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catalyst/catalyst/data/us_equity_pricing.py
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Conner Fromknecht c494ac64ca WIP: Integration of generic bundle and five minute bars
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# 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.
from errno import ENOENT
from functools import partial
from os import remove
import sqlite3
import warnings
from bcolz import (
carray,
ctable,
)
from collections import namedtuple
import logbook
import numpy as np
from numpy import (
array,
int64,
float64,
full,
iinfo,
integer,
issubdtype,
nan,
uint32,
uint64,
)
from pandas import (
DataFrame,
DatetimeIndex,
isnull,
NaT,
read_csv,
read_sql,
to_datetime,
Timestamp,
)
from pandas.tslib import iNaT
from six import (
iteritems,
string_types,
viewkeys,
)
from toolz import compose
from catalyst.data.session_bars import SessionBarReader
from catalyst.data.bar_reader import (
NoDataAfterDate,
NoDataBeforeDate,
NoDataOnDate,
)
from catalyst.utils.calendars import get_calendar
from catalyst.utils.functional import apply
from catalyst.utils.preprocess import call
from catalyst.utils.input_validation import (
expect_element,
preprocess,
verify_indices_all_unique,
)
from catalyst.utils.sqlite_utils import (
group_into_chunks,
coerce_string_to_conn,
)
from catalyst.utils.memoize import lazyval
from catalyst.utils.cli import (
item_show_count,
maybe_show_progress,
)
from ._equities import _compute_row_slices, _read_bcolz_data
from ._adjustments import load_adjustments_from_sqlite
logger = logbook.Logger('UsEquityPricing')
OHLC = frozenset(['open', 'high', 'low', 'close'])
OHLCV = frozenset(['open', 'high', 'low', 'close', 'volume'])
US_EQUITY_PRICING_BCOLZ_COLUMNS = (
'open', 'high', 'low', 'close', 'volume', 'day', 'id'
)
SQLITE_ADJUSTMENT_COLUMN_DTYPES = {
'effective_date': integer,
'ratio': float,
'sid': integer,
}
SQLITE_ADJUSTMENT_TABLENAMES = frozenset(['splits', 'dividends', 'mergers'])
SQLITE_DIVIDEND_PAYOUT_COLUMN_DTYPES = {
'sid': integer,
'ex_date': integer,
'declared_date': integer,
'record_date': integer,
'pay_date': integer,
'amount': float,
}
SQLITE_STOCK_DIVIDEND_PAYOUT_COLUMN_DTYPES = {
'sid': integer,
'ex_date': integer,
'declared_date': integer,
'record_date': integer,
'pay_date': integer,
'payment_sid': integer,
'ratio': float,
}
UINT32_MAX = iinfo(uint32).max
UINT64_MAX = iinfo(uint64).max
def check_uint32_safe(value, colname):
if value >= UINT32_MAX:
raise ValueError(
"Value %s from column '%s' is too large "
"for uint32" % (value, colname)
)
def check_uint64_safe(value, colname):
if value >= UINT64_MAX:
raise ValueError(
"Value %s from column '%s' is too large "
"for uint64" % (value, colname)
)
@expect_element(invalid_data_behavior={'warn', 'raise', 'ignore'})
def winsorise_uint64(df, invalid_data_behavior, column, *columns):
"""Drops any record where a value would not fit into a uint64.
Parameters
----------
df : pd.DataFrame
The dataframe to winsorise.
invalid_data_behavior : {'warn', 'raise', 'ignore'}
What to do when data is outside the bounds of a uint64.
*columns : iterable[str]
The names of the columns to check.
Returns
-------
truncated : pd.DataFrame
``df`` with values that do not fit into a uint64 zeroed out.
"""
columns = list((column,) + columns)
mask = df[columns] > UINT64_MAX
if invalid_data_behavior != 'ignore':
mask |= df[columns].isnull()
else:
# we are not going to generate a warning or error for this so just use
# nan_to_num
df[columns] = np.nan_to_num(df[columns])
mv = mask.values
if mv.any():
if invalid_data_behavior == 'raise':
raise ValueError(
'%d values out of bounds for uint64: %r' % (
mv.sum(), df[mask.any(axis=1)],
),
)
if invalid_data_behavior == 'warn':
warnings.warn(
'Ignoring %d values because they are out of bounds for'
' uint64: %r' % (
mv.sum(), df[mask.any(axis=1)],
),
stacklevel=3, # one extra frame for `expect_element`
)
df[mask] = 0
return df
class BcolzDailyBarWriter(object):
"""
Class capable of writing daily OHLCV data to disk in a format that can
be read efficiently by BcolzDailyOHLCVReader.
Parameters
----------
filename : str
The location at which we should write our output.
calendar : catalyst.utils.calendar.trading_calendar
Calendar to use to compute asset calendar offsets.
start_session: pd.Timestamp
Midnight UTC session label.
end_session: pd.Timestamp
Midnight UTC session label.
