{"action":"created","comment":{"url":"https://api.github.com/repos/quantopian/zipline/pulls/comments/59940254","id":59940254,"diff_hunk":"@@ -0,0 +1,332 @@\n+\"\"\"\n+Tests for the reference loader for EarningsEstimates.\n+\"\"\"\n+import blaze as bz\n+from blaze.compute.core import swap_resources_into_scope\n+import pandas as pd\n+from six import iteritems\n+\n+from zipline.pipeline.common import (\n+    COUNT_FIELD_NAME,\n+    FISCAL_QUARTER_FIELD_NAME,\n+    FISCAL_YEAR_FIELD_NAME,\n+    HIGH_FIELD_NAME,\n+    LOW_FIELD_NAME,\n+    MEAN_FIELD_NAME,\n+    NEXT_COUNT,\n+    NEXT_FISCAL_QUARTER,\n+    NEXT_FISCAL_YEAR,\n+    NEXT_HIGH,\n+    NEXT_LOW,\n+    NEXT_RELEASE_DATE,\n+    NEXT_STANDARD_DEVIATION,\n+    PREVIOUS_COUNT,\n+    PREVIOUS_FISCAL_QUARTER,\n+    PREVIOUS_FISCAL_YEAR,\n+    PREVIOUS_HIGH,\n+    PREVIOUS_LOW,\n+    PREVIOUS_MEAN, NEXT_MEAN,\n+    PREVIOUS_RELEASE_DATE,\n+    PREVIOUS_STANDARD_DEVIATION,\n+    RELEASE_DATE_FIELD_NAME,\n+    STANDARD_DEVIATION_FIELD_NAME,\n+    SID_FIELD_NAME)\n+from zipline.pipeline.data import EarningsEstimates\n+from zipline.pipeline.loaders.earnings_estimates import EarningsEstimatesLoader\n+from zipline.pipeline.loaders.blaze import BlazeEarningsEstimatesLoader\n+from zipline.pipeline.loaders.utils import (\n+    zip_with_floats\n+)\n+from zipline.testing.fixtures import (\n+    ZiplineTestCase,\n+    WithNextAndPreviousEventDataLoader\n+)\n+\n+PREVIOUS_PREFIX = \"previous\"\n+\n+earnings_estimates_cases = [\n+    # K1--K2--A1--A2.\n+    pd.DataFrame({\n+        STANDARD_DEVIATION_FIELD_NAME: (.5, .6),\n+        COUNT_FIELD_NAME: (1, 2),\n+        FISCAL_QUARTER_FIELD_NAME: (1, 1),\n+        HIGH_FIELD_NAME: (.6, .7),\n+        MEAN_FIELD_NAME: (.1, .2),\n+        FISCAL_YEAR_FIELD_NAME: (2014, 2014),\n+        LOW_FIELD_NAME: (.05, .06),\n+    }),\n+    # K1--K2--A2--A1.\n+    pd.DataFrame({\n+        STANDARD_DEVIATION_FIELD_NAME: (.6, .7),\n+        COUNT_FIELD_NAME: (2, 3),\n+        FISCAL_QUARTER_FIELD_NAME: (1, 1),\n+        HIGH_FIELD_NAME: (.7, .8),\n+        MEAN_FIELD_NAME: (.2, .3),\n+        FISCAL_YEAR_FIELD_NAME: (2014, 2014),\n+        LOW_FIELD_NAME: (.06, .07),\n+    }),\n+    # K1--A1--K2--A2.\n+    pd.DataFrame({\n+        STANDARD_DEVIATION_FIELD_NAME: (.7, .8),\n+        COUNT_FIELD_NAME: (3, 4),\n+        FISCAL_QUARTER_FIELD_NAME: (1, 1),\n+        HIGH_FIELD_NAME: (.8, .9),\n+        MEAN_FIELD_NAME: (.3, .4),\n+        FISCAL_YEAR_FIELD_NAME: (2014, 2014),\n+        LOW_FIELD_NAME: (.07, .08),\n+    }),\n+    # K1 == K2.\n+    pd.DataFrame({\n+        STANDARD_DEVIATION_FIELD_NAME: (.8, .9),\n+        COUNT_FIELD_NAME: (4, 5),\n+        FISCAL_QUARTER_FIELD_NAME: (1, 1),\n+        HIGH_FIELD_NAME: (.9, 1.0),\n+        MEAN_FIELD_NAME: (.4, .5),\n+        FISCAL_YEAR_FIELD_NAME: (2014, 2014),\n+        LOW_FIELD_NAME: (.08, .09),\n+    }),\n+    pd.DataFrame(\n+        columns=[STANDARD_DEVIATION_FIELD_NAME,\n+                 COUNT_FIELD_NAME,\n+                 FISCAL_QUARTER_FIELD_NAME,\n+                 HIGH_FIELD_NAME,\n+                 MEAN_FIELD_NAME,\n+                 FISCAL_YEAR_FIELD_NAME,\n+                 LOW_FIELD_NAME],\n+        dtype='datetime64[ns]'\n+    ),\n+]\n+\n+next_standard_deviation = [\n+    ['NaN', .5, .6, 'NaN'],\n+    ['NaN', .6, .7, .6, 