mirror of
https://github.com/saymrwulf/zipline.git
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533 lines
18 KiB
Python
533 lines
18 KiB
Python
import itertools
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from operator import attrgetter
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import numpy as np
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import pandas as pd
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import toolz
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from zipline.pipeline import Pipeline
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from zipline.pipeline.classifiers import Everything
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from zipline.pipeline.domain import US_EQUITIES
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from zipline.pipeline.factors import CustomFactor
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from zipline.pipeline.data import Column, DataSet
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from zipline.pipeline.data.testing import TestingDataSet
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from zipline.pipeline.hooks.testing import TestingHooks
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from zipline.pipeline.hooks.progress import (
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ProgressHooks,
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repr_htmlsafe,
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TestingProgressPublisher,
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)
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from zipline.pipeline.term import AssetExists, ComputableTerm, LoadableTerm
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from zipline.testing import parameter_space
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from zipline.testing.fixtures import (
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ZiplineTestCase,
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WithSeededRandomPipelineEngine,
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)
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from zipline.testing.predicates import assert_almost_equal, instance_of
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class TrivialFactor(CustomFactor):
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"""
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A CustomFactor that doesn't do any work.
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This is used to test that we correctly track date bounds in hooks in the
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presence of windowed computations.
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"""
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window_length = 10
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inputs = [TestingDataSet.float_col, TestingDataSet.datetime_col]
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def compute(self, today, assets, out, *inputs):
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pass
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class HooksTestCase(WithSeededRandomPipelineEngine, ZiplineTestCase):
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"""Tests for verifying that SimplePipelineEngine calls hooks as expected.
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"""
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ASSET_FINDER_COUNTRY_CODE = 'US'
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@classmethod
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def make_seeded_random_pipeline_engine_hooks(cls):
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# Inject a testing hook as a default hook to verify that default hooks
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# are invoked properly.
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cls.global_testing_hook = TestingHooks()
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return [cls.global_testing_hook]
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def init_instance_fixtures(self):
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super(HooksTestCase, self).init_instance_fixtures()
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# Clear out the global testing hook after each test run.
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self.add_instance_callback(self.global_testing_hook.clear)
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@parameter_space(
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nhooks=[0, 1, 2],
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chunked=[True, False],
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)
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def test_engine_calls_hooks(self, nhooks, chunked):
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# Pass multiple hooks to make sure we call methods on all of them.
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hooks = [TestingHooks() for _ in range(nhooks)]
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pipeline = Pipeline(
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{
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'bool_': TestingDataSet.bool_col.latest,
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'factor_rank': TrivialFactor().rank().zscore(),
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},
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domain=US_EQUITIES,
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)
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start_date, end_date = self.trading_days[[-10, -1]]
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if chunked:
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self.run_chunked_pipeline(
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pipeline=pipeline,
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start_date=start_date,
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end_date=end_date,
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chunksize=5,
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hooks=hooks,
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)
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expected_chunks = [
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tuple(self.trading_days[[-10, -6]]),
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tuple(self.trading_days[[-5, -1]]),
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]
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else:
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self.run_pipeline(
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pipeline=pipeline,
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start_date=start_date,
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end_date=end_date,
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hooks=hooks,
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)
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expected_chunks = [(start_date, end_date)]
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expected_loads = set(TrivialFactor.inputs) | {TestingDataSet.bool_col}
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expected_computes = {
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TestingDataSet.bool_col.latest,
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TrivialFactor(),
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TrivialFactor().rank(),
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TrivialFactor().rank().zscore(),
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Everything(), # Default input for .rank().
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}
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for h in hooks + [self.global_testing_hook]:
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self.verify_trace(
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h.trace,
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pipeline,
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pipeline_start_date=start_date,
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pipeline_end_date=end_date,
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expected_loads=expected_loads,
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expected_computes=expected_computes,
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expected_chunks=expected_chunks,
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)
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def verify_trace(self,
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trace,
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pipeline,
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pipeline_start_date,
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pipeline_end_date,
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expected_loads,
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expected_computes,
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expected_chunks):
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"""Verify a trace of a Pipeline execution.
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"""
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# First/last calls should bracket the pipeline execution.
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self.expect_context_pair(trace[0], trace[-1], 'running_pipeline')
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self.assertEqual(
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trace[0].args,
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(pipeline, pipeline_start_date, pipeline_end_date),
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)
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# Break up the trace into the traces of each chunk.
