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wegamekinglc
committed
fixed error for nested rank operator
1 parent 9bdea04 commit 180a409

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3 files changed

+51
-54
lines changed

3 files changed

+51
-54
lines changed

‎PyFin/Analysis/CrossSectionValueHolders.pyx‎

Lines changed: 37 additions & 48 deletions
Original file line numberDiff line numberDiff line change
@@ -54,16 +54,15 @@ cdef class CSTopNSecurityValueHolder(CrossSectionValueHolder):
5454
self._n = n
5555

5656
cdef _cal_impl(self):
57-
cdef SeriesValues raw_values = self._inner.value
57+
cdef SeriesValues raw_values = self._inner.value_all()
5858

5959
if self._group:
60-
self.cached = raw_values.top_n(self._n, self._group.value)
60+
self.cached = raw_values.top_n(self._n, self._group.value_all())
6161
else:
6262
self.cached = raw_values.top_n(self._n)
6363
self.updated = 1
6464

65-
@property
66-
def value(self):
65+
cpdef value_all(self):
6766
if self.updated:
6867
return self.cached
6968
else:
@@ -101,16 +100,15 @@ cdef class CSTopNPercentileSecurityValueHolder(CrossSectionValueHolder):
101100
self._n = n
102101

103102
cdef _cal_impl(self):
104-
cdef SeriesValues raw_values = self._inner.value
103+
cdef SeriesValues raw_values = self._inner.value_all()
105104

106105
if self._group:
107-
self.cached = raw_values.top_n_percentile(self._n, self._group.value)
106+
self.cached = raw_values.top_n_percentile(self._n, self._group.value_all())
108107
else:
109108
self.cached = raw_values.top_n_percentile(self._n)
110109
self.updated = 1
111110

112-
@property
113-
def value(self):
111+
cpdef value_all(self):
114112
if self.updated:
115113
return self.cached
116114
else:
@@ -148,16 +146,15 @@ cdef class CSBottomNSecurityValueHolder(CrossSectionValueHolder):
148146
self._n = n
149147

150148
cdef _cal_impl(self):
151-
cdef SeriesValues raw_values = self._inner.value
149+
cdef SeriesValues raw_values = self._inner.value_all()
152150

153151
if self._group:
154-
self.cached = raw_values.bottom_n(self._n, self._group.value)
152+
self.cached = raw_values.bottom_n(self._n, self._group.value_all())
155153
else:
156154
self.cached = raw_values.bottom_n(self._n)
157155
self.updated = 1
158156

159-
@property
160-
def value(self):
157+
cpdef value_all(self):
161158
if self.updated:
162159
return self.cached
163160
else:
@@ -195,16 +192,15 @@ cdef class CSBottomNPercentileSecurityValueHolder(CrossSectionValueHolder):
195192
self._n = n
196193

197194
cdef _cal_impl(self):
198-
cdef SeriesValues raw_values = self._inner.value
195+
cdef SeriesValues raw_values = self._inner.value_all()
199196

200197
if self._group:
201-
self.cached = raw_values.bottom_n_percentile(self._n, self._group.value)
198+
self.cached = raw_values.bottom_n_percentile(self._n, self._group.value_all())
202199
else:
203200
self.cached = raw_values.bottom_n_percentile(self._n)
204201
self.updated = 1
205202

206-
@property
207-
def value(self):
203+
cpdef value_all(self):
208204
if self.updated:
209205
return self.cached
210206
else:
@@ -239,16 +235,15 @@ cdef class CSRankedSecurityValueHolder(CrossSectionValueHolder):
239235
super(CSRankedSecurityValueHolder, self).__init__(innerValue, groups)
240236

241237
cdef _cal_impl(self):
242-
cdef SeriesValues raw_values = self._inner.value
238+
cdef SeriesValues raw_values = self._inner.value_all()
243239

244240
if self._group:
245-
self.cached = raw_values.rank(self._group.value)
241+
self.cached = raw_values.rank(self._group.value_all())
246242
else:
247243
self.cached = raw_values.rank()
248244
self.updated = 1
249245

