def test_load_empty(self):
"""
For the case where raw data is empty, make sure we have a result for
all sids, that the dimensions are correct, and that we have the
correct missing value.
"""
raw_events = pd.DataFrame(
columns=[
"sid",
"timestamp",
"event_date",
"float",
"int",
"datetime",
"string",
]
)
next_value_columns = {
EventDataSet_US.next_datetime: "datetime",
EventDataSet_US.next_event_date: "event_date",
EventDataSet_US.next_float: "float",
EventDataSet_US.next_int: "int",
EventDataSet_US.next_string: "string",
EventDataSet_US.next_string_custom_missing: "string",
}
previous_value_columns = {
EventDataSet_US.previous_datetime: "datetime",
EventDataSet_US.previous_event_date: "event_date",
EventDataSet_US.previous_float: "float",
EventDataSet_US.previous_int: "int",
EventDataSet_US.previous_string: "string",
EventDataSet_US.previous_string_custom_missing: "string",
}
loader = EventsLoader(raw_events, next_value_columns, previous_value_columns)
engine = SimplePipelineEngine(
lambda x: loader,
self.asset_finder,
)
results = engine.run_pipeline(
Pipeline(
{c.name: c.latest for c in EventDataSet_US.columns}, domain=US_EQUITIES
),
start_date=self.trading_days[0],
end_date=self.trading_days[-1],
)
assets = self.asset_finder.retrieve_all(self.ASSET_FINDER_EQUITY_SIDS)
dates = self.trading_days
expected = self.frame_containing_all_missing_values(
index=pd.MultiIndex.from_product([dates, assets]),
columns=EventDataSet_US.columns,
)
assert_equal(results, expected)
def test_wrong_cols(self):
# Test wrong cols (cols != expected)
events = pd.DataFrame({
'c': [5],
SID_FIELD_NAME: [1],
TS_FIELD_NAME: [pd.Timestamp('2014')],
EVENT_DATE_FIELD_NAME: [pd.Timestamp('2014')],
})
EventsLoader(events, {EventDataSet.next_float: 'c'}, {})
EventsLoader(events, {}, {EventDataSet.previous_float: 'c'})
with self.assertRaises(ValueError) as e:
EventsLoader(events, {EventDataSet.next_float: 'd'}, {})
msg = str(e.exception)
expected = (
"EventsLoader missing required columns ['d'].\n"
"Got Columns: ['c', 'event_date', 'sid', 'timestamp']\n"
"Expected Columns: ['d', 'event_date', 'sid', 'timestamp']")
self.assertEqual(msg, expected)
def test_wrong_cols(self):
# Test wrong cols (cols != expected)
events = pd.DataFrame(
{
"c": [5],
SID_FIELD_NAME: [1],
TS_FIELD_NAME: [pd.Timestamp("2014")],
EVENT_DATE_FIELD_NAME: [pd.Timestamp("2014")],
}
)
EventsLoader(events, {EventDataSet_US.next_float: "c"}, {})
EventsLoader(events, {}, {EventDataSet_US.previous_float: "c"})
expected = (
"EventsLoader missing required columns ['d'].\n"
"Got Columns: ['c', 'event_date', 'sid', 'timestamp']\n"
"Expected Columns: ['d', 'event_date', 'sid', 'timestamp']"
)
with pytest.raises(ValueError, match=re.escape(expected)):
EventsLoader(events, {EventDataSet_US.next_float: "d"}, {})
def load_adjusted_array(self, columns, dates, assets, mask):
raw = load_raw_data(assets, dates, self._data_query_time,
self._data_query_tz, self._expr, self._odo_kwargs)
return EventsLoader(
events=raw,
next_value_columns=self._next_value_columns,
previous_value_columns=self._previous_value_columns,
).load_adjusted_array(
columns,
dates,
assets,
mask,
)
def load_adjusted_array(self, domain, columns, dates, sids, mask):
raw = load_raw_data(
sids,
domain.data_query_cutoff_for_sessions(dates),
self._expr,
self._odo_kwargs,
)
return EventsLoader(
events=raw,
next_value_columns=self._next_value_columns,
previous_value_columns=self._previous_value_columns,
).load_adjusted_array(
domain,
columns,
dates,
sids,
mask,
)
def init_class_fixtures(cls):
# This is a rare case where we actually want to do work **before** we
# call init_class_fixtures. We choose our sids for WithAssetFinder
# based on the events generated by make_event_data.
cls.raw_events = make_events(add_nulls=True)
cls.raw_events_no_nulls = cls.raw_events[
cls.raw_events['event_date'].notnull()
]
cls.next_value_columns = {
EventDataSet_US.next_datetime: 'datetime',
EventDataSet_US.next_event_date: 'event_date',
EventDataSet_US.next_float: 'float',
EventDataSet_US.next_int: 'int',
EventDataSet_US.next_string: 'string',
EventDataSet_US.next_string_custom_missing: 'string'
}
cls.previous_value_columns = {
EventDataSet_US.previous_datetime: 'datetime',
EventDataSet_US.previous_event_date: 'event_date',
EventDataSet_US.previous_float: 'float',
EventDataSet_US.previous_int: 'int',
EventDataSet_US.previous_string: 'string',
EventDataSet_US.previous_string_custom_missing: 'string'
}
cls.loader = EventsLoader(
cls.raw_events,
cls.next_value_columns,
cls.previous_value_columns,
)
cls.ASSET_FINDER_EQUITY_SIDS = list(cls.raw_events['sid'].unique())
cls.ASSET_FINDER_EQUITY_SYMBOLS = [
's' + str(n) for n in cls.ASSET_FINDER_EQUITY_SIDS
]
super(EventsLoaderTestCase, cls).init_class_fixtures()
cls.engine = SimplePipelineEngine(
lambda c: cls.loader,
asset_finder=cls.asset_finder,
default_domain=US_EQUITIES,
)
def load_adjusted_array(self, columns, dates, assets, mask):
data_query_time = self._data_query_time
data_query_tz = self._data_query_tz
lower_dt, upper_dt = normalize_data_query_bounds(
dates[0],
dates[-1],
data_query_time,
data_query_tz,
)
raw = ffill_query_in_range(
self._expr,
lower_dt,
upper_dt,
self._odo_kwargs,
)
sids = raw.loc[:, SID_FIELD_NAME]
raw.drop(sids[~sids.isin(assets)].index, inplace=True)
if data_query_time is not None:
normalize_timestamp_to_query_time(
raw,
data_query_time,
data_query_tz,
inplace=True,
ts_field=TS_FIELD_NAME,
)
return EventsLoader(
events=raw,
next_value_columns=self._next_value_columns,
previous_value_columns=self._previous_value_columns,
).load_adjusted_array(
columns,
dates,
assets,
mask,
)
def make_loader(cls, events, next_value_columns, previous_value_columns):
# This method exists to be overridden by BlazeEventsLoaderTestCase
return EventsLoader(events, next_value_columns, previous_value_columns)
def make_loader(cls, events, next_value_columns, previous_value_columns):
# This method exists to be overridden by EventsLoaderTestCases using alternative loaders
return EventsLoader(events, next_value_columns, previous_value_columns)