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chunk_traces = self.split_by_chunk(trace[1:-1])
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for ctrace, (chunk_start, chunk_end) in zip(chunk_traces,
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expected_chunks):
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# Next call should bracket compute_chunk
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self.expect_context_pair(ctrace[0], ctrace[-1], 'computing_chunk')
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self.assertIsInstance(ctrace[0].args[0], list) # terms
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self.assertEqual(ctrace[0].args[1:], (chunk_start, chunk_end))
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# Remainder of calls should be loads and computes. These have to
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# happen in dependency order, but we don't bother to assert that
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# here. We just make sure that we see each expected load/compute
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# exactly once.
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loads_and_computes = ctrace[1:-1]
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loads = set()
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computes = set()
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for enter, exit_ in two_at_a_time(loads_and_computes):
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self.expect_context_pair(enter, exit_, method=None)
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if enter.method_name == 'loading_terms':
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for loaded_term in enter.args[0]:
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# We should only see each term once.
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self.assertNotIn(loaded_term, loads)
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# Don't worry about domains here.
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loads.add(loaded_term.unspecialize())
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elif enter.method_name == 'computing_term':
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computed_term = enter.args[0]
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self.assertNotIn(computed_term, computes)
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computes.add(computed_term)
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else:
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raise ValueError(
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"Unexpected method: {}".format(enter.method_name)
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)
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self.assertEqual(loads, expected_loads)
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self.assertEqual(computes, expected_computes)
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def split_by_chunk(self, trace):
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"""
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Split a trace of a chunked pipeline execution into a list of traces for
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each chunk.
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"""
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def is_end_of_chunk(call):
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return (
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call.method_name == 'computing_chunk' and call.state == 'exit'
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)
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to_yield = []
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for call in trace:
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to_yield.append(call)
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if is_end_of_chunk(call):
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yield to_yield
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to_yield = []
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# Make sure all calls were part of a chunk.
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self.assertEqual(to_yield, [])
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def expect_context_pair(self, enter, exit_, method):
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self.assertEqual(enter.state, 'enter')
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self.assertEqual(exit_.state, 'exit')
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if method is None:
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# Just assert that the methods match.
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self.assertIs(enter.call, exit_.call)
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else:
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self.assertEqual(enter.call.method_name, method)
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class ShouldGetSkipped(DataSet):
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"""
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Dataset that's only used by PrepopulatedFactor. It should get pruned from
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the execution when PrepopulatedFactor is prepopulated.
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"""
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column1 = Column(dtype=float)
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column2 = Column(dtype=float)
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class PrepopulatedFactor(CustomFactor):
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"""CustomFactor that will be set by populate_initial_workspace.
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"""
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window_length = 5
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inputs = [ShouldGetSkipped.column1, ShouldGetSkipped.column2]
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def compute(self, today, assets, out, col1, col2):
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out[:] = 0.0
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PREPOPULATED_TERM = PrepopulatedFactor()
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class ProgressHooksTestCase(WithSeededRandomPipelineEngine, ZiplineTestCase):
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"""Tests for verifying ProgressHooks.
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"""
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ASSET_FINDER_COUNTRY_CODE = 'US'
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START_DATE = pd.Timestamp('2014-01-02', tz='UTC')
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END_DATE = pd.Timestamp('2014-01-31', tz='UTC')
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# Don't populate PREPOPULATED_TERM for days after this cutoff.
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# This is used to test that we correctly compute progress when the number
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# of terms computed in each chunk changes.
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PREPOPULATED_TERM_CUTOFF = END_DATE - pd.Timedelta('2 days')
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@classmethod
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def make_seeded_random_populate_initial_workspace(cls):
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# Populate valeus for PREPOPULATED_TERM. This is used to ensure that we
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# properly track progress when we skip prepopulated terms.
