catalyst/zipline/assets/_assets.pyx

# cython: embedsignature=True
#
# Copyright 2015 Quantopian, Inc.
#
# Licensed under the Apache License, Version 2.0 (the "License");
# you may not use this file except in compliance with the License.
# You may obtain a copy of the License at
#
#     http://www.apache.org/licenses/LICENSE-2.0
#
# Unless required by applicable law or agreed to in writing, software
# distributed under the License is distributed on an "AS IS" BASIS,
# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
# See the License for the specific language governing permissions and
# limitations under the License.

"""
Cythonized Asset object.
"""
cimport cython
from cpython.number cimport PyNumber_Index
from cpython.object cimport (
    Py_EQ,
    Py_NE,
    Py_GE,
    Py_LE,
    Py_GT,
    Py_LT,
)
from cpython cimport bool

import numpy as np
from numpy cimport int64_t
import warnings
cimport numpy as np


# IMPORTANT NOTE: You must change this template if you change
# Asset.__reduce__, or else we'll attempt to unpickle an old version of this
# class
from pandas.tslib import normalize_date

CACHE_FILE_TEMPLATE = '/tmp/.%s-%s.v6.cache'

cdef class Asset:

    cdef readonly int sid
    # Cached hash of self.sid
    cdef int sid_hash

    cdef readonly object symbol
    cdef readonly object asset_name

    cdef readonly object start_date
    cdef readonly object end_date
    cdef public object first_traded
    cdef readonly object auto_close_date

    cdef readonly object exchange

    def __cinit__(self,
                  int sid, # sid is required
                  object symbol="",
                  object asset_name="",
                  object start_date=None,
                  object end_date=None,
                  object first_traded=None,
                  object auto_close_date=None,
                  object exchange="",
                  *args,
                  **kwargs):

        self.sid           = sid
        self.sid_hash      = hash(sid)
        self.symbol        = symbol
        self.asset_name    = asset_name
        self.exchange      = exchange
        self.start_date    = start_date
        self.end_date      = end_date
        self.first_traded  = first_traded
        self.auto_close_date = auto_close_date

    def __int__(self):
        return self.sid

    def __index__(self):
        return self.sid

    def __hash__(self):
        return self.sid_hash

    def __richcmp__(x, y, int op):
        """
        Cython rich comparison method.  This is used in place of various
        equality checkers in pure python.
        """
        cdef int x_as_int, y_as_int

        try:
            x_as_int = PyNumber_Index(x)
        except (TypeError, OverflowError):
            return NotImplemented

        try:
            y_as_int = PyNumber_Index(y)
        except (TypeError, OverflowError):
            return NotImplemented

        compared = x_as_int - y_as_int

        # Handle == and != first because they're significantly more common
        # operations.
        if op == Py_EQ:
            return compared == 0
        elif op == Py_NE:
            return compared != 0
        elif op == Py_LT:
            return compared < 0
        elif op == Py_LE:
            return compared <= 0
        elif op == Py_GT:
            return compared > 0
        elif op == Py_GE:
            return compared >= 0
        else:
            raise AssertionError('%d is not an operator' % op)

    def __str__(self):
        if self.symbol:
            return 'Asset(%d [%s])' % (self.sid, self.symbol)
        else:
            return 'Asset(%d)' % self.sid

    def __repr__(self):
        attrs = ('symbol', 'asset_name', 'exchange',
                 'start_date', 'end_date', 'first_traded', 'auto_close_date')
        tuples = ((attr, repr(getattr(self, attr, None)))
                  for attr in attrs)
        strings = ('%s=%s' % (t[0], t[1]) for t in tuples)
        params = ', '.join(strings)
        return 'Asset(%d, %s)' % (self.sid, params)

    cpdef __reduce__(self):
        """
        Function used by pickle to determine how to serialize/deserialize this
        class.  Should return a tuple whose first element is self.__class__,
        and whose second element is a tuple of all the attributes that should
        be serialized/deserialized during pickling.
        """
        return (self.__class__, (self.sid,
                                 self.symbol,
                                 self.asset_name,
                                 self.start_date,
                                 self.end_date,
                                 self.first_traded,
                                 self.auto_close_date,
                                 self.exchange,))

    cpdef to_dict(self):
        """
        Convert to a python dict.
        """
        return {
            'sid': self.sid,
            'symbol': self.symbol,
            'asset_name': self.asset_name,
            'start_date': self.start_date,
            'end_date': self.end_date,
            'first_traded': self.first_traded,
            'auto_close_date': self.auto_close_date,
            'exchange': self.exchange,
        }

    @classmethod
    def from_dict(cls, dict_):
        """
        Build an Asset instance from a dict.
        """
        return cls(**dict_)

    def _is_alive(self, dt, bool normalized):
        """
        Returns whether the asset is alive at the given dt.

