Merge pull request #1093 from quantopian/finish-dividends-in-pipeline

MAINT: add dividends datasets to inits

docs/source/whatsnew/0.8.5.txt

@@ -29,12 +29,30 @@ Enhancements
   blaze-based implementations can be found in
   :mod:`zipline.pipeline.loaders.blaze.buyback_auth`. (:issue:`1022`).
 
+* Added new datasets
+  :class:`~zipline.pipeline.data.dividends.DividendsByExDate`,
+  :class:`~zipline.pipeline.data.dividends.DividendsByPayDate`, and
+  :class:`~zipline.pipeline.data.dividends.DividendsByAnnouncementDate`
+  for use in the Pipeline API.  These datasets provide an abstract interface for
+  adding dividends data organized by ex date, pay date, and announcement date,
+  respectively, to a new algorithm. pandas-based reference implementations for
+  these datasets can be found in :mod:`zipline.pipeline.loaders.dividends`, and
+  experimental blaze-based implementations can be found in
+  :mod:`zipline.pipeline.loaders.blaze.dividends`. (:issue:`1093`).
+
 * Added new built-in factors,
   :class:`zipline.pipeline.factors.BusinessDaysSinceCashBuybackAuth` and
   :class:`zipline.pipeline.factors.BusinessDaysSinceShareBuybackAuth`.  These
   factors use the new ``CashBuybackAuthorizations`` and
   ``ShareBuybackAuthorizations`` datasets, respectively. (:issue:`1022`).
 
+* Added new built-in factors,
+  :class:`zipline.pipeline.factors.BusinessDaysSinceDividendAnnouncement`,
+  :class:`zipline.pipeline.factors.BusinessDaysUntilNextExDate`, and
+  :class:`zipline.pipeline.factors.BusinessDaysSincePreviousExDate`.  These
+  factors use the new ``DividendsByAnnouncementDate` and ``DividendsByExDate``
+  datasets, respectively. (:issue:`1093`).
+
 * Implemented :class:`zipline.pipeline.Classifier`, a new core pipeline API
   term representing grouping keys.  Classifiers are primarily used by passing
   them as the ``groupby`` parameter to factor normalization methods.

zipline/pipeline/data/__init__.py

@@ -1,4 +1,9 @@
 from .buyback_auth import CashBuybackAuthorizations, ShareBuybackAuthorizations
+from .dividends import (
+    DividendsByAnnouncementDate,
+    DividendsByExDate,
+    DividendsByPayDate,
+)
 from .earnings import EarningsCalendar
 from .equity_pricing import USEquityPricing
 from .dataset import DataSet, Column, BoundColumn
@@ -8,6 +13,9 @@
     'CashBuybackAuthorizations',
     'Column',
     'DataSet',
+    'DividendsByAnnouncementDate',
+    'DividendsByExDate',
+    'DividendsByPayDate',
     'EarningsCalendar',
     'ShareBuybackAuthorizations',
     'USEquityPricing',

zipline/pipeline/factors/__init__.py

@@ -5,6 +5,9 @@
 )
 from .events import (
     BusinessDaysSinceCashBuybackAuth,
+    BusinessDaysSinceDividendAnnouncement,
+    BusinessDaysUntilNextExDate,
+    BusinessDaysSincePreviousExDate,
     BusinessDaysUntilNextEarnings,
     BusinessDaysSincePreviousEarnings,
     BusinessDaysSinceShareBuybackAuth,
@@ -25,6 +28,9 @@
 
 __all__ = [
     'BusinessDaysSinceCashBuybackAuth',
+    'BusinessDaysSinceDividendAnnouncement',
+    'BusinessDaysUntilNextExDate',
+    'BusinessDaysSincePreviousExDate',
     'BusinessDaysUntilNextEarnings',
     'BusinessDaysSincePreviousEarnings',
     'BusinessDaysSinceShareBuybackAuth',

zipline/pipeline/factors/events.py

@@ -3,15 +3,13 @@
 announcements, acquisitions, dividends, etc.).
 """
 from numpy import newaxis
-from zipline.pipeline.data.buyback_auth import (
+from ..data import (
     CashBuybackAuthorizations,
-    ShareBuybackAuthorizations
-)
-from zipline.pipeline.data.dividends import (
+    ShareBuybackAuthorizations,
     DividendsByAnnouncementDate,
-    DividendsByExDate
+    DividendsByExDate,
+    EarningsCalendar
 )
-from zipline.pipeline.data.earnings import EarningsCalendar
 from zipline.utils.numpy_utils import (
     NaTD,
     busday_count_mask_NaT,

zipline/pipeline/loaders/__init__.py

@@ -1,7 +1,21 @@
 from .earnings import EarningsCalendarLoader
+from .buyback_auth import (
+    CashBuybackAuthorizationsLoader,
+    ShareBuybackAuthorizationsLoader
+)
+from .dividends import (
+    DividendsByAnnouncementDateLoader,
+    DividendsByExDateLoader,
+    DividendsByPayDateLoader,
+)
 from .equity_pricing_loader import USEquityPricingLoader
 
