code stringlengths 66 870k | docstring stringlengths 19 26.7k | func_name stringlengths 1 138 | language stringclasses 1
value | repo stringlengths 7 68 | path stringlengths 5 324 | url stringlengths 46 389 | license stringclasses 7
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def previous_event_indexer(data_query_cutoff_times,
all_sids,
event_dates,
event_timestamps,
event_sids):
"""
Construct an index array that, when applied to an array of values, produces
a 2D array con... |
Construct an index array that, when applied to an array of values, produces
a 2D array containing the values associated with the previous event for
each sid at each moment in time.
Locations where no previous event was known will be filled with -1.
Parameters
----------
data_query_cutoff ... | previous_event_indexer | python | quantopian/zipline | zipline/pipeline/loaders/utils.py | https://github.com/quantopian/zipline/blob/master/zipline/pipeline/loaders/utils.py | Apache-2.0 |
def last_in_date_group(df,
data_query_cutoff_times,
assets,
reindex=True,
have_sids=True,
extra_groupers=None):
"""
Determine the last piece of information known on each date in the date
index... |
Determine the last piece of information known on each date in the date
index for each group. Input df MUST be sorted such that the correct last
item is chosen from each group.
Parameters
----------
df : pd.DataFrame
The DataFrame containing the data to be grouped. Must be sorted so th... | last_in_date_group | python | quantopian/zipline | zipline/pipeline/loaders/utils.py | https://github.com/quantopian/zipline/blob/master/zipline/pipeline/loaders/utils.py | Apache-2.0 |
def ffill_across_cols(df, columns, name_map):
"""
Forward fill values in a DataFrame with special logic to handle cases
that pd.DataFrame.ffill cannot and cast columns to appropriate types.
Parameters
----------
df : pd.DataFrame
The DataFrame to do forward-filling on.
columns : lis... |
Forward fill values in a DataFrame with special logic to handle cases
that pd.DataFrame.ffill cannot and cast columns to appropriate types.
Parameters
----------
df : pd.DataFrame
The DataFrame to do forward-filling on.
columns : list of BoundColumn
The BoundColumns that corres... | ffill_across_cols | python | quantopian/zipline | zipline/pipeline/loaders/utils.py | https://github.com/quantopian/zipline/blob/master/zipline/pipeline/loaders/utils.py | Apache-2.0 |
def shift_dates(dates, start_date, end_date, shift):
"""
Shift dates of a pipeline query back by ``shift`` days.
Parameters
----------
dates : DatetimeIndex
All known dates.
start_date : pd.Timestamp
Start date of the pipeline query.
end_date : pd.Timestamp
End date ... |
Shift dates of a pipeline query back by ``shift`` days.
Parameters
----------
dates : DatetimeIndex
All known dates.
start_date : pd.Timestamp
Start date of the pipeline query.
end_date : pd.Timestamp
End date of the pipeline query.
shift : int
The number of... | shift_dates | python | quantopian/zipline | zipline/pipeline/loaders/utils.py | https://github.com/quantopian/zipline/blob/master/zipline/pipeline/loaders/utils.py | Apache-2.0 |
def datashape_type_to_numpy(type_):
"""
Given a datashape type, return the associated numpy type. Maps
datashape's DateTime type to numpy's `datetime64[ns]` dtype, since the
numpy datetime returned by datashape isn't supported by pipeline.
Parameters
----------
type_: datashape.coretypes.Ty... |
Given a datashape type, return the associated numpy type. Maps
datashape's DateTime type to numpy's `datetime64[ns]` dtype, since the
numpy datetime returned by datashape isn't supported by pipeline.
Parameters
----------
type_: datashape.coretypes.Type
The datashape type.
Returns... | datashape_type_to_numpy | python | quantopian/zipline | zipline/pipeline/loaders/blaze/core.py | https://github.com/quantopian/zipline/blob/master/zipline/pipeline/loaders/blaze/core.py | Apache-2.0 |
def new_dataset(expr, missing_values, domain):
"""
Creates or returns a dataset from a blaze expression.
Parameters
----------
expr : Expr
The blaze expression representing the values.
missing_values : frozenset((name, value) pairs
Association pairs column name and missing_value... |
Creates or returns a dataset from a blaze expression.
Parameters
----------
expr : Expr
The blaze expression representing the values.
missing_values : frozenset((name, value) pairs
Association pairs column name and missing_value for that column.
This needs to be a frozense... | new_dataset | python | quantopian/zipline | zipline/pipeline/loaders/blaze/core.py | https://github.com/quantopian/zipline/blob/master/zipline/pipeline/loaders/blaze/core.py | Apache-2.0 |
def _check_resources(name, expr, resources):
"""Validate that the expression and resources passed match up.
Parameters
----------
name : str
The name of the argument we are checking.
expr : Expr
The potentially bound expr.
resources
The explicitly passed resources to com... | Validate that the expression and resources passed match up.
Parameters
----------
name : str
The name of the argument we are checking.
expr : Expr
The potentially bound expr.
resources
The explicitly passed resources to compute expr.
Raises
------
ValueError
... | _check_resources | python | quantopian/zipline | zipline/pipeline/loaders/blaze/core.py | https://github.com/quantopian/zipline/blob/master/zipline/pipeline/loaders/blaze/core.py | Apache-2.0 |
def _check_datetime_field(name, measure):
"""Check that a field is a datetime inside some measure.
Parameters
----------
name : str
The name of the field to check.
measure : Record
The record to check the field of.
Raises
------
TypeError
If the field is not a d... | Check that a field is a datetime inside some measure.
Parameters
----------
name : str
The name of the field to check.
measure : Record
The record to check the field of.
Raises
------
TypeError
If the field is not a datetime inside ``measure``.
| _check_datetime_field | python | quantopian/zipline | zipline/pipeline/loaders/blaze/core.py | https://github.com/quantopian/zipline/blob/master/zipline/pipeline/loaders/blaze/core.py | Apache-2.0 |
def _get_metadata(field, expr, metadata_expr, no_metadata_rule):
"""Find the correct metadata expression for the expression.
Parameters
----------
field : {'deltas', 'checkpoints'}
The kind of metadata expr to lookup.
expr : Expr
The baseline expression.
metadata_expr : Expr, 'a... | Find the correct metadata expression for the expression.
Parameters
----------
field : {'deltas', 'checkpoints'}
The kind of metadata expr to lookup.
expr : Expr
The baseline expression.
metadata_expr : Expr, 'auto', or None
The metadata argument. If this is 'auto', then the... | _get_metadata | python | quantopian/zipline | zipline/pipeline/loaders/blaze/core.py | https://github.com/quantopian/zipline/blob/master/zipline/pipeline/loaders/blaze/core.py | Apache-2.0 |
def _ad_as_ts(expr):
"""Duplicate the asof_date column as the timestamp column.
Parameters
----------
expr : Expr or None
The expression to change the columns of.
Returns
-------
transformed : Expr or None
The transformed expression or None if ``expr`` is None.
"""
... | Duplicate the asof_date column as the timestamp column.
Parameters
----------
expr : Expr or None
The expression to change the columns of.
Returns
-------
transformed : Expr or None
The transformed expression or None if ``expr`` is None.
| _ad_as_ts | python | quantopian/zipline | zipline/pipeline/loaders/blaze/core.py | https://github.com/quantopian/zipline/blob/master/zipline/pipeline/loaders/blaze/core.py | Apache-2.0 |
def _ensure_timestamp_field(dataset_expr, deltas, checkpoints):
"""Verify that the baseline and deltas expressions have a timestamp field.
If there is not a ``TS_FIELD_NAME`` on either of the expressions, it will
be copied from the ``AD_FIELD_NAME``. If one is provided, then we will
verify that it is t... | Verify that the baseline and deltas expressions have a timestamp field.
If there is not a ``TS_FIELD_NAME`` on either of the expressions, it will
be copied from the ``AD_FIELD_NAME``. If one is provided, then we will
verify that it is the correct dshape.
