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Code Issues Projects Releases Packages Wiki Activity Actions

BLD: Try github actions again (#2743)

Browse source 
* BLD: Try github actions again

* new requirements for p36

* fix code different across numpy versions

* silence the correct warnings for tests to run

* MAINT: Use loc instead of deprecated ix

* comment out windows for now

Co-authored-by: Richard Frank <rich@quantopian.com>
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gerrymanoim 2020-08-17 12:05:36 -04:00 committed by GitHub
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67
.github/workflows/ci.yaml vendored Normal file
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@ -0,0 +1,67 @@
name: Zipline CI (Ubuntu/macOS)
on:
push:
branches:
- master
pull_request:
branches:
- master
jobs:
build-and-test:
runs-on: ${{ matrix.os }}
strategy:
fail-fast: false
matrix:
os: [ubuntu-latest, macos-latest]
python-version: [3.5, 3.6]
steps:
- uses: actions/checkout@v2
with:
submodules: 'recursive'
- name: Set up Python ${{ matrix.python-version }}
uses: actions/setup-python@v2.1.1
with:
python-version: ${{ matrix.python-version }}
- name: Install TA lib (ubuntu)
if: startsWith(matrix.os, 'ubuntu')
run: |
wget https://s3.amazonaws.com/quantopian-orchestration/packages/ta-lib-0.4.0-src.tar.gz
tar xvfz ta-lib-0.4.0-src.tar.gz
cd ta-lib
./configure
make
sudo make install
sudo ldconfig
- name: Install TA lib (macOS)
if: startsWith(matrix.os, 'macos')
run: |
brew install ta-lib
- name: Set Lockfile py 35
if: matrix.python-version == 3.5
run: |
echo ::set-env name=PIP_CONSTRAINT::etc/requirements_locked.txt
- name: Set Lockfile py36
if: matrix.python-version == 3.6
run: |
echo ::set-env name=PIP_CONSTRAINT::etc/requirements_py36_locked.txt
- name: Get pip cache dir
id: pip-cache
run: |
echo "::set-output name=dir::$(pip cache dir)"
- name: pip cache
uses: actions/cache@v2
with:
path: ${{ steps.pip-cache.outputs.dir }}
key: ${{ runner.os }}-pip-py${{matrix.python-version}}-${{ hashFiles('$PIP_CONSTRAINT') }}
restore-keys: |
${{ runner.os }}-pip-
- name: Install requirements
run: |
python -m pip install -r etc/requirements_build.in
python -m pip install --no-binary=bcolz -e .[all] -r etc/requirements_blaze.in
- name: Run tests
run: |
nosetests tests

53
.github/workflows/windows_ci.yml vendored Normal file
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@ -0,0 +1,53 @@
# name: Zipline CI (Windows)
# on:
# push:
# branches:
# - master
# pull_request:
# branches:
# - master
# jobs:
# build-and-test:
# runs-on: ${{ matrix.os }}
# strategy:
# fail-fast: false
# matrix:
# os: [windows-latest]
# python-version: [3.6]
# steps:
# - uses: actions/checkout@v2
# with:
# submodules: 'recursive'
# # - name: pip cache
# # uses: actions/cache@v2
# # with:
# # path: ${{ steps.pip-cache.outputs.dir }}
# # key: ${{ runner.os }}-pip-${{ hashFiles('etc/requirements_py36_locked.txt') }}
# # restore-keys: |
# # ${{ runner.os }}-pip-
# # - name: Install requirements
# # run: |
# # python -m pip install -r etc/requirements_build.in -c etc/requirements_locked.txt
# - name: Init Conda in Powershell
# run: |
# C:\Miniconda\condabin\conda.bat init powershell
# - name: Install scientific python requirements
# run: |
# conda create -y --name test python=${{matrix.python-version}} pip pandas=0.22.0 numpy=1.19.1 scipy=1.5.0 cython=0.29.21
# - name: Install TA lib
# run: |
# conda activate test
# conda install -y -c quantopian ta-lib
# - uses: ilammy/msvc-dev-cmd@v1
# - name: Install other requirements
# run: |
# conda activate test
# pip install --no-binary=bcolz -e .[dev] -c etc/requirements_py36_locked.txt
# - name: Run tests
# run: |
# conda activate test
# nosetests tests