 __all__ = [
+    'CashBuybackAuthorizationsLoader',
+    'DividendsByAnnouncementDateLoader',
+    'DividendsByExDateLoader',
+    'DividendsByPayDateLoader',
     'EarningsCalendarLoader',
+    'ShareBuybackAuthorizationsLoader',
     'USEquityPricingLoader',
 ]

zipline/pipeline/loaders/blaze/__init__.py

@@ -9,13 +9,20 @@
     from_blaze,
     global_loader,
 )
-
+from .dividends import (
+    BlazeDividendsByAnnouncementDateLoader,
+    BlazeDividendsByExDateLoader,
+    BlazeDividendsByPayDateLoader
+)
 from .earnings import (
     BlazeEarningsCalendarLoader,
 )
 
 __all__ = (
     'BlazeCashBuybackAuthorizationsLoader',
+    'BlazeDividendsByAnnouncementDateLoader',
+    'BlazeDividendsByExDateLoader',
+    'BlazeDividendsByPayDateLoader',
     'BlazeEarningsCalendarLoader',
     'BlazeLoader',
     'BlazeShareBuybackAuthorizationsLoader',

zipline/pipeline/loaders/blaze/buyback_auth.py

@@ -7,9 +7,11 @@
     CASH_FIELD_NAME,
     SHARE_COUNT_FIELD_NAME
 )
-from zipline.pipeline.data import (CashBuybackAuthorizations,
-                                   ShareBuybackAuthorizations)
-from zipline.pipeline.loaders.buyback_auth import (
+from zipline.pipeline.data import (
+    CashBuybackAuthorizations,
+    ShareBuybackAuthorizations
+)
+from zipline.pipeline.loaders import (
     CashBuybackAuthorizationsLoader,
     ShareBuybackAuthorizationsLoader,
 )

zipline/pipeline/loaders/blaze/dividends.py

@@ -6,12 +6,12 @@
     SID_FIELD_NAME,
     TS_FIELD_NAME,
 )
-from zipline.pipeline.data.dividends import (
+from zipline.pipeline.data import (
     DividendsByExDate,
     DividendsByAnnouncementDate,
     DividendsByPayDate
 )
-from zipline.pipeline.loaders.dividends import (
+from zipline.pipeline.loaders import (
     DividendsByAnnouncementDateLoader,
     DividendsByPayDateLoader,
     DividendsByExDateLoader

zipline/pipeline/loaders/blaze/earnings.py

@@ -4,7 +4,7 @@
     TS_FIELD_NAME,
 )
 from zipline.pipeline.data import EarningsCalendar
-from zipline.pipeline.loaders.earnings import EarningsCalendarLoader
+from zipline.pipeline.loaders import EarningsCalendarLoader
 from .events import BlazeEventsLoader
 
 

zipline/pipeline/loaders/buyback_auth.py

@@ -2,7 +2,7 @@
 Reference implementation for buyback auth loaders.
 """
 
-from ..data.buyback_auth import (
+from ..data import (
     CashBuybackAuthorizations,
     ShareBuybackAuthorizations
 )

zipline/pipeline/loaders/dividends.py

@@ -5,7 +5,7 @@
     ANNOUNCEMENT_FIELD_NAME
 )
 from zipline.pipeline.loaders.events import EventsLoader
-from zipline.pipeline.data.dividends import (
+from ..data import (
     DividendsByExDate,
     DividendsByAnnouncementDate,
     DividendsByPayDate

zipline/pipeline/loaders/earnings.py

@@ -2,7 +2,7 @@
 Reference implementation for EarningsCalendar loaders.
 """
 
-from ..data.earnings import EarningsCalendar
+from ..data import EarningsCalendar
 from .events import EventsLoader
 from zipline.pipeline.common import ANNOUNCEMENT_FIELD_NAME
 from zipline.utils.memoize import lazyval