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lucasb-eyer/pydensecrf
pydensecrf/utils.py
create_pairwise_gaussian
def create_pairwise_gaussian(sdims, shape): """ Util function that create pairwise gaussian potentials. This works for all image dimensions. For the 2D case does the same as `DenseCRF2D.addPairwiseGaussian`. Parameters ---------- sdims: list or tuple The scaling factors per dimension. This is referred to `sxy` in `DenseCRF2D.addPairwiseGaussian`. shape: list or tuple The shape the CRF has. """ # create mesh hcord_range = [range(s) for s in shape] mesh = np.array(np.meshgrid(*hcord_range, indexing='ij'), dtype=np.float32) # scale mesh accordingly for i, s in enumerate(sdims): mesh[i] /= s return mesh.reshape([len(sdims), -1])
python
def create_pairwise_gaussian(sdims, shape): """ Util function that create pairwise gaussian potentials. This works for all image dimensions. For the 2D case does the same as `DenseCRF2D.addPairwiseGaussian`. Parameters ---------- sdims: list or tuple The scaling factors per dimension. This is referred to `sxy` in `DenseCRF2D.addPairwiseGaussian`. shape: list or tuple The shape the CRF has. """ # create mesh hcord_range = [range(s) for s in shape] mesh = np.array(np.meshgrid(*hcord_range, indexing='ij'), dtype=np.float32) # scale mesh accordingly for i, s in enumerate(sdims): mesh[i] /= s return mesh.reshape([len(sdims), -1])
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Util function that create pairwise gaussian potentials. This works for all image dimensions. For the 2D case does the same as `DenseCRF2D.addPairwiseGaussian`. Parameters ---------- sdims: list or tuple The scaling factors per dimension. This is referred to `sxy` in `DenseCRF2D.addPairwiseGaussian`. shape: list or tuple The shape the CRF has.
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4d5343c398d75d7ebae34f51a47769084ba3a613
https://github.com/lucasb-eyer/pydensecrf/blob/4d5343c398d75d7ebae34f51a47769084ba3a613/pydensecrf/utils.py#L89-L111
224,601
lucasb-eyer/pydensecrf
pydensecrf/utils.py
create_pairwise_bilateral
def create_pairwise_bilateral(sdims, schan, img, chdim=-1): """ Util function that create pairwise bilateral potentials. This works for all image dimensions. For the 2D case does the same as `DenseCRF2D.addPairwiseBilateral`. Parameters ---------- sdims: list or tuple The scaling factors per dimension. This is referred to `sxy` in `DenseCRF2D.addPairwiseBilateral`. schan: list or tuple The scaling factors per channel in the image. This is referred to `srgb` in `DenseCRF2D.addPairwiseBilateral`. img: numpy.array The input image. chdim: int, optional This specifies where the channel dimension is in the image. For example `chdim=2` for a RGB image of size (240, 300, 3). If the image has no channel dimension (e.g. it has only one channel) use `chdim=-1`. """ # Put channel dim in right position if chdim == -1: # We don't have a channel, add a new axis im_feat = img[np.newaxis].astype(np.float32) else: # Put the channel dim as axis 0, all others stay relatively the same im_feat = np.rollaxis(img, chdim).astype(np.float32) # scale image features per channel # Allow for a single number in `schan` to broadcast across all channels: if isinstance(schan, Number): im_feat /= schan else: for i, s in enumerate(schan): im_feat[i] /= s # create a mesh cord_range = [range(s) for s in im_feat.shape[1:]] mesh = np.array(np.meshgrid(*cord_range, indexing='ij'), dtype=np.float32) # scale mesh accordingly for i, s in enumerate(sdims): mesh[i] /= s feats = np.concatenate([mesh, im_feat]) return feats.reshape([feats.shape[0], -1])
python
def create_pairwise_bilateral(sdims, schan, img, chdim=-1): """ Util function that create pairwise bilateral potentials. This works for all image dimensions. For the 2D case does the same as `DenseCRF2D.addPairwiseBilateral`. Parameters ---------- sdims: list or tuple The scaling factors per dimension. This is referred to `sxy` in `DenseCRF2D.addPairwiseBilateral`. schan: list or tuple The scaling factors per channel in the image. This is referred to `srgb` in `DenseCRF2D.addPairwiseBilateral`. img: numpy.array The input image. chdim: int, optional This specifies where the channel dimension is in the image. For example `chdim=2` for a RGB image of size (240, 300, 3). If the image has no channel dimension (e.g. it has only one channel) use `chdim=-1`. """ # Put channel dim in right position if chdim == -1: # We don't have a channel, add a new axis im_feat = img[np.newaxis].astype(np.float32) else: # Put the channel dim as axis 0, all others stay relatively the same im_feat = np.rollaxis(img, chdim).astype(np.float32) # scale image features per channel # Allow for a single number in `schan` to broadcast across all channels: if isinstance(schan, Number): im_feat /= schan else: for i, s in enumerate(schan): im_feat[i] /= s # create a mesh cord_range = [range(s) for s in im_feat.shape[1:]] mesh = np.array(np.meshgrid(*cord_range, indexing='ij'), dtype=np.float32) # scale mesh accordingly for i, s in enumerate(sdims): mesh[i] /= s feats = np.concatenate([mesh, im_feat]) return feats.reshape([feats.shape[0], -1])
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Util function that create pairwise bilateral potentials. This works for all image dimensions. For the 2D case does the same as `DenseCRF2D.addPairwiseBilateral`. Parameters ---------- sdims: list or tuple The scaling factors per dimension. This is referred to `sxy` in `DenseCRF2D.addPairwiseBilateral`. schan: list or tuple The scaling factors per channel in the image. This is referred to `srgb` in `DenseCRF2D.addPairwiseBilateral`. img: numpy.array The input image. chdim: int, optional This specifies where the channel dimension is in the image. For example `chdim=2` for a RGB image of size (240, 300, 3). If the image has no channel dimension (e.g. it has only one channel) use `chdim=-1`.
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4d5343c398d75d7ebae34f51a47769084ba3a613
https://github.com/lucasb-eyer/pydensecrf/blob/4d5343c398d75d7ebae34f51a47769084ba3a613/pydensecrf/utils.py#L114-L162
224,602
deanmalmgren/textract
textract/parsers/odt_parser.py
Parser.to_string
def to_string(self): """ Converts the document to a string. """ buff = u"" for child in self.content.iter(): if child.tag in [self.qn('text:p'), self.qn('text:h')]: buff += self.text_to_string(child) + "\n" # remove last newline char if buff: buff = buff[:-1] return buff
python
def to_string(self): """ Converts the document to a string. """ buff = u"" for child in self.content.iter(): if child.tag in [self.qn('text:p'), self.qn('text:h')]: buff += self.text_to_string(child) + "\n" # remove last newline char if buff: buff = buff[:-1] return buff
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Converts the document to a string.
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117ea191d93d80321e4bf01f23cc1ac54d69a075
https://github.com/deanmalmgren/textract/blob/117ea191d93d80321e4bf01f23cc1ac54d69a075/textract/parsers/odt_parser.py#L19-L28
224,603
deanmalmgren/textract
textract/parsers/odt_parser.py
Parser.qn
def qn(self, namespace): """Connect tag prefix to longer namespace""" nsmap = { 'text': 'urn:oasis:names:tc:opendocument:xmlns:text:1.0', } spl = namespace.split(':') return '{{{}}}{}'.format(nsmap[spl[0]], spl[1])
python
def qn(self, namespace): """Connect tag prefix to longer namespace""" nsmap = { 'text': 'urn:oasis:names:tc:opendocument:xmlns:text:1.0', } spl = namespace.split(':') return '{{{}}}{}'.format(nsmap[spl[0]], spl[1])
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Connect tag prefix to longer namespace
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117ea191d93d80321e4bf01f23cc1ac54d69a075
https://github.com/deanmalmgren/textract/blob/117ea191d93d80321e4bf01f23cc1ac54d69a075/textract/parsers/odt_parser.py#L51-L57
224,604
deanmalmgren/textract
textract/cli.py
get_parser
def get_parser(): """Initialize the parser for the command line interface and bind the autocompletion functionality""" # initialize the parser parser = argparse.ArgumentParser( description=( 'Command line tool for extracting text from any document. ' ) % locals(), ) # define the command line options here parser.add_argument( 'filename', help='Filename to extract text.', ).completer = argcomplete.completers.FilesCompleter parser.add_argument( '-e', '--encoding', type=str, default=DEFAULT_ENCODING, choices=_get_available_encodings(), help='Specify the encoding of the output.', ) parser.add_argument( '--extension', type=str, default=None, choices=_get_available_extensions(), help='Specify the extension of the file.', ) parser.add_argument( '-m', '--method', default='', help='Specify a method of extraction for formats that support it', ) parser.add_argument( '-o', '--output', type=FileType('wb'), default='-', help='Output raw text in this file', ) parser.add_argument( '-O', '--option', type=str, action=AddToNamespaceAction, help=( 'Add arbitrary options to various parsers of the form ' 'KEYWORD=VALUE. A full list of available KEYWORD options is ' 'available at http://bit.ly/textract-options' ), ) parser.add_argument( '-v', '--version', action='version', version='%(prog)s '+VERSION, ) # enable autocompletion with argcomplete argcomplete.autocomplete(parser) return parser
python
def get_parser(): """Initialize the parser for the command line interface and bind the autocompletion functionality""" # initialize the parser parser = argparse.ArgumentParser( description=( 'Command line tool for extracting text from any document. ' ) % locals(), ) # define the command line options here parser.add_argument( 'filename', help='Filename to extract text.', ).completer = argcomplete.completers.FilesCompleter parser.add_argument( '-e', '--encoding', type=str, default=DEFAULT_ENCODING, choices=_get_available_encodings(), help='Specify the encoding of the output.', ) parser.add_argument( '--extension', type=str, default=None, choices=_get_available_extensions(), help='Specify the extension of the file.', ) parser.add_argument( '-m', '--method', default='', help='Specify a method of extraction for formats that support it', ) parser.add_argument( '-o', '--output', type=FileType('wb'), default='-', help='Output raw text in this file', ) parser.add_argument( '-O', '--option', type=str, action=AddToNamespaceAction, help=( 'Add arbitrary options to various parsers of the form ' 'KEYWORD=VALUE. A full list of available KEYWORD options is ' 'available at http://bit.ly/textract-options' ), ) parser.add_argument( '-v', '--version', action='version', version='%(prog)s '+VERSION, ) # enable autocompletion with argcomplete argcomplete.autocomplete(parser) return parser
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Initialize the parser for the command line interface and bind the autocompletion functionality
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117ea191d93d80321e4bf01f23cc1ac54d69a075
https://github.com/deanmalmgren/textract/blob/117ea191d93d80321e4bf01f23cc1ac54d69a075/textract/cli.py#L45-L93
224,605
deanmalmgren/textract
textract/cli.py
_get_available_encodings
def _get_available_encodings(): """Get a list of the available encodings to make it easy to tab-complete the command line interface. Inspiration from http://stackoverflow.com/a/3824405/564709 """ available_encodings = set(encodings.aliases.aliases.values()) paths = [os.path.dirname(encodings.__file__)] for importer, modname, ispkg in pkgutil.walk_packages(path=paths): available_encodings.add(modname) available_encodings = list(available_encodings) available_encodings.sort() return available_encodings
python
def _get_available_encodings(): """Get a list of the available encodings to make it easy to tab-complete the command line interface. Inspiration from http://stackoverflow.com/a/3824405/564709 """ available_encodings = set(encodings.aliases.aliases.values()) paths = [os.path.dirname(encodings.__file__)] for importer, modname, ispkg in pkgutil.walk_packages(path=paths): available_encodings.add(modname) available_encodings = list(available_encodings) available_encodings.sort() return available_encodings
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Get a list of the available encodings to make it easy to tab-complete the command line interface. Inspiration from http://stackoverflow.com/a/3824405/564709
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117ea191d93d80321e4bf01f23cc1ac54d69a075
https://github.com/deanmalmgren/textract/blob/117ea191d93d80321e4bf01f23cc1ac54d69a075/textract/cli.py#L96-L108
224,606
deanmalmgren/textract
textract/parsers/pdf_parser.py
Parser.extract_pdftotext
def extract_pdftotext(self, filename, **kwargs): """Extract text from pdfs using the pdftotext command line utility.""" if 'layout' in kwargs: args = ['pdftotext', '-layout', filename, '-'] else: args = ['pdftotext', filename, '-'] stdout, _ = self.run(args) return stdout
python
def extract_pdftotext(self, filename, **kwargs): """Extract text from pdfs using the pdftotext command line utility.""" if 'layout' in kwargs: args = ['pdftotext', '-layout', filename, '-'] else: args = ['pdftotext', filename, '-'] stdout, _ = self.run(args) return stdout
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Extract text from pdfs using the pdftotext command line utility.
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117ea191d93d80321e4bf01f23cc1ac54d69a075
https://github.com/deanmalmgren/textract/blob/117ea191d93d80321e4bf01f23cc1ac54d69a075/textract/parsers/pdf_parser.py#L37-L44
224,607
deanmalmgren/textract
textract/parsers/pdf_parser.py
Parser.extract_pdfminer
def extract_pdfminer(self, filename, **kwargs): """Extract text from pdfs using pdfminer.""" stdout, _ = self.run(['pdf2txt.py', filename]) return stdout
python
def extract_pdfminer(self, filename, **kwargs): """Extract text from pdfs using pdfminer.""" stdout, _ = self.run(['pdf2txt.py', filename]) return stdout
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Extract text from pdfs using pdfminer.
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117ea191d93d80321e4bf01f23cc1ac54d69a075
https://github.com/deanmalmgren/textract/blob/117ea191d93d80321e4bf01f23cc1ac54d69a075/textract/parsers/pdf_parser.py#L46-L49
224,608
deanmalmgren/textract
textract/parsers/audio.py
Parser.convert_to_wav
def convert_to_wav(self, filename): """ Uses sox cmdline tool, to convert audio file to .wav Note: for testing, use - http://www.text2speech.org/, with American Male 2 for best results """ temp_filename = '{0}.wav'.format(self.temp_filename()) self.run(['sox', '-G', '-c', '1', filename, temp_filename]) return temp_filename
python
def convert_to_wav(self, filename): """ Uses sox cmdline tool, to convert audio file to .wav Note: for testing, use - http://www.text2speech.org/, with American Male 2 for best results """ temp_filename = '{0}.wav'.format(self.temp_filename()) self.run(['sox', '-G', '-c', '1', filename, temp_filename]) return temp_filename
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Uses sox cmdline tool, to convert audio file to .wav Note: for testing, use - http://www.text2speech.org/, with American Male 2 for best results
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117ea191d93d80321e4bf01f23cc1ac54d69a075
https://github.com/deanmalmgren/textract/blob/117ea191d93d80321e4bf01f23cc1ac54d69a075/textract/parsers/audio.py#L56-L66
224,609
deanmalmgren/textract
textract/parsers/html_parser.py
Parser._visible
def _visible(self, element): """Used to filter text elements that have invisible text on the page. """ if element.name in self._disallowed_names: return False elif re.match(u'<!--.*-->', six.text_type(element.extract())): return False return True
python
def _visible(self, element): """Used to filter text elements that have invisible text on the page. """ if element.name in self._disallowed_names: return False elif re.match(u'<!--.*-->', six.text_type(element.extract())): return False return True
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Used to filter text elements that have invisible text on the page.
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117ea191d93d80321e4bf01f23cc1ac54d69a075
https://github.com/deanmalmgren/textract/blob/117ea191d93d80321e4bf01f23cc1ac54d69a075/textract/parsers/html_parser.py#L27-L34
224,610
deanmalmgren/textract
textract/parsers/html_parser.py
Parser._find_any_text
def _find_any_text(self, tag): """Looks for any possible text within given tag. """ text = '' if tag is not None: text = six.text_type(tag) text = re.sub(r'(<[^>]+>)', '', text) text = re.sub(r'\s', ' ', text) text = text.strip() return text
python
def _find_any_text(self, tag): """Looks for any possible text within given tag. """ text = '' if tag is not None: text = six.text_type(tag) text = re.sub(r'(<[^>]+>)', '', text) text = re.sub(r'\s', ' ', text) text = text.strip() return text
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Looks for any possible text within given tag.
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117ea191d93d80321e4bf01f23cc1ac54d69a075
https://github.com/deanmalmgren/textract/blob/117ea191d93d80321e4bf01f23cc1ac54d69a075/textract/parsers/html_parser.py#L44-L53
224,611
deanmalmgren/textract
textract/parsers/html_parser.py
Parser._join_inlines
def _join_inlines(self, soup): """Unwraps inline elements defined in self._inline_tags. """ elements = soup.find_all(True) for elem in elements: if self._inline(elem): elem.unwrap() return soup
python
def _join_inlines(self, soup): """Unwraps inline elements defined in self._inline_tags. """ elements = soup.find_all(True) for elem in elements: if self._inline(elem): elem.unwrap() return soup
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Unwraps inline elements defined in self._inline_tags.
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117ea191d93d80321e4bf01f23cc1ac54d69a075
https://github.com/deanmalmgren/textract/blob/117ea191d93d80321e4bf01f23cc1ac54d69a075/textract/parsers/html_parser.py#L118-L125
224,612
deanmalmgren/textract
textract/parsers/utils.py
ShellParser.temp_filename
def temp_filename(self): """Return a unique tempfile name. """ # TODO: it would be nice to get this to behave more like a # context so we can make sure these temporary files are # removed, regardless of whether an error occurs or the # program is terminated. handle, filename = tempfile.mkstemp() os.close(handle) return filename
python
def temp_filename(self): """Return a unique tempfile name. """ # TODO: it would be nice to get this to behave more like a # context so we can make sure these temporary files are # removed, regardless of whether an error occurs or the # program is terminated. handle, filename = tempfile.mkstemp() os.close(handle) return filename
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Return a unique tempfile name.
