catalyst/zipline/lib/_float64window.pyx at 9fccb7354eef46575ccebe53691fa187a9249e9d - catalyst - Gitea: Git with a cup of tea

wassname/catalyst

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Scott Sanderson 5f190395ad ENH: Add support for strings in Pipeline.

- Adds a new class, ``LabelArray``, which is a subclass of np.ndarray.
  LabelArray is conceptually similar to pandas.Categorical, in that it
  stores data with many duplicate values as indices into an array of
  unique values.  For string data with many duplicates (e.g. time-series
  of tickers or or industry classifications), this provides multiple
  orders of magnitude of improvement when doing string operations,
  especially string comparison/matching operations.

- Adds a new generic object "specialization" for `AdjustedArrayWindow`,
  and a corresponding ObjectOverwrite adjustment.

- Adds a new ``postprocess`` method to ``zipline.pipeline.term.Term``.
  This method is called on the final result of any pipeline expression
  after screen filtering has occurred. The default implementation of
  ``postprocess`` is identity, but Classifier overrides it to coerce
  string columns into pandas.Categoricals before presenting them to the
  user.

2016-05-04 15:50:52 -04:00

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 """
 float specialization of AdjustedArrayWindow
 """
 from numpy cimport float64_t
 ctypedef float64_t[:, :] databuffer
 include "_windowtemplate.pxi"