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https://github.com/wassname/catalyst.git
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1383 lines
49 KiB
Python
1383 lines
49 KiB
Python
"""
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Tests for the blaze interface to the pipeline api.
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"""
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from __future__ import division
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from collections import OrderedDict
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from datetime import timedelta, time
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from itertools import product, chain
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import warnings
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import blaze as bz
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from datashape import dshape, var, Record
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from nose_parameterized import parameterized
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import numpy as np
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from numpy.testing.utils import assert_array_almost_equal
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from odo import odo
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import pandas as pd
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from pandas.util.testing import assert_frame_equal
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from toolz import keymap, valmap, concatv
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from toolz.curried import operator as op
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from zipline.assets.synthetic import make_simple_equity_info
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from zipline.pipeline import Pipeline, CustomFactor
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from zipline.pipeline.data import DataSet, BoundColumn
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from zipline.pipeline.engine import SimplePipelineEngine
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from zipline.pipeline.loaders.blaze import (
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from_blaze,
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BlazeLoader,
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NoDeltasWarning,
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)
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from zipline.pipeline.loaders.blaze.core import (
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NonPipelineField,
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no_deltas_rules,
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)
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from zipline.testing.fixtures import WithAssetFinder
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from zipline.utils.numpy_utils import (
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float64_dtype,
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int64_dtype,
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repeat_last_axis,
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)
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from zipline.testing import tmp_asset_finder, ZiplineTestCase
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nameof = op.attrgetter('name')
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dtypeof = op.attrgetter('dtype')
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asset_infos = (
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(make_simple_equity_info(
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tuple(map(ord, 'ABC')),
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pd.Timestamp(0),
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pd.Timestamp('2015'),
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),),
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(make_simple_equity_info(
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tuple(map(ord, 'ABCD')),
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pd.Timestamp(0),
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pd.Timestamp('2015'),
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),),
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)
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with_extra_sid = parameterized.expand(asset_infos)
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with_ignore_sid = parameterized.expand(
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product(chain.from_iterable(asset_infos), [True, False])
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)
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def _utc_localize_index_level_0(df):
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"""``tz_localize`` the first level of a multiindexed dataframe to utc.
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Mutates df in place.
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"""
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idx = df.index
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df.index = pd.MultiIndex.from_product(
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(idx.levels[0].tz_localize('utc'), idx.levels[1]),
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names=idx.names,
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)
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return df
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class BlazeToPipelineTestCase(WithAssetFinder, ZiplineTestCase):
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START_DATE = pd.Timestamp(0)
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END_DATE = pd.Timestamp('2015')
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@classmethod
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def init_class_fixtures(cls):
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super(BlazeToPipelineTestCase, cls).init_class_fixtures()
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cls.dates = dates = pd.date_range('2014-01-01', '2014-01-03')
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dates = cls.dates.repeat(3)
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cls.df = df = pd.DataFrame({
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'sid': cls.ASSET_FINDER_EQUITY_SIDS * 3,
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'value': (0., 1., 2., 1., 2., 3., 2., 3., 4.),
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'int_value': (0, 1, 2, 1, 2, 3, 2, 3, 4),
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'asof_date': dates,
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'timestamp': dates,
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})
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cls.dshape = dshape("""
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var * {
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sid: ?int64,
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value: ?float64,
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int_value: ?int64,
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asof_date: datetime,
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timestamp: datetime
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}
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""")
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cls.macro_df = df[df.sid == 65].drop('sid', axis=1)
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dshape_ = OrderedDict(cls.dshape.measure.fields)
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del dshape_['sid']
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cls.macro_dshape = var * Record(dshape_)
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cls.garbage_loader = BlazeLoader()
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cls.missing_values = {'int_value': 0}
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def test_tabular(self):
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name = 'expr'
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expr = bz.data(self.df, name=name, dshape=self.dshape)
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ds = from_blaze(
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expr,
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loader=self.garbage_loader,
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no_deltas_rule=no_deltas_rules.ignore,
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missing_values=self.missing_values,
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)
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self.assertEqual(ds.__name__, name)
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self.assertTrue(issubclass(ds, DataSet))
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self.assertIs(ds.value.dtype, float64_dtype)
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self.assertIs(ds.int_value.dtype, int64_dtype)
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self.assertTrue(np.isnan(ds.value.missing_value))
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self.assertEqual(ds.int_value.missing_value, 0)
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# test memoization
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self.assertIs(
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from_blaze(
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expr,
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loader=self.garbage_loader,
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no_deltas_rule=no_deltas_rules.ignore,
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missing_values=self.missing_values,
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),
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ds,
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)
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def test_column(self):
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exprname = 'expr'
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expr = bz.data(self.df, name=exprname, dshape=self.dshape)
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value = from_blaze(
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expr.value,
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loader=self.garbage_loader,
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no_deltas_rule=no_deltas_rules.ignore,
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missing_values=self.missing_values,
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)
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self.assertEqual(value.name, 'value')
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self.assertIsInstance(value, BoundColumn)
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self.assertIs(value.dtype, float64_dtype)
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# test memoization
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self.assertIs(
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from_blaze(
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expr.value,
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loader=self.garbage_loader,
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no_deltas_rule=no_deltas_rules.ignore,
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missing_values=self.missing_values,
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),
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value,
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)
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self.assertIs(
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from_blaze(
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expr,
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loader=self.garbage_loader,
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no_deltas_rule=no_deltas_rules.ignore,
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missing_values=self.missing_values,
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).value,
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value,
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)
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# test the walk back up the tree
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self.assertIs(
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from_blaze(
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expr,
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loader=self.garbage_loader,
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no_deltas_rule=no_deltas_rules.ignore,
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missing_values=self.missing_values,
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),
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value.dataset,
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)
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self.assertEqual(value.dataset.__name__, exprname)
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def test_missing_asof(self):
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expr = bz.data(
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self.df.loc[:, ['sid', 'value', 'timestamp']],
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name='expr',
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dshape="""
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var * {
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sid: ?int64,
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value: float64,
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timestamp: datetime,
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}""",
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)
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with self.assertRaises(TypeError) as e:
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from_blaze(
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expr,
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loader=self.garbage_loader,
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no_deltas_rule=no_deltas_rules.ignore,
