Generated by Cython 0.29.24
Yellow lines hint at Python interaction.
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" to see the C code that Cython generated for it.
Raw output: _adjustments.c
+001: #
__pyx_t_4 = __Pyx_PyDict_NewPresized(0); if (unlikely(!__pyx_t_4)) __PYX_ERR(0, 1, __pyx_L1_error) __Pyx_GOTREF(__pyx_t_4); if (PyDict_SetItem(__pyx_d, __pyx_n_s_test, __pyx_t_4) < 0) __PYX_ERR(0, 1, __pyx_L1_error) __Pyx_DECREF(__pyx_t_4); __pyx_t_4 = 0;
002: # Copyright 2015 Quantopian, Inc.
003: #
004: # Licensed under the Apache License, Version 2.0 (the "License");
005: # you may not use this file except in compliance with the License.
006: # You may obtain a copy of the License at
007: #
008: # http://www.apache.org/licenses/LICENSE-2.0
009: #
010: # Unless required by applicable law or agreed to in writing, software
011: # distributed under the License is distributed on an "AS IS" BASIS,
012: # WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
013: # See the License for the specific language governing permissions and
014: # limitations under the License.
015: from cpython cimport (
016: bool,
017: PyDict_Contains,
018: PySet_Add,
019: )
020:
+021: from itertools import chain
__pyx_t_1 = PyList_New(1); if (unlikely(!__pyx_t_1)) __PYX_ERR(0, 21, __pyx_L1_error) __Pyx_GOTREF(__pyx_t_1); __Pyx_INCREF(__pyx_n_s_chain); __Pyx_GIVEREF(__pyx_n_s_chain); PyList_SET_ITEM(__pyx_t_1, 0, __pyx_n_s_chain); __pyx_t_2 = __Pyx_Import(__pyx_n_s_itertools, __pyx_t_1, 0); if (unlikely(!__pyx_t_2)) __PYX_ERR(0, 21, __pyx_L1_error) __Pyx_GOTREF(__pyx_t_2); __Pyx_DECREF(__pyx_t_1); __pyx_t_1 = 0; __pyx_t_1 = __Pyx_ImportFrom(__pyx_t_2, __pyx_n_s_chain); if (unlikely(!__pyx_t_1)) __PYX_ERR(0, 21, __pyx_L1_error) __Pyx_GOTREF(__pyx_t_1); if (PyDict_SetItem(__pyx_d, __pyx_n_s_chain, __pyx_t_1) < 0) __PYX_ERR(0, 21, __pyx_L1_error) __Pyx_DECREF(__pyx_t_1); __pyx_t_1 = 0; __Pyx_DECREF(__pyx_t_2); __pyx_t_2 = 0;
+022: from numpy import (
__pyx_t_1 = __Pyx_Import(__pyx_n_s_numpy, __pyx_t_2, 0); if (unlikely(!__pyx_t_1)) __PYX_ERR(0, 22, __pyx_L1_error) __Pyx_GOTREF(__pyx_t_1); __Pyx_DECREF(__pyx_t_2); __pyx_t_2 = 0; __pyx_t_2 = __Pyx_ImportFrom(__pyx_t_1, __pyx_n_s_int64); if (unlikely(!__pyx_t_2)) __PYX_ERR(0, 22, __pyx_L1_error) __Pyx_GOTREF(__pyx_t_2); if (PyDict_SetItem(__pyx_d, __pyx_n_s_int64, __pyx_t_2) < 0) __PYX_ERR(0, 23, __pyx_L1_error) __Pyx_DECREF(__pyx_t_2); __pyx_t_2 = 0; __pyx_t_2 = __Pyx_ImportFrom(__pyx_t_1, __pyx_n_s_uint32); if (unlikely(!