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def populate(initial_workspace,
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root_mask_term,
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execution_plan,
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dates,
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assets):
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if PREPOPULATED_TERM not in execution_plan:
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return initial_workspace
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elif dates[-1] > cls.PREPOPULATED_TERM_CUTOFF:
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return initial_workspace
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workspace = initial_workspace.copy()
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_, dates = execution_plan.mask_and_dates_for_term(
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PREPOPULATED_TERM,
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root_mask_term,
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workspace,
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dates,
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)
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shape = (len(dates), len(assets))
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workspace[PREPOPULATED_TERM] = np.zeros(shape, dtype=float)
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return workspace
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return populate
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@classmethod
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def make_seeded_random_loader_columns(cls):
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return TestingDataSet.columns | ShouldGetSkipped.columns
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def test_progress_hooks(self):
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publisher = TestingProgressPublisher()
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hooks = [ProgressHooks.with_static_publisher(publisher)]
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pipeline = Pipeline(
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{
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'bool_': TestingDataSet.bool_col.latest,
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'factor_rank': TrivialFactor().rank().zscore(),
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'prepopulated': PREPOPULATED_TERM,
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},
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domain=US_EQUITIES,
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)
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start_date, end_date = self.trading_days[[-10, -1]]
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expected_chunks = [
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tuple(self.trading_days[[-10, -6]]),
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tuple(self.trading_days[[-5, -1]]),
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]
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# First chunk should get prepopulated term in initial workspace.
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self.assertLess(expected_chunks[0][1], self.PREPOPULATED_TERM_CUTOFF)
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# Second chunk should have to compute PREPOPULATED_TERM explicitly.
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self.assertLess(expected_chunks[0][1], self.PREPOPULATED_TERM_CUTOFF)
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self.run_chunked_pipeline(
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pipeline=pipeline,
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start_date=start_date,
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end_date=end_date,
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chunksize=5,
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hooks=hooks,
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)
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self.verify_trace(
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publisher.trace,
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pipeline_start_date=start_date,
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pipeline_end_date=end_date,
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expected_chunks=expected_chunks,
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)
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def test_progress_hooks_empty_pipeline(self):
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publisher = TestingProgressPublisher()
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hooks = [ProgressHooks.with_static_publisher(publisher)]
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pipeline = Pipeline({}, domain=US_EQUITIES)
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start_date, end_date = self.trading_days[[-10, -1]]
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expected_chunks = [
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tuple(self.trading_days[[-10, -6]]),
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tuple(self.trading_days[[-5, -1]]),
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]
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self.run_chunked_pipeline(
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pipeline=pipeline,
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start_date=start_date,
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end_date=end_date,
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chunksize=5,
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hooks=hooks,
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)
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self.verify_trace(
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publisher.trace,
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pipeline_start_date=start_date,
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pipeline_end_date=end_date,
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expected_chunks=expected_chunks,
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empty=True,
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)
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def verify_trace(self,
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trace,
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pipeline_start_date,
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pipeline_end_date,
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expected_chunks,
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empty=False):
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# Percent complete should be monotonically increasing through the whole
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# execution.
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for before, after in toolz.sliding_window(2, trace):
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self.assertGreaterEqual(
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after.percent_complete,
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before.percent_complete,
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)
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# First publish should come from the start of the first chunk, with no
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# work yet.
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first = trace[0]
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expected_first = TestingProgressPublisher.TraceState(
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state='init',
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percent_complete=0.0,
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execution_bounds=(pipeline_start_date, pipeline_end_date),
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current_chunk_bounds=expected_chunks[0],
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current_work=None,
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)
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self.assertEqual(first, expected_first)
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# Last publish should have a state of success and be 100% complete.
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last = trace[-1]
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expected_last = TestingProgressPublisher.TraceState(
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state='success',
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percent_complete=100.0,
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execution_bounds=(pipeline_start_date, pipeline_end_date),
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current_chunk_bounds=expected_chunks[-1],
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# We don't know what the last work item will be, but it must be an
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# instance of a single ComputableTerm, because we only run
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# ComputableTerms one at a time, and a LoadableTerm will only be in
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# the graph if some ComputableTerm depends on it.
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#
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# The one exception to this rule is that, if we run a completely
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# empty pipeline, the final work will be None.
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current_work=None if empty else [instance_of(ComputableTerm)],
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)
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self.assertEqual(last, expected_last)
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# Remaining updates should all be loads or computes.
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middle = trace[1:-1]
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for update in middle:
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# For empty pipelines we never leave the 'init' state.