'NaN'],\n+    ['NaN', .7, 'NaN', .8, 'NaN'],\n+    ['NaN', .8, .9, 'NaN'],\n+    ['NaN']\n+]\n+\n+prev_standard_deviation = [\n+    ['NaN', .5, .6],\n+    ['NaN', .7, .6],\n+    ['NaN', .7, .8],\n+    ['NaN', .8, .9],\n+    ['NaN']\n+]\n+\n+next_count = [\n+    ['NaN', 1, 2, 'NaN'],\n+    ['NaN', 2, 3, 2, 'NaN'],\n+    ['NaN', 3, 'NaN', 4, 'NaN'],\n+    ['NaN', 4, 5, 'NaN'],\n+    ['NaN']\n+]\n+\n+prev_count = [\n+    ['NaN', 1, 2],\n+    ['NaN', 3, 2],\n+    ['NaN', 3, 4],\n+    ['NaN', 4, 5],\n+    ['NaN']\n+]\n+\n+next_fiscal_quarter = [\n+    ['NaN', 1, 1, 'NaN'],\n+    ['NaN', 1, 1, 1, 'NaN'],\n+    ['NaN', 1, 'NaN', 1, 'NaN'],\n+    ['NaN', 1, 1, 'NaN'],\n+    ['NaN']\n+]\n+\n+prev_fiscal_quarter = [\n+    ['NaN', 1, 1],\n+    ['NaN', 1, 1],\n+    ['NaN', 1, 1],\n+    ['NaN', 1, 1],\n+    ['NaN']\n+]\n+\n+next_high = [\n+    ['NaN', .6, .7, 'NaN'],\n+    ['NaN', .7, .8, .7, 'NaN'],\n+    ['NaN', .8, 'NaN', .9, 'NaN'],\n+    ['NaN', .9, 1.0, 'NaN'],\n+    ['NaN']\n+]\n+\n+prev_high = [\n+    ['NaN', .6, .7],\n+    ['NaN', .8, .7],\n+    ['NaN', .8, .9],\n+    ['NaN', .9, 1.0],\n+    ['NaN']\n+]\n+\n+next_mean = [\n+    ['NaN', .1, .2, 'NaN'],\n+    ['NaN', .2, .3, .2, 'NaN'],\n+    ['NaN', .3, 'NaN', .4, 'NaN'],\n+    ['NaN', .4, .5, 'NaN'],\n+    ['NaN']\n+]\n+\n+prev_mean = [\n+    ['NaN', .1, .2],\n+    ['NaN', .3, .2],\n+    ['NaN', .3, .4],\n+    ['NaN', .4, .5],\n+    ['NaN']\n+]\n+\n+next_fiscal_year = [\n+    ['NaN', 2014, 2014, 'NaN'],\n+    ['NaN', 2014, 2014, 2014, 'NaN'],\n+    ['NaN', 2014, 'NaN', 2014, 'NaN'],\n+    ['NaN', 2014, 2014, 'NaN'],\n+    ['NaN']\n+]\n+\n+prev_fiscal_year = [\n+    ['NaN', 2014, 2014],\n+    ['NaN', 2014, 2014],\n+    ['NaN', 2014, 2014],\n+    ['NaN', 2014, 2014],\n+    ['NaN']\n+]\n+\n+next_low = [\n+    ['NaN', .05, .06, 'NaN'],\n+    ['NaN', .06, .07, .06, 'NaN'],\n+    ['NaN', .07, 'NaN', .08, 'NaN'],\n+    ['NaN', .08, .09, 'NaN'],\n+    ['NaN']\n+]\n+\n+prev_low = [\n+    ['NaN', .05, .06],\n+    ['NaN', .07, .06],\n+    ['NaN', .07, .08],\n+    ['NaN', .08, .09],\n+    ['NaN']\n+]\n+\n+field_name_to_expected_col = {\n+    PREVIOUS_STANDARD_DEVIATION: prev_standard_deviation,\n+    NEXT_STANDARD_DEVIATION: next_standard_deviation,\n+    PREVIOUS_COUNT: prev_count,\n+    NEXT_COUNT: next_count,\n+    PREVIOUS_FISCAL_QUARTER: prev_fiscal_quarter,\n+    NEXT_FISCAL_QUARTER: next_fiscal_quarter,\n+    PREVIOUS_HIGH: prev_high,\n+    NEXT_HIGH: next_high,\n+    PREVIOUS_MEAN: prev_mean,\n+    NEXT_MEAN: next_mean,\n+    PREVIOUS_FISCAL_YEAR: prev_fiscal_year,\n+    NEXT_FISCAL_YEAR: next_fiscal_year,\n+    PREVIOUS_LOW: prev_low,\n+    NEXT_LOW: next_low\n+}\n+\n+\n+class EarningsEstimatesLoaderTestCase(WithNextAndPreviousEventDataLoader,\n+                                      ZiplineTestCase):\n+    \"\"\"\n+    Tests for loading the earnings estimates data.