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)
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self.assertIn("'asof_date'", str(e.exception))
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self.assertIn(repr(str(expr.dshape.measure)), str(e.exception))
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def test_auto_deltas(self):
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expr = bz.data(
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{'ds': self.df,
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'ds_deltas': pd.DataFrame(columns=self.df.columns)},
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dshape=var * Record((
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('ds', self.dshape.measure),
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('ds_deltas', self.dshape.measure),
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)),
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)
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loader = BlazeLoader()
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ds = from_blaze(
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expr.ds,
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loader=loader,
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missing_values=self.missing_values,
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)
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self.assertEqual(len(loader), 1)
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exprdata = loader[ds]
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self.assertTrue(exprdata.expr.isidentical(expr.ds))
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self.assertTrue(exprdata.deltas.isidentical(expr.ds_deltas))
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def test_auto_deltas_fail_warn(self):
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with warnings.catch_warnings(record=True) as ws:
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warnings.simplefilter('always')
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loader = BlazeLoader()
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expr = bz.data(self.df, dshape=self.dshape)
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from_blaze(
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expr,
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loader=loader,
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no_deltas_rule=no_deltas_rules.warn,
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missing_values=self.missing_values,
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)
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self.assertEqual(len(ws), 1)
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w = ws[0].message
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self.assertIsInstance(w, NoDeltasWarning)
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self.assertIn(str(expr), str(w))
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def test_auto_deltas_fail_raise(self):
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loader = BlazeLoader()
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expr = bz.data(self.df, dshape=self.dshape)
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with self.assertRaises(ValueError) as e:
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from_blaze(
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expr,
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loader=loader,
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no_deltas_rule=no_deltas_rules.raise_,
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)
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self.assertIn(str(expr), str(e.exception))
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def test_non_pipeline_field(self):
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expr = bz.data(
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[],
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dshape="""
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var * {
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a: complex,
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asof_date: datetime,
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timestamp: datetime,
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}""",
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)
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ds = from_blaze(
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expr,
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loader=self.garbage_loader,
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no_deltas_rule=no_deltas_rules.ignore,
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)
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with self.assertRaises(AttributeError):
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ds.a
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self.assertIsInstance(
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object.__getattribute__(ds, 'a'),
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NonPipelineField,
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)
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def test_cols_with_all_missing_vals(self):
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"""
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Tests that when there is no known data, we get output where the
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columns have the right dtypes and the right missing values filled in.
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input (self.df):
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Empty DataFrame
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Columns: [sid, float_value, str_value, int_value, bool_value, dt_value,
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asof_date, timestamp]
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Index: []
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output (expected)
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str_value float_value int_value
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2014-01-01 Equity(65 [A]) None NaN 0
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Equity(66 [B]) None NaN 0
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Equity(67 [C]) None NaN 0
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2014-01-02 Equity(65 [A]) None NaN 0
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Equity(66 [B]) None NaN 0
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Equity(67 [C]) None NaN 0
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2014-01-03 Equity(65 [A]) None NaN 0
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Equity(66 [B]) None NaN 0
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Equity(67 [C]) None NaN 0
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dt_value bool_value
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2014-01-01 Equity(65 [A]) NaT False
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Equity(66 [B]) NaT False
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Equity(67 [C]) NaT False
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2014-01-02 Equity(65 [A]) NaT False
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Equity(66 [B]) NaT False
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Equity(67 [C]) NaT False
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2014-01-03 Equity(65 [A]) NaT False
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Equity(66 [B]) NaT False
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Equity(67 [C]) NaT False
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"""
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df = pd.DataFrame(columns=['sid', 'float_value', 'str_value',
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'int_value', 'bool_value', 'dt_value',
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'asof_date', 'timestamp'])
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expr = bz.data(
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df,
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dshape="""
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var * {
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sid: int64,
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float_value: float64,
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str_value: string,
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int_value: int64,
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bool_value: bool,
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dt_value: datetime,
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asof_date: datetime,
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timestamp: datetime,
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}""",
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)
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fields = OrderedDict(expr.dshape.measure.fields)
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expected = pd.DataFrame({
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"str_value": np.array([None,
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None,
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None,
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None,
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None,
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None,
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None,
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None,
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None],
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dtype='object'),
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"float_value": np.array([np.NaN,
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np.NaN,
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np.NaN,
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np.NaN,
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np.NaN,
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np.NaN,
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np.NaN,
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np.NaN,
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np.NaN],
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dtype='float64'),
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"int_value": np.array([0,
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0,
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0,
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0,
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0,
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0,
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0,
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0,
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0],
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dtype='int64'),
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"bool_value": np.array([False,
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False,
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False,
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False,
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False,
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False,
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False,
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False,
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False],
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dtype='bool'),
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"dt_value": [pd.NaT,
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pd.NaT,
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pd.NaT,
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pd.NaT,
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pd.NaT,
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pd.NaT,
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pd.NaT,
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pd.NaT,
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pd.NaT],
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},
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columns=['str_value', 'float_value', 'int_value', 'bool_value',
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'dt_value'],
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index=pd.MultiIndex.from_product(
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(self.dates, self.asset_finder.retrieve_all(
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self.ASSET_FINDER_EQUITY_SIDS
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))
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)
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)
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self._test_id(
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df,
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var * Record(fields),
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expected,
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self.asset_finder,
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('float_value', 'str_value', 'int_value', 'bool_value',
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'dt_value'),
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)
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def test_cols_with_some_missing_vals(self):
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"""
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Tests the following:
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1) Forward filling replaces missing values correctly for the data
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types supported in pipeline.
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2) We don't forward fill when the missing value is the actual value
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we got for a date in the case of int/bool columns.
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3) We get the correct type of missing value in the output.
