mirror of
https://github.com/wassname/catalyst.git
synced 2026-06-30 23:26:38 +08:00
Scott Sanderson
ef4f642e62
This patch lays the groundwork for a compute engine designed to facilitate construction of factor-based universe screening and portfolio allocation. It contains: A new module, `zipline.modelling`, containing entities that can be used to express computations as dependency graphs. Each node in such a graph is an instance of the base `Term` class, defined in `zipline.modelling.term`. Dependency graphs are executed by instances of `FFCEngine`, defined in `zipline.modelling.engine`. A new module, `zipline.data.ffc`, containing loaders and dataset definitions for inputs to the modelling API. New `TradingAlgorithm` api methods: `add_factor`, and `add_filter`. These methods can only be called from `initialize`, and are used to inform the algorithm that each day it should compute the given terms. Computed factor results are made available through a new attribute of the `data` object in `before_trading_start` and `handle_data`. Computed filter results control which assets are available in the factor matrix on each day.
55 lines
1.5 KiB
Python
55 lines
1.5 KiB
Python
from __future__ import print_function
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import sys
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import doctest
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from unittest import TestCase
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from zipline.lib import adjustment
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from zipline.modelling import (
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engine,
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expression,
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)
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from zipline.utils import (
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lazyval,
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test_utils,
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)
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class DoctestTestCase(TestCase):
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@classmethod
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def setUpClass(cls):
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import pdb
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# Workaround for the issue addressed by this (unmerged) PR to pdbpp:
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# https://bitbucket.org/antocuni/pdb/pull-request/40/fix-ensure_file_can_write_unicode/diff # noqa
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if '_pdbpp_path_hack' in pdb.__file__:
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cls._skip = True
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else:
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cls._skip = False
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def _check_docs(self, module):
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if self._skip:
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# Printing this directly to __stdout__ so that it doesn't get
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# captured by nose.
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print("Warning: Skipping doctests for %s because "
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"pdbpp is installed." % module.__name__, file=sys.__stdout__)
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return
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try:
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doctest.testmod(module, verbose=True, raise_on_error=True)
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except doctest.UnexpectedException as e:
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raise e.exc_info[1]
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def test_adjustment_docs(self):
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self._check_docs(adjustment)
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def test_expression_docs(self):
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self._check_docs(expression)
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def test_engine_docs(self):
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self._check_docs(engine)
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def test_lazyval_docs(self):
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self._check_docs(lazyval)
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def test_test_utils_docs(self):
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self._check_docs(test_utils)
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