Merge pull request #2609 from quantopian/currency-fixes

Currency Improvements

Author: Scott Sanderson

tests/data/test_daily_bars.py

@@ -36,6 +36,7 @@
 from toolz import merge
 from trading_calendars import get_calendar
 
+from zipline.currency import MISSING_CURRENCY_CODE
 from zipline.data.bar_reader import (
     NoDataAfterDate,
     NoDataBeforeDate,
@@ -59,7 +60,7 @@
     expected_bar_values_2d,
     make_bar_data,
 )
-from zipline.testing import seconds_to_timestamp
+from zipline.testing import seconds_to_timestamp, powerset
 from zipline.testing.fixtures import (
     WithAssetFinder,
     WithBcolzEquityDailyBarReader,
@@ -522,13 +523,45 @@ def test_get_last_traded_dt(self):
             )
 
     def test_listing_currency(self):
-        assets = np.array(list(self.assets))
-        # TODO: Test loading codes for missing assets.
-        results = self.daily_bar_reader.currency_codes(assets)
-        expected = self.make_equity_daily_bar_currency_codes(
-            self.DAILY_BARS_TEST_QUERY_COUNTRY_CODE, assets,
+        # Test loading on all assets.
+        all_assets = np.array(list(self.assets))
+        all_results = self.daily_bar_reader.currency_codes(all_assets)
+        all_expected = self.make_equity_daily_bar_currency_codes(
+            self.DAILY_BARS_TEST_QUERY_COUNTRY_CODE, all_assets,
         ).values
-        assert_equal(results, expected)
+        assert_equal(all_results, all_expected)
+
+        # Check all possible subsets of assets.
+        for indices in map(list, powerset(range(len(all_assets)))):
+            # Empty queries aren't currently supported.
+            if not indices:
+                continue
+            assets = all_assets[indices]
+            results = self.daily_bar_reader.currency_codes(assets)
+            expected = all_expected[indices]
+
+            assert_equal(results, expected)
+
+    def test_listing_currency_for_nonexistent_asset(self):
+        reader = self.daily_bar_reader
+
+        valid_sid = max(self.assets)
+        valid_currency = reader.currency_codes(np.array([valid_sid]))[0]
+        invalid_sids = [-1, -2]
+
+        # XXX: We currently require at least one valid sid here, because the
+        # MultiCountryDailyBarReader needs one valid sid to be able to dispatch
+        # to a child reader. We could probably make that work, but there are no
+        # real-world cases where we expect to get all-invalid currency queries,
+        # so it's unclear whether we should do work to explicitly support such
+        # queries.
+        mixed = np.array(invalid_sids + [valid_sid])
+        result = self.daily_bar_reader.currency_codes(mixed)
+        expected = np.array(
+            [MISSING_CURRENCY_CODE] * 2 + [valid_currency],
+            dtype='S3'
+        )
+        assert_equal(result, expected)
 
 
 class BcolzDailyBarTestCase(WithBcolzEquityDailyBarReader, _DailyBarsTestCase):

tests/data/test_fx.py

@@ -1,11 +1,9 @@
 import itertools
 
-import h5py
 import pandas as pd
 import numpy as np
 
 from zipline.data.fx import DEFAULT_FX_RATE
-from zipline.data.fx.hdf5 import HDF5FXRateReader, HDF5FXRateWriter
 
 from zipline.testing.predicates import assert_equal
 import zipline.testing.fixtures as zp_fixtures
@@ -59,33 +57,6 @@ def make_fx_rates(cls, fields, currencies, sessions):
             'tokyo_mid': cls.tokyo_mid_rates,
         }
 
