When the prev_close is 0 or does not exist, the resulting ration was either +inf
or nan, respectively.
Create a mask on the non-zero effective dates, where effective date is only
written when the prev close is sufficient for a valid ratio; and use that mask
to filter out the bad rows.
Also, use prev close as the effective date.
To prepare for querying for payouts from SQLite, write the dividend
payouts to a new table `dividend_payouts`.
Change the expected columns of the passed dividend frame to contain the
payout data, and use that data to calculate the ratios (this moves
internal code that was calcualting the ratios into Zipline.)
The end result is that instead of just a `dividends` table with the
backward looking adjustment ratios, also write a `dividend_payouts`
table and a `stock_dividend_payout` table.
Put the logic for reading and writing the equity price and adjustment
data into a module located in data, making it distinct from the pipeline
loader usage of the formats.
This prepares for both incoming changes of how adjustments are written,
(which includes using the bcolz daily reader as an input), as well as
eventually providing the readers to a DataPortal object.
Previously we have capitalized input strings at different levels in
our code: in the user-facing API methods and in the asset finder.
This commit moves input string capitalization exclusively to the API
method to which the string was supplied. Specifically, the string is
capitalized by a preprocess API method decorator. The preprocess
decorator passes the input string to the newly defined
ensure_upper_case() method, which returns a TypeError if the argument
supplied is not a string.
ensure_upper_case() is defined in a new file, zipline/utils/input_validation.py.
The existing expect_types() method is also moved there.
Various tests in tests/test_assets.py are modified to account for the
fact that the asset finder method lookup_symol() no longer capitalizes
its supplied argument.
Improves the query for futures contract to use the date that comes first
in time (between notice_date and expiration_date) to determine cotnract
validity. If one of these is missing, we'll use the other.
Also modifies the query to order the resulting contracts by their
expiration_date if available, and to use their notice_date if not.
- Adds `zipline.pipeline.Pipeline`, a new user-facing class for managing
pipelines of Modeling API expressions.
- Adds `attach_pipeline` and `drain_pipeline` as API methods
- Removes `add_factor` and `add_filter` as API methods. These have been
replaced two new methods on `Pipeline`: `add`, and `apply_screen`.
- Adding a `Filter` as a column no longer implicitly truncates rows from
the Modelling API output. It simply causes a new column, of dtype
`bool` to show up in the output. Removal of rows is now handled by the
new `apply_screen` method of `Pipeline`.
- Refactors the existing Modeling API tests to reflect the new APIs.
Causes doctest to not care about the module of the raised exception.
This matters because Python3 includes the module in the formatted
exception, but Python3 doesn't, so the doctest will always fail on one
or the other without this flag.
Change calculate_results to take explicit parameters for sim_params, env
and benchmark_events instead of reading those values off of the TestCase
instance.
This prepares for tests setting specific sim_params in each test case,
which is needed for an incoming refactoring of how the test data is set up.
'instant fill' execution may be on the path to deprecation, (the removal
is currently proposed by the branch which removes events in favor of
operating over dts.), so remove instant_fill from the close position
tests so that the input and output is the same between the proposed
branch and here.
(This was one of the few places where instant fill was used that
was not testing instant fill behavior explicitly, so may be better to
align this test with the rest of the suite.)
Also, change test methods to make it more clear on which day the values
the expected and actual results differed.
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