See Also
--------
catalyst.data.us_equity_pricing.BcolzDailyBarReader
"""
_csv_dtypes = {
'open': float64,
'high': float64,
'low': float64,
'close': float64,
'volume': float64,
}
def __init__(self, filename, calendar, start_session, end_session):
self._filename = filename
if start_session != end_session:
if not calendar.is_session(start_session):
raise ValueError(
"Start session %s is invalid!" % start_session
)
if not calendar.is_session(end_session):
raise ValueError(
"End session %s is invalid!" % end_session
)
self._start_session = start_session
self._end_session = end_session
self._calendar = calendar
@property
def progress_bar_message(self):
return 'Compiling daily data'
def write(self,
data,
assets=None,
show_progress=False,
invalid_data_behavior='warn'):
"""
Parameters
----------
data : iterable[tuple[int, pandas.DataFrame or bcolz.ctable]]
The data chunks to write. Each chunk should be a tuple of sid
and the data for that asset.
assets : set[int], optional
The assets that should be in ``data``. If this is provided
we will check ``data`` against the assets and provide better
progress information.
show_progress : bool, optional
Whether or not to show a progress bar while writing.
invalid_data_behavior : {'warn', 'raise', 'ignore'}, optional
What to do when data is encountered that is outside the range of
a uint64.
Returns
-------
table : bcolz.ctable
The newly-written table.
"""
total = None if assets is None else len(assets)
ctx = maybe_show_progress(
(
(sid, self.to_ctable(df, invalid_data_behavior))
for sid, df in data
),
show_progress=show_progress,
label=self.progress_bar_message,
item_show_func=item_show_count(total),
length=total,
show_percent=False,
)
with ctx as it:
return self._write_internal(it, assets)
def write_csvs(self,
asset_map,
show_progress=False,
invalid_data_behavior='warn'):
"""Read CSVs as DataFrames from our asset map.
Parameters
----------
asset_map : dict[int -> str]
A mapping from asset id to file path with the CSV data for that
asset
show_progress : bool
Whether or not to show a progress bar while writing.
invalid_data_behavior : {'warn', 'raise', 'ignore'}
What to do when data is encountered that is outside the range of
a uint64.
"""
read = partial(
read_csv,
parse_dates=['day'],
index_col='day',
dtype=self._csv_dtypes,
)
return self.write(
((asset, read(path)) for asset, path in iteritems(asset_map)),
assets=viewkeys(asset_map),
show_progress=show_progress,
invalid_data_behavior=invalid_data_behavior,
)
def _write_internal(self, iterator, assets):
"""
Internal implementation of write.
`iterator` should be an iterator yielding pairs of (asset, ctable).
"""
total_rows = 0
first_row = {}
last_row = {}
calendar_offset = {}
# Maps column name -> output carray.
columns = {
k: carray(array([], dtype=uint64))
if k in OHLCV
else carray(array([], dtype=uint32))
for k in US_EQUITY_PRICING_BCOLZ_COLUMNS
}
earliest_date = None
sessions = self._calendar.sessions_in_range(
self._start_session, self._end_session
)
if assets is not None:
@apply
def iterator(iterator=iterator, assets=set(assets)):
for asset_id, table in iterator:
if asset_id not in assets:
raise ValueError('unknown asset id %r' % asset_id)
yield asset_id, table
for asset_id, table in iterator:
nrows = len(table)
for column_name in columns:
if column_name == 'id':
# We know what the content of this column is, so don't
# bother reading it.
columns['id'].append(
full((nrows,), asset_id, dtype='uint32'),
)
continue
columns[column_name].append(table[column_name])
if earliest_date is None:
earliest_date = table["day"][0]
else:
earliest_date = min(earliest_date, table["day"][0])
# Bcolz doesn't support ints as keys in `attrs`, so convert
# assets to strings for use as attr keys.
asset_key = str(asset_id)
# Calculate the index into the array of the first and last row
# for this asset. This allows us to efficiently load single
# assets when querying the data back out of the table.
first_row[asset_key] = total_rows
last_row[asset_key] = total_rows + nrows - 1
total_rows += nrows
table_day_to_session = compose(
self._calendar.minute_to_session_label,
partial(Timestamp, unit='s', tz='UTC'),
)
asset_first_day = table_day_to_session(table['day'][0])
asset_last_day = table_day_to_session(table['day'][-1])
asset_sessions = sessions[
sessions.slice_indexer(asset_first_day, asset_last_day)
]
assert len(table) == len(asset_sessions), (
'Got {} rows for daily bars table with first day={}, last '
'day={}, expected {} rows.\n'
'Missing sessions: {}\n'
'Extra sessions: {}'.format(
len(table),
asset_first_day.date(),
asset_last_day.date(),
len(asset_sessions),
asset_sessions.difference(
to_datetime(
np.array(table['day']),
unit='s',
utc=True,
)
).tolist(),
to_datetime(
np.array(table['day']),
unit='s',
utc=True,
).difference(asset_sessions).tolist(),
)
)
