""" Base class for FFC unit tests. """ from functools import wraps from unittest import TestCase from numpy import arange, prod from pandas import date_range, Int64Index, DataFrame from six import iteritems from zipline.finance.trading import TradingEnvironment from zipline.modelling.engine import SimpleFFCEngine from zipline.modelling.graph import TermGraph from zipline.modelling.term import AssetExists from zipline.utils.pandas_utils import explode from zipline.utils.test_utils import make_simple_asset_info, ExplodingObject from zipline.utils.tradingcalendar import trading_day def with_defaults(**default_funcs): """ Decorator for providing dynamic default values for a method. Usages: @with_defaults(foo=lambda self: self.x + self.y) def func(self, foo): ... If a value is passed for `foo`, it will be used. Otherwise the function supplied to `with_defaults` will be called with `self` as an argument. """ def decorator(f): @wraps(f) def method(self, *args, **kwargs): for name, func in iteritems(default_funcs): if name not in kwargs: kwargs[name] = func(self) return f(self, *args, **kwargs) return method return decorator with_default_shape = with_defaults(shape=lambda self: self.default_shape) class BaseFFCTestCase(TestCase): def setUp(self): self.__calendar = date_range('2014', '2015', freq=trading_day) self.__assets = assets = Int64Index(arange(1, 20)) # Set up env for test env = TradingEnvironment() env.write_data( equities_df=make_simple_asset_info( assets, self.__calendar[0], self.__calendar[-1], ), ) self.__finder = env.asset_finder # Use a 30-day period at the end of the year by default. self.__mask = self.__finder.lifetimes( self.__calendar[-30:], include_start_date=False, ) @property def default_shape(self): """Default shape for methods that build test data.""" return self.__mask.shape def run_terms(self, terms, initial_workspace, mask=None): """ Compute the given terms, seeding the workspace of our FFCEngine with `initial_workspace`. Parameters ---------- terms : dict Mapping from termname -> term object. initial_workspace : dict Initial workspace to forward to SimpleFFCEngine.compute_chunk. mask : DataFrame, optional This is a value to pass to `initial_workspace` as the mask from `AssetExists()`. Defaults to a frame of shape `self.default_shape` containing all True values. Returns ------- results : dict Mapping from termname -> computed result. """ engine = SimpleFFCEngine( ExplodingObject(), self.__calendar, self.__finder, ) if mask is None: mask = self.__mask dates, assets, mask_values = explode(mask) initial_workspace.setdefault(AssetExists(), mask_values) return engine.compute_chunk( TermGraph(terms), dates, assets, initial_workspace, ) def build_mask(self, array): """ Helper for constructing an AssetExists mask from a boolean-coercible array. """ ndates, nassets = array.shape return DataFrame( array, # Use the **last** N dates rather than the first N so that we have # space for lookbacks. index=self.__calendar[-ndates:], columns=self.__assets[:nassets], dtype=bool, ) @with_default_shape def arange_data(self, shape, dtype=float): """ Build a block of testing data from numpy.arange. """ return arange(prod(shape), dtype=dtype).reshape(shape)