-    @classmethod
-    def get_expected_rate_scalar(cls, rate, quote, base, dt):
-        """Get the expected FX rate for the given scalar coordinates.
-        """
-        if rate == DEFAULT_FX_RATE:
-            rate = cls.FX_RATES_DEFAULT_RATE
-
-        col = cls.fx_rates[rate][quote][base]
-        # PERF: We call this function a lot in this suite, and get_loc is
-        # surprisingly expensive, so optimizing it has a meaningful impact on
-        # overall suite performance. See test_fast_get_loc_ffilled_for
-        # assurance that this behaves the same as get_loc.
-        ix = fast_get_loc_ffilled(col.index.values, dt.asm8)
-        return col.values[ix]
-
-    @classmethod
-    def get_expected_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_expected_rate_scalar(rate, quote, base, dt)
-
-        return out
-
     @property
     def reader(self):
         raise NotImplementedError("Must be implemented by test suite.")
@@ -110,7 +81,7 @@ def test_scalar_lookup(self):
             if quote == base:
                 assert_equal(result_scalar, 1.0)
 
-            expected = self.get_expected_rate_scalar(rate, quote, base, dt)
+            expected = self.get_expected_fx_rate_scalar(rate, quote, base, dt)
             assert_equal(result_scalar, expected)
 
     def test_vectorized_lookup(self):
@@ -135,7 +106,7 @@ def test_vectorized_lookup(self):
                 # ...And check that we get the expected result when querying
                 # for those dates/currencies.
                 result = self.reader.get_rates(rate, quote, bases, dts)
-                expected = self.get_expected_rates(rate, quote, bases, dts)
+                expected = self.get_expected_fx_rates(rate, quote, bases, dts)
 
                 assert_equal(result, expected)
 
@@ -205,47 +176,14 @@ class HDF5FXReaderTestCase(zp_fixtures.WithTmpDir,
     @classmethod
     def init_class_fixtures(cls):
         super(HDF5FXReaderTestCase, cls).init_class_fixtures()
-
         path = cls.tmpdir.getpath('fx_rates.h5')
-
-        # Set by WithFXRates.
-        sessions = cls.fx_rates_sessions
-
-        # Write in-memory data to h5 file.
-        with h5py.File(path, 'w') as h5_file:
-            writer = HDF5FXRateWriter(h5_file)
-            fx_data = ((rate, quote, quote_frame.values)
-                       for rate, rate_dict in cls.fx_rates.items()
-                       for quote, quote_frame in rate_dict.items())
-
-            writer.write(
-                dts=sessions.values,
-                currencies=np.array(cls.FX_RATES_CURRENCIES, dtype='S3'),
-                data=fx_data,
-            )
-
-        h5_file = cls.enter_class_context(h5py.File(path, 'r'))
-        cls.h5_fx_reader = HDF5FXRateReader(
-            h5_file,
-            default_rate=cls.FX_RATES_DEFAULT_RATE,
-        )
+        cls.h5_fx_reader = cls.write_h5_fx_rates(path)
 
     @property
     def reader(self):
         return self.h5_fx_reader
 
 
-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
-
-
 class FastGetLocTestCase(zp_fixtures.ZiplineTestCase):
 
     def test_fast_get_loc_ffilled(self):
@@ -258,12 +196,12 @@ def test_fast_get_loc_ffilled(self):
         ])
 
         for dt in pd.date_range('2014-01-02', '2014-01-08'):
-            result = fast_get_loc_ffilled(dts.values, dt.asm8)
+            result = zp_fixtures.fast_get_loc_ffilled(dts.values, dt.asm8)
             expected = dts.get_loc(dt, method='ffill')
             assert_equal(result, expected)
 
         with self.assertRaises(KeyError):
             dts.get_loc(pd.Timestamp('2014-01-01'), method='ffill')
 
         with self.assertRaises(KeyError):
-            fast_get_loc_ffilled(dts, pd.Timestamp('2014-01-01'))
+            zp_fixtures.fast_get_loc_ffilled(dts, pd.Timestamp('2014-01-01'))

tests/utils/test_numpy_utils.py

@@ -19,8 +19,10 @@
 from toolz import curry
 from toolz.curried.operator import ne
 