250-
@property
251-
def value(self):
246+
cpdef value_all(self):
252247
if self.updated:
253248
return self.cached
254249
else:
@@ -282,16 +277,15 @@ cdef class CSAverageSecurityValueHolder(CrossSectionValueHolder):
282277
super(CSAverageSecurityValueHolder, self).__init__(innerValue, groups)
283278

284279
cdef _cal_impl(self):
285-
cdef SeriesValues raw_values = self._inner.value
280+
cdef SeriesValues raw_values = self._inner.value_all()
286281

287282
if self._group:
288-
self.cached = raw_values.mean(self._group.value)
283+
self.cached = raw_values.mean(self._group.value_all())
289284
else:
290285
self.cached = raw_values.mean()
291286
self.updated = 1
292287

293-
@property
294-
def value(self):
288+
cpdef value_all(self):
295289
if self.updated:
296290
return self.cached
297291
else:
@@ -326,16 +320,15 @@ cdef class CSPercentileSecurityValueHolder(CrossSectionValueHolder):
326320
super(CSPercentileSecurityValueHolder, self).__init__(innerValue, groups)
327321

328322
cdef _cal_impl(self):
329-
cdef SeriesValues raw_values = self._inner.value
323+
cdef SeriesValues raw_values = self._inner.value_all()
330324

331325
if self._group:
332-
self.cached = raw_values.percentile(self._group.value)
326+
self.cached = raw_values.percentile(self._group.value_all())
333327
else:
334328
self.cached = raw_values.percentile()
335329
self.updated = 1
336330

337-
@property
338-
def value(self):
331+
cpdef value_all(self):
339332
if self.updated:
340333
return self.cached
341334
else:
@@ -368,17 +361,16 @@ cdef class CSAverageAdjustedSecurityValueHolder(CrossSectionValueHolder):
368361
def __init__(self, innerValue, groups=None):
369362
super(CSAverageAdjustedSecurityValueHolder, self).__init__(innerValue, groups)
370363

371-
@property
372-
def value(self):
364+
cpdef value_all(self):
373365

374366
cdef SeriesValues raw_values
375367

376368
if self.updated:
377369
return self.cached
378370
else:
379-
raw_values = self._inner.value
371+
raw_values = self._inner.value_all()
380372
if self._group:
381-
self.cached = raw_values - raw_values.mean(self._group.value)
373+
self.cached = raw_values - raw_values.mean(self._group.value_all())
382374
else:
383375
self.cached = raw_values - raw_values.mean()
384376
self.updated = 1
@@ -391,9 +383,9 @@ cdef class CSAverageAdjustedSecurityValueHolder(CrossSectionValueHolder):
391383
if self.updated:
392384
return self.cached[name]
393385
else:
394-
raw_values = self._inner.value
386+
raw_values = self._inner.value_all()
395387
if self._group:
396-
self.cached = raw_values - raw_values.mean(self._group.value)
388+
self.cached = raw_values - raw_values.mean(self._group.value_all())
397389
else:
398390
self.cached = raw_values - raw_values.mean()
399391
self.updated = 1
@@ -419,16 +411,15 @@ cdef class CSZScoreSecurityValueHolder(CrossSectionValueHolder):
419411
super(CSZScoreSecurityValueHolder, self).__init__(innerValue, groups)
420412

421413
cdef _cal_impl(self):
422-
cdef SeriesValues raw_values = self._inner.value
414+
cdef SeriesValues raw_values = self._inner.value_all()
423415

424416
if self._group:
425-
self.cached = raw_values.zscore(self._group.value)
417+
self.cached = raw_values.zscore(self._group.value_all())
426418
else:
427419
self.cached = raw_values.zscore()
428420
self.updated = 1
429421

430-
@property
431-
def value(self):
422+
cpdef value_all(self):
432423
if self.updated:
433424
return self.cached
434425
else:
@@ -462,16 +453,15 @@ cdef class CSFillNASecurityValueHolder(CrossSectionValueHolder):
462453
super(CSFillNASecurityValueHolder, self).__init__(innerValue, groups)
463454

464455
cdef _cal_impl(self):
465-
cdef SeriesValues raw_values = self._inner.value
456+
cdef SeriesValues raw_values = self._inner.value_all()
466457