2
etc/requirements.in
View file

@ -19,7 +19,7 @@ toolz>=0.8.2
# Scientific Libraries
numpy>=1.11.3
pandas>=0.18.1,<=0.22
pandas-datareader>=0.2.1
pandas-datareader>=0.2.1,<0.9.0
scipy>=0.17.1
# Needed for parts of pandas.stats
patsy>=0.4.0

2
etc/requirements_blaze.in
View file

@ -1,5 +1,5 @@
-e git://github.com/quantopian/blaze.git@f26375a6708eab85b7acc7869d6c518df2f974eb#egg=blaze
dask[dataframe]>=0.13.0
dask[dataframe]>=0.13.0,<2.11.0
-e git://github.com/quantopian/datashape.git@cae16a85406ca4302ff1f985b74a3809be0a83a1#egg=datashape
-e git://github.com/quantopian/odo.git@ba84238eb8dbcac4784ae7ebf62988d7e163c283#egg=odo

109
etc/requirements_py36_locked.txt Normal file
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@ -0,0 +1,109 @@
#
# This file is autogenerated by pip-compile
# To update, run:
#
# pip-compile --no-index --output-file=etc/requirements_py36_locked.txt etc/requirements.in etc/requirements_blaze.in etc/requirements_build.in etc/requirements_dev.in etc/requirements_docs.in etc/requirements_talib.in
#
-e git+git://github.com/quantopian/blaze.git@f26375a6708eab85b7acc7869d6c518df2f974eb#egg=blaze # via -r etc/requirements_blaze.in
-e git+git://github.com/quantopian/datashape.git@cae16a85406ca4302ff1f985b74a3809be0a83a1#egg=datashape # via -r etc/requirements_blaze.in, odo
-e git+git://github.com/quantopian/odo.git@ba84238eb8dbcac4784ae7ebf62988d7e163c283#egg=odo # via -r etc/requirements_blaze.in, blaze
alabaster==0.7.12 # via sphinx
alembic==1.4.2 # via -r etc/requirements.in
argh==0.26.2 # via sphinx-autobuild
babel==2.8.0 # via sphinx
bcolz==1.2.1 # via -r etc/requirements.in
bottleneck==1.3.2 # via -r etc/requirements.in
certifi==2020.6.20 # via requests
chardet==3.0.4 # via requests
click==7.1.2 # via -r etc/requirements.in, flask, pip-tools
contextlib2==0.6.0.post1 # via -r etc/requirements.in
coverage==5.2.1 # via -r etc/requirements_dev.in
cycler==0.10.0 # via matplotlib
cython==0.29.21 # via -r etc/requirements_build.in
cytoolz==0.10.1 # via -r etc/requirements_blaze.in
dask[dataframe]==2.10.1 # via -r etc/requirements_blaze.in, blaze, odo
decorator==4.4.2 # via networkx
docutils==0.16 # via sphinx
empyrical==0.5.3 # via -r etc/requirements.in
flake8==3.8.3 # via -r etc/requirements_dev.in
flask-cors==3.0.8 # via blaze
flask==1.1.2 # via blaze, flask-cors
fsspec==0.8.0 # via dask
h5py==2.10.0 # via -r etc/requirements.in
idna==2.10 # via requests
imagesize==1.2.0 # via sphinx
importlib-metadata==1.7.0 # via flake8
intervaltree==3.1.0 # via -r etc/requirements.in
iso3166==1.0.1 # via -r etc/requirements.in
iso4217==1.6.20180829 # via -r etc/requirements.in
itsdangerous==1.1.0 # via flask
jinja2==2.11.2 # via flask, numpydoc, sphinx
kiwisolver==1.2.0 # via matplotlib
livereload==2.6.2 # via sphinx-autobuild
locket==0.2.0 # via partd
logbook==1.5.3 # via -r etc/requirements.in
lru-dict==1.1.6 # via -r etc/requirements.in
lxml==4.5.2 # via pandas-datareader
mako==1.1.3 # via alembic
markupsafe==1.1.1 # via jinja2, mako
matplotlib==3.3.0 # via -r etc/requirements_dev.in
mccabe==0.6.1 # via flake8
mock==4.0.2 # via -r etc/requirements_dev.in