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117ea191d93d80321e4bf01f23cc1ac54d69a075
https://github.com/deanmalmgren/textract/blob/117ea191d93d80321e4bf01f23cc1ac54d69a075/textract/parsers/utils.py#L106-L115
224,613
deanmalmgren/textract
textract/parsers/__init__.py
process
def process(filename, encoding=DEFAULT_ENCODING, extension=None, **kwargs): """This is the core function used for extracting text. It routes the ``filename`` to the appropriate parser and returns the extracted text as a byte-string encoded with ``encoding``. """ # make sure the filename exists if not os.path.exists(filename): raise exceptions.MissingFileError(filename) # get the filename extension, which is something like .docx for # example, and import the module dynamically using importlib. This # is a relative import so the name of the package is necessary # normally, file extension will be extracted from the file name # if the file name has no extension, then the user can pass the # extension as an argument if extension: ext = extension # check if the extension has the leading . if not ext.startswith('.'): ext = '.' + ext ext = ext.lower() else: _, ext = os.path.splitext(filename) ext = ext.lower() # check the EXTENSION_SYNONYMS dictionary ext = EXTENSION_SYNONYMS.get(ext, ext) # to avoid conflicts with packages that are installed globally # (e.g. python's json module), all extension parser modules have # the _parser extension rel_module = ext + _FILENAME_SUFFIX # If we can't import the module, the file extension isn't currently # supported try: filetype_module = importlib.import_module( rel_module, 'textract.parsers' ) except ImportError: raise exceptions.ExtensionNotSupported(ext) # do the extraction parser = filetype_module.Parser() return parser.process(filename, encoding, **kwargs)
python
def process(filename, encoding=DEFAULT_ENCODING, extension=None, **kwargs): """This is the core function used for extracting text. It routes the ``filename`` to the appropriate parser and returns the extracted text as a byte-string encoded with ``encoding``. """ # make sure the filename exists if not os.path.exists(filename): raise exceptions.MissingFileError(filename) # get the filename extension, which is something like .docx for # example, and import the module dynamically using importlib. This # is a relative import so the name of the package is necessary # normally, file extension will be extracted from the file name # if the file name has no extension, then the user can pass the # extension as an argument if extension: ext = extension # check if the extension has the leading . if not ext.startswith('.'): ext = '.' + ext ext = ext.lower() else: _, ext = os.path.splitext(filename) ext = ext.lower() # check the EXTENSION_SYNONYMS dictionary ext = EXTENSION_SYNONYMS.get(ext, ext) # to avoid conflicts with packages that are installed globally # (e.g. python's json module), all extension parser modules have # the _parser extension rel_module = ext + _FILENAME_SUFFIX # If we can't import the module, the file extension isn't currently # supported try: filetype_module = importlib.import_module( rel_module, 'textract.parsers' ) except ImportError: raise exceptions.ExtensionNotSupported(ext) # do the extraction parser = filetype_module.Parser() return parser.process(filename, encoding, **kwargs)
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This is the core function used for extracting text. It routes the ``filename`` to the appropriate parser and returns the extracted text as a byte-string encoded with ``encoding``.
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117ea191d93d80321e4bf01f23cc1ac54d69a075
https://github.com/deanmalmgren/textract/blob/117ea191d93d80321e4bf01f23cc1ac54d69a075/textract/parsers/__init__.py#L31-L77
224,614
deanmalmgren/textract
textract/parsers/__init__.py
_get_available_extensions
def _get_available_extensions(): """Get a list of available file extensions to make it easy for tab-completion and exception handling. """ extensions = [] # from filenames parsers_dir = os.path.join(os.path.dirname(__file__)) glob_filename = os.path.join(parsers_dir, "*" + _FILENAME_SUFFIX + ".py") ext_re = re.compile(glob_filename.replace('*', "(?P<ext>\w+)")) for filename in glob.glob(glob_filename): ext_match = ext_re.match(filename) ext = ext_match.groups()[0] extensions.append(ext) extensions.append('.' + ext) # from relevant synonyms (don't use the '' synonym) for ext in EXTENSION_SYNONYMS.keys(): if ext: extensions.append(ext) extensions.append(ext.replace('.', '', 1)) extensions.sort() return extensions
python
def _get_available_extensions(): """Get a list of available file extensions to make it easy for tab-completion and exception handling. """ extensions = [] # from filenames parsers_dir = os.path.join(os.path.dirname(__file__)) glob_filename = os.path.join(parsers_dir, "*" + _FILENAME_SUFFIX + ".py") ext_re = re.compile(glob_filename.replace('*', "(?P<ext>\w+)")) for filename in glob.glob(glob_filename): ext_match = ext_re.match(filename) ext = ext_match.groups()[0] extensions.append(ext) extensions.append('.' + ext) # from relevant synonyms (don't use the '' synonym) for ext in EXTENSION_SYNONYMS.keys(): if ext: extensions.append(ext) extensions.append(ext.replace('.', '', 1)) extensions.sort() return extensions
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Get a list of available file extensions to make it easy for tab-completion and exception handling.
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117ea191d93d80321e4bf01f23cc1ac54d69a075
https://github.com/deanmalmgren/textract/blob/117ea191d93d80321e4bf01f23cc1ac54d69a075/textract/parsers/__init__.py#L80-L102
224,615
deanmalmgren/textract
setup.py
parse_requirements
def parse_requirements(requirements_filename): """read in the dependencies from the requirements files """ dependencies, dependency_links = [], [] requirements_dir = os.path.dirname(requirements_filename) with open(requirements_filename, 'r') as stream: for line in stream: line = line.strip() if line.startswith("-r"): filename = os.path.join(requirements_dir, line[2:].strip()) _dependencies, _dependency_links = parse_requirements(filename) dependencies.extend(_dependencies) dependency_links.extend(_dependency_links) elif line.startswith("http"): dependency_links.append(line) else: package = line.split('#')[0] if package: dependencies.append(package) return dependencies, dependency_links
python
def parse_requirements(requirements_filename): """read in the dependencies from the requirements files """ dependencies, dependency_links = [], [] requirements_dir = os.path.dirname(requirements_filename) with open(requirements_filename, 'r') as stream: for line in stream: line = line.strip() if line.startswith("-r"): filename = os.path.join(requirements_dir, line[2:].strip()) _dependencies, _dependency_links = parse_requirements(filename) dependencies.extend(_dependencies) dependency_links.extend(_dependency_links) elif line.startswith("http"): dependency_links.append(line) else: package = line.split('#')[0] if package: dependencies.append(package) return dependencies, dependency_links
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read in the dependencies from the requirements files
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117ea191d93d80321e4bf01f23cc1ac54d69a075
https://github.com/deanmalmgren/textract/blob/117ea191d93d80321e4bf01f23cc1ac54d69a075/setup.py#L18-L37
224,616
lyst/lightfm
lightfm/data.py
Dataset.build_interactions
def build_interactions(self, data): """ Build an interaction matrix. Two matrices will be returned: a (num_users, num_items) COO matrix with interactions, and a (num_users, num_items) matrix with the corresponding interaction weights. Parameters ---------- data: iterable of (user_id, item_id) or (user_id, item_id, weight) An iterable of interactions. The user and item ids will be translated to internal model indices using the mappings constructed during the fit call. If weights are not provided they will be assumed to be 1.0. Returns ------- (interactions, weights): COO matrix, COO matrix Two COO matrices: the interactions matrix and the corresponding weights matrix. """ interactions = _IncrementalCOOMatrix(self.interactions_shape(), np.int32) weights = _IncrementalCOOMatrix(self.interactions_shape(), np.float32) for datum in data: user_idx, item_idx, weight = self._unpack_datum(datum) interactions.append(user_idx, item_idx, 1) weights.append(user_idx, item_idx, weight) return (interactions.tocoo(), weights.tocoo())
python
def build_interactions(self, data): """ Build an interaction matrix. Two matrices will be returned: a (num_users, num_items) COO matrix with interactions, and a (num_users, num_items) matrix with the corresponding interaction weights. Parameters ---------- data: iterable of (user_id, item_id) or (user_id, item_id, weight) An iterable of interactions. The user and item ids will be translated to internal model indices using the mappings constructed during the fit call. If weights are not provided they will be assumed to be 1.0. Returns ------- (interactions, weights): COO matrix, COO matrix Two COO matrices: the interactions matrix and the corresponding weights matrix. """ interactions = _IncrementalCOOMatrix(self.interactions_shape(), np.int32) weights = _IncrementalCOOMatrix(self.interactions_shape(), np.float32) for datum in data: user_idx, item_idx, weight = self._unpack_datum(datum) interactions.append(user_idx, item_idx, 1) weights.append(user_idx, item_idx, weight) return (interactions.tocoo(), weights.tocoo())
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Build an interaction matrix. Two matrices will be returned: a (num_users, num_items) COO matrix with interactions, and a (num_users, num_items) matrix with the corresponding interaction weights. Parameters ---------- data: iterable of (user_id, item_id) or (user_id, item_id, weight) An iterable of interactions. The user and item ids will be translated to internal model indices using the mappings constructed during the fit call. If weights are not provided they will be assumed to be 1.0. Returns ------- (interactions, weights): COO matrix, COO matrix Two COO matrices: the interactions matrix and the corresponding weights matrix.
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87b942f87759b8336f9066a25e4762ae7d95455e
https://github.com/lyst/lightfm/blob/87b942f87759b8336f9066a25e4762ae7d95455e/lightfm/data.py#L292-L326
224,617
lyst/lightfm
lightfm/data.py
Dataset.mapping
def mapping(self): """ Return the constructed mappings. Invert these to map internal indices to external ids. Returns ------- (user id map, user feature map, item id map, item id map): tuple of dictionaries """ return ( self._user_id_mapping, self._user_feature_mapping, self._item_id_mapping, self._item_feature_mapping, )
python
def mapping(self): """ Return the constructed mappings. Invert these to map internal indices to external ids. Returns ------- (user id map, user feature map, item id map, item id map): tuple of dictionaries """ return ( self._user_id_mapping, self._user_feature_mapping, self._item_id_mapping, self._item_feature_mapping, )
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Return the constructed mappings. Invert these to map internal indices to external ids. Returns ------- (user id map, user feature map, item id map, item id map): tuple of dictionaries
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87b942f87759b8336f9066a25e4762ae7d95455e
https://github.com/lyst/lightfm/blob/87b942f87759b8336f9066a25e4762ae7d95455e/lightfm/data.py#L428-L445
224,618
lyst/lightfm
examples/movielens/data.py
_get_movielens_path
def _get_movielens_path(): """ Get path to the movielens dataset file. """ return os.path.join(os.path.dirname(os.path.abspath(__file__)), 'movielens.zip')
python
def _get_movielens_path(): """ Get path to the movielens dataset file. """ return os.path.join(os.path.dirname(os.path.abspath(__file__)), 'movielens.zip')
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Get path to the movielens dataset file.
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87b942f87759b8336f9066a25e4762ae7d95455e
https://github.com/lyst/lightfm/blob/87b942f87759b8336f9066a25e4762ae7d95455e/examples/movielens/data.py#L12-L18
224,619
lyst/lightfm
examples/movielens/data.py
_download_movielens
def _download_movielens(dest_path): """ Download the dataset. """ url = 'http://files.grouplens.org/datasets/movielens/ml-100k.zip' req = requests.get(url, stream=True) with open(dest_path, 'wb') as fd: for chunk in req.iter_content(): fd.write(chunk)
python
def _download_movielens(dest_path): """ Download the dataset. """ url = 'http://files.grouplens.org/datasets/movielens/ml-100k.zip' req = requests.get(url, stream=True) with open(dest_path, 'wb') as fd: for chunk in req.iter_content(): fd.write(chunk)
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Download the dataset.
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87b942f87759b8336f9066a25e4762ae7d95455e
https://github.com/lyst/lightfm/blob/87b942f87759b8336f9066a25e4762ae7d95455e/examples/movielens/data.py#L21-L31
224,620
lyst/lightfm
examples/movielens/data.py
_get_movie_raw_metadata
def _get_movie_raw_metadata(): """ Get raw lines of the genre file. """ path = _get_movielens_path() if not os.path.isfile(path): _download_movielens(path) with zipfile.ZipFile(path) as datafile: return datafile.read('ml-100k/u.item').decode(errors='ignore').split('\n')
python
def _get_movie_raw_metadata(): """ Get raw lines of the genre file. """ path = _get_movielens_path() if not os.path.isfile(path): _download_movielens(path) with zipfile.ZipFile(path) as datafile: return datafile.read('ml-100k/u.item').decode(errors='ignore').split('\n')
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Get raw lines of the genre file.
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87b942f87759b8336f9066a25e4762ae7d95455e
https://github.com/lyst/lightfm/blob/87b942f87759b8336f9066a25e4762ae7d95455e/examples/movielens/data.py#L82-L93
224,621
lyst/lightfm
lightfm/lightfm.py
LightFM._initialize
def _initialize(self, no_components, no_item_features, no_user_features): """ Initialise internal latent representations. """ # Initialise item features. self.item_embeddings = ( (self.random_state.rand(no_item_features, no_components) - 0.5) / no_components ).astype(np.float32) self.item_embedding_gradients = np.zeros_like(self.item_embeddings) self.item_embedding_momentum = np.zeros_like(self.item_embeddings) self.item_biases = np.zeros(no_item_features, dtype=np.float32) self.item_bias_gradients = np.zeros_like(self.item_biases) self.item_bias_momentum = np.zeros_like(self.item_biases) # Initialise user features. self.user_embeddings = ( (self.random_state.rand(no_user_features, no_components) - 0.5) / no_components ).astype(np.float32) self.user_embedding_gradients = np.zeros_like(self.user_embeddings) self.user_embedding_momentum = np.zeros_like(self.user_embeddings) self.user_biases = np.zeros(no_user_features, dtype=np.float32) self.user_bias_gradients = np.zeros_like(self.user_biases) self.user_bias_momentum = np.zeros_like(self.user_biases) if self.learning_schedule == "adagrad": self.item_embedding_gradients += 1 self.item_bias_gradients += 1 self.user_embedding_gradients += 1 self.user_bias_gradients += 1
python
def _initialize(self, no_components, no_item_features, no_user_features): """ Initialise internal latent representations. """ # Initialise item features. self.item_embeddings = ( (self.random_state.rand(no_item_features, no_components) - 0.5) / no_components ).astype(np.float32) self.item_embedding_gradients = np.zeros_like(self.item_embeddings) self.item_embedding_momentum = np.zeros_like(self.item_embeddings) self.item_biases = np.zeros(no_item_features, dtype=np.float32) self.item_bias_gradients = np.zeros_like(self.item_biases) self.item_bias_momentum = np.zeros_like(self.item_biases) # Initialise user features. self.user_embeddings = ( (self.random_state.rand(no_user_features, no_components) - 0.5) / no_components ).astype(np.float32) self.user_embedding_gradients = np.zeros_like(self.user_embeddings) self.user_embedding_momentum = np.zeros_like(self.user_embeddings) self.user_biases = np.zeros(no_user_features, dtype=np.float32) self.user_bias_gradients = np.zeros_like(self.user_biases) self.user_bias_momentum = np.zeros_like(self.user_biases) if self.learning_schedule == "adagrad": self.item_embedding_gradients += 1 self.item_bias_gradients += 1 self.user_embedding_gradients += 1 self.user_bias_gradients += 1
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Initialise internal latent representations.
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87b942f87759b8336f9066a25e4762ae7d95455e
https://github.com/lyst/lightfm/blob/87b942f87759b8336f9066a25e4762ae7d95455e/lightfm/lightfm.py#L264-L295
224,622
lyst/lightfm
lightfm/lightfm.py
LightFM._run_epoch
def _run_epoch( self, item_features, user_features, interactions, sample_weight, num_threads, loss, ): """ Run an individual epoch. """ if loss in ("warp", "bpr", "warp-kos"): # The CSR conversion needs to happen before shuffle indices are created. # Calling .tocsr may result in a change in the data arrays of the COO matrix, positives_lookup = CSRMatrix( self._get_positives_lookup_matrix(interactions) ) # Create shuffle indexes. shuffle_indices = np.arange(len(interactions.data), dtype=np.int32) self.random_state.shuffle(shuffle_indices) lightfm_data = self._get_lightfm_data() # Call the estimation routines. if loss == "warp": fit_warp( CSRMatrix(item_features), CSRMatrix(user_features), positives_lookup, interactions.row, interactions.col, interactions.data, sample_weight, shuffle_indices, lightfm_data, self.learning_rate, self.item_alpha, self.user_alpha, num_threads, self.random_state, ) elif loss == "bpr": fit_bpr( CSRMatrix(item_features), CSRMatrix(user_features), positives_lookup, interactions.row, interactions.col, interactions.data, sample_weight, shuffle_indices, lightfm_data, self.learning_rate, self.item_alpha, self.user_alpha, num_threads, self.random_state, ) elif loss == "warp-kos": fit_warp_kos( CSRMatrix(item_features), CSRMatrix(user_features), positives_lookup, interactions.row, shuffle_indices, lightfm_data, self.learning_rate, self.item_alpha, self.user_alpha, self.k, self.n, num_threads, self.random_state, ) else: fit_logistic( CSRMatrix(item_features), CSRMatrix(user_features), interactions.row, interactions.col, interactions.data, sample_weight, shuffle_indices, lightfm_data, self.learning_rate, self.item_alpha, self.user_alpha, num_threads, )
python
def _run_epoch( self, item_features, user_features, interactions, sample_weight, num_threads, loss, ): """ Run an individual epoch. """ if loss in ("warp", "bpr", "warp-kos"): # The CSR conversion needs to happen before shuffle indices are created. # Calling .tocsr may result in a change in the data arrays of the COO matrix, positives_lookup = CSRMatrix( self._get_positives_lookup_matrix(interactions) ) # Create shuffle indexes. shuffle_indices = np.arange(len(interactions.data), dtype=np.int32) self.random_state.shuffle(shuffle_indices) lightfm_data = self._get_lightfm_data() # Call the estimation routines. if loss == "warp": fit_warp( CSRMatrix(item_features), CSRMatrix(user_features), positives_lookup, interactions.row, interactions.col, interactions.data, sample_weight, shuffle_indices, lightfm_data, self.learning_rate, self.item_alpha, self.user_alpha, num_threads, self.random_state, ) elif loss == "bpr": fit_bpr( CSRMatrix(item_features), CSRMatrix(user_features), positives_lookup, interactions.row, interactions.col, interactions.data, sample_weight, shuffle_indices, lightfm_data, self.learning_rate, self.item_alpha, self.user_alpha, num_threads, self.random_state, ) elif loss == "warp-kos": fit_warp_kos( CSRMatrix(item_features), CSRMatrix(user_features), positives_lookup, interactions.row, shuffle_indices, lightfm_data, self.learning_rate, self.item_alpha, self.user_alpha, self.k, self.n, num_threads, self.random_state, ) else: fit_logistic( CSRMatrix(item_features), CSRMatrix(user_features), interactions.row, interactions.col, interactions.data, sample_weight, shuffle_indices, lightfm_data, self.learning_rate, self.item_alpha, self.user_alpha, num_threads, )
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Run an individual epoch.