Parameters
----------
dataset_expr : Ex... | _ensure_timestamp_field | python | quantopian/zipline | zipline/pipeline/loaders/blaze/core.py | https://github.com/quantopian/zipline/blob/master/zipline/pipeline/loaders/blaze/core.py | Apache-2.0 |
def from_blaze(expr,
deltas='auto',
checkpoints='auto',
loader=None,
resources=None,
odo_kwargs=None,
missing_values=None,
domain=GENERIC,
no_deltas_rule='warn',
no_checkpoints_rule='wa... | Create a Pipeline API object from a blaze expression.
Parameters
----------
expr : Expr
The blaze expression to use.
deltas : Expr, 'auto' or None, optional
The expression to use for the point in time adjustments.
If the string 'auto' is passed, a deltas expr will be looked up
... | from_blaze | python | quantopian/zipline | zipline/pipeline/loaders/blaze/core.py | https://github.com/quantopian/zipline/blob/master/zipline/pipeline/loaders/blaze/core.py | Apache-2.0 |
def register_dataset(self,
dataset,
expr,
deltas=None,
checkpoints=None,
odo_kwargs=None):
"""Explicitly map a datset to a collection of blaze expressions.
Parameters
---... | Explicitly map a datset to a collection of blaze expressions.
Parameters
----------
dataset : DataSet
The pipeline dataset to map to the given expressions.
expr : Expr
The baseline values.
deltas : Expr, optional
The deltas for the data.
... | register_dataset | python | quantopian/zipline | zipline/pipeline/loaders/blaze/core.py | https://github.com/quantopian/zipline/blob/master/zipline/pipeline/loaders/blaze/core.py | Apache-2.0 |
def register_column(self,
column,
expr,
deltas=None,
checkpoints=None,
odo_kwargs=None):
"""Explicitly map a single bound column to a collection of blaze
expressions. The expressions n... | Explicitly map a single bound column to a collection of blaze
expressions. The expressions need to have ``timestamp`` and ``as_of``
columns.
Parameters
----------
column : BoundColumn
The pipeline dataset to map to the given expressions.
expr : Expr
... | register_column | python | quantopian/zipline | zipline/pipeline/loaders/blaze/core.py | https://github.com/quantopian/zipline/blob/master/zipline/pipeline/loaders/blaze/core.py | Apache-2.0 |
def collect_expr(e, lower):
"""Materialize the expression as a dataframe.
Parameters
----------
e : Expr
The baseline or deltas expression.
lower : datetime
The lower time bound to query.
Returns
------... | Materialize the expression as a dataframe.
Parameters
----------
e : Expr
The baseline or deltas expression.
lower : datetime
The lower time bound to query.
Returns
-------
result : pd.DataFrame
... | collect_expr | python | quantopian/zipline | zipline/pipeline/loaders/blaze/core.py | https://github.com/quantopian/zipline/blob/master/zipline/pipeline/loaders/blaze/core.py | Apache-2.0 |
def bind_expression_to_resources(expr, resources):
"""
Bind a Blaze expression to resources.
Parameters
----------
expr : bz.Expr
The expression to which we want to bind resources.
resources : dict[bz.Symbol -> any]
Mapping from the loadable terms of ``expr`` to actual data reso... |
Bind a Blaze expression to resources.
Parameters
----------
expr : bz.Expr
The expression to which we want to bind resources.
resources : dict[bz.Symbol -> any]
Mapping from the loadable terms of ``expr`` to actual data resources.
Returns
-------
bound_expr : bz.Expr
... | bind_expression_to_resources | python | quantopian/zipline | zipline/pipeline/loaders/blaze/core.py | https://github.com/quantopian/zipline/blob/master/zipline/pipeline/loaders/blaze/core.py | Apache-2.0 |
def get_materialized_checkpoints(checkpoints, colnames, lower_dt, odo_kwargs):
"""
Computes a lower bound and a DataFrame checkpoints.
Parameters
----------
checkpoints : Expr
Bound blaze expression for a checkpoints table from which to get a
computed lower bound.
colnames : ite... |
Computes a lower bound and a DataFrame checkpoints.
Parameters
----------
checkpoints : Expr
Bound blaze expression for a checkpoints table from which to get a
computed lower bound.
colnames : iterable of str
The names of the columns for which checkpoints should be computed... | get_materialized_checkpoints | python | quantopian/zipline | zipline/pipeline/loaders/blaze/core.py | https://github.com/quantopian/zipline/blob/master/zipline/pipeline/loaders/blaze/core.py | Apache-2.0 |
def ffill_query_in_range(expr,
lower,
upper,
checkpoints=None,
odo_kwargs=None,
ts_field=TS_FIELD_NAME):
"""Query a blaze expression in a given time range properly forward filling
from va... | Query a blaze expression in a given time range properly forward filling
from values that fall before the lower date.
Parameters
----------
expr : Expr
Bound blaze expression.
lower : datetime
The lower date to query for.
upper : datetime
The upper date to query for.
... | ffill_query_in_range | python | quantopian/zipline | zipline/pipeline/loaders/blaze/core.py | https://github.com/quantopian/zipline/blob/master/zipline/pipeline/loaders/blaze/core.py | Apache-2.0 |
def load_raw_data(assets,
data_query_cutoff_times,
expr,
odo_kwargs,
checkpoints=None):
"""
Given an expression representing data to load, perform normalization and
forward-filling and return the data, materialized. Only accepts data wi... |
Given an expression representing data to load, perform normalization and
forward-filling and return the data, materialized. Only accepts data with a
`sid` field.
Parameters
----------
assets : pd.int64index
the assets to load data for.
data_query_cutoff_times : pd.DatetimeIndex
... | load_raw_data | python | quantopian/zipline | zipline/pipeline/loaders/blaze/utils.py | https://github.com/quantopian/zipline/blob/master/zipline/pipeline/loaders/blaze/utils.py | Apache-2.0 |
def daily_returns(self, start, end=None):
"""Returns the daily returns for the given period.
Parameters
----------
start : datetime
The inclusive starting session label.
end : datetime, optional
The inclusive ending session label. If not provided, treat
... | Returns the daily returns for the given period.
Parameters
----------
start : datetime
The inclusive starting session label.
end : datetime, optional
The inclusive ending session label. If not provided, treat
``start`` as a scalar key.
Return... | daily_returns | python | quantopian/zipline | zipline/sources/benchmark_source.py | https://github.com/quantopian/zipline/blob/master/zipline/sources/benchmark_source.py | Apache-2.0 |
def _initialize_precalculated_series(self,
asset,
trading_calendar,
trading_days,
data_portal):
"""
Internal method that pre-calculates the ... |
Internal method that pre-calculates the benchmark return series for
use in the simulation.
Parameters
----------
asset: Asset to use
trading_calendar: TradingCalendar
trading_days: pd.DateTimeIndex
data_portal: DataPortal
Notes
-----... | _initialize_precalculated_series | python | quantopian/zipline | zipline/sources/benchmark_source.py | https://github.com/quantopian/zipline/blob/master/zipline/sources/benchmark_source.py | Apache-2.0 |
def parse_date_str_series(format_str, tz, date_str_series, data_frequency,
trading_day):
"""
Efficient parsing for a 1d Pandas/numpy object containing string
representations of dates.
Note: pd.to_datetime is significantly faster when no format string is
... |
Efficient parsing for a 1d Pandas/numpy object containing string
representations of dates.
Note: pd.to_datetime is significantly faster when no format string is
passed, and in pandas 0.12.0 the %p strptime directive is not correctly
handled if a format string is explicitly pass... | parse_date_str_series | python | quantopian/zipline | zipline/sources/requests_csv.py | https://github.com/quantopian/zipline/blob/master/zipline/sources/requests_csv.py | Apache-2.0 |
def _lookup_unconflicted_symbol(self, symbol):
"""
Attempt to find a unique asset whose symbol is the given string.