multipledispatch==0.6.0 # via -r etc/requirements.in, datashape, odo
networkx==1.11 # via -r etc/requirements.in, odo
nose-ignore-docstring==0.2 # via -r etc/requirements_dev.in
nose-parameterized==0.6.0 # via -r etc/requirements_dev.in
nose-timer==1.0.0 # via -r etc/requirements_dev.in
nose==1.3.7 # via -r etc/requirements_dev.in, nose-timer
numexpr==2.7.1 # via -r etc/requirements.in, tables
numpy==1.19.1 # via -r etc/requirements.in, -r etc/requirements_build.in, bcolz, bottleneck, dask, datashape, empyrical, h5py, matplotlib, numexpr, odo, pandas, patsy, scipy, statsmodels, ta-lib, tables, trading-calendars
numpydoc==1.1.0 # via -r etc/requirements_docs.in
packaging==20.4 # via sphinx
pandas-datareader==0.8.1 # via -r etc/requirements.in, empyrical
pandas==0.22.0 # via -r etc/requirements.in, dask, empyrical, odo, pandas-datareader, statsmodels, trading-calendars
partd==1.1.0 # via dask
pathtools==0.1.2 # via sphinx-autobuild, watchdog
patsy==0.5.1 # via -r etc/requirements.in, statsmodels
pillow==7.2.0 # via matplotlib
pip-tools==5.3.1 # via -r etc/requirements_dev.in
port_for==0.3.1 # via sphinx-autobuild
psutil==5.7.2 # via blaze
pycodestyle==2.6.0 # via flake8
pyflakes==2.2.0 # via flake8
pygments==2.6.1 # via sphinx
pyparsing==2.4.7 # via matplotlib, packaging
python-dateutil==2.8.1 # via alembic, datashape, matplotlib, pandas
python-editor==1.0.4 # via alembic
python-interface==1.6.0 # via -r etc/requirements.in
pytz==2020.1 # via -r etc/requirements.in, babel, pandas, trading-calendars
pyyaml==5.3.1 # via sphinx-autobuild
requests==2.24.0 # via -r etc/requirements.in, pandas-datareader, responses, sphinx
responses==0.10.15 # via -r etc/requirements_dev.in
scipy==1.5.2 # via -r etc/requirements.in, empyrical, statsmodels
six==1.15.0 # via -r etc/requirements.in, cycler, flask-cors, h5py, livereload, multipledispatch, packaging, patsy, pip-tools, python-dateutil, python-interface, responses
snowballstemmer==2.0.0 # via sphinx
sortedcontainers==2.2.2 # via intervaltree
sphinx-autobuild==0.7.1 # via -r etc/requirements_docs.in
sphinx==3.1.2 # via -r etc/requirements_docs.in, numpydoc
sphinxcontrib-applehelp==1.0.2 # via sphinx
sphinxcontrib-devhelp==1.0.2 # via sphinx
sphinxcontrib-htmlhelp==1.0.3 # via sphinx
sphinxcontrib-jsmath==1.0.1 # via sphinx
sphinxcontrib-qthelp==1.0.3 # via sphinx
sphinxcontrib-serializinghtml==1.1.4 # via sphinx
sqlalchemy==1.3.18 # via -r etc/requirements.in, alembic, blaze
statsmodels==0.11.1 # via -r etc/requirements.in
ta-lib==0.4.18 # via -r etc/requirements_talib.in
tables==3.6.1 # via -r etc/requirements.in
testfixtures==6.14.1 # via -r etc/requirements_dev.in
toolz==0.10.0 # via -r etc/requirements.in, blaze, cytoolz, dask, odo, partd, trading-calendars
tornado==6.0.4 # via livereload, sphinx-autobuild
trading-calendars==1.11.8 # via -r etc/requirements.in
urllib3==1.25.10 # via requests
watchdog==0.10.3 # via sphinx-autobuild
werkzeug==1.0.1 # via flask
zipp==3.1.0 # via importlib-metadata
# The following packages are considered to be unsafe in a requirements file:
# pip
# setuptools