# Calculate the number of trading days between the first date
# in the stored data and the first date of **this** asset. This
# offset used for output alignment by the reader.
calendar_offset[asset_key] = sessions.get_loc(asset_first_day)
# This writes the table to disk.
full_table = ctable(
columns=[
columns[colname]
for colname in US_EQUITY_PRICING_BCOLZ_COLUMNS
],
names=US_EQUITY_PRICING_BCOLZ_COLUMNS,
rootdir=self._filename,
mode='w',
)
full_table.attrs['first_trading_day'] = (
earliest_date if earliest_date is not None else iNaT
)
full_table.attrs['first_row'] = first_row
full_table.attrs['last_row'] = last_row
full_table.attrs['calendar_offset'] = calendar_offset
full_table.attrs['calendar_name'] = self._calendar.name
full_table.attrs['start_session_ns'] = self._start_session.value
full_table.attrs['end_session_ns'] = self._end_session.value
full_table.flush()
return full_table
@expect_element(invalid_data_behavior={'warn', 'raise', 'ignore'})
def to_ctable(self, raw_data, invalid_data_behavior):
if isinstance(raw_data, ctable):
# we already have a ctable so do nothing
return raw_data
winsorise_uint64(raw_data, invalid_data_behavior, 'volume', *OHLC)
processed = (raw_data[list(OHLC)] * 1000000).astype('uint64')
dates = raw_data.index.values.astype('datetime64[s]')
check_uint32_safe(dates.max().view(np.int64), 'day')
processed['day'] = dates.astype('uint32')
processed['volume'] = raw_data.volume.astype('uint64')
return ctable.fromdataframe(processed)
class BcolzDailyBarReader(SessionBarReader):
"""
Reader for raw pricing data written by BcolzDailyOHLCVWriter.
Parameters
----------
table : bcolz.ctable
The ctable contaning the pricing data, with attrs corresponding to the
Attributes list below.
read_all_threshold : int
The number of equities at which; below, the data is read by reading a
slice from the carray per asset. above, the data is read by pulling
all of the data for all assets into memory and then indexing into that
array for each day and asset pair. Used to tune performance of reads
when using a small or large number of equities.
Attributes
----------
The table with which this loader interacts contains the following
attributes:
first_row : dict
Map from asset_id -> index of first row in the dataset with that id.
last_row : dict
Map from asset_id -> index of last row in the dataset with that id.
calendar_offset : dict
Map from asset_id -> calendar index of first row.
start_session_ns: int
Epoch ns of the first session used in this dataset.
end_session_ns: int
Epoch ns of the last session used in this dataset.
calendar_name: str
String identifier of trading calendar used (ie, "NYSE").
We use first_row and last_row together to quickly find ranges of rows to
load when reading an asset's data into memory.
We use calendar_offset and calendar to orient loaded blocks within a
range of queried dates.
Notes
------
A Bcolz CTable is comprised of Columns and Attributes.
The table with which this loader interacts contains the following columns:
['open', 'high', 'low', 'close', 'volume', 'day', 'id'].
The data in these columns is interpreted as follows:
- Price columns ('open', 'high', 'low', 'close') are interpreted as 1000 *
as-traded dollar value.
- Volume is interpreted as as-traded volume.
- Day is interpreted as seconds since midnight UTC, Jan 1, 1970.
- Id is the asset id of the row.
The data in each column is grouped by asset and then sorted by day within
each asset block.
The table is built to represent a long time range of data, e.g. ten years
of equity data, so the lengths of each asset block is not equal to each
other. The blocks are clipped to the known start and end date of each asset
to cut down on the number of empty values that would need to be included to
make a regular/cubic dataset.
When read across the open, high, low, close, and volume with the same
index should represent the same asset and day.
See Also
--------
catalyst.data.us_equity_pricing.BcolzDailyBarWriter
"""
def __init__(self, table, read_all_threshold=3000):