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input (self.df):
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asof_date bool_value dt_value float_value int_value sid
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0 2014-01-01 True 2011-01-01 0 1 65
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1 2014-01-03 True 2011-01-02 1 2 66
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2 2014-01-01 True 2011-01-03 2 3 67
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3 2014-01-02 False NaT NaN 0 67
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str_value timestamp
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0 a 2014-01-01
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1 b 2014-01-03
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2 c 2014-01-01
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3 None 2014-01-02
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output (expected)
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str_value float_value int_value bool_value
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2014-01-01 Equity(65 [A]) a 0 1 True
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Equity(66 [B]) None NaN 0 False
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Equity(67 [C]) c 2 3 True
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2014-01-02 Equity(65 [A]) a 0 1 True
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Equity(66 [B]) None NaN 0 False
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Equity(67 [C]) c 2 0 False
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2014-01-03 Equity(65 [A]) a 0 1 True
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Equity(66 [B]) b 1 2 True
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Equity(67 [C]) c 2 0 False
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|
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dt_value
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2014-01-01 Equity(65 [A]) 2011-01-01
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Equity(66 [B]) NaT
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|
Equity(67 [C]) 2011-01-03
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|
2014-01-02 Equity(65 [A]) 2011-01-01
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|
Equity(66 [B]) NaT
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|
Equity(67 [C]) 2011-01-03
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|
2014-01-03 Equity(65 [A]) 2011-01-01
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|
Equity(66 [B]) 2011-01-02
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Equity(67 [C]) 2011-01-03
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"""
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dates = (self.dates[0], self.dates[-1], self.dates[0], self.dates[1])
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df = pd.DataFrame({
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'sid': self.ASSET_FINDER_EQUITY_SIDS[:-1] +
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(self.ASSET_FINDER_EQUITY_SIDS[-1],)*2,
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'float_value': (0., 1., 2., np.NaN),
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'str_value': ("a", "b", "c", None),
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'int_value': (1, 2, 3, 0),
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'bool_value': (True, True, True, False),
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'dt_value': (pd.Timestamp('2011-01-01'),
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pd.Timestamp('2011-01-02'),
|
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pd.Timestamp('2011-01-03'),
|
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pd.NaT),
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'asof_date': dates,
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'timestamp': dates,
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})
|
|
|
|
expr = bz.data(
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df,
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dshape="""
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var * {
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sid: int64,
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float_value: float64,
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|
str_value: string,
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|
int_value: int64,
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|
bool_value: bool,
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|
dt_value: datetime,
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|
asof_date: datetime,
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timestamp: datetime,
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}""",