+from zipline.testing.predicates import assert_equal
 from zipline.utils.functional import mapall as lazy_mapall
 from zipline.utils.numpy_utils import (
+    bytes_array_to_native_str_object_array,
     is_float,
     is_int,
     is_datetime,
@@ -92,3 +94,13 @@ def test_is_datetime(self):
 
         for bad_value in everything_but(datetime, CASES):
             self.assertFalse(is_datetime(bad_value))
+
+
+class ArrayUtilsTestCase(TestCase):
+
+    def test_bytes_array_to_native_str_object_array(self):
+        a = array([b'abc', b'def'], dtype='S3')
+        result = bytes_array_to_native_str_object_array(a)
+        expected = array(['abc', 'def'], dtype=object)
+
+        assert_equal(result, expected)

zipline/currency.py

@@ -1,31 +1,11 @@
-from functools import partial, total_ordering
-
+from functools import total_ordering
 from iso4217 import Currency as ISO4217Currency
 
-import numpy as np
-
 _ALL_CURRENCIES = {}
 
 
-def strs_to_sids(strs, category_num):
-    """TODO: Improve this.
-    """
-    out = np.full(len(strs), category_num << 50, dtype='i8')
-    casted_buffer = np.ndarray(
-        shape=out.shape,
-        dtype='S6',
-        buffer=out,
-        strides=out.strides,
-    )
-    casted_buffer[:] = np.array(strs, dtype='S6')
-    return out
-
-
-def str_to_sid(str_, category_num):
-    return strs_to_sids([str_], category_num)[0]
-
-
-iso_currency_to_sid = partial(str_to_sid, category_num=3)
+# Special sentinel used to represent unknown or missing currencies.
+MISSING_CURRENCY_CODE = 'XXX'
 
 
 @total_ordering
@@ -48,15 +28,20 @@ def __new__(cls, code):
         try:
             return _ALL_CURRENCIES[code]
         except KeyError:
-            try:
-                iso_currency = ISO4217Currency(code)
-            except ValueError:
-                raise ValueError(
-                    "{!r} is not a valid currency code.".format(code)
-                )
+            # This isn't a real
+            if code == MISSING_CURRENCY_CODE:
+                name = "NO CURRENCY"
+            else:
+                try:
+                    name = ISO4217Currency(code).currency_name
+                except ValueError:
+                    raise ValueError(
+                        "{!r} is not a valid currency code.".format(code)
+                    )
+
             obj = _ALL_CURRENCIES[code] = super(Currency, cls).__new__(cls)
-            obj._currency = iso_currency
-            obj._sid = iso_currency_to_sid(iso_currency.value)
+            obj._code = code
+            obj._name = name
             return obj
 
     @property
@@ -67,7 +52,7 @@ def code(self):
         -------
         code : str
         """
-        return self._currency.value
+        return self._code
 
     @property
     def name(self):
@@ -77,13 +62,7 @@ def name(self):
         -------
         name : str
         """
-        return self._currency.currency_name
-
-    @property
-    def sid(self):
-        """Unique integer identifier for this currency.
-        """
-        return self._sid
+        return self._name
 
     def __eq__(self, other):
         if type(self) != type(other):

zipline/data/bcolz_daily_bars.py

@@ -34,6 +34,7 @@
 from toolz import compose
 from trading_calendars import get_calendar
 
+from zipline.currency import MISSING_CURRENCY_CODE
 from zipline.data.session_bars import CurrencyAwareSessionBarReader
 from zipline.data.bar_reader import (
     NoDataAfterDate,
@@ -706,5 +707,14 @@ def get_value(self, sid, dt, field):
             return price
 
     def currency_codes(self, sids):
-        # TODO: Better handling for this.
-        return np.full(len(sids), b'USD', dtype='S3')
+        # XXX: This is pretty inefficient. This reader doesn't really support
+        # country codes, so we always either return USD or
+        # MISSING_CURRENCY_CODE if we don't know about the sid at all.
+        first_rows = self._first_rows
+        out = []
+        for sid in sids:
+            if sid in first_rows:
+                out.append('USD')
+            else:
+                out.append(MISSING_CURRENCY_CODE)
+        return np.array(out, dtype='S3')