self._maybe_table_rootdir = table
# Cache of fully read np.array for the carrays in the daily bar table.
# raw_array does not use the same cache, but it could.
# Need to test keeping the entire array in memory for the course of a
# process first.
self._spot_cols = {}
self.PRICE_ADJUSTMENT_FACTOR = 0.001
self._read_all_threshold = read_all_threshold
@lazyval
def _table(self):
maybe_table_rootdir = self._maybe_table_rootdir
if isinstance(maybe_table_rootdir, ctable):
return maybe_table_rootdir
return ctable(rootdir=maybe_table_rootdir, mode='r')
@lazyval
def sessions(self):
if 'calendar' in self._table.attrs.attrs:
# backwards compatibility with old formats, will remove
return DatetimeIndex(self._table.attrs['calendar'], tz='UTC')
else:
cal = get_calendar(self._table.attrs['calendar_name'])
start_session_ns = self._table.attrs['start_session_ns']
start_session = Timestamp(start_session_ns, tz='UTC')
end_session_ns = self._table.attrs['end_session_ns']
end_session = Timestamp(end_session_ns, tz='UTC')
sessions = cal.sessions_in_range(start_session, end_session)
return sessions
@lazyval
def _first_rows(self):
return {
int(asset_id): start_index
for asset_id, start_index in iteritems(
self._table.attrs['first_row'],
)
}
@lazyval
def _last_rows(self):
return {
int(asset_id): end_index
for asset_id, end_index in iteritems(
self._table.attrs['last_row'],
)
}
@lazyval
def _calendar_offsets(self):
return {
int(id_): offset
for id_, offset in iteritems(
self._table.attrs['calendar_offset'],
)
}
@lazyval
def first_trading_day(self):
try:
return Timestamp(
self._table.attrs['first_trading_day'],
unit='s',
tz='UTC'
)
except KeyError:
return None
@lazyval
def trading_calendar(self):
if 'calendar_name' in self._table.attrs.attrs:
return get_calendar(self._table.attrs['calendar_name'])
else:
return None
@property
def last_available_dt(self):
return self.sessions[-1]
def _compute_slices(self, start_idx, end_idx, assets):
"""
Compute the raw row indices to load for each asset on a query for the
given dates after applying a shift.
Parameters
----------
start_idx : int
Index of first date for which we want data.
end_idx : int
Index of last date for which we want data.
assets : pandas.Int64Index
Assets for which we want to compute row indices
Returns
-------
A 3-tuple of (first_rows, last_rows, offsets):
first_rows : np.array[intp]
Array with length == len(assets) containing the index of the first
row to load for each asset in `assets`.
last_rows : np.array[intp]
Array with length == len(assets) containing the index of the last
row to load for each asset in `assets`.
offset : np.array[intp]
Array with length == (len(asset) containing the index in a buffer
of length `dates` corresponding to the first row of each asset.
The value of offset[i] will be 0 if asset[i] existed at the start
of a query. Otherwise, offset[i] will be equal to the number of
entries in `dates` for which the asset did not yet exist.
"""
# The core implementation of the logic here is implemented in Cython
# for efficiency.
return _compute_row_slices(
self._first_rows,
self._last_rows,
self._calendar_offsets,
start_idx,
end_idx,
assets,
)
def load_raw_arrays(self, columns, start_date, end_date, assets):
# Assumes that the given dates are actually in calendar.
start_idx = self.sessions.get_loc(start_date)
end_idx = self.sessions.get_loc(end_date)
first_rows, last_rows, offsets = self._compute_slices(
start_idx,
end_idx,
assets,
)
read_all = len(assets) > self._read_all_threshold
return _read_bcolz_data(
self._table,
(end_idx - start_idx + 1, len(assets)),
list(columns),
first_rows,
last_rows,
offsets,
read_all,
)
def _spot_col(self, colname):
"""
Get the colname from daily_bar_table and read all of it into memory,
caching the result.
Parameters
----------
colname : string
A name of a OHLCV carray in the daily_bar_table
Returns
-------
array (uint32)
Full read array of the carray in the daily_bar_table with the
given colname.
"""
try:
col = self._spot_cols[colname]
except KeyError:
col = self._spot_cols[colname] = self._table[colname]
return col
def get_last_traded_dt(self, asset, day):
volumes = self._spot_col('volume')
search_day = day
while True:
try:
ix = self.sid_day_index(asset, search_day)
except NoDataBeforeDate:
return NaT
except NoDataAfterDate:
prev_day_ix = self.sessions.get_loc(search_day) - 1
if prev_day_ix > -1:
search_day = self.sessions[prev_day_ix]
continue
except NoDataOnDate:
return NaT
if volumes[ix] != 0:
return search_day
prev_day_ix = self.sessions.get_loc(search_day) - 1
if prev_day_ix > -1:
search_day = self.sessions[prev_day_ix]
else:
return NaT
def sid_day_index(self, sid, day):
"""
Parameters
----------
sid : int
The asset identifier.
day : datetime64-like
Midnight of the day for which data is requested.
Returns
-------
int
Index into the data tape for the given sid and day.
Raises a NoDataOnDate exception if the given day and sid is before
or after the date range of the equity.
