mirror of
https://github.com/wassname/catalyst.git
synced 2026-07-06 05:14:38 +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.
47 lines
1007 B
Python
47 lines
1007 B
Python
"""
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An immutable, lazily loaded value descriptor.
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"""
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from weakref import WeakKeyDictionary
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class lazyval(object):
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"""
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Decorator that marks that an attribute should not be computed until
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needed, and that the value should be memoized.
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Example
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-------
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>>> from zipline.utils.lazyval import lazyval
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>>> class C(object):
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... def __init__(self):
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... self.count = 0
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... @lazyval
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... def val(self):
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... self.count += 1
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... return "val"
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...
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>>> c = C()
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>>> c.count
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0
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>>> c.val, c.count
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('val', 1)
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>>> c.val, c.count
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('val', 1)
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"""
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def __init__(self, get):
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self._get = get
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self._cache = WeakKeyDictionary()
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def __get__(self, instance, owner):
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if instance is None:
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return self
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try:
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return self._cache[instance]
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except KeyError:
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self._cache[instance] = val = self._get(instance)
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return val
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