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if empty:
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self.assertEqual(update.state, 'init')
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self.assertIs(update.current_work, None)
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continue
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if update.state in ('loading', 'computing'):
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self.assertIsInstance(update.current_work, list)
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if update.state == 'loading':
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for term in update.current_work:
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self.assertIsInstance(term, (LoadableTerm, AssetExists))
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elif update.state == 'computing':
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for term in update.current_work:
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self.assertIsInstance(term, ComputableTerm)
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else:
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raise AssertionError(
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"Unexpected state: {}".format(update.state),
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)
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# Break up the remaining updates by chunk.
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all_chunks = []
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grouped = itertools.groupby(middle, attrgetter('current_chunk_bounds'))
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for (chunk_start, chunk_stop), chunk_trace in grouped:
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all_chunks.append((chunk_start, chunk_stop))
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chunk_trace = list(chunk_trace)
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expected_end_progress = self.expected_chunk_progress(
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pipeline_start_date,
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pipeline_end_date,
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chunk_stop,
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)
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end_progress = chunk_trace[-1].percent_complete
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assert_almost_equal(
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end_progress,
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expected_end_progress,
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)
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self.assertEqual(all_chunks, expected_chunks)
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@parameter_space(chunked=[True, False])
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def test_error_handling(self, chunked):
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publisher = TestingProgressPublisher()
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hooks = [ProgressHooks.with_static_publisher(publisher)]
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class SomeError(Exception):
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pass
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class ExplodingFactor(CustomFactor):
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inputs = [TestingDataSet.float_col]
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window_length = 1
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def compute(self, *args, **kwargs):
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raise SomeError()
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pipeline = Pipeline({'boom': ExplodingFactor()}, domain=US_EQUITIES)
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start_date, end_date = self.trading_days[[-10, -1]]
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with self.assertRaises(SomeError):
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if chunked:
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self.run_chunked_pipeline(
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pipeline=pipeline,
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start_date=start_date,
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end_date=end_date,
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chunksize=5,
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hooks=hooks,
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)
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else:
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self.run_pipeline(
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pipeline=pipeline,
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start_date=start_date,
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end_date=end_date,
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hooks=hooks,
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)
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final_update = publisher.trace[-1]
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self.assertEqual(final_update.state, 'error')
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def expected_chunk_progress(self, pipeline_start, pipeline_end, chunk_end):
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"""Get expected progress after finishing a chunk ending at ``chunk_end``.
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"""
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# +1 to be inclusive of end dates
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total_days = (pipeline_end - pipeline_start).days + 1
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days_complete = (chunk_end - pipeline_start).days + 1
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return round((100.0 * days_complete) / total_days, 3)
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|
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class TermReprTestCase(ZiplineTestCase):
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def test_htmlsafe_repr(self):
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class MyFactor(CustomFactor):
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inputs = [TestingDataSet.float_col]
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window_length = 3
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self.assertEqual(
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repr_htmlsafe(MyFactor()),
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repr(MyFactor()),
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)
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def test_htmlsafe_repr_escapes_html(self):
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class MyFactor(CustomFactor):
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inputs = [TestingDataSet.float_col]
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window_length = 3
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def __repr__(self):
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return '<b>foo</b>'
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self.assertEqual(
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repr_htmlsafe(MyFactor()),
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'<b>foo</b>'.replace('<', '<').replace('>', '>')
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)
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def test_htmlsafe_repr_handles_errors(self):
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class MyFactor(CustomFactor):
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inputs = [TestingDataSet.float_col]
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window_length = 3
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def __repr__(self):
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raise ValueError("Kaboom!")
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self.assertEqual(
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repr_htmlsafe(MyFactor()),
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'(Error Displaying MyFactor)',
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)
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def test_htmlsafe_repr_escapes_html_when_it_handles_errors(self):
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class MyFactor(CustomFactor):
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inputs = [TestingDataSet.float_col]
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window_length = 3
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def __repr__(self):
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raise ValueError("Kaboom!")
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MyFactor.__name__ = '<b>foo</b>'
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converted = MyFactor.__name__.replace('<', '<').replace('>', '>')
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self.assertEqual(
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repr_htmlsafe(MyFactor()),
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'(Error Displaying {})'.format(converted),
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)
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def two_at_a_time(it):
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"""Iterate over ``it``, two elements at a time.
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``it`` must yield an even number of times.
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Examples
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--------
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>>> list(two_at_a_time([1, 2, 3, 4]))
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[(1, 2), (3, 4)]
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"""
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return toolz.partition(2, it, pad=None)
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