        Parameters
        ----------
        dt: pd.Timestamp
            The desired timestamp.

        normalized: boolean
            Whether the date has already been normalized.  If not, we need
            to first normalize the date before doing the alive check.  If the
            date is already normalized, this method runs up to 80% faster.

        Returns
        -------
        boolean: whether the asset is alive at the given dt.
        """
        cdef int64_t dt_value
        cdef int64_t ref_start
        cdef int64_t ref_end

        if not normalized:
            dt_value = normalize_date(dt).value
        else:
            dt_value = dt.value

        ref_start = self.start_date.value
        ref_end = self.end_date.value

        return ref_start <= dt_value <= ref_end


cdef class Equity(Asset):

    def __str__(self):
        if self.symbol:
            return 'Equity(%d [%s])' % (self.sid, self.symbol)
        else:
            return 'Equity(%d)' % self.sid

    def __repr__(self):
        attrs = ('symbol', 'asset_name', 'exchange',
                 'start_date', 'end_date', 'first_traded', 'auto_close_date')
        tuples = ((attr, repr(getattr(self, attr, None)))
                  for attr in attrs)
        strings = ('%s=%s' % (t[0], t[1]) for t in tuples)
        params = ', '.join(strings)
        return 'Equity(%d, %s)' % (self.sid, params)

    property security_start_date:
        """
        DEPRECATION: This property should be deprecated and is only present for
        backwards compatibility
        """
        def __get__(self):
            warnings.warn("The security_start_date property will soon be "
            "retired. Please use the start_date property instead.",
            DeprecationWarning)
            return self.start_date

    property security_end_date:
        """
        DEPRECATION: This property should be deprecated and is only present for
        backwards compatibility
        """
        def __get__(self):
            warnings.warn("The security_end_date property will soon be "
            "retired. Please use the end_date property instead.",
            DeprecationWarning)
            return self.end_date

    property security_name:
        """
        DEPRECATION: This property should be deprecated and is only present for
        backwards compatibility
        """
        def __get__(self):
            warnings.warn("The security_name property will soon be "
            "retired. Please use the asset_name property instead.",
            DeprecationWarning)
            return self.asset_name


cdef class Future(Asset):

    cdef readonly object root_symbol
    cdef readonly object notice_date
    cdef readonly object expiration_date
    cdef readonly object tick_size
    cdef readonly float multiplier

    def __cinit__(self,
                  int sid, # sid is required
                  object symbol="",
                  object root_symbol="",
                  object asset_name="",
                  object start_date=None,
                  object end_date=None,
                  object notice_date=None,
                  object expiration_date=None,
                  object auto_close_date=None,
                  object first_traded=None,
                  object exchange="",
                  object tick_size="",
                  float multiplier=1):

        self.root_symbol     = root_symbol
        self.notice_date     = notice_date
        self.expiration_date = expiration_date
        self.tick_size       = tick_size
        self.multiplier      = multiplier

        if auto_close_date is None:
            if notice_date is None:
                self.auto_close_date = expiration_date
            elif expiration_date is None:
                self.auto_close_date = notice_date
            else:
                self.auto_close_date = min(notice_date, expiration_date)

    def __str__(self):
        if self.symbol:
            return 'Future(%d [%s])' % (self.sid, self.symbol)
        else:
            return 'Future(%d)' % self.sid

    def __repr__(self):
        attrs = ('symbol', 'root_symbol', 'asset_name', 'exchange',
                 'start_date', 'end_date', 'first_traded', 'notice_date',
                 'expiration_date', 'auto_close_date', 'tick_size',
                 'multiplier')
        tuples = ((attr, repr(getattr(self, attr, None)))
                  for attr in attrs)
        strings = ('%s=%s' % (t[0], t[1]) for t in tuples)
        params = ', '.join(strings)
        return 'Future(%d, %s)' % (self.sid, params)

    cpdef __reduce__(self):
        """
        Function used by pickle to determine how to serialize/deserialize this
        class.  Should return a tuple whose first element is self.__class__,
        and whose second element is a tuple of all the attributes that should
        be serialized/deserialized during pickling.
        """
        return (self.__class__, (self.sid,
                                 self.symbol,
                                 self.root_symbol,
                                 self.asset_name,
                                 self.start_date,
                                 self.end_date,
                                 self.notice_date,
                                 self.expiration_date,
                                 self.auto_close_date,
                                 self.first_traded,
                                 self.exchange,
                                 self.tick_size,
                                 self.multiplier,))

    cpdef to_dict(self):
        """
        Convert to a python dict.
        """
        super_dict = super(Future, self).to_dict()
        super_dict['root_symbol'] = self.root_symbol
        super_dict['notice_date'] = self.notice_date
        super_dict['expiration_date'] = self.expiration_date
        super_dict['tick_size'] = self.tick_size
        super_dict['multiplier'] = self.multiplier
        return super_dict


def make_asset_array(int size, Asset asset):
    cdef np.ndarray out = np.empty([size], dtype=object)
    out.fill(asset)
    return out