- Split out extra_rows handling into an `ExecutionPlan` subclass.
`ExecutionPlan` now requires the dates and calendar against which a
set of terms will be computed, and now defers to a term's
`compute_extra_rows` method when deciding how many extra rows are
required to compute for that term. This will allow downsampled terms
to request enough extra rows to guarantee that we can maintain consistent
calculation dates.
As a consequence of the above, `TermGraph` now only deals with logical
dependencies, not with metadata surrounding extra row calculations.
This means that TermGraph can be used to generate dependency
visualizations in interactive contexts where we don't yet have a
calendar or start/end dates.
- Refactored test_{filter,factor,classifier} to use check_terms instead
of run_graph. This makes it easier to make changes to TermGraph,
since the testing interface is now to simply provide a dict of terms.
- Refactored BasePipelineTestCase to use fixtures to create an asset
finder. This fixes a potential leak of the test's asset db, which was
not being explicitly cleaned up.
- Refactored test_technical to use BasePipelineTestCase.
- Added a new special term, `InputDates()`, which can be used to request
date labels for inputs. Like `AssetExists`, `InputDates` is provided
in the initial workspace by default.
- Added a default (failing) `_compute` method to `AssetExists` which
provides a more useful error than AttributeError.
Classifiers are computations that represent grouping keys. They can be
used in conjuction with normalization functions like ``zscore`` or
``demean`` to perform normalizations over subsets of a dataset.
Notable changes:
- Added ``demean()`` and ``zscore()`` methods to ``Factor``.
- Added a classifier versions of ``Latest`` and ``CustomTermMixin``.
The .latest attribute of int64 dataset columns no produces a
classifier by default.
- Added ``Everything``, a classifier that maps all data to the same
value.
- Added ``zipline.lib.normalize``, which implements a naive, pure-Python
grouped normalize function. This will likely be moved to Cython in a
subsequent PR.
Richard Frank