__pyx_t_2)) __PYX_ERR(0, 22, __pyx_L1_error) __Pyx_GOTREF(__pyx_t_2); if (PyDict_SetItem(__pyx_d, __pyx_n_s_uint32, __pyx_t_2) < 0) __PYX_ERR(0, 24, __pyx_L1_error) __Pyx_DECREF(__pyx_t_2); __pyx_t_2 = 0; __pyx_t_2 = __Pyx_ImportFrom(__pyx_t_1, __pyx_n_s_zeros); if (unlikely(!__pyx_t_2)) __PYX_ERR(0, 22, __pyx_L1_error) __Pyx_GOTREF(__pyx_t_2); if (PyDict_SetItem(__pyx_d, __pyx_n_s_zeros, __pyx_t_2) < 0) __PYX_ERR(0, 25, __pyx_L1_error) __Pyx_DECREF(__pyx_t_2); __pyx_t_2 = 0; __Pyx_DECREF(__pyx_t_1); __pyx_t_1 = 0;
+023: int64,
__pyx_t_2 = PyList_New(3); if (unlikely(!__pyx_t_2)) __PYX_ERR(0, 23, __pyx_L1_error) __Pyx_GOTREF(__pyx_t_2); __Pyx_INCREF(__pyx_n_s_int64); __Pyx_GIVEREF(__pyx_n_s_int64); PyList_SET_ITEM(__pyx_t_2, 0, __pyx_n_s_int64); __Pyx_INCREF(__pyx_n_s_uint32); __Pyx_GIVEREF(__pyx_n_s_uint32); PyList_SET_ITEM(__pyx_t_2, 1, __pyx_n_s_uint32); __Pyx_INCREF(__pyx_n_s_zeros); __Pyx_GIVEREF(__pyx_n_s_zeros); PyList_SET_ITEM(__pyx_t_2, 2, __pyx_n_s_zeros);
024: uint32,
025: zeros,
026: )
027: from numpy cimport float64_t, int64_t, ndarray
+028: from pandas import Timestamp
__pyx_t_1 = PyList_New(1); if (unlikely(!__pyx_t_1)) __PYX_ERR(0, 28, __pyx_L1_error) __Pyx_GOTREF(__pyx_t_1); __Pyx_INCREF(__pyx_n_s_Timestamp); __Pyx_GIVEREF(__pyx_n_s_Timestamp); PyList_SET_ITEM(__pyx_t_1, 0, __pyx_n_s_Timestamp); __pyx_t_2 = __Pyx_Import(__pyx_n_s_pandas, __pyx_t_1, 0); if (unlikely(!__pyx_t_2)) __PYX_ERR(0, 28, __pyx_L1_error) __Pyx_GOTREF(__pyx_t_2); __Pyx_DECREF(__pyx_t_1); __pyx_t_1 = 0; __pyx_t_1 = __Pyx_ImportFrom(__pyx_t_2, __pyx_n_s_Timestamp); if (unlikely(!__pyx_t_1)) __PYX_ERR(0, 28, __pyx_L1_error) __Pyx_GOTREF(__pyx_t_1); if (PyDict_SetItem(__pyx_d, __pyx_n_s_Timestamp, __pyx_t_1) < 0) __PYX_ERR(0, 28, __pyx_L1_error) __Pyx_DECREF(__pyx_t_1); __pyx_t_1 = 0; __Pyx_DECREF(__pyx_t_2); __pyx_t_2 = 0;
029:
+030: ctypedef object Timestamp_t
typedef PyObject *__pyx_t_7zipline_4data_12_adjustments_Timestamp_t;
+031: ctypedef object DatetimeIndex_t
typedef PyObject *__pyx_t_7zipline_4data_12_adjustments_DatetimeIndex_t;
032: ctypedef object Int64Index_t
033:
+034: from zipline.lib.adjustment import Float64Multiply
