed_calendars}."
+    )
+
+
+class UnsupportedPipelineOutput(ZiplineError):
+    """
+    Raised when a 1D term is added as a column to a pipeline.
+    """
+    msg = (
+        "Cannot add column {column_name!r} with term {term}. Adding slices or "
+        "single-column-output terms as pipeline columns is not currently "
+        "supported."
+    )
+
+
+class NonSliceableTerm(ZiplineError):
+    """
+    Raised when attempting to index into a non-sliceable term, e.g. instances
+    of `catalyst.pipeline.term.LoadableTerm`.
+    """
+    msg = "Taking slices of {term} is not currently supported."
+
+
+class IncompatibleTerms(ZiplineError):
+    """
+    Raised when trying to compute correlations/regressions between two 2D
+    factors with different masks.
+    """
+    msg = (
+        "{term_1} and {term_2} must have the same mask in order to compute "
+        "correlations and regressions asset-wise."
+    )