- 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.
* BUG: Fixes asset writer to the select the latest asset to hold a sid
When constructing the asset_info dataframe, we were previously taking
the first symbol/sid pair to include, when we should be taking the most
recent.
* Ensure groups are sorted by increasing end_date
* Updates test_lookup_symbol_change_ticker to also cover asset_name
- Don't create unnecessary extra data (requires passing fastd_period=1
to TA-Lib or else it fills the FastK with NaNs even though it must
have already computed them...
- Use random_sample instead of random_integers so that we're not
dependent on integer arithmetic.
- Pass array_decimal to assert_equal so that we do almost equal checking
on results.
Use the future asset equity pricing reader, instead of reading directly
from the bcolz table. Required since the format for writing the future
data now uses the minute bar reader/writer pair.
Add test cases to `test_data_portal` asserting both equity and future
`get_spot_value` results.
Also, add direct coverage of last_traded_dt in the `test_data_portal`
module.
Prepares for adding test coverage of `get_last_traded_dt` for `Future` assets.
Encapsulate the shared global calendar map in an object.
This allows consumers that don't want to participate in custom
registration to pass around a calendar dispatcher, and would make it
easier to support contextual management of the global calendar map if we
want to do that in the future.
As a bonus, we now only create one instance of each calendar, instead of
one per alias.
Change the mock minute data to no longer use an increasing arange, so
that a days worth of minute data can be summed and fit inside of a
uint32.
This change was required because of working on new test data that looked
like [0, 100, 200, 0, ] which was resulting in a daily rollup of 0 data,
when the coverage needed a non-0 value.
Also, factor out the resampling function, with an eye on a making it
easier to convert from minute bars to daily bars during ingest/load
processes.
When adding fixtures for futures data, there will be a need for multiple
calendars in the fixture ecosystem. e.g. a test that includes both
equities and futures would need an overall calendar which encompasses
both equities and futures; however, the test data for equities should
still still be limited to the bounds set by the NYSE calendar.
Make the fixtures that setup trading calendars and values dervied from
the trading calendar (e.g. trading sessions) accept an iterable of
calendars which need to be created, then populate those values into a
dict keyed by the calendar name.
Change `WithNYSETradingDays` to include sessions in the name,
since we are moving to session as the name for the 'day' unit.
Provide `trading_days` which is really "NYSE trading sessions` on
`WithTradingSessions` for backwards compatibility.
Scott Sanderson