BLD build input checker

Author: eigenfoo

pyfolio/check_inputs.py

@@ -0,0 +1,118 @@
+#
+# Copyright 2017 Quantopian, Inc.
+#
+# Licensed under the Apache License, Version 2.0 (the "License");
+# you may not use this file except in compliance with the License.
+# You may obtain a copy of the License at
+#
+#     http://www.apache.org/licenses/LICENSE-2.0
+#
+# Unless required by applicable law or agreed to in writing, software
+# distributed under the License is distributed on an "AS IS" BASIS,
+# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+# See the License for the specific language governing permissions and
+# limitations under the License.
+from __future__ import division
+
+import engarde.checks as ed
+
+
+class TearSheetInputError(Exception):
+    """Custom Exception for pyfolio input errors"""
+    pass
+
+
+def check_inputs(returns,
+                 positions,
+                 txns):
+    """
+    Check inputs to create_foo_tear_sheet functions
+
+    - Raises a TearSheetInputError if inputs violate specification
+    """
+    check_returns(returns)
+    check_positions(positions)
+    check_txns(txns)
+
+
+def check_returns(returns):
+    """
+    Check returns for specification
+
+    - There must not be NaNs
+    - Index must be timezone-localized datetimes
+    - Returns must be floats
+    """
+    try:
+        ed.none_missing(returns)
+    except AssertionError as e:
+        raise TearSheetInputError('''returns has NaNs. engarde raises the
+                                  following: ''' + e)
+
+    if returns.index.tz is None:
+        raise TearSheetInputError('returns index is not timezone-localized')
+
+    if returns.dtype != float:
+        raise TearSheetInputError('returns data types are not all float')
+
+def check_positions(positions):
+    """
+    Check positions for specification
+
+    - There must not be any NaNs
+    - Index must be timezone-localized datetimes
+    - There must a column called 'cash'
+    - Positions must be floats
+    """
+    try:
+        ed.none_missing(positions)
+    except AssertionError as e:
+        raise TearSheetInputError('''positions has NaNs. engarde raises the
+                                  following: ''' + e)
+
+    if positions.index.tz is None:
+        raise TearSheetInputError('positions index is not timezone-localized')
+
+    if 'cash' not in positions.columns:
+        raise TearSheetInputError('positions does not have a cash column')
+
+    if not all(positions.apply(lambda col: col.dtype, axis='columns') == float):
+        raise TearSheetInputError('''positions data types are not all float''')
+
+
+def check_txns(txns):
+    """
+    Check transactions for specification
+
+    - There must not be any NaNs
+    - Index must be timezone-localized datetimes
+    - There must be columns called 'amount', 'price', and 'symbol'
+    - Amounts must be ints
+    - Prices must be floats
+    - Symbols must be strings
+    """
+    try:
+        ed.none_missing(txns)
+    except AssertionError as e:
+        raise TearSheetInputError('''transactions has NaNs. engarde raises the
+                                  following: ''' + e)
+
+    if txns.index.tz is None:
+        raise TearSheetInputError('''transactions index is not
+                                  timezone-localized''')
+
+    if all([col in txns.columns for col in ['amount',
+                                            'price',
+                                            'symbol']]) == False:
+        raise TearSheetInputError('''transactions does not have correct columns.
+                                  Columns must be "amount", "price" and
+                                  "symbol"''')
+
+    try:
+        ed.has_dtypes(txns, {'amount': int;
+                             'price': float;
+                             'symbol': str})
+    except AssertionError as e:
+        raise TearSheetInputError('''transactions columns do not have correct
+                                  data types. engarde raises the following: '''
+                                  + e)

pyfolio/tears.py

@@ -98,7 +98,7 @@ def create_full_tear_sheet(returns,
     positions : pd.DataFrame, optional
         Daily net position values.
          - Time series of dollar amount invested in each position and cash.
-         - Days where stocks are not held can be represented by 0 or NaN.
+         - Days where stocks are not held must be represented by 0.
          - Non-working capital is labelled 'cash'
          - Example:
             index         'AAPL'         'MSFT'          cash
@@ -109,7 +109,7 @@ def create_full_tear_sheet(returns,
         Executed trade volumes and fill prices.
         - One row per trade.
         - Trades on different names that occur at the
-          same time will have identical indicies.
+          same time will have identical indices.
         - Example:
             index                  amount   price    symbol
             2004-01-09 12:18:01    483      324.12   'AAPL'