- Fixes a warning on indexing with a float that ultimately came from
pd.Timedelta.total_seconds(). Adds ``timedelta_to_integral_seconds``
and ``timedelta_to_integral_minutes()`` functions and replaces various
usages of ``int(delta.total_seconds())`` with them.
- Fixes a warnings triggered in ``_create_daily_stats`` from
passing tz-aware datetimes to np.datetime64.
This reverts commit 86c7635b45, reversing
changes made to c77f2b92df.
Some real world cases hit errors with this change, due to the new offset
logic attempting to create Adjustments with invalid parameters.
Will identify exact conditions that cause this error and add as a test
case before remerging.
Instead of `HistoryLoader` containing separate adjustment calculation
logic, use `SQLiteAdjustmentReader.load_adjustments`.
This change required the addition of two offset parameters to
`load_adjustments` since the perspective on the data from within
`schedule_function` is skewed from how Pipeline looks at historical
data.
This is working towards creating an `AdjustmentReader` abc which
`SQLiteAdjustmentReader` and a upcoming continuous future adjustment
reader will share.
Changes BcolzDailyBarWriter to not be an abc, data is passed as an
iterator of (sid, dataframe) pairs to the write method.
Changes the AssetsDBWriter to be a single class which accepts an engine
at construction time and has a `write` method for writing dataframes for
the various tables. We no longer support writing the various other data
types, callers should coerce their data into a dataframe themselves. See
zipline.assets.synthetic for some helpers to do this.
Adds many new fixtures and updates some existing fixtures to use the new
ones:
WithDefaultDateBounds
A fixture that provides the suite a START_DATE and END_DATE. This is
meant to make it easy for other fixtures to synchronize their date
ranges without depending on eachother in strange ways. For example,
WithBcolzMinuteBarReader and WithBcolzDailyBarReader by default should
both have data for the same dates, so they may use depend on
WithDefaultDates without forcing a dependency between them.
WithTmpDir, WithInstanceTmpDir
Provides the suite or individual test case a temporary directory.
WithBcolzDailyBarReader
Provides the suite a BcolzDailyBarReader which reads from bcolz data
written to a temporary directory. The data will be read from
dataframes and then converted to bcolz files with
BcolzDailyBarWriter.write
WithBcolzDailyBarReaderFromCSVs
Provides the suite a BcolzDailyBarReader which reads from bcolz data
written to a temporary directory. The data will be read from a
collection of CSV files and then converted into the bcolz data through
BcolzDailyBarWriter.write_csvs
WithBcolzMinuteBarReader
Provides the suite a BcolzMinuteBarReader which reads from bcolz data
written to a temporary directory. The data will be read from
dataframes and then converted to bcolz files with
BcolzMinuteBarWriter.write
WithAdjustmentReader
Provides the suite a SQLiteAdjustmentReader which reads from an in
memory sqlite database. The data will be read from dataframes and then
converted into sqlite with SQLiteAdjustmentWriter.write
WithDataPortal
Provides each test case a DataPortal object with data from temporary
resources.
For a pipeline doing simple computations on USEquityPricing data, we
were spending ~60% of `run_pipeline` loading adjustments. Almost all of
that time was spent in calls to `DatetimeIndex.get_loc` to find the
indices of adjustment `eff_date`s.
This optimizes the eff_date lookups by pre-populating a cache of
seconds-since-epoch timestamps that we expect to see, and falling back
to `np.searchsorted` on cache misses.
In testing, this reduces the time to compute a 1-year pipeline with 30
and 90 day moving averages from 3.1 seconds to 0.9 seconds.
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.
Scott Sanderson