"""
try:
day_loc = self.sessions.get_loc(day)
except:
raise NoDataOnDate("day={0} is outside of calendar={1}".format(
day, self.sessions))
offset = day_loc - self._calendar_offsets[sid]
if offset < 0:
raise NoDataBeforeDate(
"No data on or before day={0} for sid={1}".format(
day, sid))
ix = self._first_rows[sid] + offset
if ix > self._last_rows[sid]:
raise NoDataAfterDate(
"No data on or after day={0} for sid={1}".format(
day, sid))
return ix
def get_value(self, sid, dt, field):
"""
Parameters
----------
sid : int
The asset identifier.
day : datetime64-like
Midnight of the day for which data is requested.
colname : string
The price field. e.g. ('open', 'high', 'low', 'close', 'volume')
Returns
-------
float
The spot price for colname of the given sid on the given day.
Raises a NoDataOnDate exception if the given day and sid is before
or after the date range of the equity.
Returns -1 if the day is within the date range, but the price is
0.
"""
ix = self.sid_day_index(sid, dt)
price = self._spot_col(field)[ix]
if field != 'volume':
if price == 0:
return nan
else:
return price * 0.001
else:
return price
class PanelBarReader(SessionBarReader):
"""
Reader for data passed as Panel.
DataPanel Structure
-------
items : Int64Index
Asset identifiers. Must be unique.
major_axis : DatetimeIndex
Dates for data provided provided by the Panel. Must be unique.
minor_axis : ['open', 'high', 'low', 'close', 'volume']
Price attributes. Must be unique.
Attributes
----------
The table with which this loader interacts contains the following
attributes:
panel : pd.Panel
The panel from which to read OHLCV data.
first_trading_day : pd.Timestamp
The first trading day in the dataset.
"""
@preprocess(panel=call(verify_indices_all_unique))
@expect_element(data_frequency={'daily', 'minute'})
def __init__(self, trading_calendar, panel, data_frequency):
panel = panel.copy()
if 'volume' not in panel.minor_axis:
# Fake volume if it does not exist.
panel.loc[:, :, 'volume'] = int(1e9)
self.trading_calendar = trading_calendar
self._first_trading_day = trading_calendar.minute_to_session_label(
panel.major_axis[0]
)
last_trading_day = trading_calendar.minute_to_session_label(
panel.major_axis[-1]
)
self.sessions = trading_calendar.sessions_in_range(
self.first_trading_day,
last_trading_day
)
if data_frequency == 'daily':
self._calendar = self.sessions
elif data_frequency == 'minute':
self._calendar = trading_calendar.minutes_for_sessions_in_range(
self.first_trading_day,
last_trading_day
)
self.panel = panel
sessions = None
@property
def last_available_dt(self):
return self._calendar[-1]
trading_calendar = None
def load_raw_arrays(self, columns, start_dt, end_dt, assets):
cal = self._calendar
return self.panel.loc[
list(assets),
start_dt:end_dt,
list(columns)
].reindex(major_axis=cal[cal.slice_indexer(start_dt, end_dt)]).values.T
def get_value(self, sid, dt, field):
"""
Parameters
----------
sid : int
The asset identifier.
day : datetime64-like
Midnight of the day for which data is requested.
field : string
The price field. e.g. ('open', 'high', 'low', 'close', 'volume')
Returns
-------
float
The spot price for colname of the given sid on the given day.
Raises a NoDataOnDate exception if the given day and sid is before
or after the date range of the equity.
Returns -1 if the day is within the date range, but the price is
0.
"""
return self.panel.loc[sid, dt, field]
def get_last_traded_dt(self, asset, dt):
"""
Parameters
----------
asset : catalyst.asset.Asset
The asset identifier.
dt : datetime64-like
Midnight of the day for which data is requested.
Returns
-------
pd.Timestamp : The last know dt for the asset and dt;
NaT if no trade is found before the given dt.
"""
try:
return self.panel.loc[int(asset), :dt, 'close'].last_valid_index()
except IndexError:
return NaT
@property
def first_trading_day(self):
return self._first_trading_day
class SQLiteAdjustmentWriter(object):
"""
Writer for data to be read by SQLiteAdjustmentReader
Parameters
----------
conn_or_path : str or sqlite3.Connection
A handle to the target sqlite database.
equity_daily_bar_reader : BcolzDailyBarReader
Daily bar reader to use for dividend writes.
overwrite : bool, optional, default=False
If True and conn_or_path is a string, remove any existing files at the
given path before connecting.
