zipline.pipeline.loaders.blaze.BlazeEarningsCalendarLoader.load_adjusted_array()

Complexity

Conditions

2

Size

Total Lines

29

Duplication

Lines	0
Ratio	0 %

1 Method

Rating	Name	Duplication	Size	Complexity
A	zipline.pipeline.loaders.blaze.BlazeEarningsCalendarLoader.mkseries()	0	7	1

from datashape import istabular
import pandas as pd
from toolz import valmap

from .core import (
    TS_FIELD_NAME,
    SID_FIELD_NAME,
    bind_expression_to_resources,
    ffill_query_in_range,
)
from zipline.pipeline.data import EarningsCalendar
from zipline.pipeline.loaders.base import PipelineLoader
from zipline.pipeline.loaders.earnings import EarningsCalendarLoader


ANNOUNCEMENT_FIELD_NAME = 'announcement_date'


class BlazeEarningsCalendarLoader(PipelineLoader):
    """A pipeline loader for the ``EarningsCalendar`` dataset that loads
    data from a blaze expression.

    Parameters
    ----------
    expr : Expr
        The expression representing the data to load.
    resources : dict, optional
        Mapping from the atomic terms of ``expr`` to actual data resources.
    odo_kwargs : dict, optional
        Extra keyword arguments to pass to odo when executing the expression.

    Notes
    -----
    The expression should have a tabular dshape of::

       Dim * {{
           {SID_FIELD_NAME}: int64,
           {TS_FIELD_NAME}: datetime,
           {ANNOUNCEMENT_FIELD_NAME}: ?datetime,
       }}

    Where each row of the table is a record including the sid to identify the
    company, the timestamp where we learned about the announcement, and the
    date when the earnings will be announced.

    If the '{TS_FIELD_NAME}' field is not included it is assumed that we
    start the backtest with knowledge of all announcements.
    """
    __doc__ = __doc__.format(
        TS_FIELD_NAME=TS_FIELD_NAME,
        SID_FIELD_NAME=SID_FIELD_NAME,
        ANNOUNCEMENT_FIELD_NAME=ANNOUNCEMENT_FIELD_NAME,
    )

    _expected_fields = frozenset({
        TS_FIELD_NAME,
        SID_FIELD_NAME,
        ANNOUNCEMENT_FIELD_NAME,
    })

    def __init__(self,
                 expr,
                 resources=None,
                 odo_kwargs=None,
                 dataset=EarningsCalendar):
        dshape = expr.dshape

        if not istabular(dshape):
            raise ValueError(
                'expression dshape must be tabular, got: %s' % dshape,
            )

        expected_fields = self._expected_fields
        self._expr = bind_expression_to_resources(
            expr[list(expected_fields)],
            resources,
        )
        self._odo_kwargs = odo_kwargs if odo_kwargs is not None else {}
        self._dataset = dataset

    def load_adjusted_array(self, columns, dates, assets, mask):
        raw = ffill_query_in_range(
            self._expr,
            dates[0],
            dates[-1],
            self._odo_kwargs,
        )
        sids = raw.loc[:, SID_FIELD_NAME]
        raw.drop(
            sids[~sids.isin(assets)].index,
            inplace=True
        )

        gb = raw.groupby(SID_FIELD_NAME)

        def mkseries(idx, raw_loc=raw.loc):
            vs = raw_loc[
                idx, [TS_FIELD_NAME, ANNOUNCEMENT_FIELD_NAME]
            ].values
            return pd.Series(
                index=pd.DatetimeIndex(vs[:, 0]),
                data=vs[:, 1],
            )

        return EarningsCalendarLoader(
            dates,
            valmap(mkseries, gb.groups),
            dataset=self._dataset,
        ).load_adjusted_array(columns, dates, assets, mask)