If multiple assets have held the given symbol, return a 0.
If no asset has held the given symbol, return a NaN.
"""
try:
uppered = symbol.upp... |
Attempt to find a unique asset whose symbol is the given string.
If multiple assets have held the given symbol, return a 0.
If no asset has held the given symbol, return a NaN.
| _lookup_unconflicted_symbol | python | quantopian/zipline | zipline/sources/requests_csv.py | https://github.com/quantopian/zipline/blob/master/zipline/sources/requests_csv.py | Apache-2.0 |
def date_gen(start,
end,
trading_calendar,
delta=timedelta(minutes=1),
repeats=None):
"""
Utility to generate a stream of dates.
"""
daily_delta = not (delta.total_seconds()
% timedelta(days=1).total_seconds())
cur = start
... |
Utility to generate a stream of dates.
| date_gen | python | quantopian/zipline | zipline/sources/test_source.py | https://github.com/quantopian/zipline/blob/master/zipline/sources/test_source.py | Apache-2.0 |
def advance_current(cur):
"""
Advances the current dt skipping non market days and minutes.
"""
cur = cur + delta
currently_executing = \
(daily_delta and (cur in trading_calendar.all_sessions)) or \
(trading_calendar.is_open_on_minute(cur))
if c... |
Advances the current dt skipping non market days and minutes.
| advance_current | python | quantopian/zipline | zipline/sources/test_source.py | https://github.com/quantopian/zipline/blob/master/zipline/sources/test_source.py | Apache-2.0 |
def product_upper_triangle(values, include_diagonal=False):
"""
Return an iterator over pairs, (v0, v1), drawn from values.
If `include_diagonal` is True, returns all pairs such that v0 <= v1.
If `include_diagonal` is False, returns all pairs such that v0 < v1.
"""
return all_pairs_matching_pre... |
Return an iterator over pairs, (v0, v1), drawn from values.
If `include_diagonal` is True, returns all pairs such that v0 <= v1.
If `include_diagonal` is False, returns all pairs such that v0 < v1.
| product_upper_triangle | python | quantopian/zipline | zipline/testing/core.py | https://github.com/quantopian/zipline/blob/master/zipline/testing/core.py | Apache-2.0 |
def all_subindices(index):
"""
Return all valid sub-indices of a pandas Index.
"""
return (
index[start:stop]
for start, stop in product_upper_triangle(range(len(index) + 1))
) |
Return all valid sub-indices of a pandas Index.
| all_subindices | python | quantopian/zipline | zipline/testing/core.py | https://github.com/quantopian/zipline/blob/master/zipline/testing/core.py | Apache-2.0 |
def make_trade_data_for_asset_info(dates,
asset_info,
price_start,
price_step_by_date,
price_step_by_sid,
volume_start,
... |
Convert the asset info dataframe into a dataframe of trade data for each
sid, and write to the writer if provided. Write NaNs for locations where
assets did not exist. Return a dict of the dataframes, keyed by sid.
| make_trade_data_for_asset_info | python | quantopian/zipline | zipline/testing/core.py | https://github.com/quantopian/zipline/blob/master/zipline/testing/core.py | Apache-2.0 |
def check_allclose(actual,
desired,
rtol=1e-07,
atol=0,
err_msg='',
verbose=True):
"""
Wrapper around np.testing.assert_allclose that also verifies that inputs
are ndarrays.
See Also
--------
np.asser... |
Wrapper around np.testing.assert_allclose that also verifies that inputs
are ndarrays.
See Also
--------
np.assert_allclose
| check_allclose | python | quantopian/zipline | zipline/testing/core.py | https://github.com/quantopian/zipline/blob/master/zipline/testing/core.py | Apache-2.0 |
def check_arrays(x, y, err_msg='', verbose=True, check_dtypes=True):
"""
Wrapper around np.testing.assert_array_equal that also verifies that inputs
are ndarrays.
See Also
--------
np.assert_array_equal
"""
assert type(x) == type(y), "{x} != {y}".format(x=type(x), y=type(y))
assert ... |
Wrapper around np.testing.assert_array_equal that also verifies that inputs
are ndarrays.
See Also
--------
np.assert_array_equal
| check_arrays | python | quantopian/zipline | zipline/testing/core.py | https://github.com/quantopian/zipline/blob/master/zipline/testing/core.py | Apache-2.0 |
def subtest(iterator, *_names):
"""
Construct a subtest in a unittest.
Consider using ``zipline.testing.parameter_space`` when subtests
are constructed over a single input or over the cross-product of multiple
inputs.
``subtest`` works by decorating a function as a subtest. The decorated
f... |
Construct a subtest in a unittest.
Consider using ``zipline.testing.parameter_space`` when subtests
are constructed over a single input or over the cross-product of multiple
inputs.
``subtest`` works by decorating a function as a subtest. The decorated
function will be run by iterating over t... | subtest | python | quantopian/zipline | zipline/testing/core.py | https://github.com/quantopian/zipline/blob/master/zipline/testing/core.py | Apache-2.0 |
def assert_timestamp_equal(left, right, compare_nat_equal=True, msg=""):
"""
Assert that two pandas Timestamp objects are the same.
Parameters
----------
left, right : pd.Timestamp
The values to compare.
compare_nat_equal : bool, optional
Whether to consider `NaT` values equal. ... |
Assert that two pandas Timestamp objects are the same.
Parameters
----------
left, right : pd.Timestamp
The values to compare.
compare_nat_equal : bool, optional
Whether to consider `NaT` values equal. Defaults to True.
msg : str, optional
A message to forward to `pd.u... | assert_timestamp_equal | python | quantopian/zipline | zipline/testing/core.py | https://github.com/quantopian/zipline/blob/master/zipline/testing/core.py | Apache-2.0 |
def to_series(knowledge_dates, earning_dates):
"""
Helper for converting a dict of strings to a Series of datetimes.
This is just for making the test cases more readable.
"""
return pd.Series(
index=pd.to_datetime(knowledge_dates),
data=pd.to_datetime(earning_dates),
) |
Helper for converting a dict of strings to a Series of datetimes.
This is just for making the test cases more readable.
| to_series | python | quantopian/zipline | zipline/testing/core.py | https://github.com/quantopian/zipline/blob/master/zipline/testing/core.py | Apache-2.0 |
def gen_calendars(start, stop, critical_dates):
"""
Generate calendars to use as inputs.
"""
all_dates = pd.date_range(start, stop, tz='utc')
for to_drop in map(list, powerset(critical_dates)):
# Have to yield tuples.
yield (all_dates.drop(to_drop),)
# Also test with the trading... |
Generate calendars to use as inputs.
| gen_calendars | python | quantopian/zipline | zipline/testing/core.py | https://github.com/quantopian/zipline/blob/master/zipline/testing/core.py | Apache-2.0 |
def temp_pipeline_engine(calendar, sids, random_seed, symbols=None):
"""
A contextManager that yields a SimplePipelineEngine holding a reference to
an AssetFinder generated via tmp_asset_finder.
Parameters
----------
calendar : pd.DatetimeIndex
Calendar to pass to the constructed Pipeli... |
A contextManager that yields a SimplePipelineEngine holding a reference to
an AssetFinder generated via tmp_asset_finder.
Parameters
----------
calendar : pd.DatetimeIndex
Calendar to pass to the constructed PipelineEngine.
sids : iterable[int]
Sids to use for the temp asset fi... | temp_pipeline_engine | python | quantopian/zipline | zipline/testing/core.py | https://github.com/quantopian/zipline/blob/master/zipline/testing/core.py | Apache-2.0 |
def bool_from_envvar(name, default=False, env=None):
"""
Get a boolean value from the environment, making a reasonable attempt to
convert "truthy" values to True and "falsey" values to False.
Strings are coerced to bools using ``json.loads(s.lower())``.