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87b942f87759b8336f9066a25e4762ae7d95455e
https://github.com/lyst/lightfm/blob/87b942f87759b8336f9066a25e4762ae7d95455e/lightfm/lightfm.py#L651-L742
224,623
lyst/lightfm
lightfm/lightfm.py
LightFM.predict
def predict( self, user_ids, item_ids, item_features=None, user_features=None, num_threads=1 ): """ Compute the recommendation score for user-item pairs. For details on how to use feature matrices, see the documentation on the :class:`lightfm.LightFM` class. Arguments --------- user_ids: integer or np.int32 array of shape [n_pairs,] single user id or an array containing the user ids for the user-item pairs for which a prediction is to be computed. Note that these are LightFM's internal id's, i.e. the index of the user in the interaction matrix used for fitting the model. item_ids: np.int32 array of shape [n_pairs,] an array containing the item ids for the user-item pairs for which a prediction is to be computed. Note that these are LightFM's internal id's, i.e. the index of the item in the interaction matrix used for fitting the model. user_features: np.float32 csr_matrix of shape [n_users, n_user_features], optional Each row contains that user's weights over features. item_features: np.float32 csr_matrix of shape [n_items, n_item_features], optional Each row contains that item's weights over features. num_threads: int, optional Number of parallel computation threads to use. Should not be higher than the number of physical cores. Returns ------- np.float32 array of shape [n_pairs,] Numpy array containing the recommendation scores for pairs defined by the inputs. """ self._check_initialized() if not isinstance(user_ids, np.ndarray): user_ids = np.repeat(np.int32(user_ids), len(item_ids)) if isinstance(item_ids, (list, tuple)): item_ids = np.array(item_ids, dtype=np.int32) assert len(user_ids) == len(item_ids) if user_ids.dtype != np.int32: user_ids = user_ids.astype(np.int32) if item_ids.dtype != np.int32: item_ids = item_ids.astype(np.int32) if num_threads < 1: raise ValueError("Number of threads must be 1 or larger.") if user_ids.min() < 0 or item_ids.min() < 0: raise ValueError( "User or item ids cannot be negative. " "Check your inputs for negative numbers " "or very large numbers that can overflow." ) n_users = user_ids.max() + 1 n_items = item_ids.max() + 1 (user_features, item_features) = self._construct_feature_matrices( n_users, n_items, user_features, item_features ) lightfm_data = self._get_lightfm_data() predictions = np.empty(len(user_ids), dtype=np.float64) predict_lightfm( CSRMatrix(item_features), CSRMatrix(user_features), user_ids, item_ids, predictions, lightfm_data, num_threads, ) return predictions
python
def predict( self, user_ids, item_ids, item_features=None, user_features=None, num_threads=1 ): """ Compute the recommendation score for user-item pairs. For details on how to use feature matrices, see the documentation on the :class:`lightfm.LightFM` class. Arguments --------- user_ids: integer or np.int32 array of shape [n_pairs,] single user id or an array containing the user ids for the user-item pairs for which a prediction is to be computed. Note that these are LightFM's internal id's, i.e. the index of the user in the interaction matrix used for fitting the model. item_ids: np.int32 array of shape [n_pairs,] an array containing the item ids for the user-item pairs for which a prediction is to be computed. Note that these are LightFM's internal id's, i.e. the index of the item in the interaction matrix used for fitting the model. user_features: np.float32 csr_matrix of shape [n_users, n_user_features], optional Each row contains that user's weights over features. item_features: np.float32 csr_matrix of shape [n_items, n_item_features], optional Each row contains that item's weights over features. num_threads: int, optional Number of parallel computation threads to use. Should not be higher than the number of physical cores. Returns ------- np.float32 array of shape [n_pairs,] Numpy array containing the recommendation scores for pairs defined by the inputs. """ self._check_initialized() if not isinstance(user_ids, np.ndarray): user_ids = np.repeat(np.int32(user_ids), len(item_ids)) if isinstance(item_ids, (list, tuple)): item_ids = np.array(item_ids, dtype=np.int32) assert len(user_ids) == len(item_ids) if user_ids.dtype != np.int32: user_ids = user_ids.astype(np.int32) if item_ids.dtype != np.int32: item_ids = item_ids.astype(np.int32) if num_threads < 1: raise ValueError("Number of threads must be 1 or larger.") if user_ids.min() < 0 or item_ids.min() < 0: raise ValueError( "User or item ids cannot be negative. " "Check your inputs for negative numbers " "or very large numbers that can overflow." ) n_users = user_ids.max() + 1 n_items = item_ids.max() + 1 (user_features, item_features) = self._construct_feature_matrices( n_users, n_items, user_features, item_features ) lightfm_data = self._get_lightfm_data() predictions = np.empty(len(user_ids), dtype=np.float64) predict_lightfm( CSRMatrix(item_features), CSRMatrix(user_features), user_ids, item_ids, predictions, lightfm_data, num_threads, ) return predictions
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Compute the recommendation score for user-item pairs. For details on how to use feature matrices, see the documentation on the :class:`lightfm.LightFM` class. Arguments --------- user_ids: integer or np.int32 array of shape [n_pairs,] single user id or an array containing the user ids for the user-item pairs for which a prediction is to be computed. Note that these are LightFM's internal id's, i.e. the index of the user in the interaction matrix used for fitting the model. item_ids: np.int32 array of shape [n_pairs,] an array containing the item ids for the user-item pairs for which a prediction is to be computed. Note that these are LightFM's internal id's, i.e. the index of the item in the interaction matrix used for fitting the model. user_features: np.float32 csr_matrix of shape [n_users, n_user_features], optional Each row contains that user's weights over features. item_features: np.float32 csr_matrix of shape [n_items, n_item_features], optional Each row contains that item's weights over features. num_threads: int, optional Number of parallel computation threads to use. Should not be higher than the number of physical cores. Returns ------- np.float32 array of shape [n_pairs,] Numpy array containing the recommendation scores for pairs defined by the inputs.
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87b942f87759b8336f9066a25e4762ae7d95455e
https://github.com/lyst/lightfm/blob/87b942f87759b8336f9066a25e4762ae7d95455e/lightfm/lightfm.py#L744-L828
224,624
lyst/lightfm
lightfm/lightfm.py
LightFM.get_item_representations
def get_item_representations(self, features=None): """ Get the latent representations for items given model and features. Arguments --------- features: np.float32 csr_matrix of shape [n_items, n_item_features], optional Each row contains that item's weights over features. An identity matrix will be used if not supplied. Returns ------- (item_biases, item_embeddings): (np.float32 array of shape n_items, np.float32 array of shape [n_items, num_components] Biases and latent representations for items. """ self._check_initialized() if features is None: return self.item_biases, self.item_embeddings features = sp.csr_matrix(features, dtype=CYTHON_DTYPE) return features * self.item_biases, features * self.item_embeddings
python
def get_item_representations(self, features=None): """ Get the latent representations for items given model and features. Arguments --------- features: np.float32 csr_matrix of shape [n_items, n_item_features], optional Each row contains that item's weights over features. An identity matrix will be used if not supplied. Returns ------- (item_biases, item_embeddings): (np.float32 array of shape n_items, np.float32 array of shape [n_items, num_components] Biases and latent representations for items. """ self._check_initialized() if features is None: return self.item_biases, self.item_embeddings features = sp.csr_matrix(features, dtype=CYTHON_DTYPE) return features * self.item_biases, features * self.item_embeddings
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Get the latent representations for items given model and features. Arguments --------- features: np.float32 csr_matrix of shape [n_items, n_item_features], optional Each row contains that item's weights over features. An identity matrix will be used if not supplied. Returns ------- (item_biases, item_embeddings): (np.float32 array of shape n_items, np.float32 array of shape [n_items, num_components] Biases and latent representations for items.
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87b942f87759b8336f9066a25e4762ae7d95455e
https://github.com/lyst/lightfm/blob/87b942f87759b8336f9066a25e4762ae7d95455e/lightfm/lightfm.py#L947-L974
224,625
lyst/lightfm
lightfm/lightfm.py
LightFM.get_user_representations
def get_user_representations(self, features=None): """ Get the latent representations for users given model and features. Arguments --------- features: np.float32 csr_matrix of shape [n_users, n_user_features], optional Each row contains that user's weights over features. An identity matrix will be used if not supplied. Returns ------- (user_biases, user_embeddings): (np.float32 array of shape n_users np.float32 array of shape [n_users, num_components] Biases and latent representations for users. """ self._check_initialized() if features is None: return self.user_biases, self.user_embeddings features = sp.csr_matrix(features, dtype=CYTHON_DTYPE) return features * self.user_biases, features * self.user_embeddings
python
def get_user_representations(self, features=None): """ Get the latent representations for users given model and features. Arguments --------- features: np.float32 csr_matrix of shape [n_users, n_user_features], optional Each row contains that user's weights over features. An identity matrix will be used if not supplied. Returns ------- (user_biases, user_embeddings): (np.float32 array of shape n_users np.float32 array of shape [n_users, num_components] Biases and latent representations for users. """ self._check_initialized() if features is None: return self.user_biases, self.user_embeddings features = sp.csr_matrix(features, dtype=CYTHON_DTYPE) return features * self.user_biases, features * self.user_embeddings
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Get the latent representations for users given model and features. Arguments --------- features: np.float32 csr_matrix of shape [n_users, n_user_features], optional Each row contains that user's weights over features. An identity matrix will be used if not supplied. Returns ------- (user_biases, user_embeddings): (np.float32 array of shape n_users np.float32 array of shape [n_users, num_components] Biases and latent representations for users.
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87b942f87759b8336f9066a25e4762ae7d95455e
https://github.com/lyst/lightfm/blob/87b942f87759b8336f9066a25e4762ae7d95455e/lightfm/lightfm.py#L976-L1003
224,626
quantopian/empyrical
empyrical/stats.py
_adjust_returns
def _adjust_returns(returns, adjustment_factor): """ Returns the returns series adjusted by adjustment_factor. Optimizes for the case of adjustment_factor being 0 by returning returns itself, not a copy! Parameters ---------- returns : pd.Series or np.ndarray adjustment_factor : pd.Series or np.ndarray or float or int Returns ------- adjusted_returns : array-like """ if isinstance(adjustment_factor, (float, int)) and adjustment_factor == 0: return returns return returns - adjustment_factor
python
def _adjust_returns(returns, adjustment_factor): """ Returns the returns series adjusted by adjustment_factor. Optimizes for the case of adjustment_factor being 0 by returning returns itself, not a copy! Parameters ---------- returns : pd.Series or np.ndarray adjustment_factor : pd.Series or np.ndarray or float or int Returns ------- adjusted_returns : array-like """ if isinstance(adjustment_factor, (float, int)) and adjustment_factor == 0: return returns return returns - adjustment_factor
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Returns the returns series adjusted by adjustment_factor. Optimizes for the case of adjustment_factor being 0 by returning returns itself, not a copy! Parameters ---------- returns : pd.Series or np.ndarray adjustment_factor : pd.Series or np.ndarray or float or int Returns ------- adjusted_returns : array-like
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badbdca75f5b293f28b5e947974894de041d6868
https://github.com/quantopian/empyrical/blob/badbdca75f5b293f28b5e947974894de041d6868/empyrical/stats.py#L127-L143
224,627
quantopian/empyrical
empyrical/stats.py
annualization_factor
def annualization_factor(period, annualization): """ Return annualization factor from period entered or if a custom value is passed in. Parameters ---------- period : str, optional Defines the periodicity of the 'returns' data for purposes of annualizing. Value ignored if `annualization` parameter is specified. Defaults are:: 'monthly':12 'weekly': 52 'daily': 252 annualization : int, optional Used to suppress default values available in `period` to convert returns into annual returns. Value should be the annual frequency of `returns`. Returns ------- annualization_factor : float """ if annualization is None: try: factor = ANNUALIZATION_FACTORS[period] except KeyError: raise ValueError( "Period cannot be '{}'. " "Can be '{}'.".format( period, "', '".join(ANNUALIZATION_FACTORS.keys()) ) ) else: factor = annualization return factor
python
def annualization_factor(period, annualization): """ Return annualization factor from period entered or if a custom value is passed in. Parameters ---------- period : str, optional Defines the periodicity of the 'returns' data for purposes of annualizing. Value ignored if `annualization` parameter is specified. Defaults are:: 'monthly':12 'weekly': 52 'daily': 252 annualization : int, optional Used to suppress default values available in `period` to convert returns into annual returns. Value should be the annual frequency of `returns`. Returns ------- annualization_factor : float """ if annualization is None: try: factor = ANNUALIZATION_FACTORS[period] except KeyError: raise ValueError( "Period cannot be '{}'. " "Can be '{}'.".format( period, "', '".join(ANNUALIZATION_FACTORS.keys()) ) ) else: factor = annualization return factor
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Return annualization factor from period entered or if a custom value is passed in. Parameters ---------- period : str, optional Defines the periodicity of the 'returns' data for purposes of annualizing. Value ignored if `annualization` parameter is specified. Defaults are:: 'monthly':12 'weekly': 52 'daily': 252 annualization : int, optional Used to suppress default values available in `period` to convert returns into annual returns. Value should be the annual frequency of `returns`. Returns ------- annualization_factor : float
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badbdca75f5b293f28b5e947974894de041d6868
https://github.com/quantopian/empyrical/blob/badbdca75f5b293f28b5e947974894de041d6868/empyrical/stats.py#L146-L183
224,628
quantopian/empyrical
empyrical/stats.py
simple_returns
def simple_returns(prices): """ Compute simple returns from a timeseries of prices. Parameters ---------- prices : pd.Series, pd.DataFrame or np.ndarray Prices of assets in wide-format, with assets as columns, and indexed by datetimes. Returns ------- returns : array-like Returns of assets in wide-format, with assets as columns, and index coerced to be tz-aware. """ if isinstance(prices, (pd.DataFrame, pd.Series)): out = prices.pct_change().iloc[1:] else: # Assume np.ndarray out = np.diff(prices, axis=0) np.divide(out, prices[:-1], out=out) return out
python
def simple_returns(prices): """ Compute simple returns from a timeseries of prices. Parameters ---------- prices : pd.Series, pd.DataFrame or np.ndarray Prices of assets in wide-format, with assets as columns, and indexed by datetimes. Returns ------- returns : array-like Returns of assets in wide-format, with assets as columns, and index coerced to be tz-aware. """ if isinstance(prices, (pd.DataFrame, pd.Series)): out = prices.pct_change().iloc[1:] else: # Assume np.ndarray out = np.diff(prices, axis=0) np.divide(out, prices[:-1], out=out) return out
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Compute simple returns from a timeseries of prices. Parameters ---------- prices : pd.Series, pd.DataFrame or np.ndarray Prices of assets in wide-format, with assets as columns, and indexed by datetimes. Returns ------- returns : array-like Returns of assets in wide-format, with assets as columns, and index coerced to be tz-aware.
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badbdca75f5b293f28b5e947974894de041d6868
https://github.com/quantopian/empyrical/blob/badbdca75f5b293f28b5e947974894de041d6868/empyrical/stats.py#L186-L209
224,629
quantopian/empyrical
empyrical/stats.py
cum_returns
def cum_returns(returns, starting_value=0, out=None): """ Compute cumulative returns from simple returns. Parameters ---------- returns : pd.Series, np.ndarray, or pd.DataFrame Returns of the strategy as a percentage, noncumulative. - Time series with decimal returns. - Example:: 2015-07-16 -0.012143 2015-07-17 0.045350 2015-07-20 0.030957 2015-07-21 0.004902 - Also accepts two dimensional data. In this case, each column is cumulated. starting_value : float, optional The starting returns. out : array-like, optional Array to use as output buffer. If not passed, a new array will be created. Returns ------- cumulative_returns : array-like Series of cumulative returns. """ if len(returns) < 1: return returns.copy() nanmask = np.isnan(returns) if np.any(nanmask): returns = returns.copy() returns[nanmask] = 0 allocated_output = out is None if allocated_output: out = np.empty_like(returns) np.add(returns, 1, out=out) out.cumprod(axis=0, out=out) if starting_value == 0: np.subtract(out, 1, out=out) else: np.multiply(out, starting_value, out=out) if allocated_output: if returns.ndim == 1 and isinstance(returns, pd.Series): out = pd.Series(out, index=returns.index) elif isinstance(returns, pd.DataFrame): out = pd.DataFrame( out, index=returns.index, columns=returns.columns, ) return out
python
def cum_returns(returns, starting_value=0, out=None): """ Compute cumulative returns from simple returns. Parameters ---------- returns : pd.Series, np.ndarray, or pd.DataFrame Returns of the strategy as a percentage, noncumulative. - Time series with decimal returns. - Example:: 2015-07-16 -0.012143 2015-07-17 0.045350 2015-07-20 0.030957 2015-07-21 0.004902 - Also accepts two dimensional data. In this case, each column is cumulated. starting_value : float, optional The starting returns. out : array-like, optional Array to use as output buffer. If not passed, a new array will be created. Returns ------- cumulative_returns : array-like Series of cumulative returns. """ if len(returns) < 1: return returns.copy() nanmask = np.isnan(returns) if np.any(nanmask): returns = returns.copy() returns[nanmask] = 0 allocated_output = out is None if allocated_output: out = np.empty_like(returns) np.add(returns, 1, out=out) out.cumprod(axis=0, out=out) if starting_value == 0: np.subtract(out, 1, out=out) else: np.multiply(out, starting_value, out=out) if allocated_output: if returns.ndim == 1 and isinstance(returns, pd.Series): out = pd.Series(out, index=returns.index) elif isinstance(returns, pd.DataFrame): out = pd.DataFrame( out, index=returns.index, columns=returns.columns, ) return out
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Compute cumulative returns from simple returns. Parameters ---------- returns : pd.Series, np.ndarray, or pd.DataFrame Returns of the strategy as a percentage, noncumulative. - Time series with decimal returns. - Example:: 2015-07-16 -0.012143 2015-07-17 0.045350 2015-07-20 0.030957 2015-07-21 0.004902 - Also accepts two dimensional data. In this case, each column is cumulated. starting_value : float, optional The starting returns. out : array-like, optional Array to use as output buffer. If not passed, a new array will be created. Returns ------- cumulative_returns : array-like Series of cumulative returns.