See Also
--------
catalyst.data.us_equity_pricing.SQLiteAdjustmentReader
"""
def __init__(self,
conn_or_path,
equity_daily_bar_reader,
calendar,
overwrite=False):
if isinstance(conn_or_path, sqlite3.Connection):
self.conn = conn_or_path
elif isinstance(conn_or_path, string_types):
if overwrite:
try:
remove(conn_or_path)
except OSError as e:
if e.errno != ENOENT:
raise
self.conn = sqlite3.connect(conn_or_path)
self.uri = conn_or_path
else:
raise TypeError("Unknown connection type %s" % type(conn_or_path))
self._equity_daily_bar_reader = equity_daily_bar_reader
self._calendar = calendar
def _write(self, tablename, expected_dtypes, frame):
if frame is None or frame.empty:
# keeping the dtypes correct for empty frames is not easy
frame = DataFrame(
np.array([], dtype=list(expected_dtypes.items())),
)
else:
if frozenset(frame.columns) != viewkeys(expected_dtypes):
raise ValueError(
"Unexpected frame columns:\n"
"Expected Columns: %s\n"
"Received Columns: %s" % (
set(expected_dtypes),
frame.columns.tolist(),
)
)
actual_dtypes = frame.dtypes
for colname, expected in iteritems(expected_dtypes):
actual = actual_dtypes[colname]
if not issubdtype(actual, expected):
raise TypeError(
"Expected data of type {expected} for column"
" '{colname}', but got '{actual}'.".format(
expected=expected,
colname=colname,
actual=actual,
),
)
frame.to_sql(
tablename,
self.conn,
if_exists='append',
chunksize=50000,
)
def write_frame(self, tablename, frame):
if tablename not in SQLITE_ADJUSTMENT_TABLENAMES:
raise ValueError(
"Adjustment table %s not in %s" % (
tablename,
SQLITE_ADJUSTMENT_TABLENAMES,
)
)
if not (frame is None or frame.empty):
frame = frame.copy()
frame['effective_date'] = frame['effective_date'].values.astype(
'datetime64[s]',
).astype('int64')
return self._write(
tablename,
SQLITE_ADJUSTMENT_COLUMN_DTYPES,
frame,
)
def write_dividend_payouts(self, frame):
"""
Write dividend payout data to SQLite table `dividend_payouts`.
"""
return self._write(
'dividend_payouts',
SQLITE_DIVIDEND_PAYOUT_COLUMN_DTYPES,
frame,
)
def write_stock_dividend_payouts(self, frame):
return self._write(
'stock_dividend_payouts',
SQLITE_STOCK_DIVIDEND_PAYOUT_COLUMN_DTYPES,
frame,
)
def calc_dividend_ratios(self, dividends):
"""
Calculate the ratios to apply to equities when looking back at pricing
history so that the price is smoothed over the ex_date, when the market
adjusts to the change in equity value due to upcoming dividend.
Returns
-------
DataFrame
A frame in the same format as splits and mergers, with keys
- sid, the id of the equity
- effective_date, the date in seconds on which to apply the ratio.
- ratio, the ratio to apply to backwards looking pricing data.
"""
if dividends is None or dividends.empty:
return DataFrame(np.array(
[],
dtype=[
('sid', uint32),
('effective_date', uint32),
('ratio', float64),
],
))
ex_dates = dividends.ex_date.values
sids = dividends.sid.values
amounts = dividends.amount.values
ratios = full(len(amounts), nan)
equity_daily_bar_reader = self._equity_daily_bar_reader
effective_dates = full(len(amounts), -1, dtype=int64)
calendar = self._calendar
# Calculate locs against a tz-naive cal, as the ex_dates are tz-
# naive.
#
# TODO: A better approach here would be to localize ex_date to
# the tz of the calendar, but currently get_indexer does not
# preserve tz of the target when method='bfill', which throws
# off the comparison.
tz_naive_calendar = calendar.tz_localize(None)
day_locs = tz_naive_calendar.get_indexer(ex_dates, method='bfill')
for i, amount in enumerate(amounts):
sid = sids[i]
ex_date = ex_dates[i]
day_loc = day_locs[i]
prev_close_date = calendar[day_loc - 1]
try:
prev_close = equity_daily_bar_reader.get_value(
sid, prev_close_date, 'close')
if not isnull(prev_close):
ratio = 1.0 - amount / prev_close
ratios[i] = ratio
# only assign effective_date when data is found
effective_dates[i] = ex_date
except NoDataOnDate:
logger.warn("Couldn't compute ratio for dividend %s" % {
'sid': sid,
'ex_date': ex_date,
'amount': amount,
})