Parameters
----------
name : str
... |
Get a boolean value from the environment, making a reasonable attempt to
convert "truthy" values to True and "falsey" values to False.
Strings are coerced to bools using ``json.loads(s.lower())``.
Parameters
----------
name : str
Name of the environment variable.
default : bool, o... | bool_from_envvar | python | quantopian/zipline | zipline/testing/core.py | https://github.com/quantopian/zipline/blob/master/zipline/testing/core.py | Apache-2.0 |
def parameter_space(__fail_fast=_FAIL_FAST_DEFAULT, **params):
"""
Wrapper around subtest that allows passing keywords mapping names to
iterables of values.
The decorated test function will be called with the cross-product of all
possible inputs
Examples
--------
>>> from unittest impo... |
Wrapper around subtest that allows passing keywords mapping names to
iterables of values.
The decorated test function will be called with the cross-product of all
possible inputs
Examples
--------
>>> from unittest import TestCase
>>> class SomeTestCase(TestCase):
... @paramet... | parameter_space | python | quantopian/zipline | zipline/testing/core.py | https://github.com/quantopian/zipline/blob/master/zipline/testing/core.py | Apache-2.0 |
def make_alternating_boolean_array(shape, first_value=True):
"""
Create a 2D numpy array with the given shape containing alternating values
of False, True, False, True,... along each row and each column.
Examples
--------
>>> make_alternating_boolean_array((4,4))
array([[ True, False, True... |
Create a 2D numpy array with the given shape containing alternating values
of False, True, False, True,... along each row and each column.
Examples
--------
>>> make_alternating_boolean_array((4,4))
array([[ True, False, True, False],
[False, True, False, True],
[ True... | make_alternating_boolean_array | python | quantopian/zipline | zipline/testing/core.py | https://github.com/quantopian/zipline/blob/master/zipline/testing/core.py | Apache-2.0 |
def make_cascading_boolean_array(shape, first_value=True):
"""
Create a numpy array with the given shape containing cascading boolean
values, with `first_value` being the top-left value.
Examples
--------
>>> make_cascading_boolean_array((4,4))
array([[ True, True, True, False],
... |
Create a numpy array with the given shape containing cascading boolean
values, with `first_value` being the top-left value.
Examples
--------
>>> make_cascading_boolean_array((4,4))
array([[ True, True, True, False],
[ True, True, False, False],
[ True, False, False, F... | make_cascading_boolean_array | python | quantopian/zipline | zipline/testing/core.py | https://github.com/quantopian/zipline/blob/master/zipline/testing/core.py | Apache-2.0 |
def permute_rows(seed, array):
"""
Shuffle each row in ``array`` based on permutations generated by ``seed``.
Parameters
----------
seed : int
Seed for numpy.RandomState
array : np.ndarray[ndim=2]
Array over which to apply permutations.
"""
rand = np.random.RandomState(s... |
Shuffle each row in ``array`` based on permutations generated by ``seed``.
Parameters
----------
seed : int
Seed for numpy.RandomState
array : np.ndarray[ndim=2]
Array over which to apply permutations.
| permute_rows | python | quantopian/zipline | zipline/testing/core.py | https://github.com/quantopian/zipline/blob/master/zipline/testing/core.py | Apache-2.0 |
def make_test_handler(testcase, *args, **kwargs):
"""
Returns a TestHandler which will be used by the given testcase. This
handler can be used to test log messages.
Parameters
----------
testcase: unittest.TestCase
The test class in which the log handler will be used.
*args, **kwarg... |
Returns a TestHandler which will be used by the given testcase. This
handler can be used to test log messages.
Parameters
----------
testcase: unittest.TestCase
The test class in which the log handler will be used.
*args, **kwargs
Forwarded to the new TestHandler object.
R... | make_test_handler | python | quantopian/zipline | zipline/testing/core.py | https://github.com/quantopian/zipline/blob/master/zipline/testing/core.py | Apache-2.0 |
def patch_os_environment(remove=None, **values):
"""
Context manager for patching the operating system environment.
"""
old_values = {}
remove = remove or []
for key in remove:
old_values[key] = os.environ.pop(key)
for key, value in values.iteritems():
old_values[key] = os.ge... |
Context manager for patching the operating system environment.
| patch_os_environment | python | quantopian/zipline | zipline/testing/core.py | https://github.com/quantopian/zipline/blob/master/zipline/testing/core.py | Apache-2.0 |
def patch_read_csv(url_map, module=pd, strict=False):
"""Patch pandas.read_csv to map lookups from url to another.
Parameters
----------
url_map : mapping[str or file-like object -> str or file-like object]
The mapping to use to redirect read_csv calls.
module : module, optional
The... | Patch pandas.read_csv to map lookups from url to another.
Parameters
----------
url_map : mapping[str or file-like object -> str or file-like object]
The mapping to use to redirect read_csv calls.
module : module, optional
The module to patch ``read_csv`` on. By default this is ``pandas... | patch_read_csv | python | quantopian/zipline | zipline/testing/core.py | https://github.com/quantopian/zipline/blob/master/zipline/testing/core.py | Apache-2.0 |
def ensure_doctest(f, name=None):
"""Ensure that an object gets doctested. This is useful for instances
of objects like curry or partial which are not discovered by default.
Parameters
----------
f : any
The thing to doctest.
name : str, optional
The name to use in the doctest f... | Ensure that an object gets doctested. This is useful for instances
of objects like curry or partial which are not discovered by default.
Parameters
----------
f : any
The thing to doctest.
name : str, optional
The name to use in the doctest function mapping. If this is None,
... | ensure_doctest | python | quantopian/zipline | zipline/testing/core.py | https://github.com/quantopian/zipline/blob/master/zipline/testing/core.py | Apache-2.0 |
def prices_generating_returns(returns, starting_price):
"""Construct the time series of prices that produce the given returns.
Parameters
----------
returns : np.ndarray[float]
The returns that these prices generate.
starting_price : float
The value of the asset.
Returns
--... | Construct the time series of prices that produce the given returns.
Parameters
----------
returns : np.ndarray[float]
The returns that these prices generate.
starting_price : float
The value of the asset.
Returns
-------
prices : np.ndaray[float]
The prices that gen... | prices_generating_returns | python | quantopian/zipline | zipline/testing/core.py | https://github.com/quantopian/zipline/blob/master/zipline/testing/core.py | Apache-2.0 |
def random_tick_prices(starting_price,
count,
tick_size=0.01,
tick_range=(-5, 7),
seed=42):
"""
Construct a time series of prices that ticks by a random multiple of
``tick_size`` every period.
Parameters
---... |
Construct a time series of prices that ticks by a random multiple of
``tick_size`` every period.
Parameters
----------
starting_price : float
The first price of the series.
count : int
Number of price observations to return.
tick_size : float
Unit of price movement ... | random_tick_prices | python | quantopian/zipline | zipline/testing/core.py | https://github.com/quantopian/zipline/blob/master/zipline/testing/core.py | Apache-2.0 |
def simulate_minutes_for_day(open_,
high,
low,
close,
volume,
trading_minutes=390,
random_state=None):
"""Generate a random walk of minute ret... | Generate a random walk of minute returns which meets the given OHLCV
profile for an asset. The volume will be evenly distributed through the
day.
Parameters
----------
open_ : float
The day's open.
high : float
The day's high.
low : float
The day's low.
close : f... | simulate_minutes_for_day | python | quantopian/zipline | zipline/testing/core.py | https://github.com/quantopian/zipline/blob/master/zipline/testing/core.py | Apache-2.0 |
def write_hdf5_daily_bars(writer,
asset_finder,
country_codes,
generate_data,
generate_currency_codes):
"""Write an HDF5 file of pricing data using an HDF5DailyBarWriter.
