BUG: correctly create asset finder
MAINT: rename fixture
STY: fixes for flake8
STY: add space around assignment
MAINT: add var back to constructor
MAINT: remove unused import
MAINT: compare var with None directly
MAINT: fix merge errors
MAINT: remove record date - not needed.
MAINT: restructure dividends dataset.
MAINT: restructure dividends factors.
WIP: update dividends tests.
MAINT: correct the way to get the 'next' event frame.
Write arrays representing corresponding market opens and market closes,
which will eventually replace the `minute_index` field.
The market closes are being added for incoming work on another branch
which will use the market closes to generate a list of non-market
minutes to filter out when returning data from `unadjusted_window`.
- Use RestrictedDTypeMixin for dtype validation in
Filter/Factor/Classifier.
- Use new LatestMixin for Latest{Filter,Factor,Classifier} instead of
duplicating logic across all three.
- Always ignore return values in _validate.
- Consistently call super() first in validation mixins.
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.
Allow comparisons like SomeFilter() & AssetExists().
Previously such comparisons would fail because & and | on Filters
explicitly checked that the other side of the operator was also a
Filter.
We now only enforce that the other side of the expression is a Term
with a dtype of bool_.
Add a method to minute bar reader which returns the OHLCV for all
requested fields for a list assets over the specified start and end
minutes.
Initial usage is intended for use by a loader which consumes minute bar
data to resample into daily bars, but may also be used when aggregating
minute data during '1d' history calls in Q2.0.
This iteration does not include including of early closes.
`if_not_float64_tell_caller_to_use_isnull` can't take additional
arguments, and accepting *args/**kwargs causes Sphinx to generate an
incorrect signature for decorated methods.
Previously, we have assumed that the `amounts` and `last_sale_prices`
lists have the same order as the `value_multipliers`. This is not
correct, since to populate the `amounts` and `last_sale_prices` lists
we iterate over a `dict` (self.positions). The order of this `dict`
can change in arbitrary ways when it is updated, which occurs when
we call `update_positions`. Our `value_multipliers` however are stored
in an `OrderedDict`, meaning the order of existing key/value pairs
is not changed when they are updated.
To address this issue, we make sure that `self.positions` subclasses
`OrderedDict`.
Renames zipline.utils.test_utils to zipline.testing
Adds zipline.testing.fixtures.ZiplineTestCase to manage setup and
teardown and adds mixins to define fixtures like an asset finder or
trading calendar.
Maya Tydykov