mirror of
https://github.com/wassname/catalyst.git
synced 2026-06-28 07:16:40 +08:00
Scott Sanderson
26fd6fda8b
- Fixes an error where Modeling API data known as of the close of `day N` would be shown to algorithms during `before_trading_start` as of the close of the same day. Algorithms should now only receive data during `before_trading_start/handle_data` that was known as of the simulation time at which the function would be called. - All Term instances now have a `mask` attribute that must be a `Filter` or an instance of `AssetExists()`. `mask` can be used to specify that a Factor should be computed in a manner that ignores the values that were not `True` in the mask. - Changed the interface for `FFCLoader.load_adjusted_array` and `Term._compute` from `(columns, mask)`, with mask as a DataFrame, to `(columns, dates, assets, mask)`, where mask is a numpy array. This is primarily to avoid having to reconstruct extra DataFrames when using masks produced by non `AssetExists` filters. - Adds `BoundColumn.latest`, which gives the most-recently-known value of a column.
134 lines
4.0 KiB
Python
134 lines
4.0 KiB
Python
"""
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Base class for FFC unit tests.
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"""
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from functools import wraps
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from unittest import TestCase
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from numpy import arange, prod
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from pandas import date_range, Int64Index, DataFrame
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from six import iteritems
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from zipline.finance.trading import TradingEnvironment
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from zipline.modelling.engine import SimpleFFCEngine
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from zipline.modelling.graph import TermGraph
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from zipline.modelling.term import AssetExists
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from zipline.utils.pandas_utils import explode
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from zipline.utils.test_utils import make_simple_asset_info, ExplodingObject
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from zipline.utils.tradingcalendar import trading_day
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def with_defaults(**default_funcs):
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"""
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Decorator for providing dynamic default values for a method.
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Usages:
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@with_defaults(foo=lambda self: self.x + self.y)
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def func(self, foo):
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...
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If a value is passed for `foo`, it will be used. Otherwise the function
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supplied to `with_defaults` will be called with `self` as an argument.
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"""
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def decorator(f):
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@wraps(f)
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def method(self, *args, **kwargs):
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for name, func in iteritems(default_funcs):
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if name not in kwargs:
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kwargs[name] = func(self)
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return f(self, *args, **kwargs)
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return method
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return decorator
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with_default_shape = with_defaults(shape=lambda self: self.default_shape)
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class BaseFFCTestCase(TestCase):
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def setUp(self):
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self.__calendar = date_range('2014', '2015', freq=trading_day)
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self.__assets = assets = Int64Index(arange(1, 20))
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# Set up env for test
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env = TradingEnvironment()
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env.write_data(
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equities_df=make_simple_asset_info(
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assets,
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self.__calendar[0],
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self.__calendar[-1],
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),
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)
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self.__finder = env.asset_finder
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# Use a 30-day period at the end of the year by default.
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self.__mask = self.__finder.lifetimes(
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self.__calendar[-30:],
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include_start_date=False,
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)
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@property
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def default_shape(self):
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"""Default shape for methods that build test data."""
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return self.__mask.shape
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def run_terms(self, terms, initial_workspace, mask=None):
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"""
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Compute the given terms, seeding the workspace of our FFCEngine with
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`initial_workspace`.
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Parameters
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----------
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terms : dict
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Mapping from termname -> term object.
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initial_workspace : dict
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Initial workspace to forward to SimpleFFCEngine.compute_chunk.
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mask : DataFrame, optional
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This is a value to pass to `initial_workspace` as the mask from
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`AssetExists()`. Defaults to a frame of shape `self.default_shape`
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containing all True values.
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Returns
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-------
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results : dict
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Mapping from termname -> computed result.
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"""
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engine = SimpleFFCEngine(
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ExplodingObject(),
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self.__calendar,
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self.__finder,
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)
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if mask is None:
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mask = self.__mask
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dates, assets, mask_values = explode(mask)
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initial_workspace.setdefault(AssetExists(), mask_values)
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return engine.compute_chunk(
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TermGraph(terms),
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dates,
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assets,
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initial_workspace,
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)
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def build_mask(self, array):
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"""
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Helper for constructing an AssetExists mask from a boolean-coercible
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array.
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"""
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ndates, nassets = array.shape
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return DataFrame(
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array,
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# Use the **last** N dates rather than the first N so that we have
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# space for lookbacks.
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index=self.__calendar[-ndates:],
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columns=self.__assets[:nassets],
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dtype=bool,
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)
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@with_default_shape
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def arange_data(self, shape, dtype=float):
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"""
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Build a block of testing data from numpy.arange.
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"""
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return arange(prod(shape), dtype=dtype).reshape(shape)
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