"""
asset_finder = asset_finder
... | Write an HDF5 file of pricing data using an HDF5DailyBarWriter.
| write_hdf5_daily_bars | python | quantopian/zipline | zipline/testing/core.py | https://github.com/quantopian/zipline/blob/master/zipline/testing/core.py | Apache-2.0 |
def exchange_info_for_domains(domains):
"""
Build an exchange_info suitable for passing to an AssetFinder from a list
of EquityCalendarDomain.
"""
return pd.DataFrame.from_records([
{'exchange': domain.calendar.name, 'country_code': domain.country_code}
for domain in domains
]) |
Build an exchange_info suitable for passing to an AssetFinder from a list
of EquityCalendarDomain.
| exchange_info_for_domains | python | quantopian/zipline | zipline/testing/core.py | https://github.com/quantopian/zipline/blob/master/zipline/testing/core.py | Apache-2.0 |
def init_class_fixtures(cls):
"""
Override and implement this classmethod to register resources that
should be created and/or torn down on a per-class basis.
Subclass implementations of this should always invoke this with super()
to ensure that fixture mixins work properly.
... |
Override and implement this classmethod to register resources that
should be created and/or torn down on a per-class basis.
Subclass implementations of this should always invoke this with super()
to ensure that fixture mixins work properly.
| init_class_fixtures | python | quantopian/zipline | zipline/testing/fixtures.py | https://github.com/quantopian/zipline/blob/master/zipline/testing/fixtures.py | Apache-2.0 |
def enter_class_context(cls, context_manager):
"""
Enter a context manager to be exited during the tearDownClass
"""
if cls._in_setup:
raise ValueError(
'Attempted to enter a class context in init_instance_fixtures.'
'\nDid you mean to call ent... |
Enter a context manager to be exited during the tearDownClass
| enter_class_context | python | quantopian/zipline | zipline/testing/fixtures.py | https://github.com/quantopian/zipline/blob/master/zipline/testing/fixtures.py | Apache-2.0 |
def add_class_callback(cls, callback, *args, **kwargs):
"""
Register a callback to be executed during tearDownClass.
Parameters
----------
callback : callable
The callback to invoke at the end of the test suite.
"""
if cls._in_setup:
raise... |
Register a callback to be executed during tearDownClass.
Parameters
----------
callback : callable
The callback to invoke at the end of the test suite.
| add_class_callback | python | quantopian/zipline | zipline/testing/fixtures.py | https://github.com/quantopian/zipline/blob/master/zipline/testing/fixtures.py | Apache-2.0 |
def make_asset_finder(cls):
"""Returns a new AssetFinder
Returns
-------
asset_finder : zipline.assets.AssetFinder
"""
equities = cls.make_equity_info()
futures = cls.make_futures_info()
root_symbols = cls.make_root_symbols_info()
exchanges = cls... | Returns a new AssetFinder
Returns
-------
asset_finder : zipline.assets.AssetFinder
| make_asset_finder | python | quantopian/zipline | zipline/testing/fixtures.py | https://github.com/quantopian/zipline/blob/master/zipline/testing/fixtures.py | Apache-2.0 |
def exchange_names(cls):
"""A list of canonical exchange names for all exchanges in this suite.
"""
infos = itervalues(cls.asset_finder.exchange_info)
return sorted(i.canonical_name for i in infos) | A list of canonical exchange names for all exchanges in this suite.
| exchange_names | python | quantopian/zipline | zipline/testing/fixtures.py | https://github.com/quantopian/zipline/blob/master/zipline/testing/fixtures.py | Apache-2.0 |
def make_equity_daily_bar_data(cls, country_code, sids):
"""
Create daily pricing data.
Parameters
----------
country_code : str
An ISO 3166 alpha-2 country code. Data should be created for
this country.
sids : tuple[int]
The sids to i... |
Create daily pricing data.
Parameters
----------
country_code : str
An ISO 3166 alpha-2 country code. Data should be created for
this country.
sids : tuple[int]
The sids to include in the data.
Yields
------
(int, pd.... | make_equity_daily_bar_data | python | quantopian/zipline | zipline/testing/fixtures.py | https://github.com/quantopian/zipline/blob/master/zipline/testing/fixtures.py | Apache-2.0 |
def write_hdf5_daily_bars(cls, path, country_codes):
"""
Write HDF5 pricing data using an HDF5DailyBarWriter.
Parameters
----------
path : str
Location (relative to cls.tmpdir) at which to write data.
country_codes : list[str]
List of country code... |
Write HDF5 pricing data using an HDF5DailyBarWriter.
Parameters
----------
path : str
Location (relative to cls.tmpdir) at which to write data.
country_codes : list[str]
List of country codes to write.
Returns
-------
written : h... | write_hdf5_daily_bars | python | quantopian/zipline | zipline/testing/fixtures.py | https://github.com/quantopian/zipline/blob/master/zipline/testing/fixtures.py | Apache-2.0 |
def raw_expected_values(self, column, start_date, end_date):
"""
Get an array containing the raw values we expect to be produced for the
given dates between start_date and end_date, inclusive.
"""
all_values = self.seeded_random_loader.values(
column.dtype,
... |
Get an array containing the raw values we expect to be produced for the
given dates between start_date and end_date, inclusive.
| raw_expected_values | python | quantopian/zipline | zipline/testing/fixtures.py | https://github.com/quantopian/zipline/blob/master/zipline/testing/fixtures.py | Apache-2.0 |
def merge_with_inherited_algo_kwargs(self,
overriding_type,
suite_overrides,
method_overrides):
"""
Helper for subclasses overriding ``make_algo_kwargs``.
A common pattern ... |
Helper for subclasses overriding ``make_algo_kwargs``.
A common pattern for tests using `WithMakeAlgoKwargs` is that a
particular test suite has a set of default keywords it wants to use
everywhere, but also accepts test-specific overrides.
Test suites that fit that pattern ca... | merge_with_inherited_algo_kwargs | python | quantopian/zipline | zipline/testing/fixtures.py | https://github.com/quantopian/zipline/blob/master/zipline/testing/fixtures.py | Apache-2.0 |
def make_fx_rates_from_reference(cls, reference):
"""
Helper method for implementing make_fx_rates.
Takes a (dates x currencies) DataFrame of "reference" values, which are
assumed to be the "true" value of each currency in some unknown
external currency. Computes fx rates from A... |
Helper method for implementing make_fx_rates.
Takes a (dates x currencies) DataFrame of "reference" values, which are
assumed to be the "true" value of each currency in some unknown
external currency. Computes fx rates from A -> B as by dividing the
reference value for A by the... | make_fx_rates_from_reference | python | quantopian/zipline | zipline/testing/fixtures.py | https://github.com/quantopian/zipline/blob/master/zipline/testing/fixtures.py | Apache-2.0 |
def write_h5_fx_rates(cls, path):
"""Write cls.fx_rates to disk with an HDF5FXRateWriter.
Returns an HDF5FXRateReader that reader from written data.
"""
sessions = cls.fx_rates_sessions
# Write in-memory data to h5 file.
with h5py.File(path, 'w') as h5_file:
... | Write cls.fx_rates to disk with an HDF5FXRateWriter.
Returns an HDF5FXRateReader that reader from written data.
| write_h5_fx_rates | python | quantopian/zipline | zipline/testing/fixtures.py | https://github.com/quantopian/zipline/blob/master/zipline/testing/fixtures.py | Apache-2.0 |
def get_expected_fx_rate_scalar(cls, rate, quote, base, dt):
"""Get the expected FX rate for the given scalar coordinates.
"""
if base is None:
return np.nan
if rate == DEFAULT_FX_RATE:
rate = cls.FX_RATES_DEFAULT_RATE
col = cls.fx_rates[rate][quote][bas... | Get the expected FX rate for the given scalar coordinates.
| get_expected_fx_rate_scalar | python | quantopian/zipline | zipline/testing/fixtures.py | https://github.com/quantopian/zipline/blob/master/zipline/testing/fixtures.py | Apache-2.0 |
def get_expected_fx_rates(cls, rate, quote, bases, dts):
"""Get an array of expected FX rates for the given indices.