continue
# Create a mask to filter out indices in the effective_date, sid, and
# ratio vectors for which a ratio was not calculable.
effective_mask = effective_dates != -1
effective_dates = effective_dates[effective_mask]
effective_dates = effective_dates.astype('datetime64[ns]').\
astype('datetime64[s]').astype(uint32)
sids = sids[effective_mask]
ratios = ratios[effective_mask]
return DataFrame({
'sid': sids,
'effective_date': effective_dates,
'ratio': ratios,
})
def _write_dividends(self, dividends):
if dividends is None:
dividend_payouts = None
else:
dividend_payouts = dividends.copy()
dividend_payouts['ex_date'] = dividend_payouts['ex_date'].values.\
astype('datetime64[s]').astype(integer)
dividend_payouts['record_date'] = \
dividend_payouts['record_date'].values.\
astype('datetime64[s]').astype(integer)
dividend_payouts['declared_date'] = \
dividend_payouts['declared_date'].values.\
astype('datetime64[s]').astype(integer)
dividend_payouts['pay_date'] = \
dividend_payouts['pay_date'].values.astype('datetime64[s]').\
astype(integer)
self.write_dividend_payouts(dividend_payouts)
def _write_stock_dividends(self, stock_dividends):
if stock_dividends is None:
stock_dividend_payouts = None
else:
stock_dividend_payouts = stock_dividends.copy()
stock_dividend_payouts['ex_date'] = \
stock_dividend_payouts['ex_date'].values.\
astype('datetime64[s]').astype(integer)
stock_dividend_payouts['record_date'] = \
stock_dividend_payouts['record_date'].values.\
astype('datetime64[s]').astype(integer)
stock_dividend_payouts['declared_date'] = \
stock_dividend_payouts['declared_date'].\
values.astype('datetime64[s]').astype(integer)
stock_dividend_payouts['pay_date'] = \
stock_dividend_payouts['pay_date'].\
values.astype('datetime64[s]').astype(integer)
self.write_stock_dividend_payouts(stock_dividend_payouts)
def write_dividend_data(self, dividends, stock_dividends=None):
"""
Write both dividend payouts and the derived price adjustment ratios.
"""
# First write the dividend payouts.
self._write_dividends(dividends)
self._write_stock_dividends(stock_dividends)
# Second from the dividend payouts, calculate ratios.
dividend_ratios = self.calc_dividend_ratios(dividends)
self.write_frame('dividends', dividend_ratios)
def __enter__(self):
return self
def __exit__(self, *exc_info):
self.close()
def write(self,
splits=None,
mergers=None,
dividends=None,
stock_dividends=None):
"""
Writes data to a SQLite file to be read by SQLiteAdjustmentReader.
Parameters
----------
splits : pandas.DataFrame, optional
Dataframe containing split data. The format of this dataframe is:
effective_date : int
The date, represented as seconds since Unix epoch, on which
the adjustment should be applied.
ratio : float
A value to apply to all data earlier than the effective date.
For open, high, low, and close those values are multiplied by
the ratio. Volume is divided by this value.
sid : int
The asset id associated with this adjustment.
mergers : pandas.DataFrame, optional
DataFrame containing merger data. The format of this dataframe is:
effective_date : int
The date, represented as seconds since Unix epoch, on which
the adjustment should be applied.
ratio : float
A value to apply to all data earlier than the effective date.
For open, high, low, and close those values are multiplied by
the ratio. Volume is unaffected.
sid : int
The asset id associated with this adjustment.
dividends : pandas.DataFrame, optional
DataFrame containing dividend data. The format of the dataframe is:
sid : int
The asset id associated with this adjustment.
ex_date : datetime64
The date on which an equity must be held to be eligible to
receive payment.
declared_date : datetime64
The date on which the dividend is announced to the public.
pay_date : datetime64
The date on which the dividend is distributed.
record_date : datetime64
The date on which the stock ownership is checked to determine
distribution of dividends.
amount : float
The cash amount paid for each share.
Dividend ratios are calculated as:
``1.0 - (dividend_value / "close on day prior to ex_date")``
stock_dividends : pandas.DataFrame, optional
DataFrame containing stock dividend data. The format of the
dataframe is:
sid : int
The asset id associated with this adjustment.
ex_date : datetime64
The date on which an equity must be held to be eligible to
receive payment.
declared_date : datetime64
The date on which the dividend is announced to the public.
pay_date : datetime64
The date on which the dividend is distributed.
record_date : datetime64
The date on which the stock ownership is checked to determine
distribution of dividends.
payment_sid : int
The asset id of the shares that should be paid instead of
cash.
ratio : float
The ratio of currently held shares in the held sid that
should be paid with new shares of the payment_sid.
See Also
--------
catalyst.data.us_equity_pricing.SQLiteAdjustmentReader
"""
self.write_frame('splits', splits)
self.write_frame('mergers', mergers)
self.write_dividend_data(dividends, stock_dividends)
self.conn.execute(
"CREATE INDEX splits_sids "
"ON splits(sid)"
)
self.conn.execute(
"CREATE INDEX splits_effective_date "
"ON splits(effective_date)"
)
self.conn.execute(
"CREATE INDEX mergers_sids "
"ON mergers(sid)"
)
self.conn.execute(
"CREATE INDEX mergers_effective_date "
"ON mergers(effective_date)"
)
self.conn.execute(
"CREATE INDEX dividends_sid "
"ON dividends(sid)"
)
self.conn.execute(
"CREATE INDEX dividends_effective_date "
"ON dividends(effective_date)"
)
self.conn.execute(
"CREATE INDEX dividend_payouts_sid "
"ON dividend_payouts(sid)"
)
self.conn.execute(
"CREATE INDEX dividends_payouts_ex_date "
"ON dividend_payouts(ex_date)"
)
self.conn.execute(
"CREATE INDEX stock_dividend_payouts_sid "
"ON stock_dividend_payouts(sid)"
)
self.conn.execute(
"CREATE INDEX stock_dividends_payouts_ex_date "
"ON stock_dividend_payouts(ex_date)"
)
def close(self):
self.conn.close()
UNPAID_QUERY_TEMPLATE = """
SELECT sid, amount, pay_date from dividend_payouts
WHERE ex_date=? AND sid IN ({0})
"""
Dividend = namedtuple('Dividend', ['asset', 'amount', 'pay_date'])
UNPAID_STOCK_DIVIDEND_QUERY_TEMPLATE = """
SELECT sid, payment_sid, ratio, pay_date from stock_dividend_payouts
WHERE ex_date=? AND sid IN ({0})
"""
StockDividend = namedtuple(
'StockDividend',
['asset', 'payment_asset', 'ratio', 'pay_date'])
class SQLiteAdjustmentReader(object):
"""
Loads adjustments based on corporate actions from a SQLite database.