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)
|
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fields = OrderedDict(expr.dshape.measure.fields)
|
|
|
|
expected = pd.DataFrame({
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"str_value": np.array(["a",
|
|
None,
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|
"c",
|
|
"a",
|
|
None,
|
|
"c",
|
|
"a",
|
|
"b",
|
|
"c"],
|
|
dtype='object'),
|
|
"float_value": np.array([0,
|
|
np.NaN,
|
|
2,
|
|
0,
|
|
np.NaN,
|
|
2,
|
|
0,
|
|
1,
|
|
2],
|
|
dtype='float64'),
|
|
"int_value": np.array([1,
|
|
0,
|
|
3,
|
|
1,
|
|
0,
|
|
0,
|
|
1,
|
|
2,
|
|
0],
|
|
dtype='int64'),
|
|
"bool_value": np.array([True,
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False,
|
|
True,
|
|
True,
|
|
False,
|
|
False,
|
|
True,
|
|
True,
|
|
False],
|
|
dtype='bool'),
|
|
"dt_value": [pd.Timestamp('2011-01-01'),
|
|
pd.NaT,
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|
pd.Timestamp('2011-01-03'),
|
|
pd.Timestamp('2011-01-01'),
|
|
pd.NaT,
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|
pd.Timestamp('2011-01-03'),
|
|
pd.Timestamp('2011-01-01'),
|
|
pd.Timestamp('2011-01-02'),
|
|
pd.Timestamp('2011-01-03')],
|
|
},
|
|
columns=['str_value', 'float_value', 'int_value', 'bool_value',
|
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'dt_value'],
|
|
index=pd.MultiIndex.from_product(
|
|
(self.dates, self.asset_finder.retrieve_all(
|
|
self.ASSET_FINDER_EQUITY_SIDS
|
|
))
|
|
)
|
|
)
|
|
|
|
self._test_id(
|
|
df,
|
|
var * Record(fields),
|
|
expected,
|
|
self.asset_finder,
|
|
('float_value', 'str_value', 'int_value', 'bool_value',
|
|
'dt_value'),
|
|
)
|
|
|
|
def test_complex_expr(self):
|
|
expr = bz.data(self.df, dshape=self.dshape)
|
|
# put an Add in the table
|
|
expr_with_add = bz.transform(expr, value=expr.value + 1)
|
|
|
|
# Test that we can have complex expressions with no deltas
|
|
from_blaze(
|
|
expr_with_add,
|
|
deltas=None,
|
|
loader=self.garbage_loader,
|
|
missing_values=self.missing_values,
|
|
)
|
|
|
|
with self.assertRaises(TypeError):
|
|
from_blaze(
|
|
expr.value + 1, # put an Add in the column
|
|
deltas=None,
|
|
loader=self.garbage_loader,
|
|
missing_values=self.missing_values,
|
|
)
|
|
|
|
deltas = bz.data(
|
|
pd.DataFrame(columns=self.df.columns),
|
|
dshape=self.dshape,
|
|
)
|
|
with self.assertRaises(TypeError):
|
|
from_blaze(
|
|
expr_with_add,
|
|
deltas=deltas,
|
|
loader=self.garbage_loader,
|
|
missing_values=self.missing_values,
|
|
)
|
|
|
|
with self.assertRaises(TypeError):
|
|
from_blaze(
|
|
expr.value + 1,
|
|
deltas=deltas,
|
|
loader=self.garbage_loader,
|
|
missing_values=self.missing_values,
|
|
)
|
|
|
|
def _test_id(self, df, dshape, expected, finder, add):
|
|
expr = bz.data(df, name='expr', dshape=dshape)
|
|
loader = BlazeLoader()
|
|
ds = from_blaze(
|
|
expr,
|
|
loader=loader,
|
|
no_deltas_rule=no_deltas_rules.ignore,
|
|
missing_values=self.missing_values,
|
|
)
|
|
p = Pipeline()
|
|
for a in add:
|
|
p.add(getattr(ds, a).latest, a)
|
|
dates = self.dates
|
|
|
|
result = SimplePipelineEngine(
|
|
loader,
|
|
dates,
|
|
finder,
|
|
).run_pipeline(p, dates[0], dates[-1])
|
|
assert_frame_equal(
|
|
result.sort_index(axis=1),
|
|
_utc_localize_index_level_0(expected.sort_index(axis=1)),
|
|
check_dtype=False,
|
|
)
|
|
|
|
def test_custom_query_time_tz(self):
|
|
df = self.df.copy()
|
|
df['timestamp'] = (
|
|
pd.DatetimeIndex(df['timestamp'], tz='EST') +
|
|
timedelta(hours=8, minutes=44)
|
|
).tz_convert('utc').tz_localize(None)
|
|
df.ix[3:5, 'timestamp'] = pd.Timestamp('2014-01-01 13:45')
|
|
expr = bz.data(df, name='expr', dshape=self.dshape)
|
|
loader = BlazeLoader(data_query_time=time(8, 45), data_query_tz='EST')
|
|
ds = from_blaze(
|
|
expr,
|
|
loader=loader,
|
|
no_deltas_rule=no_deltas_rules.ignore,
|
|
missing_values=self.missing_values,
|
|
)
|
|
p = Pipeline()
|
|
p.add(ds.value.latest, 'value')
|
|
p.add(ds.int_value.latest, 'int_value')
|
|
dates = self.dates
|
|
|
|
result = SimplePipelineEngine(
|
|
loader,
|
|
dates,
|
|
self.asset_finder,
|
|
).run_pipeline(p, dates[0], dates[-1])
|
|
|
|
expected = df.drop('asof_date', axis=1)
|
|
expected['timestamp'] = expected['timestamp'].dt.normalize().astype(
|
|
'datetime64[ns]',
|
|
).dt.tz_localize('utc')
|
|
expected.ix[3:5, 'timestamp'] += timedelta(days=1)
|
|
expected.set_index(['timestamp', 'sid'], inplace=True)
|
|
expected.index = pd.MultiIndex.from_product((
|
|
expected.index.levels[0],
|
|
self.asset_finder.retrieve_all(expected.index.levels[1]),
|
|
))
|
|
assert_frame_equal(result, expected, check_dtype=False)
|
|
|
|
def test_id(self):
|
|
"""
|
|
input (self.df):
|
|
asof_date sid timestamp value
|
|
0 2014-01-01 65 2014-01-01 0
|
|
1 2014-01-01 66 2014-01-01 1
|
|
2 2014-01-01 67 2014-01-01 2