"""
out = np.empty((len(dts), len(bases)), dtype='float64')
for i, dt in enumerate(dts):
for j, base in enumerate(bases):
out[i, j] = cls.get_... | Get an array of expected FX rates for the given indices.
| get_expected_fx_rates | python | quantopian/zipline | zipline/testing/fixtures.py | https://github.com/quantopian/zipline/blob/master/zipline/testing/fixtures.py | Apache-2.0 |
def fast_get_loc_ffilled(dts, dt):
"""
Equivalent to dts.get_loc(dt, method='ffill'), but with reasonable
microperformance.
"""
ix = dts.searchsorted(dt, side='right') - 1
if ix < 0:
raise KeyError(dt)
return ix |
Equivalent to dts.get_loc(dt, method='ffill'), but with reasonable
microperformance.
| fast_get_loc_ffilled | python | quantopian/zipline | zipline/testing/fixtures.py | https://github.com/quantopian/zipline/blob/master/zipline/testing/fixtures.py | Apache-2.0 |
def keywords(func):
"""Get the argument names of a function
>>> def f(x, y=2):
... pass
>>> keywords(f)
['x', 'y']
Notes
-----
Taken from odo.utils
"""
if isinstance(func, type):
return keywords(func.__init__)
elif isinstance(func, partial):
return keyw... | Get the argument names of a function
>>> def f(x, y=2):
... pass
>>> keywords(f)
['x', 'y']
Notes
-----
Taken from odo.utils
| keywords | python | quantopian/zipline | zipline/testing/predicates.py | https://github.com/quantopian/zipline/blob/master/zipline/testing/predicates.py | Apache-2.0 |
def _fmt_path(path):
"""Format the path for final display.
Parameters
----------
path : iterable of str
The path to the values that are not equal.
Returns
-------
fmtd : str
The formatted path to put into the error message.
"""
if not path:
return ''
ret... | Format the path for final display.
Parameters
----------
path : iterable of str
The path to the values that are not equal.
Returns
-------
fmtd : str
The formatted path to put into the error message.
| _fmt_path | python | quantopian/zipline | zipline/testing/predicates.py | https://github.com/quantopian/zipline/blob/master/zipline/testing/predicates.py | Apache-2.0 |
def _fmt_msg(msg):
"""Format the message for final display.
Parameters
----------
msg : str
The message to show to the user to provide additional context.
returns
-------
fmtd : str
The formatted message to put into the error message.
"""
if not msg:
return ... | Format the message for final display.
Parameters
----------
msg : str
The message to show to the user to provide additional context.
returns
-------
fmtd : str
The formatted message to put into the error message.
| _fmt_msg | python | quantopian/zipline | zipline/testing/predicates.py | https://github.com/quantopian/zipline/blob/master/zipline/testing/predicates.py | Apache-2.0 |
def assert_is_subclass(subcls, cls, msg=''):
"""Assert that ``subcls`` is a subclass of ``cls``.
Parameters
----------
subcls : type
The type to check.
cls : type
The type to check ``subcls`` against.
msg : str, optional
An extra assertion message to print if this fails.... | Assert that ``subcls`` is a subclass of ``cls``.
Parameters
----------
subcls : type
The type to check.
cls : type
The type to check ``subcls`` against.
msg : str, optional
An extra assertion message to print if this fails.
| assert_is_subclass | python | quantopian/zipline | zipline/testing/predicates.py | https://github.com/quantopian/zipline/blob/master/zipline/testing/predicates.py | Apache-2.0 |
def assert_is_not_subclass(not_subcls, cls, msg=''):
"""Assert that ``not_subcls`` is not a subclass of ``cls``.
Parameters
----------
not_subcls : type
The type to check.
cls : type
The type to check ``not_subcls`` against.
msg : str, optional
An extra assertion message... | Assert that ``not_subcls`` is not a subclass of ``cls``.
Parameters
----------
not_subcls : type
The type to check.
cls : type
The type to check ``not_subcls`` against.
msg : str, optional
An extra assertion message to print if this fails.
| assert_is_not_subclass | python | quantopian/zipline | zipline/testing/predicates.py | https://github.com/quantopian/zipline/blob/master/zipline/testing/predicates.py | Apache-2.0 |
def assert_regex(result, expected, msg=''):
"""Assert that ``expected`` matches the result.
Parameters
----------
result : str
The string to search.
expected : str or compiled regex
The pattern to search for in ``result``.
msg : str, optional
An extra assertion message t... | Assert that ``expected`` matches the result.
Parameters
----------
result : str
The string to search.
expected : str or compiled regex
The pattern to search for in ``result``.
msg : str, optional
An extra assertion message to print if this fails.
| assert_regex | python | quantopian/zipline | zipline/testing/predicates.py | https://github.com/quantopian/zipline/blob/master/zipline/testing/predicates.py | Apache-2.0 |
def assert_raises_regex(exc, pattern, msg=''):
"""Assert that some exception is raised in a context and that the message
matches some pattern.
Parameters
----------
exc : type or tuple[type]
The exception type or types to expect.
pattern : str or compiled regex
The pattern to se... | Assert that some exception is raised in a context and that the message
matches some pattern.
Parameters
----------
exc : type or tuple[type]
The exception type or types to expect.
pattern : str or compiled regex
The pattern to search for in the str of the raised exception.
msg :... | assert_raises_regex | python | quantopian/zipline | zipline/testing/predicates.py | https://github.com/quantopian/zipline/blob/master/zipline/testing/predicates.py | Apache-2.0 |
def assert_raises_str(exc, expected_str, msg=''):
"""Assert that some exception is raised in a context and that the message
exactly matches some string.
Parameters
----------
exc : type or tuple[type]
The exception type or types to expect.
expected_str : str
The expected result ... | Assert that some exception is raised in a context and that the message
exactly matches some string.
Parameters
----------
exc : type or tuple[type]
The exception type or types to expect.
expected_str : str
The expected result of ``str(exception)``.
msg : str, optional
An... | assert_raises_str | python | quantopian/zipline | zipline/testing/predicates.py | https://github.com/quantopian/zipline/blob/master/zipline/testing/predicates.py | Apache-2.0 |
def make_assert_equal_assertion_error(assertion_message, path, msg):
"""Create an assertion error formatted for use in ``assert_equal``.
Parameters
----------
assertion_message : str
The concrete reason for the failure.
path : tuple[str]
The path leading up to the failure.
msg :... | Create an assertion error formatted for use in ``assert_equal``.
Parameters
----------
assertion_message : str
The concrete reason for the failure.
path : tuple[str]
The path leading up to the failure.
msg : str
The user supplied message.
Returns
-------
excepti... | make_assert_equal_assertion_error | python | quantopian/zipline | zipline/testing/predicates.py | https://github.com/quantopian/zipline/blob/master/zipline/testing/predicates.py | Apache-2.0 |
def assert_equal(result, expected, path=(), msg='', **kwargs):
"""Assert that two objects are equal using the ``==`` operator.
Parameters
----------
result : object
The result that came from the function under test.
expected : object
The expected result.
Raises
------
A... | Assert that two objects are equal using the ``==`` operator.
Parameters
----------
result : object
The result that came from the function under test.
expected : object
The expected result.
Raises
------
AssertionError
Raised when ``result`` is not equal to ``expecte... | assert_equal | python | quantopian/zipline | zipline/testing/predicates.py | https://github.com/quantopian/zipline/blob/master/zipline/testing/predicates.py | Apache-2.0 |
def _check_sets(result, expected, msg, path, type_):
"""Compare two sets. This is used to check dictionary keys and sets.
Parameters
----------
result : set
expected : set
msg : str
path : tuple
type : str
The type of an element. For dict we use ``'key'`` and for set we use
... | Compare two sets. This is used to check dictionary keys and sets.