467458
if self._group:
468-
self.cached = raw_values.fillna(self._group.value)
459+
self.cached = raw_values.fillna(self._group.value_all())
469460
else:
470461
self.cached = raw_values.fillna()
471462
self.updated = 1
472463

473-
@property
474-
def value(self):
464+
cpdef value_all(self):
475465
if self.updated:
476466
return self.cached
477467
else:
@@ -524,17 +514,16 @@ cdef class CSResidueSecurityValueHolder(SecurityValueHolder):
524514
self._right.push(data)
525515
self.updated = 0
526516

527-
@property
528-
def value(self):
517+
cpdef value_all(self):
529518

530519
cdef SeriesValues left_raw_values
531520
cdef SeriesValues right_raw_values
532521

533522
if self.updated:
534523
return self.cached
535524
else:
536-
left_raw_values = self._left.value
537-
right_raw_values = self._right.value
525+
left_raw_values = self._left.value_all()
526+
right_raw_values = self._right.value_all()
538527
self.cached = left_raw_values.res(right_raw_values)
539528
self.updated = 1
540529
return self.cached
@@ -547,8 +536,8 @@ cdef class CSResidueSecurityValueHolder(SecurityValueHolder):
547536
if self.updated:
548537
return self.cached[name]
549538
else:
550-
left_raw_values = self._left.value
551-
right_raw_values = self._right.value
539+
left_raw_values = self._left.value_all()
540+
right_raw_values = self._right.value_all()
552541
self.cached = left_raw_values.res(right_raw_values)
553542
self.updated = 1
554543
return self.cached[name]

‎PyFin/Analysis/SecurityValueHolders.pyx‎

Lines changed: 11 additions & 5 deletions
Original file line numberDiff line numberDiff line change
@@ -93,17 +93,23 @@ cdef class SecurityValueHolder(object):
9393
n = len(names)
9494
res = np.zeros(n)
9595
for i, name in enumerate(names):
96-
holder = self._innerHolders[name]
97-
res[i] = holder.result()
96+
try:
97+
holder = self._innerHolders[name]
98+
res[i] = holder.result()
99+
except ArithmeticError:
100+
res[i] = NAN
98101
return SeriesValues(res, index=names)
99102

100103
cpdef double value_by_name(self, name):
101104
cdef Accumulator holder
102105
if self.updated:
103106
return self.cached[name]
104107
else:
105-
holder = self._innerHolders[name]
106-
return holder.result()
108+
try:
109+
holder = self._innerHolders[name]
110+
return holder.result()
111+
except ArithmeticError:
112+
return NAN
107113

108114
@property
109115
def holders(self):
@@ -288,7 +294,7 @@ cdef class SecurityBinaryValueHolder(SecurityValueHolder):
288294
self._compHolder1 = build_holder(x)
289295
self._compHolder2 = build_holder(y)
290296
self._dependency = list(set(self._compHolder1.fields + self._compHolder2.fields))
291-
self._window = window + max(self._compHolder1.window, self._compHolder1.window)
297+
self._window = window + max(self._compHolder1.window, self._compHolder2.window)
292298
self._holderTemplate = holderType(window=window, x=str(self._compHolder1), y=str(self._compHolder2))
293299
self._innerHolders = {
294300
name: copy.deepcopy(self._holderTemplate) for name in self._compHolder1.symbolList

‎PyFin/tests/Analysis/TechnicalAnalysis/testStatefulTechnicalAnalysers.py‎

Lines changed: 3 additions & 1 deletion
Original file line numberDiff line numberDiff line change
@@ -397,7 +397,9 @@ def testSecurityMovingRank(self):
397397

398398
def testSecurityMovingCorrelation(self):
399399
window = 120
400-
mc = SecurityMovingCorrelation(window, ['close'], ['open'])
400+
x = SecurityLatestValueHolder('close')
401+
y = SecurityLatestValueHolder('open')
402+
mc = SecurityMovingCorrelation(window, x, y)
401403

402404
for i in range(len(self.aapl['close'])):
403405
data = dict(aapl=dict(close=self.aapl['close'][i],

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