DEV: add testing utility for checking term lookback windows

Author: Joe Jevnik

zipline/pipeline/factors/testing.py

@@ -0,0 +1,87 @@
+import numpy as np
+
+from zipline.testing.predicates import assert_equal
+from .factor import CustomFactor
+
+
+class IDBox(object):
+    """A wrapper that hashs to the id of the underlying object and compares
+    equality on the id of the underlying.
+
+    Parameters
+    ----------
+    ob : any
+        The object to wrap.
+
+    Attributes
+    ----------
+    ob : any
+        The object being wrapped.
+
+    Notes
+    -----
+    This is useful for storing non-hashable values in a set or dict.
+    """
+    def __init__(self, ob):
+        self.ob = ob
+
+    def __hash__(self):
+        return id(self)
+
+    def __eq__(self, other):
+        if not isinstance(other, IDBox):
+            return NotImplemented
+
+        return id(self.ob) == id(other.ob)
+
+
+class CheckWindowsFactor(CustomFactor):
+    """A custom factor that makes assertions about the lookback windows that
+    it gets passed.
+
+    Parameters
+    ----------
+    input_ : Term
+        The input term to the factor.
+    window_length : int
+        The length of the lookback window.
+    expected_windows : dict[int, dict[pd.Timestamp, np.ndarray]]
+        For each asset, for each day, what the expected lookback window is.
+
+    Notes
+    -----
+    The output of this factor is the same as ``Latest``. Any assets or days
+    not in ``expected_windows`` are not checked.
+    """
+    params = ('expected_windows',)
+
+    def __new__(cls, input_, window_length, expected_windows):
+        return super(CheckWindowsFactor, cls).__new__(
+            cls,
+            inputs=[input_],
+            dtype=input_.dtype,
+            window_length=window_length,
+            expected_windows=frozenset(
+                (k, IDBox(v)) for k, v in expected_windows.items()
+            ),
+        )
+
+    def compute(self, today, assets, out, input_, expected_windows):
+        for asset, expected_by_day in expected_windows:
+            expected_by_day = expected_by_day.ob
+
+            col_ix = np.searchsorted(assets, asset)
+            if assets[col_ix] != asset:
+                raise AssertionError('asset %s is not in the window' % asset)
+
+            try:
+                expected = expected_by_day[today]
+            except KeyError:
+                pass
+            else:
+                expected = np.array(expected)
+                actual = input_[:, col_ix]
+                assert_equal(actual, expected)
+
+        # output is just latest
+        out[:] = input_[-1]