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badbdca75f5b293f28b5e947974894de041d6868
https://github.com/quantopian/empyrical/blob/badbdca75f5b293f28b5e947974894de041d6868/empyrical/stats.py#L212-L270
224,630
quantopian/empyrical
empyrical/stats.py
cum_returns_final
def cum_returns_final(returns, starting_value=0): """ Compute total returns from simple returns. Parameters ---------- returns : pd.DataFrame, pd.Series, or np.ndarray Noncumulative simple returns of one or more timeseries. starting_value : float, optional The starting returns. Returns ------- total_returns : pd.Series, np.ndarray, or float If input is 1-dimensional (a Series or 1D numpy array), the result is a scalar. If input is 2-dimensional (a DataFrame or 2D numpy array), the result is a 1D array containing cumulative returns for each column of input. """ if len(returns) == 0: return np.nan if isinstance(returns, pd.DataFrame): result = (returns + 1).prod() else: result = np.nanprod(returns + 1, axis=0) if starting_value == 0: result -= 1 else: result *= starting_value return result
python
def cum_returns_final(returns, starting_value=0): """ Compute total returns from simple returns. Parameters ---------- returns : pd.DataFrame, pd.Series, or np.ndarray Noncumulative simple returns of one or more timeseries. starting_value : float, optional The starting returns. Returns ------- total_returns : pd.Series, np.ndarray, or float If input is 1-dimensional (a Series or 1D numpy array), the result is a scalar. If input is 2-dimensional (a DataFrame or 2D numpy array), the result is a 1D array containing cumulative returns for each column of input. """ if len(returns) == 0: return np.nan if isinstance(returns, pd.DataFrame): result = (returns + 1).prod() else: result = np.nanprod(returns + 1, axis=0) if starting_value == 0: result -= 1 else: result *= starting_value return result
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Compute total returns from simple returns. Parameters ---------- returns : pd.DataFrame, pd.Series, or np.ndarray Noncumulative simple returns of one or more timeseries. starting_value : float, optional The starting returns. Returns ------- total_returns : pd.Series, np.ndarray, or float If input is 1-dimensional (a Series or 1D numpy array), the result is a scalar. If input is 2-dimensional (a DataFrame or 2D numpy array), the result is a 1D array containing cumulative returns for each column of input.
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badbdca75f5b293f28b5e947974894de041d6868
https://github.com/quantopian/empyrical/blob/badbdca75f5b293f28b5e947974894de041d6868/empyrical/stats.py#L273-L306
224,631
quantopian/empyrical
empyrical/stats.py
aggregate_returns
def aggregate_returns(returns, convert_to): """ Aggregates returns by week, month, or year. Parameters ---------- returns : pd.Series Daily returns of the strategy, noncumulative. - See full explanation in :func:`~empyrical.stats.cum_returns`. convert_to : str Can be 'weekly', 'monthly', or 'yearly'. Returns ------- aggregated_returns : pd.Series """ def cumulate_returns(x): return cum_returns(x).iloc[-1] if convert_to == WEEKLY: grouping = [lambda x: x.year, lambda x: x.isocalendar()[1]] elif convert_to == MONTHLY: grouping = [lambda x: x.year, lambda x: x.month] elif convert_to == YEARLY: grouping = [lambda x: x.year] else: raise ValueError( 'convert_to must be {}, {} or {}'.format(WEEKLY, MONTHLY, YEARLY) ) return returns.groupby(grouping).apply(cumulate_returns)
python
def aggregate_returns(returns, convert_to): """ Aggregates returns by week, month, or year. Parameters ---------- returns : pd.Series Daily returns of the strategy, noncumulative. - See full explanation in :func:`~empyrical.stats.cum_returns`. convert_to : str Can be 'weekly', 'monthly', or 'yearly'. Returns ------- aggregated_returns : pd.Series """ def cumulate_returns(x): return cum_returns(x).iloc[-1] if convert_to == WEEKLY: grouping = [lambda x: x.year, lambda x: x.isocalendar()[1]] elif convert_to == MONTHLY: grouping = [lambda x: x.year, lambda x: x.month] elif convert_to == YEARLY: grouping = [lambda x: x.year] else: raise ValueError( 'convert_to must be {}, {} or {}'.format(WEEKLY, MONTHLY, YEARLY) ) return returns.groupby(grouping).apply(cumulate_returns)
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Aggregates returns by week, month, or year. Parameters ---------- returns : pd.Series Daily returns of the strategy, noncumulative. - See full explanation in :func:`~empyrical.stats.cum_returns`. convert_to : str Can be 'weekly', 'monthly', or 'yearly'. Returns ------- aggregated_returns : pd.Series
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badbdca75f5b293f28b5e947974894de041d6868
https://github.com/quantopian/empyrical/blob/badbdca75f5b293f28b5e947974894de041d6868/empyrical/stats.py#L309-L340
224,632
quantopian/empyrical
empyrical/stats.py
max_drawdown
def max_drawdown(returns, out=None): """ Determines the maximum drawdown of a strategy. Parameters ---------- returns : pd.Series or np.ndarray Daily returns of the strategy, noncumulative. - See full explanation in :func:`~empyrical.stats.cum_returns`. out : array-like, optional Array to use as output buffer. If not passed, a new array will be created. Returns ------- max_drawdown : float Note ----- See https://en.wikipedia.org/wiki/Drawdown_(economics) for more details. """ allocated_output = out is None if allocated_output: out = np.empty(returns.shape[1:]) returns_1d = returns.ndim == 1 if len(returns) < 1: out[()] = np.nan if returns_1d: out = out.item() return out returns_array = np.asanyarray(returns) cumulative = np.empty( (returns.shape[0] + 1,) + returns.shape[1:], dtype='float64', ) cumulative[0] = start = 100 cum_returns(returns_array, starting_value=start, out=cumulative[1:]) max_return = np.fmax.accumulate(cumulative, axis=0) nanmin((cumulative - max_return) / max_return, axis=0, out=out) if returns_1d: out = out.item() elif allocated_output and isinstance(returns, pd.DataFrame): out = pd.Series(out) return out
python
def max_drawdown(returns, out=None): """ Determines the maximum drawdown of a strategy. Parameters ---------- returns : pd.Series or np.ndarray Daily returns of the strategy, noncumulative. - See full explanation in :func:`~empyrical.stats.cum_returns`. out : array-like, optional Array to use as output buffer. If not passed, a new array will be created. Returns ------- max_drawdown : float Note ----- See https://en.wikipedia.org/wiki/Drawdown_(economics) for more details. """ allocated_output = out is None if allocated_output: out = np.empty(returns.shape[1:]) returns_1d = returns.ndim == 1 if len(returns) < 1: out[()] = np.nan if returns_1d: out = out.item() return out returns_array = np.asanyarray(returns) cumulative = np.empty( (returns.shape[0] + 1,) + returns.shape[1:], dtype='float64', ) cumulative[0] = start = 100 cum_returns(returns_array, starting_value=start, out=cumulative[1:]) max_return = np.fmax.accumulate(cumulative, axis=0) nanmin((cumulative - max_return) / max_return, axis=0, out=out) if returns_1d: out = out.item() elif allocated_output and isinstance(returns, pd.DataFrame): out = pd.Series(out) return out
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Determines the maximum drawdown of a strategy. Parameters ---------- returns : pd.Series or np.ndarray Daily returns of the strategy, noncumulative. - See full explanation in :func:`~empyrical.stats.cum_returns`. out : array-like, optional Array to use as output buffer. If not passed, a new array will be created. Returns ------- max_drawdown : float Note ----- See https://en.wikipedia.org/wiki/Drawdown_(economics) for more details.
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badbdca75f5b293f28b5e947974894de041d6868
https://github.com/quantopian/empyrical/blob/badbdca75f5b293f28b5e947974894de041d6868/empyrical/stats.py#L343-L393
224,633
quantopian/empyrical
empyrical/stats.py
annual_return
def annual_return(returns, period=DAILY, annualization=None): """ Determines the mean annual growth rate of returns. This is equivilent to the compound annual growth rate. Parameters ---------- returns : pd.Series or np.ndarray Periodic returns of the strategy, noncumulative. - See full explanation in :func:`~empyrical.stats.cum_returns`. period : str, optional Defines the periodicity of the 'returns' data for purposes of annualizing. Value ignored if `annualization` parameter is specified. Defaults are:: 'monthly':12 'weekly': 52 'daily': 252 annualization : int, optional Used to suppress default values available in `period` to convert returns into annual returns. Value should be the annual frequency of `returns`. Returns ------- annual_return : float Annual Return as CAGR (Compounded Annual Growth Rate). """ if len(returns) < 1: return np.nan ann_factor = annualization_factor(period, annualization) num_years = len(returns) / ann_factor # Pass array to ensure index -1 looks up successfully. ending_value = cum_returns_final(returns, starting_value=1) return ending_value ** (1 / num_years) - 1
python
def annual_return(returns, period=DAILY, annualization=None): """ Determines the mean annual growth rate of returns. This is equivilent to the compound annual growth rate. Parameters ---------- returns : pd.Series or np.ndarray Periodic returns of the strategy, noncumulative. - See full explanation in :func:`~empyrical.stats.cum_returns`. period : str, optional Defines the periodicity of the 'returns' data for purposes of annualizing. Value ignored if `annualization` parameter is specified. Defaults are:: 'monthly':12 'weekly': 52 'daily': 252 annualization : int, optional Used to suppress default values available in `period` to convert returns into annual returns. Value should be the annual frequency of `returns`. Returns ------- annual_return : float Annual Return as CAGR (Compounded Annual Growth Rate). """ if len(returns) < 1: return np.nan ann_factor = annualization_factor(period, annualization) num_years = len(returns) / ann_factor # Pass array to ensure index -1 looks up successfully. ending_value = cum_returns_final(returns, starting_value=1) return ending_value ** (1 / num_years) - 1
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Determines the mean annual growth rate of returns. This is equivilent to the compound annual growth rate. Parameters ---------- returns : pd.Series or np.ndarray Periodic returns of the strategy, noncumulative. - See full explanation in :func:`~empyrical.stats.cum_returns`. period : str, optional Defines the periodicity of the 'returns' data for purposes of annualizing. Value ignored if `annualization` parameter is specified. Defaults are:: 'monthly':12 'weekly': 52 'daily': 252 annualization : int, optional Used to suppress default values available in `period` to convert returns into annual returns. Value should be the annual frequency of `returns`. Returns ------- annual_return : float Annual Return as CAGR (Compounded Annual Growth Rate).
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badbdca75f5b293f28b5e947974894de041d6868
https://github.com/quantopian/empyrical/blob/badbdca75f5b293f28b5e947974894de041d6868/empyrical/stats.py#L399-L438
224,634
quantopian/empyrical
empyrical/stats.py
annual_volatility
def annual_volatility(returns, period=DAILY, alpha=2.0, annualization=None, out=None): """ Determines the annual volatility of a strategy. Parameters ---------- returns : pd.Series or np.ndarray Periodic returns of the strategy, noncumulative. - See full explanation in :func:`~empyrical.stats.cum_returns`. period : str, optional Defines the periodicity of the 'returns' data for purposes of annualizing. Value ignored if `annualization` parameter is specified. Defaults are:: 'monthly':12 'weekly': 52 'daily': 252 alpha : float, optional Scaling relation (Levy stability exponent). annualization : int, optional Used to suppress default values available in `period` to convert returns into annual returns. Value should be the annual frequency of `returns`. out : array-like, optional Array to use as output buffer. If not passed, a new array will be created. Returns ------- annual_volatility : float """ allocated_output = out is None if allocated_output: out = np.empty(returns.shape[1:]) returns_1d = returns.ndim == 1 if len(returns) < 2: out[()] = np.nan if returns_1d: out = out.item() return out ann_factor = annualization_factor(period, annualization) nanstd(returns, ddof=1, axis=0, out=out) out = np.multiply(out, ann_factor ** (1.0 / alpha), out=out) if returns_1d: out = out.item() return out
python
def annual_volatility(returns, period=DAILY, alpha=2.0, annualization=None, out=None): """ Determines the annual volatility of a strategy. Parameters ---------- returns : pd.Series or np.ndarray Periodic returns of the strategy, noncumulative. - See full explanation in :func:`~empyrical.stats.cum_returns`. period : str, optional Defines the periodicity of the 'returns' data for purposes of annualizing. Value ignored if `annualization` parameter is specified. Defaults are:: 'monthly':12 'weekly': 52 'daily': 252 alpha : float, optional Scaling relation (Levy stability exponent). annualization : int, optional Used to suppress default values available in `period` to convert returns into annual returns. Value should be the annual frequency of `returns`. out : array-like, optional Array to use as output buffer. If not passed, a new array will be created. Returns ------- annual_volatility : float """ allocated_output = out is None if allocated_output: out = np.empty(returns.shape[1:]) returns_1d = returns.ndim == 1 if len(returns) < 2: out[()] = np.nan if returns_1d: out = out.item() return out ann_factor = annualization_factor(period, annualization) nanstd(returns, ddof=1, axis=0, out=out) out = np.multiply(out, ann_factor ** (1.0 / alpha), out=out) if returns_1d: out = out.item() return out
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Determines the annual volatility of a strategy. Parameters ---------- returns : pd.Series or np.ndarray Periodic returns of the strategy, noncumulative. - See full explanation in :func:`~empyrical.stats.cum_returns`. period : str, optional Defines the periodicity of the 'returns' data for purposes of annualizing. Value ignored if `annualization` parameter is specified. Defaults are:: 'monthly':12 'weekly': 52 'daily': 252 alpha : float, optional Scaling relation (Levy stability exponent). annualization : int, optional Used to suppress default values available in `period` to convert returns into annual returns. Value should be the annual frequency of `returns`. out : array-like, optional Array to use as output buffer. If not passed, a new array will be created. Returns ------- annual_volatility : float
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badbdca75f5b293f28b5e947974894de041d6868
https://github.com/quantopian/empyrical/blob/badbdca75f5b293f28b5e947974894de041d6868/empyrical/stats.py#L478-L531
224,635
quantopian/empyrical
empyrical/stats.py
calmar_ratio
def calmar_ratio(returns, period=DAILY, annualization=None): """ Determines the Calmar ratio, or drawdown ratio, of a strategy. Parameters ---------- returns : pd.Series or np.ndarray Daily returns of the strategy, noncumulative. - See full explanation in :func:`~empyrical.stats.cum_returns`. period : str, optional Defines the periodicity of the 'returns' data for purposes of annualizing. Value ignored if `annualization` parameter is specified. Defaults are:: 'monthly':12 'weekly': 52 'daily': 252 annualization : int, optional Used to suppress default values available in `period` to convert returns into annual returns. Value should be the annual frequency of `returns`. Returns ------- calmar_ratio : float Calmar ratio (drawdown ratio) as float. Returns np.nan if there is no calmar ratio. Note ----- See https://en.wikipedia.org/wiki/Calmar_ratio for more details. """ max_dd = max_drawdown(returns=returns) if max_dd < 0: temp = annual_return( returns=returns, period=period, annualization=annualization ) / abs(max_dd) else: return np.nan if np.isinf(temp): return np.nan return temp
python
def calmar_ratio(returns, period=DAILY, annualization=None): """ Determines the Calmar ratio, or drawdown ratio, of a strategy. Parameters ---------- returns : pd.Series or np.ndarray Daily returns of the strategy, noncumulative. - See full explanation in :func:`~empyrical.stats.cum_returns`. period : str, optional Defines the periodicity of the 'returns' data for purposes of annualizing. Value ignored if `annualization` parameter is specified. Defaults are:: 'monthly':12 'weekly': 52 'daily': 252 annualization : int, optional Used to suppress default values available in `period` to convert returns into annual returns. Value should be the annual frequency of `returns`. Returns ------- calmar_ratio : float Calmar ratio (drawdown ratio) as float. Returns np.nan if there is no calmar ratio. Note ----- See https://en.wikipedia.org/wiki/Calmar_ratio for more details. """ max_dd = max_drawdown(returns=returns) if max_dd < 0: temp = annual_return( returns=returns, period=period, annualization=annualization ) / abs(max_dd) else: return np.nan if np.isinf(temp): return np.nan return temp
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Determines the Calmar ratio, or drawdown ratio, of a strategy. Parameters ---------- returns : pd.Series or np.ndarray Daily returns of the strategy, noncumulative. - See full explanation in :func:`~empyrical.stats.cum_returns`. period : str, optional Defines the periodicity of the 'returns' data for purposes of annualizing. Value ignored if `annualization` parameter is specified. Defaults are:: 'monthly':12 'weekly': 52 'daily': 252 annualization : int, optional Used to suppress default values available in `period` to convert returns into annual returns. Value should be the annual frequency of `returns`. Returns ------- calmar_ratio : float Calmar ratio (drawdown ratio) as float. Returns np.nan if there is no calmar ratio. Note ----- See https://en.wikipedia.org/wiki/Calmar_ratio for more details.