__pyx_t_2 = PyList_New(1); if (unlikely(!__pyx_t_2)) __PYX_ERR(0, 34, __pyx_L1_error) __Pyx_GOTREF(__pyx_t_2); __Pyx_INCREF(__pyx_n_s_Float64Multiply); __Pyx_GIVEREF(__pyx_n_s_Float64Multiply); PyList_SET_ITEM(__pyx_t_2, 0, __pyx_n_s_Float64Multiply); __pyx_t_1 = __Pyx_Import(__pyx_n_s_zipline_lib_adjustment, __pyx_t_2, 0); if (unlikely(!__pyx_t_1)) __PYX_ERR(0, 34, __pyx_L1_error) __Pyx_GOTREF(__pyx_t_1); __Pyx_DECREF(__pyx_t_2); __pyx_t_2 = 0; __pyx_t_2 = __Pyx_ImportFrom(__pyx_t_1, __pyx_n_s_Float64Multiply); if (unlikely(!__pyx_t_2)) __PYX_ERR(0, 34, __pyx_L1_error) __Pyx_GOTREF(__pyx_t_2); if (PyDict_SetItem(__pyx_d, __pyx_n_s_Float64Multiply, __pyx_t_2) < 0) __PYX_ERR(0, 34, __pyx_L1_error) __Pyx_DECREF(__pyx_t_2); __pyx_t_2 = 0; __Pyx_DECREF(__pyx_t_1); __pyx_t_1 = 0;
+035: from zipline.assets.asset_writer import (
__pyx_t_2 = __Pyx_Import(__pyx_n_s_zipline_assets_asset_writer, __pyx_t_1, 0); if (unlikely(!__pyx_t_2)) __PYX_ERR(0, 35, __pyx_L1_error) __Pyx_GOTREF(__pyx_t_2); __Pyx_DECREF(__pyx_t_1); __pyx_t_1 = 0; __pyx_t_1 = __Pyx_ImportFrom(__pyx_t_2, __pyx_n_s_SQLITE_MAX_VARIABLE_NUMBER); if (unlikely(!__pyx_t_1)) __PYX_ERR(0, 35, __pyx_L1_error) __Pyx_GOTREF(__pyx_t_1); if (PyDict_SetItem(__pyx_d, __pyx_n_s_SQLITE_MAX_IN_STATEMENT, __pyx_t_1) < 0) __PYX_ERR(0, 36, __pyx_L1_error) __Pyx_DECREF(__pyx_t_1); __pyx_t_1 = 0; __Pyx_DECREF(__pyx_t_2); __pyx_t_2 = 0;
+036: SQLITE_MAX_VARIABLE_NUMBER as SQLITE_MAX_IN_STATEMENT,
__pyx_t_1 = PyList_New(1); if (unlikely(!__pyx_t_1)) __PYX_ERR(0, 36, __pyx_L1_error) __Pyx_GOTREF(__pyx_t_1); __Pyx_INCREF(__pyx_n_s_SQLITE_MAX_VARIABLE_NUMBER); __Pyx_GIVEREF(__pyx_n_s_SQLITE_MAX_VARIABLE_NUMBER); PyList_SET_ITEM(__pyx_t_1, 0, __pyx_n_s_SQLITE_MAX_VARIABLE_NUMBER);
037: )
+038: from zipline.utils.pandas_utils import timedelta_to_integral_seconds
__pyx_t_2 = PyList_New(1); if (unlikely(!__pyx_t_2)) __PYX_ERR(0, 38, __pyx_L1_error) __Pyx_GOTREF(__pyx_t_2); __Pyx_INCREF(__pyx_n_s_timedelta_to_integral_seconds); __Pyx_GIVEREF(__pyx_n_s_timedelta_to_integral_seconds); PyList_SET_ITEM(__pyx_t_2, 0, __pyx_n_s_timedelta_to_integral_seconds); __pyx_t_1 = __Pyx_Import(__pyx_n_s_zipline_utils_pandas_utils, __pyx_t_2, 0); if (unlikely(!__pyx_t_1)) __PYX_ERR(0, 38, __pyx_L1_error) __Pyx_GOTREF(__pyx_t_1); __Pyx_DECREF(__pyx_t_2); __pyx_t_2 = 0; __pyx_t_2 = __Pyx_ImportFrom(__pyx_t_1, __pyx_n_s_timedelta_to_integral_seconds); if (unlikely(!__pyx_t_2)) __PYX_ERR(0, 38, __pyx_L1_error) __Pyx_GOTREF(__pyx_t_2); if (PyDict_SetItem(__pyx_d, __pyx_n_s_timedelta_to_integral_seconds, __pyx_t_2) < 0) __PYX_ERR(0, 38, __pyx_L1_error) __Pyx_DECREF(__pyx_t_2); __pyx_t_2 = 0; __Pyx_DECREF(__pyx_t_1); __pyx_t_1 = 0;
039:
040:
+041: _SID_QUERY_TEMPLATE = """
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042: SELECT DISTINCT sid FROM {0}
043: WHERE effective_date >= ? AND effective_date <= ?