|
|
3 2014-01-02 65 2014-01-02 1
|
|
4 2014-01-02 66 2014-01-02 2
|
|
5 2014-01-02 67 2014-01-02 3
|
|
6 2014-01-03 65 2014-01-03 2
|
|
7 2014-01-03 66 2014-01-03 3
|
|
8 2014-01-03 67 2014-01-03 4
|
|
|
|
output (expected)
|
|
value
|
|
2014-01-01 Equity(65 [A]) 0
|
|
Equity(66 [B]) 1
|
|
Equity(67 [C]) 2
|
|
2014-01-02 Equity(65 [A]) 1
|
|
Equity(66 [B]) 2
|
|
Equity(67 [C]) 3
|
|
2014-01-03 Equity(65 [A]) 2
|
|
Equity(66 [B]) 3
|
|
Equity(67 [C]) 4
|
|
"""
|
|
expected = self.df.drop('asof_date', axis=1).set_index(
|
|
['timestamp', 'sid'],
|
|
)
|
|
expected.index = pd.MultiIndex.from_product((
|
|
expected.index.levels[0],
|
|
self.asset_finder.retrieve_all(expected.index.levels[1]),
|
|
))
|
|
self._test_id(
|
|
self.df, self.dshape, expected, self.asset_finder,
|
|
('int_value', 'value',)
|
|
)
|
|
|
|
def test_id_ffill_out_of_window(self):
|
|
"""
|
|
input (df):
|
|
|
|
asof_date timestamp sid other value
|
|
0 2013-12-22 2013-12-22 65 0 0
|
|
1 2013-12-22 2013-12-22 66 NaN 1
|
|
2 2013-12-22 2013-12-22 67 2 NaN
|
|
3 2013-12-23 2013-12-23 65 NaN 1
|
|
4 2013-12-23 2013-12-23 66 2 NaN
|
|
5 2013-12-23 2013-12-23 67 3 3
|
|
6 2013-12-24 2013-12-24 65 2 NaN
|
|
7 2013-12-24 2013-12-24 66 3 3
|
|
8 2013-12-24 2013-12-24 67 NaN 4
|
|
|
|
output (expected):
|
|
other value
|
|
2014-01-01 Equity(65 [A]) 2 1
|
|
Equity(66 [B]) 3 3
|
|
Equity(67 [C]) 3 4
|
|
2014-01-02 Equity(65 [A]) 2 1
|
|
Equity(66 [B]) 3 3
|
|
Equity(67 [C]) 3 4
|
|
2014-01-03 Equity(65 [A]) 2 1
|
|
Equity(66 [B]) 3 3
|
|
Equity(67 [C]) 3 4
|
|
"""
|
|
dates = self.dates.repeat(3) - timedelta(days=10)
|
|
df = pd.DataFrame({
|
|
'sid': self.ASSET_FINDER_EQUITY_SIDS * 3,
|
|
'value': (0, 1, np.nan, 1, np.nan, 3, np.nan, 3, 4),
|
|
'other': (0, np.nan, 2, np.nan, 2, 3, 2, 3, np.nan),
|
|
'asof_date': dates,
|
|
'timestamp': dates,
|
|
})
|
|
fields = OrderedDict(self.dshape.measure.fields)
|
|
fields['other'] = fields['value']
|
|
|
|
expected = pd.DataFrame(
|
|
np.array([[2, 1],
|
|
[3, 3],
|
|
[3, 4],
|
|
[2, 1],
|
|
[3, 3],
|
|
[3, 4],
|
|
[2, 1],
|
|
[3, 3],
|
|
[3, 4]]),
|
|
columns=['other', 'value'],
|
|
index=pd.MultiIndex.from_product(
|
|
(self.dates, self.asset_finder.retrieve_all(
|
|
self.ASSET_FINDER_EQUITY_SIDS
|
|
)),
|
|
),
|
|
)
|
|
self._test_id(
|
|
df,
|
|
var * Record(fields),
|
|
expected,
|
|
self.asset_finder,
|
|
('value', 'other'),
|
|
)
|
|
|
|
def test_id_multiple_columns(self):
|
|
"""
|
|
input (df):
|
|
asof_date sid timestamp value other
|
|
0 2014-01-01 65 2014-01-01 0 1
|
|
1 2014-01-01 66 2014-01-01 1 2
|
|
2 2014-01-01 67 2014-01-01 2 3
|
|
3 2014-01-02 65 2014-01-02 1 2
|
|
4 2014-01-02 66 2014-01-02 2 3
|
|
5 2014-01-02 67 2014-01-02 3 4
|
|
6 2014-01-03 65 2014-01-03 2 3
|
|
7 2014-01-03 66 2014-01-03 3 4
|
|
8 2014-01-03 67 2014-01-03 4 5
|
|
|
|
output (expected):
|
|
value other
|
|
2014-01-01 Equity(65 [A]) 0 1
|
|
Equity(66 [B]) 1 2
|
|
Equity(67 [C]) 2 3
|
|
2014-01-02 Equity(65 [A]) 1 2
|
|
Equity(66 [B]) 2 3
|
|
Equity(67 [C]) 3 4
|
|
2014-01-03 Equity(65 [A]) 2 3
|
|
Equity(66 [B]) 3 4
|
|
Equity(67 [C]) 4 5
|
|
"""
|
|
df = self.df.copy()
|
|
df['other'] = df.value + 1
|
|
fields = OrderedDict(self.dshape.measure.fields)
|
|
fields['other'] = fields['value']
|
|
expected = df.drop('asof_date', axis=1).set_index(
|
|
['timestamp', 'sid'],
|
|
).sort_index(axis=1)
|
|
expected.index = pd.MultiIndex.from_product((
|
|
expected.index.levels[0],
|
|
self.asset_finder.retrieve_all(expected.index.levels[1]),
|
|
))
|
|
self._test_id(
|
|
df,
|
|
var * Record(fields),
|
|
expected,
|
|
self.asset_finder,
|
|
('value', 'int_value', 'other'),
|
|
)
|
|
|
|
def test_id_macro_dataset(self):
|
|
"""
|
|
input (self.macro_df)
|
|
asof_date timestamp value
|
|
0 2014-01-01 2014-01-01 0
|
|
3 2014-01-02 2014-01-02 1
|
|
6 2014-01-03 2014-01-03 2
|
|
|
|
output (expected):
|
|
value
|
|
2014-01-01 Equity(65 [A]) 0
|
|
Equity(66 [B]) 0
|
|
Equity(67 [C]) 0
|
|
2014-01-02 Equity(65 [A]) 1
|
|
Equity(66 [B]) 1
|
|
Equity(67 [C]) 1
|
|
2014-01-03 Equity(65 [A]) 2
|
|
Equity(66 [B]) 2
|
|
Equity(67 [C]) 2
|
|
"""
|
|
asset_info = asset_infos[0][0]
|
|
nassets = len(asset_info)
|
|
expected = pd.DataFrame(
|
|
list(concatv([0] * nassets, [1] * nassets, [2] * nassets)),
|
|
index=pd.MultiIndex.from_product((
|
|
self.macro_df.timestamp,
|
|
self.asset_finder.retrieve_all(asset_info.index),
|
|
)),
|
|
columns=('value',),
|
|
)
|
|
self._test_id(
|
|
self.macro_df,
|
|
self.macro_dshape,
|
|
expected,
|
|
self.asset_finder,
|
|
('value',),
|
|
)
|
|
|
|
def test_id_ffill_out_of_window_macro_dataset(self):
|
|
"""
|
|
input (df):
|
|
asof_date timestamp other value
|
|
0 2013-12-22 2013-12-22 NaN 0
|
|
1 2013-12-23 2013-12-23 1 NaN
|
|
2 2013-12-24 2013-12-24 NaN NaN
|
|
|
|
output (expected):
|
|
other value
|
|