17
tests/pipeline/test_computable_term.py
View file

@ -245,7 +245,7 @@ class FillNATestCase(BaseUSEquityPipelineTestCase):
f()
message = str(e.exception)
self.assertEqual(message, expected_message)
self.assertIn(expected_message, message)
def test_bad_inputs(self):
def dtype_for(o):
@ -254,30 +254,21 @@ class FillNATestCase(BaseUSEquityPipelineTestCase):
self.should_error(
lambda: Floats().fillna('3.0'),
TypeError,
"Fill value '3.0' is not a valid choice for term Floats with"
" dtype float64.\n\n"
"Coercion attempt failed with: Cannot cast array from {!r}"
" to {!r} according to the rule 'same_kind'"
" from {!r} to {!r} according to the rule 'same_kind'"
.format(dtype_for('3.0'), np.dtype(float))
)
self.should_error(
lambda: Dates().fillna('2014-01-02'),
TypeError,
"Fill value '2014-01-02' is not a valid choice for term Dates with"
" dtype datetime64[ns].\n\n"
"Coercion attempt failed with: Cannot cast array from {!r}"
" to {!r} according to the rule 'same_kind'"
"from {!r} to {!r} according to the rule 'same_kind'"
.format(dtype_for('2014-01-02'), np.dtype('M8[ns]'))
)
self.should_error(
lambda: Ints().fillna('300'),
TypeError,
"Fill value '300' is not a valid choice for term Ints with"
" dtype int64.\n\n"
"Coercion attempt failed with: Cannot cast array from {!r}"
" to {!r} according to the rule 'same_kind'"
"from {!r} to {!r} according to the rule 'same_kind'"
.format(dtype_for('300'), np.dtype('i8')),
)

2
tests/test_labelarray.py
View file

@ -328,7 +328,7 @@ class LabelArrayTestCase(ZiplineTestCase):
ret = func(labels, ints)
else:
self.fail("Who added a ternary ufunc !?!")
except TypeError:
except (TypeError, ValueError):
pass
else:
self.assertIs(ret, NotImplemented)

2
zipline/algorithm.py
View file

@ -490,7 +490,7 @@ class TradingAlgorithm(object):
"""
If the clock property is not set, then create one based on frequency.
"""
trading_o_and_c = self.trading_calendar.schedule.ix[
trading_o_and_c = self.trading_calendar.schedule.loc[
self.sim_params.sessions]
market_closes = trading_o_and_c['market_close']
minutely_emission = False

2
zipline/data/minute_bars.py
View file

@ -644,7 +644,7 @@ class BcolzMinuteBarWriter(object):
# No need to pad.
return
if last_date == pd.NaT:
if pd.isnull(last_date):
# If there is no data, determine how many days to add so that
# desired days are written to the correct slots.
days_to_zerofill = tds[tds.slice_indexer(end=date)]