044: """
+045: cdef dict SID_QUERIES = {
{ /* enter inner scope */ __pyx_t_1 = PyDict_New(); if (unlikely(!__pyx_t_1)) __PYX_ERR(0, 45, __pyx_L4_error) __Pyx_GOTREF(__pyx_t_1);
+046: tablename: _SID_QUERY_TEMPLATE.format(tablename)
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+047: for tablename in ('splits', 'dividends', 'mergers')
__pyx_t_2 = __pyx_tuple__5; __Pyx_INCREF(__pyx_t_2); __pyx_t_3 = 0; for (;;) { if (__pyx_t_3 >= 3) break; #if CYTHON_ASSUME_SAFE_MACROS && !CYTHON_AVOID_BORROWED_REFS __pyx_t_4 = PyTuple_GET_ITEM(__pyx_t_2, __pyx_t_3); __Pyx_INCREF(__pyx_t_4); __pyx_t_3++; if (unlikely(0 < 0)) __PYX_ERR(0, 47, __pyx_L4_error) #else __pyx_t_4 = PySequence_ITEM(__pyx_t_2, __pyx_t_3); __pyx_t_3++; if (unlikely(!__pyx_t_4)) __PYX_ERR(0, 47, __pyx_L4_error) __Pyx_GOTREF(__pyx_t_4); #endif __Pyx_XGOTREF(__pyx_7genexpr__pyx_v_7zipline_4data_12_adjustments_tablename); __Pyx_DECREF_SET(__pyx_7genexpr__pyx_v_7zipline_4data_12_adjustments_tablename, __pyx_t_4); __Pyx_GIVEREF(__pyx_t_4); __pyx_t_4 = 0; /* … */ } __Pyx_DECREF(__pyx_t_2); __pyx_t_2 = 0; __Pyx_GOTREF(__pyx_7genexpr__pyx_v_7zipline_4data_12_adjustments_tablename); __Pyx_DECREF_SET(__pyx_7genexpr__pyx_v_7zipline_4data_12_adjustments_tablename, Py_None); goto __pyx_L7_exit_scope; __pyx_L4_error:; __Pyx_GOTREF(__pyx_7genexpr__pyx_v_7zipline_4data_12_adjustments_tablename); __Pyx_DECREF_SET(__pyx_7genexpr__pyx_v_7zipline_4data_12_adjustments_tablename, Py_None); goto __pyx_L1_error; __pyx_L7_exit_scope:; } /* exit inner scope */ __Pyx_XGOTREF(__pyx_v_7zipline_4data_12_adjustments_SID_QUERIES); __Pyx_DECREF_SET(__pyx_v_7zipline_4data_12_adjustments_SID_QUERIES, ((PyObject*)__pyx_t_1)); __Pyx_GIVEREF(__pyx_t_1); __pyx_t_1 = 0; /* … */ __pyx_tuple__5 = PyTuple_Pack(3, __pyx_n_u_splits, __pyx_n_u_dividends, __pyx_n_u_mergers); if (unlikely(!__pyx_tuple__5)) __PYX_ERR(0, 47, __pyx_L1_error) __Pyx_GOTREF(__pyx_tuple__5); __Pyx_GIVEREF(__pyx_tuple__5);
048: }
049:
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051: SELECT sid, ratio, effective_date
052: FROM {0}
053: WHERE sid IN ({1}) AND effective_date >= {2} AND effective_date <= {3}
054: """
055:
+056: EPOCH = Timestamp(0, tz='UTC')
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057:
+058: cdef set _get_sids_from_table(object db,
static PyObject *__pyx_f_7zipline_4data_12_adjustments__get_sids_from_table(PyObject *__pyx_v_db, PyObject *__pyx_v_tablename, int __pyx_v_start_date, int __pyx_v_end_date) { PyObject *__pyx_v_cursor = 0; PyObject *__pyx_v_out = 0; PyObject *__pyx_v_result = 0; PyObject *__pyx_r = NULL; __Pyx_TraceDeclarations __Pyx_RefNannyDeclarations __Pyx_RefNannySetupContext("_get_sids_from_table", 0); __Pyx_TraceCall("_get_sids_from_table", __pyx_f[0], 58, 0, __PYX_ERR(0, 58, __pyx_L1_error)); /* … */ /* function exit code */ __pyx_L1_error:; __Pyx_XDECREF(__pyx_t_1); __Pyx_XDECREF(__pyx_t_2); __Pyx_XDECREF(__pyx_t_3); __Pyx_XDECREF(__pyx_t_4); __Pyx_XDECREF(__pyx_t_5); __Pyx_XDECREF(__pyx_t_6); __Pyx_AddTraceback("zipline.data._adjustments._get_sids_from_table", __pyx_clineno, __pyx_lineno, __pyx_filename); __pyx_r = 0; __pyx_L0:; __Pyx_XDECREF(__pyx_v_cursor); __Pyx_XDECREF(__pyx_v_out); __Pyx_XDECREF(__pyx_v_result); __Pyx_XGIVEREF(__pyx_r); __Pyx_TraceReturn(__pyx_r, 0); __Pyx_RefNannyFinishContext(); return __pyx_r; }
059: str tablename,
060: int start_date,
061: int end_date):
062: """Get the unique sids for all adjustments between start_date and end_date
063: from table `tablename`.
064:
065: Parameters
066: ----------
067: db : sqlite3.connection
068: tablename : str
069: start_date : int (seconds since epoch)
070: end_date : int (seconds since epoch)
071:
072: Returns
073: -------
074: sids : set
075: Set of sets
076: """
077:
+078: cdef object cursor = db.execute(
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+079: SID_QUERIES[tablename],
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160:
161:
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163: DatetimeIndex_t dates,
164: Int64Index_t assets,
165: bool should_include_splits,
166: bool should_include_mergers,
167: bool should_include_dividends,
168: str adjustment_type):
169: """Load a dictionary of Adjustment objects from adjustments_db.
170:
171: Parameters
172: ----------
173: adjustments_db : sqlite3.Connection
174: Connection to a sqlite3 table in the format written by
175: SQLiteAdjustmentWriter.
176: dates : pd.DatetimeIndex
177: Dates for which adjustments are needed.
178: assets : pd.Int64Index
179: Assets for which adjustments are needed.
180: should_include_splits : bool
181: Whether split adjustments should be included.
182: should_include_mergers : bool
183: Whether merger adjustments should be included.
184: should_include_dividends : bool
185: Whether dividend adjustments should be included.
186: adjustment_type : str
187: Whether price adjustments, volume adjustments, or both, should be
188: included in the output.
189:
190: Returns
191: -------
192: adjustments : dict[str -> dict[int -> Adjustment]]
193: A dictionary containing price and/or volume adjustment mappings from
194: index to adjustment objects to apply at that index.
195: """
196:
+197: if not (adjustment_type == 'price' or
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+198: adjustment_type == 'volume' or
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+199: adjustment_type == 'all'):
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+200: raise ValueError(
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+201: "%s is not a valid adjustment type.\n"
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202: "Valid adjustment types are 'price', 'volume', and 'all'.\n" % (
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204: )
205: )
206:
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209: )
210: cdef bool should_include_volume_adjustments = (
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212: )
213:
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220: cdef:
221: set split_sids
222: set merger_sids
223: set dividend_sids
224:
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227: adjustments_db,
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236: adjustments_db,
237: start_date,
238: end_date,
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242:
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245: adjustments_db,
246: start_date,
247: end_date,
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251:
252: cdef:
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255: adjustments_db,
256: split_sids,
257: merger_sids,
258: dividend_sids,
259: start_date,
260: end_date,
261: assets,
262: )
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269: cdef:
270: int i
271: int dt
272: int64_t sid
273: float64_t ratio
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275: int date_loc
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goto __pyx_L27_continue;
311:
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