2014-01-01 Equity(65 [A]) 1 0
|
|
Equity(66 [B]) 1 0
|
|
Equity(67 [C]) 1 0
|
|
2014-01-02 Equity(65 [A]) 1 0
|
|
Equity(66 [B]) 1 0
|
|
Equity(67 [C]) 1 0
|
|
2014-01-03 Equity(65 [A]) 1 0
|
|
Equity(66 [B]) 1 0
|
|
Equity(67 [C]) 1 0
|
|
"""
|
|
dates = self.dates - timedelta(days=10)
|
|
df = pd.DataFrame({
|
|
'value': (0, np.nan, np.nan),
|
|
'other': (np.nan, 1, np.nan),
|
|
'asof_date': dates,
|
|
'timestamp': dates,
|
|
})
|
|
fields = OrderedDict(self.macro_dshape.measure.fields)
|
|
fields['other'] = fields['value']
|
|
|
|
expected = pd.DataFrame(
|
|
np.array([[0, 1],
|
|
[0, 1],
|
|
[0, 1],
|
|
[0, 1],
|
|
[0, 1],
|
|
[0, 1],
|
|
[0, 1],
|
|
[0, 1],
|
|
[0, 1]]),
|
|
columns=['value', 'other'],
|
|
index=pd.MultiIndex.from_product(
|
|
(self.dates, self.asset_finder.retrieve_all(
|
|
self.ASSET_FINDER_EQUITY_SIDS
|
|
)),
|
|
),
|
|
).sort_index(axis=1)
|
|
self._test_id(
|
|
df,
|
|
var * Record(fields),
|
|
expected,
|
|
self.asset_finder,
|
|
('value', 'other'),
|
|
)
|
|
|
|
def test_id_macro_dataset_multiple_columns(self):
|
|
"""
|
|
input (df):
|
|
asof_date timestamp other value
|
|
0 2014-01-01 2014-01-01 1 0
|
|
3 2014-01-02 2014-01-02 2 1
|
|
6 2014-01-03 2014-01-03 3 2
|
|
|
|
output (expected):
|
|
other value
|
|
2014-01-01 Equity(65 [A]) 1 0
|
|
Equity(66 [B]) 1 0
|
|
Equity(67 [C]) 1 0
|
|
2014-01-02 Equity(65 [A]) 2 1
|
|
Equity(66 [B]) 2 1
|
|
Equity(67 [C]) 2 1
|
|
2014-01-03 Equity(65 [A]) 3 2
|
|
Equity(66 [B]) 3 2
|
|
Equity(67 [C]) 3 2
|
|
"""
|
|
df = self.macro_df.copy()
|
|
df['other'] = df.value + 1
|
|
fields = OrderedDict(self.macro_dshape.measure.fields)
|
|
fields['other'] = fields['value']
|
|
|
|
asset_info = asset_infos[0][0]
|
|
with tmp_asset_finder(equities=asset_info) as finder:
|
|
expected = pd.DataFrame(
|
|
np.array([[0, 1],
|
|
[1, 2],
|
|
[2, 3]]).repeat(3, axis=0),
|
|
index=pd.MultiIndex.from_product((
|
|
df.timestamp,
|
|
finder.retrieve_all(asset_info.index),
|
|
)),
|
|
columns=('value', 'other'),
|
|
).sort_index(axis=1)
|
|
self._test_id(
|
|
df,
|
|
var * Record(fields),
|
|
expected,
|
|
finder,
|
|
('value', 'other'),
|
|
)
|
|
|
|
def test_id_take_last_in_group(self):
|
|
T = pd.Timestamp
|
|
df = pd.DataFrame(
|
|
columns=['asof_date', 'timestamp', 'sid', 'other', 'value'],
|
|
data=[
|
|
[T('2014-01-01'), T('2014-01-01 00'), 65, 0, 0],
|
|
[T('2014-01-01'), T('2014-01-01 01'), 65, 1, np.nan],
|
|
[T('2014-01-01'), T('2014-01-01 00'), 66, np.nan, np.nan],
|
|
[T('2014-01-01'), T('2014-01-01 01'), 66, np.nan, 1],
|
|
[T('2014-01-01'), T('2014-01-01 00'), 67, 2, np.nan],
|
|
[T('2014-01-01'), T('2014-01-01 01'), 67, np.nan, np.nan],
|
|
[T('2014-01-02'), T('2014-01-02 00'), 65, np.nan, np.nan],
|
|
[T('2014-01-02'), T('2014-01-02 01'), 65, np.nan, 1],
|
|
[T('2014-01-02'), T('2014-01-02 00'), 66, np.nan, np.nan],
|
|
[T('2014-01-02'), T('2014-01-02 01'), 66, 2, np.nan],
|
|
[T('2014-01-02'), T('2014-01-02 00'), 67, 3, 3],
|
|
[T('2014-01-02'), T('2014-01-02 01'), 67, 3, 3],
|
|
[T('2014-01-03'), T('2014-01-03 00'), 65, 2, np.nan],
|
|
[T('2014-01-03'), T('2014-01-03 01'), 65, 2, np.nan],
|
|
[T('2014-01-03'), T('2014-01-03 00'), 66, 3, 3],
|
|
[T('2014-01-03'), T('2014-01-03 01'), 66, np.nan, np.nan],
|
|
[T('2014-01-03'), T('2014-01-03 00'), 67, np.nan, np.nan],
|
|
[T('2014-01-03'), T('2014-01-03 01'), 67, np.nan, 4],
|
|
],
|
|
)
|
|
fields = OrderedDict(self.dshape.measure.fields)
|
|
fields['other'] = fields['value']
|
|
|
|
expected = pd.DataFrame(
|
|
columns=['other', 'value'],
|
|
data=[
|
|
[1, 0], # 2014-01-01 Equity(65 [A])
|
|
[np.nan, 1], # Equity(66 [B])
|
|
[2, np.nan], # Equity(67 [C])
|
|
[1, 1], # 2014-01-02 Equity(65 [A])
|
|
[2, 1], # Equity(66 [B])
|
|
[3, 3], # Equity(67 [C])
|
|
[2, 1], # 2014-01-03 Equity(65 [A])
|
|
[3, 3], # Equity(66 [B])
|
|
[3, 3], # Equity(67 [C])
|
|
],
|
|
index=pd.MultiIndex.from_product(
|
|
(self.dates, self.asset_finder.retrieve_all(
|
|
self.ASSET_FINDER_EQUITY_SIDS
|
|
)),
|
|
),
|
|
)
|
|
self._test_id(
|
|
df,
|
|
var * Record(fields),
|
|
expected,
|
|
self.asset_finder,
|
|
('value', 'other'),
|
|
)
|
|
|
|
def test_id_take_last_in_group_macro(self):
|
|
"""
|
|
output (expected):
|
|
|
|
other value
|
|
2014-01-01 Equity(65 [A]) NaN 1
|
|
Equity(66 [B]) NaN 1
|
|
Equity(67 [C]) NaN 1
|
|
2014-01-02 Equity(65 [A]) 1 2
|
|
Equity(66 [B]) 1 2
|
|
Equity(67 [C]) 1 2
|
|
2014-01-03 Equity(65 [A]) 2 2
|
|
Equity(66 [B]) 2 2
|
|
Equity(67 [C]) 2 2
|
|
"""
|
|
T = pd.Timestamp
|
|
df = pd.DataFrame(
|
|
columns=['asof_date', 'timestamp', 'other', 'value'],
|
|
data=[
|
|
[T('2014-01-01'), T('2014-01-01 00'), np.nan, 1],
|
|
[T('2014-01-01'), T('2014-01-01 01'), np.nan, np.nan],
|
|
[T('2014-01-02'), T('2014-01-02 00'), 1, np.nan],
|
|
[T('2014-01-02'), T('2014-01-02 01'), np.nan, 2],
|
|
[T('2014-01-03'), T('2014-01-03 00'), 2, np.nan],