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badbdca75f5b293f28b5e947974894de041d6868
https://github.com/quantopian/empyrical/blob/badbdca75f5b293f28b5e947974894de041d6868/empyrical/stats.py#L539-L587
224,636
quantopian/empyrical
empyrical/stats.py
omega_ratio
def omega_ratio(returns, risk_free=0.0, required_return=0.0, annualization=APPROX_BDAYS_PER_YEAR): """Determines the Omega ratio of a strategy. Parameters ---------- returns : pd.Series or np.ndarray Daily returns of the strategy, noncumulative. - See full explanation in :func:`~empyrical.stats.cum_returns`. risk_free : int, float Constant risk-free return throughout the period required_return : float, optional Minimum acceptance return of the investor. Threshold over which to consider positive vs negative returns. It will be converted to a value appropriate for the period of the returns. E.g. An annual minimum acceptable return of 100 will translate to a minimum acceptable return of 0.018. annualization : int, optional Factor used to convert the required_return into a daily value. Enter 1 if no time period conversion is necessary. Returns ------- omega_ratio : float Note ----- See https://en.wikipedia.org/wiki/Omega_ratio for more details. """ if len(returns) < 2: return np.nan if annualization == 1: return_threshold = required_return elif required_return <= -1: return np.nan else: return_threshold = (1 + required_return) ** \ (1. / annualization) - 1 returns_less_thresh = returns - risk_free - return_threshold numer = sum(returns_less_thresh[returns_less_thresh > 0.0]) denom = -1.0 * sum(returns_less_thresh[returns_less_thresh < 0.0]) if denom > 0.0: return numer / denom else: return np.nan
python
def omega_ratio(returns, risk_free=0.0, required_return=0.0, annualization=APPROX_BDAYS_PER_YEAR): """Determines the Omega ratio of a strategy. Parameters ---------- returns : pd.Series or np.ndarray Daily returns of the strategy, noncumulative. - See full explanation in :func:`~empyrical.stats.cum_returns`. risk_free : int, float Constant risk-free return throughout the period required_return : float, optional Minimum acceptance return of the investor. Threshold over which to consider positive vs negative returns. It will be converted to a value appropriate for the period of the returns. E.g. An annual minimum acceptable return of 100 will translate to a minimum acceptable return of 0.018. annualization : int, optional Factor used to convert the required_return into a daily value. Enter 1 if no time period conversion is necessary. Returns ------- omega_ratio : float Note ----- See https://en.wikipedia.org/wiki/Omega_ratio for more details. """ if len(returns) < 2: return np.nan if annualization == 1: return_threshold = required_return elif required_return <= -1: return np.nan else: return_threshold = (1 + required_return) ** \ (1. / annualization) - 1 returns_less_thresh = returns - risk_free - return_threshold numer = sum(returns_less_thresh[returns_less_thresh > 0.0]) denom = -1.0 * sum(returns_less_thresh[returns_less_thresh < 0.0]) if denom > 0.0: return numer / denom else: return np.nan
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Determines the Omega ratio of a strategy. Parameters ---------- returns : pd.Series or np.ndarray Daily returns of the strategy, noncumulative. - See full explanation in :func:`~empyrical.stats.cum_returns`. risk_free : int, float Constant risk-free return throughout the period required_return : float, optional Minimum acceptance return of the investor. Threshold over which to consider positive vs negative returns. It will be converted to a value appropriate for the period of the returns. E.g. An annual minimum acceptable return of 100 will translate to a minimum acceptable return of 0.018. annualization : int, optional Factor used to convert the required_return into a daily value. Enter 1 if no time period conversion is necessary. Returns ------- omega_ratio : float Note ----- See https://en.wikipedia.org/wiki/Omega_ratio for more details.
[ "Determines", "the", "Omega", "ratio", "of", "a", "strategy", "." ]
badbdca75f5b293f28b5e947974894de041d6868
https://github.com/quantopian/empyrical/blob/badbdca75f5b293f28b5e947974894de041d6868/empyrical/stats.py#L590-L640
224,637
quantopian/empyrical
empyrical/stats.py
sharpe_ratio
def sharpe_ratio(returns, risk_free=0, period=DAILY, annualization=None, out=None): """ Determines the Sharpe ratio of a strategy. Parameters ---------- returns : pd.Series or np.ndarray Daily returns of the strategy, noncumulative. - See full explanation in :func:`~empyrical.stats.cum_returns`. risk_free : int, float Constant risk-free return throughout the period. period : str, optional Defines the periodicity of the 'returns' data for purposes of annualizing. Value ignored if `annualization` parameter is specified. Defaults are:: 'monthly':12 'weekly': 52 'daily': 252 annualization : int, optional Used to suppress default values available in `period` to convert returns into annual returns. Value should be the annual frequency of `returns`. out : array-like, optional Array to use as output buffer. If not passed, a new array will be created. Returns ------- sharpe_ratio : float nan if insufficient length of returns or if if adjusted returns are 0. Note ----- See https://en.wikipedia.org/wiki/Sharpe_ratio for more details. """ allocated_output = out is None if allocated_output: out = np.empty(returns.shape[1:]) return_1d = returns.ndim == 1 if len(returns) < 2: out[()] = np.nan if return_1d: out = out.item() return out returns_risk_adj = np.asanyarray(_adjust_returns(returns, risk_free)) ann_factor = annualization_factor(period, annualization) np.multiply( np.divide( nanmean(returns_risk_adj, axis=0), nanstd(returns_risk_adj, ddof=1, axis=0), out=out, ), np.sqrt(ann_factor), out=out, ) if return_1d: out = out.item() return out
python
def sharpe_ratio(returns, risk_free=0, period=DAILY, annualization=None, out=None): """ Determines the Sharpe ratio of a strategy. Parameters ---------- returns : pd.Series or np.ndarray Daily returns of the strategy, noncumulative. - See full explanation in :func:`~empyrical.stats.cum_returns`. risk_free : int, float Constant risk-free return throughout the period. period : str, optional Defines the periodicity of the 'returns' data for purposes of annualizing. Value ignored if `annualization` parameter is specified. Defaults are:: 'monthly':12 'weekly': 52 'daily': 252 annualization : int, optional Used to suppress default values available in `period` to convert returns into annual returns. Value should be the annual frequency of `returns`. out : array-like, optional Array to use as output buffer. If not passed, a new array will be created. Returns ------- sharpe_ratio : float nan if insufficient length of returns or if if adjusted returns are 0. Note ----- See https://en.wikipedia.org/wiki/Sharpe_ratio for more details. """ allocated_output = out is None if allocated_output: out = np.empty(returns.shape[1:]) return_1d = returns.ndim == 1 if len(returns) < 2: out[()] = np.nan if return_1d: out = out.item() return out returns_risk_adj = np.asanyarray(_adjust_returns(returns, risk_free)) ann_factor = annualization_factor(period, annualization) np.multiply( np.divide( nanmean(returns_risk_adj, axis=0), nanstd(returns_risk_adj, ddof=1, axis=0), out=out, ), np.sqrt(ann_factor), out=out, ) if return_1d: out = out.item() return out
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Determines the Sharpe ratio of a strategy. Parameters ---------- returns : pd.Series or np.ndarray Daily returns of the strategy, noncumulative. - See full explanation in :func:`~empyrical.stats.cum_returns`. risk_free : int, float Constant risk-free return throughout the period. period : str, optional Defines the periodicity of the 'returns' data for purposes of annualizing. Value ignored if `annualization` parameter is specified. Defaults are:: 'monthly':12 'weekly': 52 'daily': 252 annualization : int, optional Used to suppress default values available in `period` to convert returns into annual returns. Value should be the annual frequency of `returns`. out : array-like, optional Array to use as output buffer. If not passed, a new array will be created. Returns ------- sharpe_ratio : float nan if insufficient length of returns or if if adjusted returns are 0. Note ----- See https://en.wikipedia.org/wiki/Sharpe_ratio for more details.
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badbdca75f5b293f28b5e947974894de041d6868
https://github.com/quantopian/empyrical/blob/badbdca75f5b293f28b5e947974894de041d6868/empyrical/stats.py#L643-L712
224,638
quantopian/empyrical
empyrical/stats.py
sortino_ratio
def sortino_ratio(returns, required_return=0, period=DAILY, annualization=None, out=None, _downside_risk=None): """ Determines the Sortino ratio of a strategy. Parameters ---------- returns : pd.Series or np.ndarray or pd.DataFrame Daily returns of the strategy, noncumulative. - See full explanation in :func:`~empyrical.stats.cum_returns`. required_return: float / series minimum acceptable return period : str, optional Defines the periodicity of the 'returns' data for purposes of annualizing. Value ignored if `annualization` parameter is specified. Defaults are:: 'monthly':12 'weekly': 52 'daily': 252 annualization : int, optional Used to suppress default values available in `period` to convert returns into annual returns. Value should be the annual frequency of `returns`. _downside_risk : float, optional The downside risk of the given inputs, if known. Will be calculated if not provided. out : array-like, optional Array to use as output buffer. If not passed, a new array will be created. Returns ------- sortino_ratio : float or pd.Series depends on input type series ==> float DataFrame ==> pd.Series Note ----- See `<https://www.sunrisecapital.com/wp-content/uploads/2014/06/Futures_ Mag_Sortino_0213.pdf>`__ for more details. """ allocated_output = out is None if allocated_output: out = np.empty(returns.shape[1:]) return_1d = returns.ndim == 1 if len(returns) < 2: out[()] = np.nan if return_1d: out = out.item() return out adj_returns = np.asanyarray(_adjust_returns(returns, required_return)) ann_factor = annualization_factor(period, annualization) average_annual_return = nanmean(adj_returns, axis=0) * ann_factor annualized_downside_risk = ( _downside_risk if _downside_risk is not None else downside_risk(returns, required_return, period, annualization) ) np.divide(average_annual_return, annualized_downside_risk, out=out) if return_1d: out = out.item() elif isinstance(returns, pd.DataFrame): out = pd.Series(out) return out
python
def sortino_ratio(returns, required_return=0, period=DAILY, annualization=None, out=None, _downside_risk=None): """ Determines the Sortino ratio of a strategy. Parameters ---------- returns : pd.Series or np.ndarray or pd.DataFrame Daily returns of the strategy, noncumulative. - See full explanation in :func:`~empyrical.stats.cum_returns`. required_return: float / series minimum acceptable return period : str, optional Defines the periodicity of the 'returns' data for purposes of annualizing. Value ignored if `annualization` parameter is specified. Defaults are:: 'monthly':12 'weekly': 52 'daily': 252 annualization : int, optional Used to suppress default values available in `period` to convert returns into annual returns. Value should be the annual frequency of `returns`. _downside_risk : float, optional The downside risk of the given inputs, if known. Will be calculated if not provided. out : array-like, optional Array to use as output buffer. If not passed, a new array will be created. Returns ------- sortino_ratio : float or pd.Series depends on input type series ==> float DataFrame ==> pd.Series Note ----- See `<https://www.sunrisecapital.com/wp-content/uploads/2014/06/Futures_ Mag_Sortino_0213.pdf>`__ for more details. """ allocated_output = out is None if allocated_output: out = np.empty(returns.shape[1:]) return_1d = returns.ndim == 1 if len(returns) < 2: out[()] = np.nan if return_1d: out = out.item() return out adj_returns = np.asanyarray(_adjust_returns(returns, required_return)) ann_factor = annualization_factor(period, annualization) average_annual_return = nanmean(adj_returns, axis=0) * ann_factor annualized_downside_risk = ( _downside_risk if _downside_risk is not None else downside_risk(returns, required_return, period, annualization) ) np.divide(average_annual_return, annualized_downside_risk, out=out) if return_1d: out = out.item() elif isinstance(returns, pd.DataFrame): out = pd.Series(out) return out
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Determines the Sortino ratio of a strategy. Parameters ---------- returns : pd.Series or np.ndarray or pd.DataFrame Daily returns of the strategy, noncumulative. - See full explanation in :func:`~empyrical.stats.cum_returns`. required_return: float / series minimum acceptable return period : str, optional Defines the periodicity of the 'returns' data for purposes of annualizing. Value ignored if `annualization` parameter is specified. Defaults are:: 'monthly':12 'weekly': 52 'daily': 252 annualization : int, optional Used to suppress default values available in `period` to convert returns into annual returns. Value should be the annual frequency of `returns`. _downside_risk : float, optional The downside risk of the given inputs, if known. Will be calculated if not provided. out : array-like, optional Array to use as output buffer. If not passed, a new array will be created. Returns ------- sortino_ratio : float or pd.Series depends on input type series ==> float DataFrame ==> pd.Series Note ----- See `<https://www.sunrisecapital.com/wp-content/uploads/2014/06/Futures_ Mag_Sortino_0213.pdf>`__ for more details.
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badbdca75f5b293f28b5e947974894de041d6868
https://github.com/quantopian/empyrical/blob/badbdca75f5b293f28b5e947974894de041d6868/empyrical/stats.py#L718-L796
224,639
quantopian/empyrical
empyrical/stats.py
downside_risk
def downside_risk(returns, required_return=0, period=DAILY, annualization=None, out=None): """ Determines the downside deviation below a threshold Parameters ---------- returns : pd.Series or np.ndarray or pd.DataFrame Daily returns of the strategy, noncumulative. - See full explanation in :func:`~empyrical.stats.cum_returns`. required_return: float / series minimum acceptable return period : str, optional Defines the periodicity of the 'returns' data for purposes of annualizing. Value ignored if `annualization` parameter is specified. Defaults are:: 'monthly':12 'weekly': 52 'daily': 252 annualization : int, optional Used to suppress default values available in `period` to convert returns into annual returns. Value should be the annual frequency of `returns`. out : array-like, optional Array to use as output buffer. If not passed, a new array will be created. Returns ------- downside_deviation : float or pd.Series depends on input type series ==> float DataFrame ==> pd.Series Note ----- See `<https://www.sunrisecapital.com/wp-content/uploads/2014/06/Futures_ Mag_Sortino_0213.pdf>`__ for more details, specifically why using the standard deviation of the negative returns is not correct. """ allocated_output = out is None if allocated_output: out = np.empty(returns.shape[1:]) returns_1d = returns.ndim == 1 if len(returns) < 1: out[()] = np.nan if returns_1d: out = out.item() return out ann_factor = annualization_factor(period, annualization) downside_diff = np.clip( _adjust_returns( np.asanyarray(returns), np.asanyarray(required_return), ), np.NINF, 0, ) np.square(downside_diff, out=downside_diff) nanmean(downside_diff, axis=0, out=out) np.sqrt(out, out=out) np.multiply(out, np.sqrt(ann_factor), out=out) if returns_1d: out = out.item() elif isinstance(returns, pd.DataFrame): out = pd.Series(out, index=returns.columns) return out
python
def downside_risk(returns, required_return=0, period=DAILY, annualization=None, out=None): """ Determines the downside deviation below a threshold Parameters ---------- returns : pd.Series or np.ndarray or pd.DataFrame Daily returns of the strategy, noncumulative. - See full explanation in :func:`~empyrical.stats.cum_returns`. required_return: float / series minimum acceptable return period : str, optional Defines the periodicity of the 'returns' data for purposes of annualizing. Value ignored if `annualization` parameter is specified. Defaults are:: 'monthly':12 'weekly': 52 'daily': 252 annualization : int, optional Used to suppress default values available in `period` to convert returns into annual returns. Value should be the annual frequency of `returns`. out : array-like, optional Array to use as output buffer. If not passed, a new array will be created. Returns ------- downside_deviation : float or pd.Series depends on input type series ==> float DataFrame ==> pd.Series Note ----- See `<https://www.sunrisecapital.com/wp-content/uploads/2014/06/Futures_ Mag_Sortino_0213.pdf>`__ for more details, specifically why using the standard deviation of the negative returns is not correct. """ allocated_output = out is None if allocated_output: out = np.empty(returns.shape[1:]) returns_1d = returns.ndim == 1 if len(returns) < 1: out[()] = np.nan if returns_1d: out = out.item() return out ann_factor = annualization_factor(period, annualization) downside_diff = np.clip( _adjust_returns( np.asanyarray(returns), np.asanyarray(required_return), ), np.NINF, 0, ) np.square(downside_diff, out=downside_diff) nanmean(downside_diff, axis=0, out=out) np.sqrt(out, out=out) np.multiply(out, np.sqrt(ann_factor), out=out) if returns_1d: out = out.item() elif isinstance(returns, pd.DataFrame): out = pd.Series(out, index=returns.columns) return out
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Determines the downside deviation below a threshold Parameters ---------- returns : pd.Series or np.ndarray or pd.DataFrame Daily returns of the strategy, noncumulative. - See full explanation in :func:`~empyrical.stats.cum_returns`. required_return: float / series minimum acceptable return period : str, optional Defines the periodicity of the 'returns' data for purposes of annualizing. Value ignored if `annualization` parameter is specified. Defaults are:: 'monthly':12 'weekly': 52 'daily': 252 annualization : int, optional Used to suppress default values available in `period` to convert returns into annual returns. Value should be the annual frequency of `returns`. out : array-like, optional Array to use as output buffer. If not passed, a new array will be created. Returns ------- downside_deviation : float or pd.Series depends on input type series ==> float DataFrame ==> pd.Series Note ----- See `<https://www.sunrisecapital.com/wp-content/uploads/2014/06/Futures_ Mag_Sortino_0213.pdf>`__ for more details, specifically why using the standard deviation of the negative returns is not correct.
[ "Determines", "the", "downside", "deviation", "below", "a", "threshold" ]
badbdca75f5b293f28b5e947974894de041d6868
https://github.com/quantopian/empyrical/blob/badbdca75f5b293f28b5e947974894de041d6868/empyrical/stats.py#L802-L879
224,640
quantopian/empyrical
empyrical/stats.py
excess_sharpe
def excess_sharpe(returns, factor_returns, out=None): """ Determines the Excess Sharpe of a strategy. Parameters ---------- returns : pd.Series or np.ndarray Daily returns of the strategy, noncumulative. - See full explanation in :func:`~empyrical.stats.cum_returns`. factor_returns: float / series Benchmark return to compare returns against. out : array-like, optional Array to use as output buffer. If not passed, a new array will be created. Returns ------- excess_sharpe : float Note ----- The excess Sharpe is a simplified Information Ratio that uses tracking error rather than "active risk" as the denominator. """ allocated_output = out is None if allocated_output: out = np.empty(returns.shape[1:]) returns_1d = returns.ndim == 1 if len(returns) < 2: out[()] = np.nan if returns_1d: out = out.item() return out active_return = _adjust_returns(returns, factor_returns) tracking_error = np.nan_to_num(nanstd(active_return, ddof=1, axis=0)) out = np.divide( nanmean(active_return, axis=0, out=out), tracking_error, out=out, ) if returns_1d: out = out.item() return out
python
def excess_sharpe(returns, factor_returns, out=None): """ Determines the Excess Sharpe of a strategy. Parameters ---------- returns : pd.Series or np.ndarray Daily returns of the strategy, noncumulative. - See full explanation in :func:`~empyrical.stats.cum_returns`. factor_returns: float / series Benchmark return to compare returns against. out : array-like, optional Array to use as output buffer. If not passed, a new array will be created. Returns ------- excess_sharpe : float Note ----- The excess Sharpe is a simplified Information Ratio that uses tracking error rather than "active risk" as the denominator. """ allocated_output = out is None if allocated_output: out = np.empty(returns.shape[1:]) returns_1d = returns.ndim == 1 if len(returns) < 2: out[()] = np.nan if returns_1d: out = out.item() return out active_return = _adjust_returns(returns, factor_returns) tracking_error = np.nan_to_num(nanstd(active_return, ddof=1, axis=0)) out = np.divide( nanmean(active_return, axis=0, out=out), tracking_error, out=out, ) if returns_1d: out = out.item() return out
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Determines the Excess Sharpe of a strategy. Parameters ---------- returns : pd.Series or np.ndarray Daily returns of the strategy, noncumulative. - See full explanation in :func:`~empyrical.stats.cum_returns`. factor_returns: float / series Benchmark return to compare returns against. out : array-like, optional Array to use as output buffer. If not passed, a new array will be created. Returns ------- excess_sharpe : float Note ----- The excess Sharpe is a simplified Information Ratio that uses tracking error rather than "active risk" as the denominator.