49
zipline/testing/fixtures.py
View file

@ -7,6 +7,7 @@ from contextlib2 import ExitStack
from logbook import NullHandler, Logger
import numpy as np
import pandas as pd
from pandas.core.common import PerformanceWarning
from six import with_metaclass, iteritems, itervalues, PY2
import responses
from toolz import flip, groupby, merge
@ -530,21 +531,25 @@ class WithTradingCalendars(object):
super(WithTradingCalendars, cls).init_class_fixtures()
cls.trading_calendars = {}
# Silence `pandas.errors.PerformanceWarning: Non-vectorized DateOffset
# being applied to Series or DatetimeIndex` in trading calendar
# construction. This causes nosetest to fail.
with warnings.catch_warnings():
warnings.simplefilter("ignore", PerformanceWarning)
for cal_str in (
set(cls.TRADING_CALENDAR_STRS) |
{cls.TRADING_CALENDAR_PRIMARY_CAL}
):
# Set name to allow aliasing.
calendar = get_calendar(cal_str)
setattr(cls,
'{0}_calendar'.format(cal_str.lower()), calendar)
cls.trading_calendars[cal_str] = calendar
for cal_str in (
set(cls.TRADING_CALENDAR_STRS) |
{cls.TRADING_CALENDAR_PRIMARY_CAL}
):
# Set name to allow aliasing.
calendar = get_calendar(cal_str)
setattr(cls,
'{0}_calendar'.format(cal_str.lower()), calendar)
cls.trading_calendars[cal_str] = calendar
type_to_cal = iteritems(cls.TRADING_CALENDAR_FOR_ASSET_TYPE)
for asset_type, cal_str in type_to_cal:
calendar = get_calendar(cal_str)
cls.trading_calendars[asset_type] = calendar
type_to_cal = iteritems(cls.TRADING_CALENDAR_FOR_ASSET_TYPE)
for asset_type, cal_str in type_to_cal:
calendar = get_calendar(cal_str)
cls.trading_calendars[asset_type] = calendar
cls.trading_calendar = (
cls.trading_calendars[cls.TRADING_CALENDAR_PRIMARY_CAL]
@ -1688,12 +1693,16 @@ class WithAdjustmentReader(WithBcolzEquityDailyBarReader):
def init_class_fixtures(cls):
super(WithAdjustmentReader, cls).init_class_fixtures()
conn = sqlite3.connect(cls.make_adjustment_db_conn_str())
cls.make_adjustment_writer(conn).write(
splits=cls.make_splits_data(),
mergers=cls.make_mergers_data(),
dividends=cls.make_dividends_data(),
stock_dividends=cls.make_stock_dividends_data(),
)
# Silence numpy DeprecationWarnings which cause nosetest to fail
with warnings.catch_warnings():
warnings.simplefilter("ignore", DeprecationWarning)
cls.make_adjustment_writer(conn).write(
splits=cls.make_splits_data(),
mergers=cls.make_mergers_data(),
dividends=cls.make_dividends_data(),
stock_dividends=cls.make_stock_dividends_data(),
)
cls.adjustment_reader = SQLiteAdjustmentReader(conn)

8
zipline/testing/predicates.py
View file

@ -54,7 +54,10 @@ from zipline.utils.compat import getargspec, mappingproxy
from zipline.utils.formatting import s
from zipline.utils.functional import dzip_exact, instance
from zipline.utils.math_utils import tolerant_equals
from zipline.utils.numpy_utils import compare_datetime_arrays
from zipline.utils.numpy_utils import (
assert_array_compare,
compare_datetime_arrays,
)
@instance
@ -577,8 +580,9 @@ def assert_array_equal(result,
"expected dtype: %s\n%s"
% (result_dtype, expected_dtype, _fmt_path(path))
)
f = partial(
np.testing.utils.assert_array_compare,
assert_array_compare,
compare_datetime_arrays,
header='Arrays are not equal',
)

6
zipline/utils/numpy_utils.py
View file

@ -53,6 +53,12 @@ categorical_dtype = object_dtype
make_datetime64ns = flip(datetime64, 'ns')
make_datetime64D = flip(datetime64, 'D')
# Array compare that works across versions of numpy
try:
assert_array_compare = np.testing.utils.assert_array_compare
except AttributeError:
assert_array_compare = np.testing.assert_array_compare
NaTmap = {
dtype('datetime64[%s]' % unit): datetime64('NaT', unit)
for unit in ('ns', 'us', 'ms', 's', 'm', 'D')