Expects data written in the format output by `SQLiteAdjustmentWriter`.
Parameters
----------
conn : str or sqlite3.Connection
Connection from which to load data.
See Also
--------
:class:`catalyst.data.us_equity_pricing.SQLiteAdjustmentWriter`
"""
@preprocess(conn=coerce_string_to_conn)
def __init__(self, conn):
self.conn = conn
# Given the tables in the adjustments.db file, dict which knows which
# col names contain dates that have been coerced into ints.
self._datetime_int_cols = {
'dividend_payouts': ('declared_date', 'ex_date', 'pay_date',
'record_date'),
'dividends': ('effective_date',),
'mergers': ('effective_date',),
'splits': ('effective_date',),
'stock_dividend_payouts': ('declared_date', 'ex_date', 'pay_date',
'record_date')
}
def load_adjustments(self, columns, dates, assets):
return load_adjustments_from_sqlite(
self.conn,
list(columns),
dates,
assets,
)
def get_adjustments_for_sid(self, table_name, sid):
t = (sid,)
c = self.conn.cursor()
adjustments_for_sid = c.execute(
"SELECT effective_date, ratio FROM %s WHERE sid = ?" %
table_name, t).fetchall()
c.close()
return [[Timestamp(adjustment[0], unit='s', tz='UTC'), adjustment[1]]
for adjustment in
adjustments_for_sid]
def get_dividends_with_ex_date(self, assets, date, asset_finder):
seconds = date.value / int(1e9)
c = self.conn.cursor()
divs = []
for chunk in group_into_chunks(assets):
query = UNPAID_QUERY_TEMPLATE.format(
",".join(['?' for _ in chunk]))
t = (seconds,) + tuple(map(lambda x: int(x), chunk))
c.execute(query, t)
rows = c.fetchall()
for row in rows:
div = Dividend(
asset_finder.retrieve_asset(row[0]),
row[1], Timestamp(row[2], unit='s', tz='UTC'))
divs.append(div)
c.close()
return divs
def get_stock_dividends_with_ex_date(self, assets, date, asset_finder):
seconds = date.value / int(1e9)
c = self.conn.cursor()
stock_divs = []
for chunk in group_into_chunks(assets):
query = UNPAID_STOCK_DIVIDEND_QUERY_TEMPLATE.format(
",".join(['?' for _ in chunk]))
t = (seconds,) + tuple(map(lambda x: int(x), chunk))
c.execute(query, t)
rows = c.fetchall()
for row in rows:
stock_div = StockDividend(
asset_finder.retrieve_asset(row[0]), # asset
asset_finder.retrieve_asset(row[1]), # payment_asset
row[2],
Timestamp(row[3], unit='s', tz='UTC'))
stock_divs.append(stock_div)
c.close()
return stock_divs
def unpack_db_to_component_dfs(self, convert_dates=False):
"""Returns the set of known tables in the adjustments file in DataFrame
form.
Parameters
----------
convert_dates : bool, optional
By default, dates are returned in seconds since EPOCH. If
convert_dates is True, all ints in date columns will be converted
to datetimes.
Returns
-------
dfs : dict{str->DataFrame}
Dictionary which maps table name to the corresponding DataFrame
version of the table, where all date columns have been coerced back
from int to datetime.
"""
def _get_df_from_table(table_name, date_cols):
# Dates are stored in second resolution as ints in adj.db tables.
# Need to specifically convert them as UTC, not local time.
kwargs = (
{'parse_dates': {col: {'unit': 's', 'utc': True}
for col in date_cols}
}
if convert_dates
else {}
)
return read_sql(
'select * from "{}"'.format(table_name),
self.conn,
index_col='index',
**kwargs
).rename_axis(None)
return {
t_name: _get_df_from_table(
t_name,
date_cols
)
for t_name, date_cols in self._datetime_int_cols.items()
}
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