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badbdca75f5b293f28b5e947974894de041d6868
https://github.com/quantopian/empyrical/blob/badbdca75f5b293f28b5e947974894de041d6868/empyrical/stats.py#L885-L931
224,641
quantopian/empyrical
empyrical/stats.py
_to_pandas
def _to_pandas(ob): """Convert an array-like to a pandas object. Parameters ---------- ob : array-like The object to convert. Returns ------- pandas_structure : pd.Series or pd.DataFrame The correct structure based on the dimensionality of the data. """ if isinstance(ob, (pd.Series, pd.DataFrame)): return ob if ob.ndim == 1: return pd.Series(ob) elif ob.ndim == 2: return pd.DataFrame(ob) else: raise ValueError( 'cannot convert array of dim > 2 to a pandas structure', )
python
def _to_pandas(ob): """Convert an array-like to a pandas object. Parameters ---------- ob : array-like The object to convert. Returns ------- pandas_structure : pd.Series or pd.DataFrame The correct structure based on the dimensionality of the data. """ if isinstance(ob, (pd.Series, pd.DataFrame)): return ob if ob.ndim == 1: return pd.Series(ob) elif ob.ndim == 2: return pd.DataFrame(ob) else: raise ValueError( 'cannot convert array of dim > 2 to a pandas structure', )
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Convert an array-like to a pandas object. Parameters ---------- ob : array-like The object to convert. Returns ------- pandas_structure : pd.Series or pd.DataFrame The correct structure based on the dimensionality of the data.
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badbdca75f5b293f28b5e947974894de041d6868
https://github.com/quantopian/empyrical/blob/badbdca75f5b293f28b5e947974894de041d6868/empyrical/stats.py#L937-L960
224,642
quantopian/empyrical
empyrical/stats.py
_aligned_series
def _aligned_series(*many_series): """ Return a new list of series containing the data in the input series, but with their indices aligned. NaNs will be filled in for missing values. Parameters ---------- *many_series The series to align. Returns ------- aligned_series : iterable[array-like] A new list of series containing the data in the input series, but with their indices aligned. NaNs will be filled in for missing values. """ head = many_series[0] tail = many_series[1:] n = len(head) if (isinstance(head, np.ndarray) and all(len(s) == n and isinstance(s, np.ndarray) for s in tail)): # optimization: ndarrays of the same length are already aligned return many_series # dataframe has no ``itervalues`` return ( v for _, v in iteritems(pd.concat(map(_to_pandas, many_series), axis=1)) )
python
def _aligned_series(*many_series): """ Return a new list of series containing the data in the input series, but with their indices aligned. NaNs will be filled in for missing values. Parameters ---------- *many_series The series to align. Returns ------- aligned_series : iterable[array-like] A new list of series containing the data in the input series, but with their indices aligned. NaNs will be filled in for missing values. """ head = many_series[0] tail = many_series[1:] n = len(head) if (isinstance(head, np.ndarray) and all(len(s) == n and isinstance(s, np.ndarray) for s in tail)): # optimization: ndarrays of the same length are already aligned return many_series # dataframe has no ``itervalues`` return ( v for _, v in iteritems(pd.concat(map(_to_pandas, many_series), axis=1)) )
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Return a new list of series containing the data in the input series, but with their indices aligned. NaNs will be filled in for missing values. Parameters ---------- *many_series The series to align. Returns ------- aligned_series : iterable[array-like] A new list of series containing the data in the input series, but with their indices aligned. NaNs will be filled in for missing values.
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badbdca75f5b293f28b5e947974894de041d6868
https://github.com/quantopian/empyrical/blob/badbdca75f5b293f28b5e947974894de041d6868/empyrical/stats.py#L963-L992
224,643
quantopian/empyrical
empyrical/stats.py
roll_alpha_beta
def roll_alpha_beta(returns, factor_returns, window=10, **kwargs): """ Computes alpha and beta over a rolling window. Parameters ---------- lhs : array-like The first array to pass to the rolling alpha-beta. rhs : array-like The second array to pass to the rolling alpha-beta. window : int Size of the rolling window in terms of the periodicity of the data. out : array-like, optional Array to use as output buffer. If not passed, a new array will be created. **kwargs Forwarded to :func:`~empyrical.alpha_beta`. """ returns, factor_returns = _aligned_series(returns, factor_returns) return roll_alpha_beta_aligned( returns, factor_returns, window=window, **kwargs )
python
def roll_alpha_beta(returns, factor_returns, window=10, **kwargs): """ Computes alpha and beta over a rolling window. Parameters ---------- lhs : array-like The first array to pass to the rolling alpha-beta. rhs : array-like The second array to pass to the rolling alpha-beta. window : int Size of the rolling window in terms of the periodicity of the data. out : array-like, optional Array to use as output buffer. If not passed, a new array will be created. **kwargs Forwarded to :func:`~empyrical.alpha_beta`. """ returns, factor_returns = _aligned_series(returns, factor_returns) return roll_alpha_beta_aligned( returns, factor_returns, window=window, **kwargs )
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Computes alpha and beta over a rolling window. Parameters ---------- lhs : array-like The first array to pass to the rolling alpha-beta. rhs : array-like The second array to pass to the rolling alpha-beta. window : int Size of the rolling window in terms of the periodicity of the data. out : array-like, optional Array to use as output buffer. If not passed, a new array will be created. **kwargs Forwarded to :func:`~empyrical.alpha_beta`.
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badbdca75f5b293f28b5e947974894de041d6868
https://github.com/quantopian/empyrical/blob/badbdca75f5b293f28b5e947974894de041d6868/empyrical/stats.py#L1049-L1074
224,644
quantopian/empyrical
empyrical/stats.py
stability_of_timeseries
def stability_of_timeseries(returns): """Determines R-squared of a linear fit to the cumulative log returns. Computes an ordinary least squares linear fit, and returns R-squared. Parameters ---------- returns : pd.Series or np.ndarray Daily returns of the strategy, noncumulative. - See full explanation in :func:`~empyrical.stats.cum_returns`. Returns ------- float R-squared. """ if len(returns) < 2: return np.nan returns = np.asanyarray(returns) returns = returns[~np.isnan(returns)] cum_log_returns = np.log1p(returns).cumsum() rhat = stats.linregress(np.arange(len(cum_log_returns)), cum_log_returns)[2] return rhat ** 2
python
def stability_of_timeseries(returns): """Determines R-squared of a linear fit to the cumulative log returns. Computes an ordinary least squares linear fit, and returns R-squared. Parameters ---------- returns : pd.Series or np.ndarray Daily returns of the strategy, noncumulative. - See full explanation in :func:`~empyrical.stats.cum_returns`. Returns ------- float R-squared. """ if len(returns) < 2: return np.nan returns = np.asanyarray(returns) returns = returns[~np.isnan(returns)] cum_log_returns = np.log1p(returns).cumsum() rhat = stats.linregress(np.arange(len(cum_log_returns)), cum_log_returns)[2] return rhat ** 2
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Determines R-squared of a linear fit to the cumulative log returns. Computes an ordinary least squares linear fit, and returns R-squared. Parameters ---------- returns : pd.Series or np.ndarray Daily returns of the strategy, noncumulative. - See full explanation in :func:`~empyrical.stats.cum_returns`. Returns ------- float R-squared.
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badbdca75f5b293f28b5e947974894de041d6868
https://github.com/quantopian/empyrical/blob/badbdca75f5b293f28b5e947974894de041d6868/empyrical/stats.py#L1454-L1481
224,645
quantopian/empyrical
empyrical/stats.py
capture
def capture(returns, factor_returns, period=DAILY): """ Compute capture ratio. Parameters ---------- returns : pd.Series or np.ndarray Returns of the strategy, noncumulative. - See full explanation in :func:`~empyrical.stats.cum_returns`. factor_returns : pd.Series or np.ndarray Noncumulative returns of the factor to which beta is computed. Usually a benchmark such as the market. - This is in the same style as returns. period : str, optional Defines the periodicity of the 'returns' data for purposes of annualizing. Value ignored if `annualization` parameter is specified. Defaults are:: 'monthly':12 'weekly': 52 'daily': 252 Returns ------- capture_ratio : float Note ---- See http://www.investopedia.com/terms/u/up-market-capture-ratio.asp for details. """ return (annual_return(returns, period=period) / annual_return(factor_returns, period=period))
python
def capture(returns, factor_returns, period=DAILY): """ Compute capture ratio. Parameters ---------- returns : pd.Series or np.ndarray Returns of the strategy, noncumulative. - See full explanation in :func:`~empyrical.stats.cum_returns`. factor_returns : pd.Series or np.ndarray Noncumulative returns of the factor to which beta is computed. Usually a benchmark such as the market. - This is in the same style as returns. period : str, optional Defines the periodicity of the 'returns' data for purposes of annualizing. Value ignored if `annualization` parameter is specified. Defaults are:: 'monthly':12 'weekly': 52 'daily': 252 Returns ------- capture_ratio : float Note ---- See http://www.investopedia.com/terms/u/up-market-capture-ratio.asp for details. """ return (annual_return(returns, period=period) / annual_return(factor_returns, period=period))
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Compute capture ratio. Parameters ---------- returns : pd.Series or np.ndarray Returns of the strategy, noncumulative. - See full explanation in :func:`~empyrical.stats.cum_returns`. factor_returns : pd.Series or np.ndarray Noncumulative returns of the factor to which beta is computed. Usually a benchmark such as the market. - This is in the same style as returns. period : str, optional Defines the periodicity of the 'returns' data for purposes of annualizing. Value ignored if `annualization` parameter is specified. Defaults are:: 'monthly':12 'weekly': 52 'daily': 252 Returns ------- capture_ratio : float Note ---- See http://www.investopedia.com/terms/u/up-market-capture-ratio.asp for details.
[ "Compute", "capture", "ratio", "." ]
badbdca75f5b293f28b5e947974894de041d6868
https://github.com/quantopian/empyrical/blob/badbdca75f5b293f28b5e947974894de041d6868/empyrical/stats.py#L1514-L1546
224,646
quantopian/empyrical
empyrical/stats.py
up_capture
def up_capture(returns, factor_returns, **kwargs): """ Compute the capture ratio for periods when the benchmark return is positive Parameters ---------- returns : pd.Series or np.ndarray Returns of the strategy, noncumulative. - See full explanation in :func:`~empyrical.stats.cum_returns`. factor_returns : pd.Series or np.ndarray Noncumulative returns of the factor to which beta is computed. Usually a benchmark such as the market. - This is in the same style as returns. period : str, optional Defines the periodicity of the 'returns' data for purposes of annualizing. Value ignored if `annualization` parameter is specified. Defaults are:: 'monthly':12 'weekly': 52 'daily': 252 Returns ------- up_capture : float Note ---- See http://www.investopedia.com/terms/u/up-market-capture-ratio.asp for more information. """ return up(returns, factor_returns, function=capture, **kwargs)
python
def up_capture(returns, factor_returns, **kwargs): """ Compute the capture ratio for periods when the benchmark return is positive Parameters ---------- returns : pd.Series or np.ndarray Returns of the strategy, noncumulative. - See full explanation in :func:`~empyrical.stats.cum_returns`. factor_returns : pd.Series or np.ndarray Noncumulative returns of the factor to which beta is computed. Usually a benchmark such as the market. - This is in the same style as returns. period : str, optional Defines the periodicity of the 'returns' data for purposes of annualizing. Value ignored if `annualization` parameter is specified. Defaults are:: 'monthly':12 'weekly': 52 'daily': 252 Returns ------- up_capture : float Note ---- See http://www.investopedia.com/terms/u/up-market-capture-ratio.asp for more information. """ return up(returns, factor_returns, function=capture, **kwargs)
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Compute the capture ratio for periods when the benchmark return is positive Parameters ---------- returns : pd.Series or np.ndarray Returns of the strategy, noncumulative. - See full explanation in :func:`~empyrical.stats.cum_returns`. factor_returns : pd.Series or np.ndarray Noncumulative returns of the factor to which beta is computed. Usually a benchmark such as the market. - This is in the same style as returns. period : str, optional Defines the periodicity of the 'returns' data for purposes of annualizing. Value ignored if `annualization` parameter is specified. Defaults are:: 'monthly':12 'weekly': 52 'daily': 252 Returns ------- up_capture : float Note ---- See http://www.investopedia.com/terms/u/up-market-capture-ratio.asp for more information.
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badbdca75f5b293f28b5e947974894de041d6868
https://github.com/quantopian/empyrical/blob/badbdca75f5b293f28b5e947974894de041d6868/empyrical/stats.py#L1549-L1580
224,647
quantopian/empyrical
empyrical/stats.py
down_capture
def down_capture(returns, factor_returns, **kwargs): """ Compute the capture ratio for periods when the benchmark return is negative Parameters ---------- returns : pd.Series or np.ndarray Returns of the strategy, noncumulative. - See full explanation in :func:`~empyrical.stats.cum_returns`. factor_returns : pd.Series or np.ndarray Noncumulative returns of the factor to which beta is computed. Usually a benchmark such as the market. - This is in the same style as returns. period : str, optional Defines the periodicity of the 'returns' data for purposes of annualizing. Value ignored if `annualization` parameter is specified. Defaults are:: 'monthly':12 'weekly': 52 'daily': 252 Returns ------- down_capture : float Note ---- See http://www.investopedia.com/terms/d/down-market-capture-ratio.asp for more information. """ return down(returns, factor_returns, function=capture, **kwargs)
python
def down_capture(returns, factor_returns, **kwargs): """ Compute the capture ratio for periods when the benchmark return is negative Parameters ---------- returns : pd.Series or np.ndarray Returns of the strategy, noncumulative. - See full explanation in :func:`~empyrical.stats.cum_returns`. factor_returns : pd.Series or np.ndarray Noncumulative returns of the factor to which beta is computed. Usually a benchmark such as the market. - This is in the same style as returns. period : str, optional Defines the periodicity of the 'returns' data for purposes of annualizing. Value ignored if `annualization` parameter is specified. Defaults are:: 'monthly':12 'weekly': 52 'daily': 252 Returns ------- down_capture : float Note ---- See http://www.investopedia.com/terms/d/down-market-capture-ratio.asp for more information. """ return down(returns, factor_returns, function=capture, **kwargs)
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Compute the capture ratio for periods when the benchmark return is negative Parameters ---------- returns : pd.Series or np.ndarray Returns of the strategy, noncumulative. - See full explanation in :func:`~empyrical.stats.cum_returns`. factor_returns : pd.Series or np.ndarray Noncumulative returns of the factor to which beta is computed. Usually a benchmark such as the market. - This is in the same style as returns. period : str, optional Defines the periodicity of the 'returns' data for purposes of annualizing. Value ignored if `annualization` parameter is specified. Defaults are:: 'monthly':12 'weekly': 52 'daily': 252 Returns ------- down_capture : float Note ---- See http://www.investopedia.com/terms/d/down-market-capture-ratio.asp for more information.
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badbdca75f5b293f28b5e947974894de041d6868
https://github.com/quantopian/empyrical/blob/badbdca75f5b293f28b5e947974894de041d6868/empyrical/stats.py#L1583-L1614
224,648
quantopian/empyrical
empyrical/stats.py
up_down_capture
def up_down_capture(returns, factor_returns, **kwargs): """ Computes the ratio of up_capture to down_capture. Parameters ---------- returns : pd.Series or np.ndarray Returns of the strategy, noncumulative. - See full explanation in :func:`~empyrical.stats.cum_returns`. factor_returns : pd.Series or np.ndarray Noncumulative returns of the factor to which beta is computed. Usually a benchmark such as the market. - This is in the same style as returns. period : str, optional Defines the periodicity of the 'returns' data for purposes of annualizing. Value ignored if `annualization` parameter is specified. Defaults are:: 'monthly':12 'weekly': 52 'daily': 252 Returns ------- up_down_capture : float the updown capture ratio """ return (up_capture(returns, factor_returns, **kwargs) / down_capture(returns, factor_returns, **kwargs))
python
def up_down_capture(returns, factor_returns, **kwargs): """ Computes the ratio of up_capture to down_capture. Parameters ---------- returns : pd.Series or np.ndarray Returns of the strategy, noncumulative. - See full explanation in :func:`~empyrical.stats.cum_returns`. factor_returns : pd.Series or np.ndarray Noncumulative returns of the factor to which beta is computed. Usually a benchmark such as the market. - This is in the same style as returns. period : str, optional Defines the periodicity of the 'returns' data for purposes of annualizing. Value ignored if `annualization` parameter is specified. Defaults are:: 'monthly':12 'weekly': 52 'daily': 252 Returns ------- up_down_capture : float the updown capture ratio """ return (up_capture(returns, factor_returns, **kwargs) / down_capture(returns, factor_returns, **kwargs))
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Computes the ratio of up_capture to down_capture. Parameters ---------- returns : pd.Series or np.ndarray Returns of the strategy, noncumulative. - See full explanation in :func:`~empyrical.stats.cum_returns`. factor_returns : pd.Series or np.ndarray Noncumulative returns of the factor to which beta is computed. Usually a benchmark such as the market. - This is in the same style as returns. period : str, optional Defines the periodicity of the 'returns' data for purposes of annualizing. Value ignored if `annualization` parameter is specified. Defaults are:: 'monthly':12 'weekly': 52 'daily': 252 Returns ------- up_down_capture : float the updown capture ratio
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badbdca75f5b293f28b5e947974894de041d6868
https://github.com/quantopian/empyrical/blob/badbdca75f5b293f28b5e947974894de041d6868/empyrical/stats.py#L1617-L1645
224,649
quantopian/empyrical
empyrical/stats.py
up_alpha_beta
def up_alpha_beta(returns, factor_returns, **kwargs): """ Computes alpha and beta for periods when the benchmark return is positive. Parameters ---------- see documentation for `alpha_beta`. Returns ------- float Alpha. float Beta. """ return up(returns, factor_returns, function=alpha_beta_aligned, **kwargs)
python
def up_alpha_beta(returns, factor_returns, **kwargs): """ Computes alpha and beta for periods when the benchmark return is positive. Parameters ---------- see documentation for `alpha_beta`. Returns ------- float Alpha. float Beta. """ return up(returns, factor_returns, function=alpha_beta_aligned, **kwargs)
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Computes alpha and beta for periods when the benchmark return is positive. Parameters ---------- see documentation for `alpha_beta`. Returns ------- float Alpha. float Beta.