|
|
[T('2014-01-03'), T('2014-01-03 01'), 3, 3],
|
|
],
|
|
)
|
|
fields = OrderedDict(self.macro_dshape.measure.fields)
|
|
fields['other'] = fields['value']
|
|
|
|
expected = pd.DataFrame(
|
|
columns=[
|
|
'other', 'value',
|
|
],
|
|
data=[
|
|
[np.nan, 1], # 2014-01-01 Equity(65 [A])
|
|
[np.nan, 1], # Equity(66 [B])
|
|
[np.nan, 1], # Equity(67 [C])
|
|
[1, 2], # 2014-01-02 Equity(65 [A])
|
|
[1, 2], # Equity(66 [B])
|
|
[1, 2], # Equity(67 [C])
|
|
[2, 2], # 2014-01-03 Equity(65 [A])
|
|
[2, 2], # Equity(66 [B])
|
|
[2, 2], # Equity(67 [C])
|
|
],
|
|
index=pd.MultiIndex.from_product(
|
|
(self.dates, self.asset_finder.retrieve_all(
|
|
self.ASSET_FINDER_EQUITY_SIDS
|
|
)),
|
|
),
|
|
)
|
|
self._test_id(
|
|
df,
|
|
var * Record(fields),
|
|
expected,
|
|
self.asset_finder,
|
|
('value', 'other'),
|
|
)
|
|
|
|
def _run_pipeline(self,
|
|
expr,
|
|
deltas,
|
|
expected_views,
|
|
expected_output,
|
|
finder,
|
|
calendar,
|
|
start,
|
|
end,
|
|
window_length,
|
|
compute_fn):
|
|
loader = BlazeLoader()
|
|
ds = from_blaze(
|
|
expr,
|
|
deltas,
|
|
loader=loader,
|
|
no_deltas_rule=no_deltas_rules.raise_,
|
|
missing_values=self.missing_values,
|
|
)
|
|
p = Pipeline()
|
|
|
|
# prevent unbound locals issue in the inner class
|
|
window_length_ = window_length
|
|
|
|
class TestFactor(CustomFactor):
|
|
inputs = ds.value,
|
|
window_length = window_length_
|
|
|
|
def compute(self, today, assets, out, data):
|
|
assert_array_almost_equal(data, expected_views[today])
|
|
out[:] = compute_fn(data)
|
|
|
|
p.add(TestFactor(), 'value')
|
|
|
|
result = SimplePipelineEngine(
|
|
loader,
|
|
calendar,
|
|
finder,
|
|
).run_pipeline(p, start, end)
|
|
|
|
assert_frame_equal(
|
|
result,
|
|
_utc_localize_index_level_0(expected_output),
|
|
check_dtype=False,
|
|
)
|
|
|
|
@with_ignore_sid
|
|
def test_deltas(self, asset_info, add_extra_sid):
|
|
df = self.df.copy()
|
|
if add_extra_sid:
|
|
extra_sid_df = pd.DataFrame({
|
|
'asof_date': self.dates,
|
|
'timestamp': self.dates,
|
|
'sid': (ord('E'),) * 3,
|
|
'value': (3., 4., 5.,),
|
|
'int_value': (3, 4, 5),
|
|
})
|
|
df = df.append(extra_sid_df, ignore_index=True)
|
|
expr = bz.data(df, name='expr', dshape=self.dshape)
|
|
deltas = bz.data(df, dshape=self.dshape)
|
|
deltas = bz.data(
|
|
odo(
|
|
bz.transform(
|
|
deltas,
|
|
value=deltas.value + 10,
|
|
timestamp=deltas.timestamp + timedelta(days=1),
|
|
),
|
|
pd.DataFrame,
|
|
),
|
|
name='delta',
|
|
dshape=self.dshape,
|
|
)
|
|
expected_views = keymap(pd.Timestamp, {
|
|
'2014-01-02': np.array([[10.0, 11.0, 12.0],
|
|
[1.0, 2.0, 3.0]]),
|
|
'2014-01-03': np.array([[11.0, 12.0, 13.0],
|
|
[2.0, 3.0, 4.0]]),
|
|
'2014-01-04': np.array([[12.0, 13.0, 14.0],
|
|
[12.0, 13.0, 14.0]]),
|
|
})
|
|
|
|
nassets = len(asset_info)
|
|
if nassets == 4:
|
|
expected_views = valmap(
|
|
lambda view: np.c_[view, [np.nan, np.nan]],
|
|
expected_views,
|
|
)
|
|
with tmp_asset_finder(equities=asset_info) as finder:
|
|
expected_output = pd.DataFrame(
|
|
list(concatv([12] * nassets, [13] * nassets, [14] * nassets)),
|
|
index=pd.MultiIndex.from_product((
|
|
sorted(expected_views.keys()),
|
|
finder.retrieve_all(asset_info.index),
|
|
)),
|
|
columns=('value',),
|
|
)
|
|
dates = self.dates
|
|
dates = dates.insert(len(dates), dates[-1] + timedelta(days=1))
|
|
self._run_pipeline(
|
|
expr,
|
|
deltas,
|
|
expected_views,
|
|
expected_output,
|
|
finder,
|
|
calendar=dates,
|
|
start=dates[1],
|
|
end=dates[-1],
|
|
window_length=2,
|
|
compute_fn=np.nanmax,
|
|
)
|
|
|
|
@with_extra_sid
|
|
def test_deltas_only_one_delta_in_universe(self, asset_info):
|
|
expr = bz.data(self.df, name='expr', dshape=self.dshape)
|
|
deltas = pd.DataFrame({
|
|
'sid': [65, 66],
|
|
'asof_date': [self.dates[1], self.dates[0]],
|
|
'timestamp': [self.dates[2], self.dates[1]],
|
|
'value': [10, 11],
|
|
})
|
|
deltas = bz.data(deltas, name='deltas', dshape=self.dshape)
|
|
expected_views = keymap(pd.Timestamp, {
|
|
'2014-01-02': np.array([[0.0, 11.0, 2.0],
|
|
[1.0, 2.0, 3.0]]),
|
|
'2014-01-03': np.array([[10.0, 2.0, 3.0],
|
|
[2.0, 3.0, 4.0]]),
|
|
'2014-01-04': np.array([[2.0, 3.0, 4.0],
|
|
[2.0, 3.0, 4.0]]),
|
|
})
|
|
|
|
nassets = len(asset_info)
|
|
if nassets == 4:
|
|
expected_views = valmap(
|
|
lambda view: np.c_[view, [np.nan, np.nan]],
|
|
expected_views,
|
|
)
|
|
|
|
with tmp_asset_finder(equities=asset_info) as finder:
|
|
expected_output = pd.DataFrame(
|
|
columns=[
|
|
'value',
|
|
],
|
|
data=np.array([11, 10, 4]).repeat(len(asset_info.index)),
|
|
index=pd.MultiIndex.from_product((
|
|
sorted(expected_views.keys()),
|
|
finder.retrieve_all(asset_info.index),
|
|
)),
|
|
)
|
|
dates = self.dates
|
|
dates = dates.insert(len(dates), dates[-1] + timedelta(days=1))
|
|
self._run_pipeline(
|
|
expr,
|
|
deltas,
|
|
