""" Template for AdjustedArray windowed iterators. This file is intended to be used by inserting it via a Cython include into a file that's defined a type symbol named `databuffer` that can be used like a 2-D numpy array. See Also -------- zipline.lib._floatwindow zipline.lib._intwindow zipline.lib._datewindow """ from numpy cimport ndarray from numpy import asanyarray class Exhausted(Exception): pass cdef class AdjustedArrayWindow: """ An iterator representing a moving view over an AdjustedArray. Concrete subtypes should subclass this and provide a `data` attribute for specific types. This object stores a copy of the data from the AdjustedArray over which it's iterating. At each step in the iteration, it mutates its copy to allow us to show different data when looking back over the array. The arrays yielded by this iterator are always views over the underlying data. """ cdef: # ctype must be defined by the file into which this is being copied. readonly databuffer data readonly dict view_kwargs readonly Py_ssize_t window_length Py_ssize_t anchor, max_anchor, next_adj Py_ssize_t perspective_offset dict adjustments list adjustment_indices ndarray output def __cinit__(self, databuffer data not None, dict view_kwargs not None, dict adjustments not None, Py_ssize_t offset, Py_ssize_t window_length, Py_ssize_t perspective_offset): self.data = data self.view_kwargs = view_kwargs self.adjustments = adjustments self.adjustment_indices = sorted(adjustments, reverse=True) self.window_length = window_length self.anchor = window_length + offset - 1 if perspective_offset > 1: # Limit perspective_offset to 1. # To support an offset greater than 1, work must be done to # ensure that adjustments are retrieved for the datetimes between # the end of the window and the vantage point defined by the # perspective offset. raise Exception("perspective_offset should not exceed 1, value " "is perspective_offset={0}".format( perspective_offset)) self.perspective_offset = perspective_offset self.max_anchor = data.shape[0] self.next_adj = self.pop_next_adj() self.output = None cdef pop_next_adj(self): """ Pop the index of the next adjustment to apply from self.adjustment_indices. """ if len(self.adjustment_indices) > 0: return self.adjustment_indices.pop() else: return self.max_anchor + self.perspective_offset def __iter__(self): return self def __next__(self): try: self._tick_forward(1) except Exhausted: raise StopIteration() self._update_output() return self.output def seek(self, Py_ssize_t target_anchor): cdef: Py_ssize_t anchor = self.anchor if target_anchor < anchor: raise Exception('Can not access data after window has passed.') if target_anchor == anchor: return self.output self._tick_forward(target_anchor - anchor) self._update_output() return self.output cdef inline _tick_forward(self, int N): cdef: object adjustment Py_ssize_t anchor = self.anchor Py_ssize_t target = anchor + N if target > self.max_anchor: raise Exhausted() # Apply any adjustments that occured before our current anchor. # Equivalently, apply any adjustments known **on or before** the date # for which we're calculating a window. while self.next_adj < target + self.perspective_offset: for adjustment in self.adjustments[self.next_adj]: adjustment.mutate(self.data) self.next_adj = self.pop_next_adj() self.anchor = target cdef inline _update_output(self): cdef: ndarray new_out Py_ssize_t anchor = self.anchor dict view_kwargs = self.view_kwargs new_out = asanyarray(self.data[anchor - self.window_length:anchor]) if view_kwargs: new_out = new_out.view(**view_kwargs) new_out.setflags(write=False) self.output = new_out def __repr__(self): return "<%s: window_length=%d, anchor=%d, max_anchor=%d, dtype=%r>" % ( type(self).__name__, self.window_length, self.anchor, self.max_anchor, self.view_kwargs.get('dtype'), )