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badbdca75f5b293f28b5e947974894de041d6868
https://github.com/quantopian/empyrical/blob/badbdca75f5b293f28b5e947974894de041d6868/empyrical/stats.py#L1648-L1663
224,650
quantopian/empyrical
empyrical/stats.py
down_alpha_beta
def down_alpha_beta(returns, factor_returns, **kwargs): """ Computes alpha and beta for periods when the benchmark return is negative. Parameters ---------- see documentation for `alpha_beta`. Returns ------- alpha : float beta : float """ return down(returns, factor_returns, function=alpha_beta_aligned, **kwargs)
python
def down_alpha_beta(returns, factor_returns, **kwargs): """ Computes alpha and beta for periods when the benchmark return is negative. Parameters ---------- see documentation for `alpha_beta`. Returns ------- alpha : float beta : float """ return down(returns, factor_returns, function=alpha_beta_aligned, **kwargs)
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Computes alpha and beta for periods when the benchmark return is negative. Parameters ---------- see documentation for `alpha_beta`. Returns ------- alpha : float beta : float
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badbdca75f5b293f28b5e947974894de041d6868
https://github.com/quantopian/empyrical/blob/badbdca75f5b293f28b5e947974894de041d6868/empyrical/stats.py#L1666-L1679
224,651
quantopian/empyrical
empyrical/utils.py
roll
def roll(*args, **kwargs): """ Calculates a given statistic across a rolling time period. Parameters ---------- returns : pd.Series or np.ndarray Daily returns of the strategy, noncumulative. - See full explanation in :func:`~empyrical.stats.cum_returns`. factor_returns (optional): float / series Benchmark return to compare returns against. function: the function to run for each rolling window. window (keyword): int the number of periods included in each calculation. (other keywords): other keywords that are required to be passed to the function in the 'function' argument may also be passed in. Returns ------- np.ndarray, pd.Series depends on input type ndarray(s) ==> ndarray Series(s) ==> pd.Series A Series or ndarray of the results of the stat across the rolling window. """ func = kwargs.pop('function') window = kwargs.pop('window') if len(args) > 2: raise ValueError("Cannot pass more than 2 return sets") if len(args) == 2: if not isinstance(args[0], type(args[1])): raise ValueError("The two returns arguments are not the same.") if isinstance(args[0], np.ndarray): return _roll_ndarray(func, window, *args, **kwargs) return _roll_pandas(func, window, *args, **kwargs)
python
def roll(*args, **kwargs): """ Calculates a given statistic across a rolling time period. Parameters ---------- returns : pd.Series or np.ndarray Daily returns of the strategy, noncumulative. - See full explanation in :func:`~empyrical.stats.cum_returns`. factor_returns (optional): float / series Benchmark return to compare returns against. function: the function to run for each rolling window. window (keyword): int the number of periods included in each calculation. (other keywords): other keywords that are required to be passed to the function in the 'function' argument may also be passed in. Returns ------- np.ndarray, pd.Series depends on input type ndarray(s) ==> ndarray Series(s) ==> pd.Series A Series or ndarray of the results of the stat across the rolling window. """ func = kwargs.pop('function') window = kwargs.pop('window') if len(args) > 2: raise ValueError("Cannot pass more than 2 return sets") if len(args) == 2: if not isinstance(args[0], type(args[1])): raise ValueError("The two returns arguments are not the same.") if isinstance(args[0], np.ndarray): return _roll_ndarray(func, window, *args, **kwargs) return _roll_pandas(func, window, *args, **kwargs)
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Calculates a given statistic across a rolling time period. Parameters ---------- returns : pd.Series or np.ndarray Daily returns of the strategy, noncumulative. - See full explanation in :func:`~empyrical.stats.cum_returns`. factor_returns (optional): float / series Benchmark return to compare returns against. function: the function to run for each rolling window. window (keyword): int the number of periods included in each calculation. (other keywords): other keywords that are required to be passed to the function in the 'function' argument may also be passed in. Returns ------- np.ndarray, pd.Series depends on input type ndarray(s) ==> ndarray Series(s) ==> pd.Series A Series or ndarray of the results of the stat across the rolling window.
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badbdca75f5b293f28b5e947974894de041d6868
https://github.com/quantopian/empyrical/blob/badbdca75f5b293f28b5e947974894de041d6868/empyrical/utils.py#L78-L118
224,652
quantopian/empyrical
empyrical/utils.py
up
def up(returns, factor_returns, **kwargs): """ Calculates a given statistic filtering only positive factor return periods. Parameters ---------- returns : pd.Series or np.ndarray Daily returns of the strategy, noncumulative. - See full explanation in :func:`~empyrical.stats.cum_returns`. factor_returns (optional): float / series Benchmark return to compare returns against. function: the function to run for each rolling window. (other keywords): other keywords that are required to be passed to the function in the 'function' argument may also be passed in. Returns ------- Same as the return of the function """ func = kwargs.pop('function') returns = returns[factor_returns > 0] factor_returns = factor_returns[factor_returns > 0] return func(returns, factor_returns, **kwargs)
python
def up(returns, factor_returns, **kwargs): """ Calculates a given statistic filtering only positive factor return periods. Parameters ---------- returns : pd.Series or np.ndarray Daily returns of the strategy, noncumulative. - See full explanation in :func:`~empyrical.stats.cum_returns`. factor_returns (optional): float / series Benchmark return to compare returns against. function: the function to run for each rolling window. (other keywords): other keywords that are required to be passed to the function in the 'function' argument may also be passed in. Returns ------- Same as the return of the function """ func = kwargs.pop('function') returns = returns[factor_returns > 0] factor_returns = factor_returns[factor_returns > 0] return func(returns, factor_returns, **kwargs)
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Calculates a given statistic filtering only positive factor return periods. Parameters ---------- returns : pd.Series or np.ndarray Daily returns of the strategy, noncumulative. - See full explanation in :func:`~empyrical.stats.cum_returns`. factor_returns (optional): float / series Benchmark return to compare returns against. function: the function to run for each rolling window. (other keywords): other keywords that are required to be passed to the function in the 'function' argument may also be passed in. Returns ------- Same as the return of the function
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badbdca75f5b293f28b5e947974894de041d6868
https://github.com/quantopian/empyrical/blob/badbdca75f5b293f28b5e947974894de041d6868/empyrical/utils.py#L121-L144
224,653
quantopian/empyrical
empyrical/utils.py
down
def down(returns, factor_returns, **kwargs): """ Calculates a given statistic filtering only negative factor return periods. Parameters ---------- returns : pd.Series or np.ndarray Daily returns of the strategy, noncumulative. - See full explanation in :func:`~empyrical.stats.cum_returns`. factor_returns (optional): float / series Benchmark return to compare returns against. function: the function to run for each rolling window. (other keywords): other keywords that are required to be passed to the function in the 'function' argument may also be passed in. Returns ------- Same as the return of the 'function' """ func = kwargs.pop('function') returns = returns[factor_returns < 0] factor_returns = factor_returns[factor_returns < 0] return func(returns, factor_returns, **kwargs)
python
def down(returns, factor_returns, **kwargs): """ Calculates a given statistic filtering only negative factor return periods. Parameters ---------- returns : pd.Series or np.ndarray Daily returns of the strategy, noncumulative. - See full explanation in :func:`~empyrical.stats.cum_returns`. factor_returns (optional): float / series Benchmark return to compare returns against. function: the function to run for each rolling window. (other keywords): other keywords that are required to be passed to the function in the 'function' argument may also be passed in. Returns ------- Same as the return of the 'function' """ func = kwargs.pop('function') returns = returns[factor_returns < 0] factor_returns = factor_returns[factor_returns < 0] return func(returns, factor_returns, **kwargs)
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Calculates a given statistic filtering only negative factor return periods. Parameters ---------- returns : pd.Series or np.ndarray Daily returns of the strategy, noncumulative. - See full explanation in :func:`~empyrical.stats.cum_returns`. factor_returns (optional): float / series Benchmark return to compare returns against. function: the function to run for each rolling window. (other keywords): other keywords that are required to be passed to the function in the 'function' argument may also be passed in. Returns ------- Same as the return of the 'function'
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badbdca75f5b293f28b5e947974894de041d6868
https://github.com/quantopian/empyrical/blob/badbdca75f5b293f28b5e947974894de041d6868/empyrical/utils.py#L147-L170
224,654
quantopian/empyrical
empyrical/utils.py
get_treasury_yield
def get_treasury_yield(start=None, end=None, period='3MO'): """ Load treasury yields from FRED. Parameters ---------- start : date, optional Earliest date to fetch data for. Defaults to earliest date available. end : date, optional Latest date to fetch data for. Defaults to latest date available. period : {'1MO', '3MO', '6MO', 1', '5', '10'}, optional Which maturity to use. Returns ------- pd.Series Annual treasury yield for every day. """ if start is None: start = '1/1/1970' if end is None: end = _1_bday_ago() treasury = web.DataReader("DGS3{}".format(period), "fred", start, end) treasury = treasury.ffill() return treasury
python
def get_treasury_yield(start=None, end=None, period='3MO'): """ Load treasury yields from FRED. Parameters ---------- start : date, optional Earliest date to fetch data for. Defaults to earliest date available. end : date, optional Latest date to fetch data for. Defaults to latest date available. period : {'1MO', '3MO', '6MO', 1', '5', '10'}, optional Which maturity to use. Returns ------- pd.Series Annual treasury yield for every day. """ if start is None: start = '1/1/1970' if end is None: end = _1_bday_ago() treasury = web.DataReader("DGS3{}".format(period), "fred", start, end) treasury = treasury.ffill() return treasury
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Load treasury yields from FRED. Parameters ---------- start : date, optional Earliest date to fetch data for. Defaults to earliest date available. end : date, optional Latest date to fetch data for. Defaults to latest date available. period : {'1MO', '3MO', '6MO', 1', '5', '10'}, optional Which maturity to use. Returns ------- pd.Series Annual treasury yield for every day.
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badbdca75f5b293f28b5e947974894de041d6868
https://github.com/quantopian/empyrical/blob/badbdca75f5b293f28b5e947974894de041d6868/empyrical/utils.py#L379-L409
224,655
quantopian/empyrical
empyrical/utils.py
default_returns_func
def default_returns_func(symbol, start=None, end=None): """ Gets returns for a symbol. Queries Yahoo Finance. Attempts to cache SPY. Parameters ---------- symbol : str Ticker symbol, e.g. APPL. start : date, optional Earliest date to fetch data for. Defaults to earliest date available. end : date, optional Latest date to fetch data for. Defaults to latest date available. Returns ------- pd.Series Daily returns for the symbol. - See full explanation in tears.create_full_tear_sheet (returns). """ if start is None: start = '1/1/1970' if end is None: end = _1_bday_ago() start = get_utc_timestamp(start) end = get_utc_timestamp(end) if symbol == 'SPY': filepath = data_path('spy.csv') rets = get_returns_cached(filepath, get_symbol_returns_from_yahoo, end, symbol='SPY', start='1/1/1970', end=datetime.now()) rets = rets[start:end] else: rets = get_symbol_returns_from_yahoo(symbol, start=start, end=end) return rets[symbol]
python
def default_returns_func(symbol, start=None, end=None): """ Gets returns for a symbol. Queries Yahoo Finance. Attempts to cache SPY. Parameters ---------- symbol : str Ticker symbol, e.g. APPL. start : date, optional Earliest date to fetch data for. Defaults to earliest date available. end : date, optional Latest date to fetch data for. Defaults to latest date available. Returns ------- pd.Series Daily returns for the symbol. - See full explanation in tears.create_full_tear_sheet (returns). """ if start is None: start = '1/1/1970' if end is None: end = _1_bday_ago() start = get_utc_timestamp(start) end = get_utc_timestamp(end) if symbol == 'SPY': filepath = data_path('spy.csv') rets = get_returns_cached(filepath, get_symbol_returns_from_yahoo, end, symbol='SPY', start='1/1/1970', end=datetime.now()) rets = rets[start:end] else: rets = get_symbol_returns_from_yahoo(symbol, start=start, end=end) return rets[symbol]
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Gets returns for a symbol. Queries Yahoo Finance. Attempts to cache SPY. Parameters ---------- symbol : str Ticker symbol, e.g. APPL. start : date, optional Earliest date to fetch data for. Defaults to earliest date available. end : date, optional Latest date to fetch data for. Defaults to latest date available. Returns ------- pd.Series Daily returns for the symbol. - See full explanation in tears.create_full_tear_sheet (returns).
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badbdca75f5b293f28b5e947974894de041d6868
https://github.com/quantopian/empyrical/blob/badbdca75f5b293f28b5e947974894de041d6868/empyrical/utils.py#L452-L495
224,656
quantopian/empyrical
empyrical/perf_attrib.py
perf_attrib
def perf_attrib(returns, positions, factor_returns, factor_loadings): """ Attributes the performance of a returns stream to a set of risk factors. Performance attribution determines how much each risk factor, e.g., momentum, the technology sector, etc., contributed to total returns, as well as the daily exposure to each of the risk factors. The returns that can be attributed to one of the given risk factors are the `common_returns`, and the returns that _cannot_ be attributed to a risk factor are the `specific_returns`. The `common_returns` and `specific_returns` summed together will always equal the total returns. Parameters ---------- returns : pd.Series Returns for each day in the date range. - Example: 2017-01-01 -0.017098 2017-01-02 0.002683 2017-01-03 -0.008669 positions: pd.Series Daily holdings in percentages, indexed by date. - Examples: dt ticker 2017-01-01 AAPL 0.417582 TLT 0.010989 XOM 0.571429 2017-01-02 AAPL 0.202381 TLT 0.535714 XOM 0.261905 factor_returns : pd.DataFrame Returns by factor, with date as index and factors as columns - Example: momentum reversal 2017-01-01 0.002779 -0.005453 2017-01-02 0.001096 0.010290 factor_loadings : pd.DataFrame Factor loadings for all days in the date range, with date and ticker as index, and factors as columns. - Example: momentum reversal dt ticker 2017-01-01 AAPL -1.592914 0.852830 TLT 0.184864 0.895534 XOM 0.993160 1.149353 2017-01-02 AAPL -0.140009 -0.524952 TLT -1.066978 0.185435 XOM -1.798401 0.761549 Returns ------- tuple of (risk_exposures_portfolio, perf_attribution) risk_exposures_portfolio : pd.DataFrame df indexed by datetime, with factors as columns - Example: momentum reversal dt 2017-01-01 -0.238655 0.077123 2017-01-02 0.821872 1.520515 perf_attribution : pd.DataFrame df with factors, common returns, and specific returns as columns, and datetimes as index - Example: momentum reversal common_returns specific_returns dt 2017-01-01 0.249087 0.935925 1.185012 1.185012 2017-01-02 -0.003194 -0.400786 -0.403980 -0.403980 Note ---- See https://en.wikipedia.org/wiki/Performance_attribution for more details. """ risk_exposures_portfolio = compute_exposures(positions, factor_loadings) perf_attrib_by_factor = risk_exposures_portfolio.multiply(factor_returns) common_returns = perf_attrib_by_factor.sum(axis='columns') specific_returns = returns - common_returns returns_df = pd.DataFrame({'total_returns': returns, 'common_returns': common_returns, 'specific_returns': specific_returns}) return (risk_exposures_portfolio, pd.concat([perf_attrib_by_factor, returns_df], axis='columns'))
python
def perf_attrib(returns, positions, factor_returns, factor_loadings): """ Attributes the performance of a returns stream to a set of risk factors. Performance attribution determines how much each risk factor, e.g., momentum, the technology sector, etc., contributed to total returns, as well as the daily exposure to each of the risk factors. The returns that can be attributed to one of the given risk factors are the `common_returns`, and the returns that _cannot_ be attributed to a risk factor are the `specific_returns`. The `common_returns` and `specific_returns` summed together will always equal the total returns. Parameters ---------- returns : pd.Series Returns for each day in the date range. - Example: 2017-01-01 -0.017098 2017-01-02 0.002683 2017-01-03 -0.008669 positions: pd.Series Daily holdings in percentages, indexed by date. - Examples: dt ticker 2017-01-01 AAPL 0.417582 TLT 0.010989 XOM 0.571429 2017-01-02 AAPL 0.202381 TLT 0.535714 XOM 0.261905 factor_returns : pd.DataFrame Returns by factor, with date as index and factors as columns - Example: momentum reversal 2017-01-01 0.002779 -0.005453 2017-01-02 0.001096 0.010290 factor_loadings : pd.DataFrame Factor loadings for all days in the date range, with date and ticker as index, and factors as columns. - Example: momentum reversal dt ticker 2017-01-01 AAPL -1.592914 0.852830 TLT 0.184864 0.895534 XOM 0.993160 1.149353 2017-01-02 AAPL -0.140009 -0.524952 TLT -1.066978 0.185435 XOM -1.798401 0.761549 Returns ------- tuple of (risk_exposures_portfolio, perf_attribution) risk_exposures_portfolio : pd.DataFrame df indexed by datetime, with factors as columns - Example: momentum reversal dt 2017-01-01 -0.238655 0.077123 2017-01-02 0.821872 1.520515 perf_attribution : pd.DataFrame df with factors, common returns, and specific returns as columns, and datetimes as index - Example: momentum reversal common_returns specific_returns dt 2017-01-01 0.249087 0.935925 1.185012 1.185012 2017-01-02 -0.003194 -0.400786 -0.403980 -0.403980 Note ---- See https://en.wikipedia.org/wiki/Performance_attribution for more details. """ risk_exposures_portfolio = compute_exposures(positions, factor_loadings) perf_attrib_by_factor = risk_exposures_portfolio.multiply(factor_returns) common_returns = perf_attrib_by_factor.sum(axis='columns') specific_returns = returns - common_returns returns_df = pd.DataFrame({'total_returns': returns, 'common_returns': common_returns, 'specific_returns': specific_returns}) return (risk_exposures_portfolio, pd.concat([perf_attrib_by_factor, returns_df], axis='columns'))
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Attributes the performance of a returns stream to a set of risk factors. Performance attribution determines how much each risk factor, e.g., momentum, the technology sector, etc., contributed to total returns, as well as the daily exposure to each of the risk factors. The returns that can be attributed to one of the given risk factors are the `common_returns`, and the returns that _cannot_ be attributed to a risk factor are the `specific_returns`. The `common_returns` and `specific_returns` summed together will always equal the total returns. Parameters ---------- returns : pd.Series Returns for each day in the date range. - Example: 2017-01-01 -0.017098 2017-01-02 0.002683 2017-01-03 -0.008669 positions: pd.Series Daily holdings in percentages, indexed by date. - Examples: dt ticker 2017-01-01 AAPL 0.417582 TLT 0.010989 XOM 0.571429 2017-01-02 AAPL 0.202381 TLT 0.535714 XOM 0.261905 factor_returns : pd.DataFrame Returns by factor, with date as index and factors as columns - Example: momentum reversal 2017-01-01 0.002779 -0.005453 2017-01-02 0.001096 0.010290 factor_loadings : pd.DataFrame Factor loadings for all days in the date range, with date and ticker as index, and factors as columns. - Example: momentum reversal dt ticker 2017-01-01 AAPL -1.592914 0.852830 TLT 0.184864 0.895534 XOM 0.993160 1.149353 2017-01-02 AAPL -0.140009 -0.524952 TLT -1.066978 0.185435 XOM -1.798401 0.761549 Returns ------- tuple of (risk_exposures_portfolio, perf_attribution) risk_exposures_portfolio : pd.DataFrame df indexed by datetime, with factors as columns - Example: momentum reversal dt 2017-01-01 -0.238655 0.077123 2017-01-02 0.821872 1.520515 perf_attribution : pd.DataFrame df with factors, common returns, and specific returns as columns, and datetimes as index - Example: momentum reversal common_returns specific_returns dt 2017-01-01 0.249087 0.935925 1.185012 1.185012 2017-01-02 -0.003194 -0.400786 -0.403980 -0.403980 Note ---- See https://en.wikipedia.org/wiki/Performance_attribution for more details.