expected_views,
|
|
expected_output,
|
|
finder,
|
|
calendar=dates,
|
|
start=dates[1],
|
|
end=dates[-1],
|
|
window_length=2,
|
|
compute_fn=np.nanmax,
|
|
)
|
|
|
|
def test_deltas_macro(self):
|
|
asset_info = asset_infos[0][0]
|
|
expr = bz.data(self.macro_df, name='expr', dshape=self.macro_dshape)
|
|
deltas = bz.data(
|
|
self.macro_df.iloc[:-1],
|
|
name='deltas',
|
|
dshape=self.macro_dshape,
|
|
)
|
|
deltas = bz.transform(
|
|
deltas,
|
|
value=deltas.value + 10,
|
|
timestamp=deltas.timestamp + timedelta(days=1),
|
|
)
|
|
|
|
nassets = len(asset_info)
|
|
expected_views = keymap(pd.Timestamp, {
|
|
'2014-01-02': repeat_last_axis(np.array([10.0, 1.0]), nassets),
|
|
'2014-01-03': repeat_last_axis(np.array([11.0, 2.0]), nassets),
|
|
})
|
|
|
|
with tmp_asset_finder(equities=asset_info) as finder:
|
|
expected_output = pd.DataFrame(
|
|
list(concatv([10] * nassets, [11] * nassets)),
|
|
index=pd.MultiIndex.from_product((
|
|
sorted(expected_views.keys()),
|
|
finder.retrieve_all(asset_info.index),
|
|
)),
|
|
columns=('value',),
|
|
)
|
|
dates = self.dates
|
|
self._run_pipeline(
|
|
expr,
|
|
deltas,
|
|
expected_views,
|
|
expected_output,
|
|
finder,
|
|
calendar=dates,
|
|
start=dates[1],
|
|
end=dates[-1],
|
|
window_length=2,
|
|
compute_fn=np.nanmax,
|
|
)
|
|
|
|
@with_extra_sid
|
|
def test_novel_deltas(self, asset_info):
|
|
base_dates = pd.DatetimeIndex([
|
|
pd.Timestamp('2014-01-01'),
|
|
pd.Timestamp('2014-01-04')
|
|
])
|
|
repeated_dates = base_dates.repeat(3)
|
|
baseline = pd.DataFrame({
|
|
'sid': self.ASSET_FINDER_EQUITY_SIDS * 2,
|
|
'value': (0., 1., 2., 1., 2., 3.),
|
|
'int_value': (0, 1, 2, 1, 2, 3),
|
|
'asof_date': repeated_dates,
|
|
'timestamp': repeated_dates,
|
|
})
|
|
expr = bz.data(baseline, name='expr', dshape=self.dshape)
|
|
deltas = bz.data(
|
|
odo(
|
|
bz.transform(
|
|
expr,
|
|
value=expr.value + 10,
|
|
timestamp=expr.timestamp + timedelta(days=1),
|
|
),
|
|
pd.DataFrame,
|
|
),
|
|
name='delta',
|
|
dshape=self.dshape,
|
|
)
|
|
expected_views = keymap(pd.Timestamp, {
|
|
'2014-01-03': np.array([[10.0, 11.0, 12.0],
|
|
[10.0, 11.0, 12.0],
|
|
[10.0, 11.0, 12.0]]),
|
|
'2014-01-06': np.array([[10.0, 11.0, 12.0],
|
|
[10.0, 11.0, 12.0],
|
|
[11.0, 12.0, 13.0]]),
|
|
})
|
|
if len(asset_info) == 4:
|
|
expected_views = valmap(
|
|
lambda view: np.c_[view, [np.nan, np.nan, np.nan]],
|
|
expected_views,
|
|
)
|
|
expected_output_buffer = [10, 11, 12, np.nan, 11, 12, 13, np.nan]
|
|
else:
|
|
expected_output_buffer = [10, 11, 12, 11, 12, 13]
|
|
|
|
cal = pd.DatetimeIndex([
|
|
pd.Timestamp('2014-01-01'),
|
|
pd.Timestamp('2014-01-02'),
|
|
pd.Timestamp('2014-01-03'),
|
|
# omitting the 4th and 5th to simulate a weekend
|
|
pd.Timestamp('2014-01-06'),
|
|
])
|
|
|
|
with tmp_asset_finder(equities=asset_info) as finder:
|
|
expected_output = pd.DataFrame(
|
|
expected_output_buffer,
|
|
index=pd.MultiIndex.from_product((
|
|
sorted(expected_views.keys()),
|
|
finder.retrieve_all(asset_info.index),
|
|
)),
|
|
columns=('value',),
|
|
)
|
|
self._run_pipeline(
|
|
expr,
|
|
deltas,
|
|
expected_views,
|
|
expected_output,
|
|
finder,
|
|
calendar=cal,
|
|
start=cal[2],
|
|
end=cal[-1],
|
|
window_length=3,
|
|
compute_fn=op.itemgetter(-1),
|
|
)
|
|
|
|
def test_novel_deltas_macro(self):
|
|
asset_info = asset_infos[0][0]
|
|
base_dates = pd.DatetimeIndex([
|
|
pd.Timestamp('2014-01-01'),
|
|
pd.Timestamp('2014-01-04')
|
|
])
|
|
baseline = pd.DataFrame({
|
|
'value': (0, 1),
|
|
'asof_date': base_dates,
|
|
'timestamp': base_dates,
|
|
})
|
|
expr = bz.data(baseline, name='expr', dshape=self.macro_dshape)
|
|
deltas = bz.data(baseline, name='deltas', dshape=self.macro_dshape)
|
|
deltas = bz.transform(
|
|
deltas,
|
|
value=deltas.value + 10,
|
|
timestamp=deltas.timestamp + timedelta(days=1),
|
|
)
|
|
|
|
nassets = len(asset_info)
|
|
expected_views = keymap(pd.Timestamp, {
|
|
'2014-01-03': repeat_last_axis(
|
|
np.array([10.0, 10.0, 10.0]),
|
|
nassets,
|
|
),
|
|
'2014-01-06': repeat_last_axis(
|
|
np.array([10.0, 10.0, 11.0]),
|
|
nassets,
|
|
),
|
|
})
|
|
|
|
cal = pd.DatetimeIndex([
|
|
pd.Timestamp('2014-01-01'),
|
|
pd.Timestamp('2014-01-02'),
|
|
pd.Timestamp('2014-01-03'),
|
|
# omitting the 4th and 5th to simulate a weekend
|
|
pd.Timestamp('2014-01-06'),
|
|
])
|
|
with tmp_asset_finder(equities=asset_info) as finder:
|
|
expected_output = pd.DataFrame(
|
|
list(concatv([10] * nassets, [11] * nassets)),
|
|
index=pd.MultiIndex.from_product((
|
|
sorted(expected_views.keys()),
|
|
finder.retrieve_all(asset_info.index),
|
|
)),
|
|
columns=('value',),
|
|
)
|
|
self._run_pipeline(
|
|
expr,
|
|
deltas,
|
|
expected_views,
|
|
expected_output,
|
|
finder,
|
|
calendar=cal,
|
|
start=cal[2],
|
|
end=cal[-1],
|
|
window_length=3,
|
|
compute_fn=op.itemgetter(-1),
|
|
)
|