Parameters
----------
result : set
expected : set
msg : str
path : tuple
type : str
The type of an element. For dict we use ``'key'`` and for set we use
``'element'``.
| _check_sets | python | quantopian/zipline | zipline/testing/predicates.py | https://github.com/quantopian/zipline/blob/master/zipline/testing/predicates.py | Apache-2.0 |
def _register_assert_equal_wrapper(type_, assert_eq):
"""Register a new check for an ndframe object.
Parameters
----------
type_ : type
The class to register an ``assert_equal`` dispatch for.
assert_eq : callable[type_, type_]
The function which checks that if the two ndframes are e... | Register a new check for an ndframe object.
Parameters
----------
type_ : type
The class to register an ``assert_equal`` dispatch for.
assert_eq : callable[type_, type_]
The function which checks that if the two ndframes are equal.
Returns
-------
assert_ndframe_equal : cal... | _register_assert_equal_wrapper | python | quantopian/zipline | zipline/testing/predicates.py | https://github.com/quantopian/zipline/blob/master/zipline/testing/predicates.py | Apache-2.0 |
def assert_timestamp_and_datetime_equal(result,
expected,
path=(),
msg='',
allow_datetime_coercions=False,
compare_nat_e... |
Branch for comparing python datetime (which includes pandas Timestamp) and
np.datetime64 as equal.
Returns raises unless ``allow_datetime_coercions`` is passed as True.
| assert_timestamp_and_datetime_equal | python | quantopian/zipline | zipline/testing/predicates.py | https://github.com/quantopian/zipline/blob/master/zipline/testing/predicates.py | Apache-2.0 |
def assert_messages_equal(result, expected, msg=''):
"""Assertion helper for comparing very long strings (e.g. error messages).
"""
# The arg here is "keepends" which keeps trailing newlines (which
# matters for checking trailing whitespace). You can't pass keepends by
# name :(.
left_lines = re... | Assertion helper for comparing very long strings (e.g. error messages).
| assert_messages_equal | python | quantopian/zipline | zipline/testing/predicates.py | https://github.com/quantopian/zipline/blob/master/zipline/testing/predicates.py | Apache-2.0 |
def index_of_first_difference(left, right):
"""Get the index of the first difference between two strings."""
difflocs = (i for (i, (lc, rc)) in enumerate(zip_longest(left, right))
if lc != rc)
try:
return next(difflocs)
except StopIteration:
raise ValueError("Left was equ... | Get the index of the first difference between two strings. | index_of_first_difference | python | quantopian/zipline | zipline/testing/predicates.py | https://github.com/quantopian/zipline/blob/master/zipline/testing/predicates.py | Apache-2.0 |
def require_not_initialized(exception):
"""
Decorator for API methods that should only be called during or before
TradingAlgorithm.initialize. `exception` will be raised if the method is
called after initialize.
Examples
--------
@require_not_initialized(SomeException("Don't do that!"))
... |
Decorator for API methods that should only be called during or before
TradingAlgorithm.initialize. `exception` will be raised if the method is
called after initialize.
Examples
--------
@require_not_initialized(SomeException("Don't do that!"))
def method(self):
# Do stuff that sho... | require_not_initialized | python | quantopian/zipline | zipline/utils/api_support.py | https://github.com/quantopian/zipline/blob/master/zipline/utils/api_support.py | Apache-2.0 |
def require_initialized(exception):
"""
Decorator for API methods that should only be called after
TradingAlgorithm.initialize. `exception` will be raised if the method is
called before initialize has completed.
Examples
--------
@require_initialized(SomeException("Don't do that!"))
de... |
Decorator for API methods that should only be called after
TradingAlgorithm.initialize. `exception` will be raised if the method is
called before initialize has completed.
Examples
--------
@require_initialized(SomeException("Don't do that!"))
def method(self):
# Do stuff that sho... | require_initialized | python | quantopian/zipline | zipline/utils/api_support.py | https://github.com/quantopian/zipline/blob/master/zipline/utils/api_support.py | Apache-2.0 |
def disallowed_in_before_trading_start(exception):
"""
Decorator for API methods that cannot be called from within
TradingAlgorithm.before_trading_start. `exception` will be raised if the
method is called inside `before_trading_start`.
Examples
--------
@disallowed_in_before_trading_start(... |
Decorator for API methods that cannot be called from within
TradingAlgorithm.before_trading_start. `exception` will be raised if the
method is called inside `before_trading_start`.
Examples
--------
@disallowed_in_before_trading_start(SomeException("Don't do that!"))
def method(self):
... | disallowed_in_before_trading_start | python | quantopian/zipline | zipline/utils/api_support.py | https://github.com/quantopian/zipline/blob/master/zipline/utils/api_support.py | Apache-2.0 |
def parse_argspec(callable_):
"""
Takes a callable and returns a tuple with the list of Argument objects,
the name of *args, and the name of **kwargs.
If *args or **kwargs is not present, it will be None.
This returns a namedtuple called Argspec that has three fields named:
... |
Takes a callable and returns a tuple with the list of Argument objects,
the name of *args, and the name of **kwargs.
If *args or **kwargs is not present, it will be None.
This returns a namedtuple called Argspec that has three fields named:
args, starargs, and kwargs.
| parse_argspec | python | quantopian/zipline | zipline/utils/argcheck.py | https://github.com/quantopian/zipline/blob/master/zipline/utils/argcheck.py | Apache-2.0 |
def _expect_extra(expected, present, exc_unexpected, exc_missing, exc_args):
"""
Checks for the presence of an extra to the argument list. Raises expections
if this is unexpected or if it is missing and expected.
"""
if present:
if not expected:
raise exc_unexpected(*exc_args)
... |
Checks for the presence of an extra to the argument list. Raises expections
if this is unexpected or if it is missing and expected.
| _expect_extra | python | quantopian/zipline | zipline/utils/argcheck.py | https://github.com/quantopian/zipline/blob/master/zipline/utils/argcheck.py | Apache-2.0 |
def verify_callable_argspec(callable_,
expected_args=Argument.ignore,
expect_starargs=Argument.ignore,
expect_kwargs=Argument.ignore):
"""
Checks the callable_ to make sure that it satisfies the given
expectations.
expec... |
Checks the callable_ to make sure that it satisfies the given
expectations.
expected_args should be an iterable of Arguments in the order you expect to
receive them.
expect_starargs means that the function should or should not take a *args
param. expect_kwargs says the callable should or should... | verify_callable_argspec | python | quantopian/zipline | zipline/utils/argcheck.py | https://github.com/quantopian/zipline/blob/master/zipline/utils/argcheck.py | Apache-2.0 |
def unwrap(self, dt):
"""
Get the cached value.
Returns
-------
value : object
The cached value.
Raises
------
Expired
Raised when `dt` is greater than self.expires.
"""
expires = self._expires
if expires i... |
Get the cached value.
Returns
-------
value : object
The cached value.
Raises
------
Expired
Raised when `dt` is greater than self.expires.
| unwrap | python | quantopian/zipline | zipline/utils/cache.py | https://github.com/quantopian/zipline/blob/master/zipline/utils/cache.py | Apache-2.0 |
def get(self, key, dt):
"""Get the value of a cached object.
Parameters
----------
key : any
The key to lookup.
dt : datetime
The time of the lookup.
Returns
-------
result : any
The value for ``key``.
Raises
... | Get the value of a cached object.
Parameters
----------
key : any
The key to lookup.
dt : datetime
The time of the lookup.
Returns
-------
result : any
The value for ``key``.
Raises
------
KeyError
... | get | python | quantopian/zipline | zipline/utils/cache.py | https://github.com/quantopian/zipline/blob/master/zipline/utils/cache.py | Apache-2.0 |
def ensure_dir(self, *path_parts):
"""Ensures a subdirectory of the working directory.
Parameters
----------
path_parts : iterable[str]
The parts of the path after the working directory.
"""
path = self.getpath(*path_parts)
ensure_directory(path)
... | Ensures a subdirectory of the working directory.