\n+    \"\"\"\n+    pipeline_columns = {\n+        NEXT_RELEASE_DATE:\n+            EarningsEstimates.next_release_date.latest,\n+        PREVIOUS_RELEASE_DATE:\n+            EarningsEstimates.previous_release_date.latest,\n+        PREVIOUS_STANDARD_DEVIATION:\n+            EarningsEstimates.previous_standard_deviation.latest,\n+        NEXT_STANDARD_DEVIATION:\n+            EarningsEstimates.next_standard_deviation.latest,\n+        PREVIOUS_COUNT:\n+            EarningsEstimates.previous_count.latest,\n+        NEXT_COUNT:\n+            EarningsEstimates.next_count.latest,\n+        PREVIOUS_FISCAL_QUARTER:\n+            EarningsEstimates.previous_fiscal_quarter.latest,\n+        NEXT_FISCAL_QUARTER:\n+            EarningsEstimates.next_fiscal_quarter.latest,\n+        PREVIOUS_HIGH:\n+            EarningsEstimates.previous_high.latest,\n+        NEXT_HIGH:\n+            EarningsEstimates.next_high.latest,\n+        PREVIOUS_MEAN:\n+            EarningsEstimates.previous_mean.latest,\n+        NEXT_MEAN:\n+            EarningsEstimates.next_mean.latest,\n+        PREVIOUS_FISCAL_YEAR:\n+            EarningsEstimates.previous_fiscal_year.latest,\n+        NEXT_FISCAL_YEAR:\n+            EarningsEstimates.next_fiscal_year.latest,\n+        PREVIOUS_LOW:\n+            EarningsEstimates.previous_low.latest,\n+        NEXT_LOW:\n+            EarningsEstimates.next_low.latest\n+    }\n+\n+    @classmethod\n+    def get_dataset(cls):\n+        return {sid:\n+                pd.concat([\n+                    cls.base_cases[sid].rename(columns={\n+                        'other_date': RELEASE_DATE_FIELD_NAME\n+                    }),\n+                    df\n+                ], axis=1)\n+                for sid, df in enumerate(earnings_estimates_cases)}\n+\n+    loader_type = EarningsEstimatesLoader\n+\n+    def setup(self, dates):\n+        _expected_next_release_date = self.get_expected_next_event_dates(dates)\n+\n+        _expected_previous_release_date = \\\n+            self.get_expected_previous_event_dates(\n+                dates\n+            )\n+\n+        cols = {}\n+        cols[PREVIOUS_RELEASE_DATE] = _expected_previous_release_date\n+        cols[NEXT_RELEASE_DATE] = _expected_next_release_date\n+        for field_name in field_name_to_expected_col:\n+            cols[field_name] = self.get_sids_to_frames(\n+                zip_with_floats, field_name_to_expected_col[field_name],\n+                self.prev_date_intervals\n+                if 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either move the previous prefix into the common file, or if it's only going to be used once, and unlikely to be needed again elsewhere, hardcode it in here to avoid the variable assignment for a single use.","created_at":"2016-04-15T21:01:29Z","updated_at":"2016-04-15T21:01:29Z","html_url":"https://github.com/quantopian/zipline/pull/1135#discussion_r59940254","pull_request_url":"https://api.github.com/repos/quantopian/zipline/pulls/1135","_links":{"self":{"href":"https://api.github.com/repos/quantopian/zipline/pulls/comments/59940254"},"html":{"href":"https://github.com/quantopian/zipline/pull/1135#discussion_r59940254"},"pull_request":{"href":"https://api.github.com/repos/quantopian/zipline/pulls/1135"}}},"pull_request":{"url":"https://api.github.com/repos/quantopian/zipline/pulls/1135","id":66684406,"html_url":"https://github.com/quantopian/zipline/pull/1135","diff_url":"https://github.com/quantopian/zipline/pull/1135.diff","patch_url":"https://github.com/quantopian/zipline/pull/1135.patch","issue_url":"https://api.github.com/repos/quantopian/zipline/issues/1135","number":1135,"state":"open","locked":false,"title":"Custom estimates in 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