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""" |
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Reference implementation for EarningsCalendar loaders. |
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""" |
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from itertools import repeat |
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from numpy import full_like, full |
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import pandas as pd |
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from six import iteritems |
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from six.moves import zip |
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from toolz import merge |
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from .base import PipelineLoader |
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from .frame import DataFrameLoader |
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from ..data.earnings import EarningsCalendar |
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from zipline.utils.numpy_utils import np_NaT |
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from zipline.utils.memoize import lazyval |
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class EarningsCalendarLoader(PipelineLoader): |
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""" |
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Reference loader for |
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:class:`zipline.pipeline.data.earnings.EarningsCalendar`. |
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Does not currently support adjustments to the dates of known earnings. |
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Parameters |
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---------- |
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all_dates : pd.DatetimeIndex |
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Index of dates for which we can serve queries. |
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announcement_dates : dict[int -> pd.Series or pd.DatetimeIndex] |
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Dict mapping sids to objects representing dates on which earnings |
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occurred. |
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If a dict value is a Series, it's interpreted as a mapping from the |
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date on which we learned an announcement was coming to the date on |
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which the announcement was made. |
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If a dict value is a DatetimeIndex, it's interpreted as just containing |
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the dates that announcements were made, and we assume we knew about the |
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announcement on all prior dates. This mode is only supported if |
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``infer_timestamp`` is explicitly passed as a truthy value. |
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infer_timestamps : bool, optional |
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Whether to allow passing ``DatetimeIndex`` values in |
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``announcement_dates``. |
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""" |
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def __init__(self, all_dates, announcement_dates, infer_timestamps=False): |
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self.all_dates = all_dates |
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self.announcement_dates = announcement_dates = ( |
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announcement_dates.copy() |
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) |
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dates = self.all_dates.values |
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for k, v in iteritems(announcement_dates): |
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if isinstance(v, pd.DatetimeIndex): |
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if not infer_timestamps: |
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raise ValueError( |
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"Got DatetimeIndex of announcement dates for sid %d.\n" |
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"Pass `infer_timestamps=True` to use the first date in" |
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" `all_dates` as implicit timestamp." |
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) |
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# If we are passed a DatetimeIndex, we always have |
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# knowledge of the announcements. |
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announcement_dates[k] = pd.Series( |
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v, index=repeat(dates[0], len(v)), |
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) |
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def get_loader(self, column): |
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"""Dispatch to the loader for ``column``. |
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""" |
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if column is EarningsCalendar.next_announcement: |
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return self.next_announcement_loader |
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elif column is EarningsCalendar.previous_announcement: |
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return self.previous_announcement_loader |
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else: |
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raise ValueError("Don't know how to load column '%s'." % column) |
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@lazyval |
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def next_announcement_loader(self): |
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return DataFrameLoader( |
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EarningsCalendar.next_announcement, |
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next_earnings_date_frame( |
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self.all_dates, |
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self.announcement_dates, |
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), |
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adjustments=None, |
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) |
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@lazyval |
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def previous_announcement_loader(self): |
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return DataFrameLoader( |
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EarningsCalendar.previous_announcement, |
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previous_earnings_date_frame( |
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self.all_dates, |
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self.announcement_dates, |
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), |
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adjustments=None, |
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) |
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def load_adjusted_array(self, columns, dates, assets, mask): |
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return merge( |
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self.get_loader(column).load_adjusted_array( |
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[column], dates, assets, mask |
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) |
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for column in columns |
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) |
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def next_earnings_date_frame(dates, announcement_dates): |
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""" |
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Make a DataFrame representing simulated next earnings dates. |
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Parameters |
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---------- |
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dates : pd.DatetimeIndex. |
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The index of the returned DataFrame. |
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announcement_dates : dict[int -> pd.Series] |
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Dict mapping sids to an index of dates on which earnings were announced |
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for that sid. |
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Returns |
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------- |
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next_earnings: pd.DataFrame |
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A DataFrame representing, for each (label, date) pair, the first entry |
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in `earnings_calendars[label]` on or after `date`. Entries falling |
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after the last date in a calendar will have `np_NaT` as the result in |
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the output. |
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See Also |
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-------- |
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previous_earnings_date_frame |
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""" |
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cols = {equity: full_like(dates, np_NaT) for equity in announcement_dates} |
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raw_dates = dates.values |
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for equity, earnings_dates in iteritems(announcement_dates): |
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data = cols[equity] |
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if not earnings_dates.index.is_monotonic_increasing: |
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earnings_dates = earnings_dates.sort_index() |
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# Iterate over the raw Series values, since we're comparing against |
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# numpy arrays anyway. |
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iterkv = zip(earnings_dates.index.values, earnings_dates.values) |
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for timestamp, announce_date in iterkv: |
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date_mask = (timestamp <= raw_dates) & (raw_dates <= announce_date) |
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value_mask = (announce_date <= data) | (data == np_NaT) |
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data[date_mask & value_mask] = announce_date |
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return pd.DataFrame(index=dates, data=cols) |
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def previous_earnings_date_frame(dates, announcement_dates): |
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""" |
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Make a DataFrame representing simulated next earnings dates. |
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Parameters |
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---------- |
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dates : DatetimeIndex. |
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The index of the returned DataFrame. |
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announcement_dates : dict[int -> DatetimeIndex] |
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Dict mapping sids to an index of dates on which earnings were announced |
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for that sid. |
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Returns |
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------- |
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prev_earnings: pd.DataFrame |
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A DataFrame representing, for (label, date) pair, the first entry in |
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`announcement_dates[label]` strictly before `date`. Entries falling |
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before the first date in a calendar will have `NaT` as the result in |
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the output. |
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See Also |
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-------- |
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next_earnings_date_frame |
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""" |
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sids = list(announcement_dates) |
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out = full((len(dates), len(sids)), np_NaT, dtype='datetime64[ns]') |
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dn = dates[-1].asm8 |
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for col_idx, sid in enumerate(sids): |
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# announcement_dates[sid] is Series mapping knowledge_date to actual |
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# announcement date. We don't care about the knowledge date for |
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# computing previous earnings. |
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values = announcement_dates[sid].values |
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values = values[values <= dn] |
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out[dates.searchsorted(values), col_idx] = values |
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frame = pd.DataFrame(out, index=dates, columns=sids) |
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frame.ffill(inplace=True) |
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return frame |
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quantopian /
zipline