Parameters
----------
path_parts : iterable[str]
The parts of the path after the working directory.
| ensure_dir | python | quantopian/zipline | zipline/utils/cache.py | https://github.com/quantopian/zipline/blob/master/zipline/utils/cache.py | Apache-2.0 |
def maybe_show_progress(it, show_progress, **kwargs):
"""Optionally show a progress bar for the given iterator.
Parameters
----------
it : iterable
The underlying iterator.
show_progress : bool
Should progress be shown.
**kwargs
Forwarded to the click progress bar.
... | Optionally show a progress bar for the given iterator.
Parameters
----------
it : iterable
The underlying iterator.
show_progress : bool
Should progress be shown.
**kwargs
Forwarded to the click progress bar.
Returns
-------
itercontext : context manager
... | maybe_show_progress | python | quantopian/zipline | zipline/utils/cli.py | https://github.com/quantopian/zipline/blob/master/zipline/utils/cli.py | Apache-2.0 |
def wraps(wrapped,
assigned=functools.WRAPPER_ASSIGNMENTS,
updated=functools.WRAPPER_UPDATES):
"""Decorator factory to apply update_wrapper() to a wrapper function
Returns a decorator that invokes update_wrapper() with the decorated
function as the wrapper argu... | Decorator factory to apply update_wrapper() to a wrapper function
Returns a decorator that invokes update_wrapper() with the decorated
function as the wrapper argument and the arguments to wraps() as the
remaining arguments. Default arguments are as for update_wrapper().
Thi... | wraps | python | quantopian/zipline | zipline/utils/compat.py | https://github.com/quantopian/zipline/blob/master/zipline/utils/compat.py | Apache-2.0 |
def oldest_frame(self, raw=False):
"""
Get the oldest frame in the panel.
"""
if raw:
return self.buffer.values[:, self._start_index, :]
return self.buffer.iloc[:, self._start_index, :] |
Get the oldest frame in the panel.
| oldest_frame | python | quantopian/zipline | zipline/utils/data.py | https://github.com/quantopian/zipline/blob/master/zipline/utils/data.py | Apache-2.0 |
def extend_back(self, missing_dts):
"""
Resizes the buffer to hold a new window with a new cap_multiple.
If cap_multiple is None, then the old cap_multiple is used.
"""
delta = len(missing_dts)
if not delta:
raise ValueError(
'missing_dts must... |
Resizes the buffer to hold a new window with a new cap_multiple.
If cap_multiple is None, then the old cap_multiple is used.
| extend_back | python | quantopian/zipline | zipline/utils/data.py | https://github.com/quantopian/zipline/blob/master/zipline/utils/data.py | Apache-2.0 |
def get_current(self, item=None, raw=False, start=None, end=None):
"""
Get a Panel that is the current data in view. It is not safe to persist
these objects because internal data might change
"""
item_indexer = slice(None)
if item:
item_indexer = self.items.ge... |
Get a Panel that is the current data in view. It is not safe to persist
these objects because internal data might change
| get_current | python | quantopian/zipline | zipline/utils/data.py | https://github.com/quantopian/zipline/blob/master/zipline/utils/data.py | Apache-2.0 |
def set_current(self, panel):
"""
Set the values stored in our current in-view data to be values of the
passed panel. The passed panel must have the same indices as the panel
that would be returned by self.get_current.
"""
where = slice(self._start_index, self._pos)
... |
Set the values stored in our current in-view data to be values of the
passed panel. The passed panel must have the same indices as the panel
that would be returned by self.get_current.
| set_current | python | quantopian/zipline | zipline/utils/data.py | https://github.com/quantopian/zipline/blob/master/zipline/utils/data.py | Apache-2.0 |
def _roll_data(self):
"""
Roll window worth of data up to position zero.
Save the effort of having to expensively roll at each iteration
"""
self.buffer.values[:, :self._window, :] = \
self.buffer.values[:, -self._window:, :]
self.date_buf[:self._window] = se... |
Roll window worth of data up to position zero.
Save the effort of having to expensively roll at each iteration
| _roll_data | python | quantopian/zipline | zipline/utils/data.py | https://github.com/quantopian/zipline/blob/master/zipline/utils/data.py | Apache-2.0 |
def compute_date_range_chunks(sessions, start_date, end_date, chunksize):
"""Compute the start and end dates to run a pipeline for.
Parameters
----------
sessions : DatetimeIndex
The available dates.
start_date : pd.Timestamp
The first date in the pipeline.
end_date : pd.Timesta... | Compute the start and end dates to run a pipeline for.
Parameters
----------
sessions : DatetimeIndex
The available dates.
start_date : pd.Timestamp
The first date in the pipeline.
end_date : pd.Timestamp
The last date in the pipeline.
chunksize : int or None
The... | compute_date_range_chunks | python | quantopian/zipline | zipline/utils/date_utils.py | https://github.com/quantopian/zipline/blob/master/zipline/utils/date_utils.py | Apache-2.0 |
def deprecated(msg=None, stacklevel=2):
"""
Used to mark a function as deprecated.
Parameters
----------
msg : str
The message to display in the deprecation warning.
stacklevel : int
How far up the stack the warning needs to go, before
showing the relevant calling lines.... |
Used to mark a function as deprecated.
Parameters
----------
msg : str
The message to display in the deprecation warning.
stacklevel : int
How far up the stack the warning needs to go, before
showing the relevant calling lines.
Examples
--------
@deprecated(msg... | deprecated | python | quantopian/zipline | zipline/utils/deprecate.py | https://github.com/quantopian/zipline/blob/master/zipline/utils/deprecate.py | Apache-2.0 |
def enum(option, *options):
"""
Construct a new enum object.
Parameters
----------
*options : iterable of str
The names of the fields for the enum.
Returns
-------
enum
A new enum collection.
Examples
--------
>>> e = enum('a', 'b', 'c')
>>> e
<enum... |
Construct a new enum object.
Parameters
----------
*options : iterable of str
The names of the fields for the enum.
Returns
-------
enum
A new enum collection.
Examples
--------
>>> e = enum('a', 'b', 'c')
>>> e
<enum: ('a', 'b', 'c')>
>>> e.a
... | enum | python | quantopian/zipline | zipline/utils/enum.py | https://github.com/quantopian/zipline/blob/master/zipline/utils/enum.py | Apache-2.0 |
def naive_to_utc(ts):
"""
Converts a UTC tz-naive timestamp to a tz-aware timestamp.
"""
# Drop the nanoseconds field. warn=False suppresses the warning
# that we are losing the nanoseconds; however, this is intended.
return pd.Timestamp(ts.to_pydatetime(warn=False), tz='UTC') |
Converts a UTC tz-naive timestamp to a tz-aware timestamp.
| naive_to_utc | python | quantopian/zipline | zipline/utils/events.py | https://github.com/quantopian/zipline/blob/master/zipline/utils/events.py | Apache-2.0 |
def ensure_utc(time, tz='UTC'):
"""
Normalize a time. If the time is tz-naive, assume it is UTC.
"""
if not time.tzinfo:
time = time.replace(tzinfo=pytz.timezone(tz))
return time.replace(tzinfo=pytz.utc) |
Normalize a time. If the time is tz-naive, assume it is UTC.
| ensure_utc | python | quantopian/zipline | zipline/utils/events.py | https://github.com/quantopian/zipline/blob/master/zipline/utils/events.py | Apache-2.0 |
def _build_offset(offset, kwargs, default):
"""
Builds the offset argument for event rules.
"""
# Filter down to just kwargs that were actually passed.
kwargs = {k: v for k, v in six.iteritems(kwargs) if v is not None}
if offset is None:
if not kwargs:
return default # use t... |
Builds the offset argument for event rules.
| _build_offset | python | quantopian/zipline | zipline/utils/events.py | https://github.com/quantopian/zipline/blob/master/zipline/utils/events.py | Apache-2.0 |
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