mirror of
https://github.com/wassname/catalyst.git
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Scott Sandersonandllllllllll
8220d1ee86
EarningsCalendar loader. - Moves most of AdjustedArray back into Python. The window iterator is the only part that's performance-intensive. - Adds a bootleg templating system for creating specialized versions of AdjustedArrayWindow for each concrete type we care about. - Adds support for differently dtyped terms in pipeline. This allows us to use datetime64s which are needed in the EarningsCalendar. - Adds EarningsCalendar dataset for the next and previous earnings announcements in pipeline. - Adds in memory loader for EarningsCalendar. - Adds blaze loader for EarningsCalendar.
135 lines
4.5 KiB
Python
135 lines
4.5 KiB
Python
# Copyright 2015 Quantopian, Inc.
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#
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# Licensed under the Apache License, Version 2.0 (the "License");
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# you may not use this file except in compliance with the License.
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# You may obtain a copy of the License at
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#
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# http://www.apache.org/licenses/LICENSE-2.0
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#
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# Unless required by applicable law or agreed to in writing, software
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# distributed under the License is distributed on an "AS IS" BASIS,
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# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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# See the License for the specific language governing permissions and
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# limitations under the License.
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from numpy import (
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iinfo,
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uint32,
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)
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from zipline.data.us_equity_pricing import (
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BcolzDailyBarReader,
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SQLiteAdjustmentReader,
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)
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from zipline.lib.adjusted_array import AdjustedArray
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from zipline.errors import NoFurtherDataError
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from .base import PipelineLoader
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UINT32_MAX = iinfo(uint32).max
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class USEquityPricingLoader(PipelineLoader):
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"""
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PipelineLoader for US Equity Pricing data
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Delegates loading of baselines and adjustments.
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"""
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def __init__(self, raw_price_loader, adjustments_loader):
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self.raw_price_loader = raw_price_loader
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# HACK: Pull the calendar off our raw_price_loader so that we can
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# backshift dates.
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self._calendar = self.raw_price_loader._calendar
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self.adjustments_loader = adjustments_loader
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@classmethod
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def from_files(cls, pricing_path, adjustments_path):
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"""
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Create a loader from a bcolz equity pricing dir and a SQLite
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adjustments path.
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Parameters
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----------
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pricing_path : str
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Path to a bcolz directory written by a BcolzDailyBarWriter.
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adjusments_path : str
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Path to an adjusments db written by a SQLiteAdjustmentWriter.
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"""
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return cls(
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BcolzDailyBarReader(pricing_path),
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SQLiteAdjustmentReader(adjustments_path)
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)
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def load_adjusted_array(self, columns, dates, assets, mask):
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# load_adjusted_array is called with dates on which the user's algo
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# will be shown data, which means we need to return the data that would
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# be known at the start of each date. We assume that the latest data
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# known on day N is the data from day (N - 1), so we shift all query
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# dates back by a day.
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start_date, end_date = _shift_dates(
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self._calendar, dates[0], dates[-1], shift=1,
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)
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raw_arrays = self.raw_price_loader.load_raw_arrays(
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columns,
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start_date,
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end_date,
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assets,
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)
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adjustments = self.adjustments_loader.load_adjustments(
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columns,
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dates,
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assets,
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)
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adjusted_arrays = [
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AdjustedArray(raw_array, mask, col_adjustments)
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for raw_array, col_adjustments in zip(raw_arrays, adjustments)
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]
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return dict(zip(columns, adjusted_arrays))
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def _shift_dates(dates, start_date, end_date, shift):
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try:
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start = dates.get_loc(start_date)
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except KeyError:
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if start_date < dates[0]:
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raise NoFurtherDataError(
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msg=(
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"Pipeline Query requested data starting on {query_start}, "
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"but first known date is {calendar_start}"
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).format(
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query_start=str(start_date),
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calendar_start=str(dates[0]),
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)
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)
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else:
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raise ValueError("Query start %s not in calendar" % start_date)
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# Make sure that shifting doesn't push us out of the calendar.
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if start < shift:
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raise NoFurtherDataError(
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msg=(
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"Pipeline Query requested data from {shift}"
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" days before {query_start}, but first known date is only "
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"{start} days earlier."
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).format(shift=shift, query_start=start_date, start=start),
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)
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try:
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end = dates.get_loc(end_date)
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except KeyError:
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if end_date > dates[-1]:
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raise NoFurtherDataError(
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msg=(
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"Pipeline Query requesting data up to {query_end}, "
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"but last known date is {calendar_end}"
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).format(
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query_end=end_date,
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calendar_end=dates[-1],
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)
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)
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else:
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raise ValueError("Query end %s not in calendar" % end_date)
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return dates[start - shift], dates[end - shift]
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