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badbdca75f5b293f28b5e947974894de041d6868
https://github.com/quantopian/empyrical/blob/badbdca75f5b293f28b5e947974894de041d6868/empyrical/perf_attrib.py#L4-L97
224,657
quantopian/empyrical
empyrical/perf_attrib.py
compute_exposures
def compute_exposures(positions, factor_loadings): """ Compute daily risk factor exposures. Parameters ---------- positions: pd.Series A series of holdings as percentages indexed by date and ticker. - Examples: dt ticker 2017-01-01 AAPL 0.417582 TLT 0.010989 XOM 0.571429 2017-01-02 AAPL 0.202381 TLT 0.535714 XOM 0.261905 factor_loadings : pd.DataFrame Factor loadings for all days in the date range, with date and ticker as index, and factors as columns. - Example: momentum reversal dt ticker 2017-01-01 AAPL -1.592914 0.852830 TLT 0.184864 0.895534 XOM 0.993160 1.149353 2017-01-02 AAPL -0.140009 -0.524952 TLT -1.066978 0.185435 XOM -1.798401 0.761549 Returns ------- risk_exposures_portfolio : pd.DataFrame df indexed by datetime, with factors as columns - Example: momentum reversal dt 2017-01-01 -0.238655 0.077123 2017-01-02 0.821872 1.520515 """ risk_exposures = factor_loadings.multiply(positions, axis='rows') return risk_exposures.groupby(level='dt').sum()
python
def compute_exposures(positions, factor_loadings): """ Compute daily risk factor exposures. Parameters ---------- positions: pd.Series A series of holdings as percentages indexed by date and ticker. - Examples: dt ticker 2017-01-01 AAPL 0.417582 TLT 0.010989 XOM 0.571429 2017-01-02 AAPL 0.202381 TLT 0.535714 XOM 0.261905 factor_loadings : pd.DataFrame Factor loadings for all days in the date range, with date and ticker as index, and factors as columns. - Example: momentum reversal dt ticker 2017-01-01 AAPL -1.592914 0.852830 TLT 0.184864 0.895534 XOM 0.993160 1.149353 2017-01-02 AAPL -0.140009 -0.524952 TLT -1.066978 0.185435 XOM -1.798401 0.761549 Returns ------- risk_exposures_portfolio : pd.DataFrame df indexed by datetime, with factors as columns - Example: momentum reversal dt 2017-01-01 -0.238655 0.077123 2017-01-02 0.821872 1.520515 """ risk_exposures = factor_loadings.multiply(positions, axis='rows') return risk_exposures.groupby(level='dt').sum()
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Compute daily risk factor exposures. Parameters ---------- positions: pd.Series A series of holdings as percentages indexed by date and ticker. - Examples: dt ticker 2017-01-01 AAPL 0.417582 TLT 0.010989 XOM 0.571429 2017-01-02 AAPL 0.202381 TLT 0.535714 XOM 0.261905 factor_loadings : pd.DataFrame Factor loadings for all days in the date range, with date and ticker as index, and factors as columns. - Example: momentum reversal dt ticker 2017-01-01 AAPL -1.592914 0.852830 TLT 0.184864 0.895534 XOM 0.993160 1.149353 2017-01-02 AAPL -0.140009 -0.524952 TLT -1.066978 0.185435 XOM -1.798401 0.761549 Returns ------- risk_exposures_portfolio : pd.DataFrame df indexed by datetime, with factors as columns - Example: momentum reversal dt 2017-01-01 -0.238655 0.077123 2017-01-02 0.821872 1.520515
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badbdca75f5b293f28b5e947974894de041d6868
https://github.com/quantopian/empyrical/blob/badbdca75f5b293f28b5e947974894de041d6868/empyrical/perf_attrib.py#L100-L141
224,658
pytest-dev/pytest-xdist
xdist/scheduler/loadscope.py
LoadScopeScheduling.has_pending
def has_pending(self): """Return True if there are pending test items. This indicates that collection has finished and nodes are still processing test items, so this can be thought of as "the scheduler is active". """ if self.workqueue: return True for assigned_unit in self.assigned_work.values(): if self._pending_of(assigned_unit) > 0: return True return False
python
def has_pending(self): """Return True if there are pending test items. This indicates that collection has finished and nodes are still processing test items, so this can be thought of as "the scheduler is active". """ if self.workqueue: return True for assigned_unit in self.assigned_work.values(): if self._pending_of(assigned_unit) > 0: return True return False
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Return True if there are pending test items. This indicates that collection has finished and nodes are still processing test items, so this can be thought of as "the scheduler is active".
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9fcf8fa636bc69ee6cac9348a6ec20c87f2bb5e4
https://github.com/pytest-dev/pytest-xdist/blob/9fcf8fa636bc69ee6cac9348a6ec20c87f2bb5e4/xdist/scheduler/loadscope.py#L133-L147
224,659
pytest-dev/pytest-xdist
xdist/scheduler/loadscope.py
LoadScopeScheduling.add_node
def add_node(self, node): """Add a new node to the scheduler. From now on the node will be assigned work units to be executed. Called by the ``DSession.worker_workerready`` hook when it successfully bootstraps a new node. """ assert node not in self.assigned_work self.assigned_work[node] = OrderedDict()
python
def add_node(self, node): """Add a new node to the scheduler. From now on the node will be assigned work units to be executed. Called by the ``DSession.worker_workerready`` hook when it successfully bootstraps a new node. """ assert node not in self.assigned_work self.assigned_work[node] = OrderedDict()
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Add a new node to the scheduler. From now on the node will be assigned work units to be executed. Called by the ``DSession.worker_workerready`` hook when it successfully bootstraps a new node.
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9fcf8fa636bc69ee6cac9348a6ec20c87f2bb5e4
https://github.com/pytest-dev/pytest-xdist/blob/9fcf8fa636bc69ee6cac9348a6ec20c87f2bb5e4/xdist/scheduler/loadscope.py#L149-L158
224,660
pytest-dev/pytest-xdist
xdist/scheduler/loadscope.py
LoadScopeScheduling.remove_node
def remove_node(self, node): """Remove a node from the scheduler. This should be called either when the node crashed or at shutdown time. In the former case any pending items assigned to the node will be re-scheduled. Called by the hooks: - ``DSession.worker_workerfinished``. - ``DSession.worker_errordown``. Return the item being executed while the node crashed or None if the node has no more pending items. """ workload = self.assigned_work.pop(node) if not self._pending_of(workload): return None # The node crashed, identify test that crashed for work_unit in workload.values(): for nodeid, completed in work_unit.items(): if not completed: crashitem = nodeid break else: continue break else: raise RuntimeError( "Unable to identify crashitem on a workload with pending items" ) # Made uncompleted work unit available again self.workqueue.update(workload) for node in self.assigned_work: self._reschedule(node) return crashitem
python
def remove_node(self, node): """Remove a node from the scheduler. This should be called either when the node crashed or at shutdown time. In the former case any pending items assigned to the node will be re-scheduled. Called by the hooks: - ``DSession.worker_workerfinished``. - ``DSession.worker_errordown``. Return the item being executed while the node crashed or None if the node has no more pending items. """ workload = self.assigned_work.pop(node) if not self._pending_of(workload): return None # The node crashed, identify test that crashed for work_unit in workload.values(): for nodeid, completed in work_unit.items(): if not completed: crashitem = nodeid break else: continue break else: raise RuntimeError( "Unable to identify crashitem on a workload with pending items" ) # Made uncompleted work unit available again self.workqueue.update(workload) for node in self.assigned_work: self._reschedule(node) return crashitem
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Remove a node from the scheduler. This should be called either when the node crashed or at shutdown time. In the former case any pending items assigned to the node will be re-scheduled. Called by the hooks: - ``DSession.worker_workerfinished``. - ``DSession.worker_errordown``. Return the item being executed while the node crashed or None if the node has no more pending items.
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9fcf8fa636bc69ee6cac9348a6ec20c87f2bb5e4
https://github.com/pytest-dev/pytest-xdist/blob/9fcf8fa636bc69ee6cac9348a6ec20c87f2bb5e4/xdist/scheduler/loadscope.py#L160-L199
224,661
pytest-dev/pytest-xdist
xdist/scheduler/loadscope.py
LoadScopeScheduling.add_node_collection
def add_node_collection(self, node, collection): """Add the collected test items from a node. The collection is stored in the ``.registered_collections`` dictionary. Called by the hook: - ``DSession.worker_collectionfinish``. """ # Check that add_node() was called on the node before assert node in self.assigned_work # A new node has been added later, perhaps an original one died. if self.collection_is_completed: # Assert that .schedule() should have been called by now assert self.collection # Check that the new collection matches the official collection if collection != self.collection: other_node = next(iter(self.registered_collections.keys())) msg = report_collection_diff( self.collection, collection, other_node.gateway.id, node.gateway.id ) self.log(msg) return self.registered_collections[node] = list(collection)
python
def add_node_collection(self, node, collection): """Add the collected test items from a node. The collection is stored in the ``.registered_collections`` dictionary. Called by the hook: - ``DSession.worker_collectionfinish``. """ # Check that add_node() was called on the node before assert node in self.assigned_work # A new node has been added later, perhaps an original one died. if self.collection_is_completed: # Assert that .schedule() should have been called by now assert self.collection # Check that the new collection matches the official collection if collection != self.collection: other_node = next(iter(self.registered_collections.keys())) msg = report_collection_diff( self.collection, collection, other_node.gateway.id, node.gateway.id ) self.log(msg) return self.registered_collections[node] = list(collection)
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Add the collected test items from a node. The collection is stored in the ``.registered_collections`` dictionary. Called by the hook: - ``DSession.worker_collectionfinish``.
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9fcf8fa636bc69ee6cac9348a6ec20c87f2bb5e4
https://github.com/pytest-dev/pytest-xdist/blob/9fcf8fa636bc69ee6cac9348a6ec20c87f2bb5e4/xdist/scheduler/loadscope.py#L201-L231
224,662
pytest-dev/pytest-xdist
xdist/scheduler/loadscope.py
LoadScopeScheduling._assign_work_unit
def _assign_work_unit(self, node): """Assign a work unit to a node.""" assert self.workqueue # Grab a unit of work scope, work_unit = self.workqueue.popitem(last=False) # Keep track of the assigned work assigned_to_node = self.assigned_work.setdefault(node, default=OrderedDict()) assigned_to_node[scope] = work_unit # Ask the node to execute the workload worker_collection = self.registered_collections[node] nodeids_indexes = [ worker_collection.index(nodeid) for nodeid, completed in work_unit.items() if not completed ] node.send_runtest_some(nodeids_indexes)
python
def _assign_work_unit(self, node): """Assign a work unit to a node.""" assert self.workqueue # Grab a unit of work scope, work_unit = self.workqueue.popitem(last=False) # Keep track of the assigned work assigned_to_node = self.assigned_work.setdefault(node, default=OrderedDict()) assigned_to_node[scope] = work_unit # Ask the node to execute the workload worker_collection = self.registered_collections[node] nodeids_indexes = [ worker_collection.index(nodeid) for nodeid, completed in work_unit.items() if not completed ] node.send_runtest_some(nodeids_indexes)
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Assign a work unit to a node.
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9fcf8fa636bc69ee6cac9348a6ec20c87f2bb5e4
https://github.com/pytest-dev/pytest-xdist/blob/9fcf8fa636bc69ee6cac9348a6ec20c87f2bb5e4/xdist/scheduler/loadscope.py#L246-L265
224,663
pytest-dev/pytest-xdist
xdist/scheduler/loadscope.py
LoadScopeScheduling._pending_of
def _pending_of(self, workload): """Return the number of pending tests in a workload.""" pending = sum(list(scope.values()).count(False) for scope in workload.values()) return pending
python
def _pending_of(self, workload): """Return the number of pending tests in a workload.""" pending = sum(list(scope.values()).count(False) for scope in workload.values()) return pending
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Return the number of pending tests in a workload.
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9fcf8fa636bc69ee6cac9348a6ec20c87f2bb5e4
https://github.com/pytest-dev/pytest-xdist/blob/9fcf8fa636bc69ee6cac9348a6ec20c87f2bb5e4/xdist/scheduler/loadscope.py#L291-L294
224,664
pytest-dev/pytest-xdist
xdist/scheduler/loadscope.py
LoadScopeScheduling._reschedule
def _reschedule(self, node): """Maybe schedule new items on the node. If there are any globally pending work units left then this will check if the given node should be given any more tests. """ # Do not add more work to a node shutting down if node.shutting_down: return # Check that more work is available if not self.workqueue: node.shutdown() return self.log("Number of units waiting for node:", len(self.workqueue)) # Check that the node is almost depleted of work # 2: Heuristic of minimum tests to enqueue more work if self._pending_of(self.assigned_work[node]) > 2: return # Pop one unit of work and assign it self._assign_work_unit(node)
python
def _reschedule(self, node): """Maybe schedule new items on the node. If there are any globally pending work units left then this will check if the given node should be given any more tests. """ # Do not add more work to a node shutting down if node.shutting_down: return # Check that more work is available if not self.workqueue: node.shutdown() return self.log("Number of units waiting for node:", len(self.workqueue)) # Check that the node is almost depleted of work # 2: Heuristic of minimum tests to enqueue more work if self._pending_of(self.assigned_work[node]) > 2: return # Pop one unit of work and assign it self._assign_work_unit(node)
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Maybe schedule new items on the node. If there are any globally pending work units left then this will check if the given node should be given any more tests.
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9fcf8fa636bc69ee6cac9348a6ec20c87f2bb5e4
https://github.com/pytest-dev/pytest-xdist/blob/9fcf8fa636bc69ee6cac9348a6ec20c87f2bb5e4/xdist/scheduler/loadscope.py#L296-L320
224,665
pytest-dev/pytest-xdist
xdist/scheduler/loadscope.py
LoadScopeScheduling.schedule
def schedule(self): """Initiate distribution of the test collection. Initiate scheduling of the items across the nodes. If this gets called again later it behaves the same as calling ``._reschedule()`` on all nodes so that newly added nodes will start to be used. If ``.collection_is_completed`` is True, this is called by the hook: - ``DSession.worker_collectionfinish``. """ assert self.collection_is_completed # Initial distribution already happened, reschedule on all nodes if self.collection is not None: for node in self.nodes: self._reschedule(node) return # Check that all nodes collected the same tests if not self._check_nodes_have_same_collection(): self.log("**Different tests collected, aborting run**") return # Collections are identical, create the final list of items self.collection = list(next(iter(self.registered_collections.values()))) if not self.collection: return # Determine chunks of work (scopes) for nodeid in self.collection: scope = self._split_scope(nodeid) work_unit = self.workqueue.setdefault(scope, default=OrderedDict()) work_unit[nodeid] = False # Avoid having more workers than work extra_nodes = len(self.nodes) - len(self.workqueue) if extra_nodes > 0: self.log("Shuting down {0} nodes".format(extra_nodes)) for _ in range(extra_nodes): unused_node, assigned = self.assigned_work.popitem(last=True) self.log("Shuting down unused node {0}".format(unused_node)) unused_node.shutdown() # Assign initial workload for node in self.nodes: self._assign_work_unit(node) # Ensure nodes start with at least two work units if possible (#277) for node in self.nodes: self._reschedule(node) # Initial distribution sent all tests, start node shutdown if not self.workqueue: for node in self.nodes: node.shutdown()
python
def schedule(self): """Initiate distribution of the test collection. Initiate scheduling of the items across the nodes. If this gets called again later it behaves the same as calling ``._reschedule()`` on all nodes so that newly added nodes will start to be used. If ``.collection_is_completed`` is True, this is called by the hook: - ``DSession.worker_collectionfinish``. """ assert self.collection_is_completed # Initial distribution already happened, reschedule on all nodes if self.collection is not None: for node in self.nodes: self._reschedule(node) return # Check that all nodes collected the same tests if not self._check_nodes_have_same_collection(): self.log("**Different tests collected, aborting run**") return # Collections are identical, create the final list of items self.collection = list(next(iter(self.registered_collections.values()))) if not self.collection: return # Determine chunks of work (scopes) for nodeid in self.collection: scope = self._split_scope(nodeid) work_unit = self.workqueue.setdefault(scope, default=OrderedDict()) work_unit[nodeid] = False # Avoid having more workers than work extra_nodes = len(self.nodes) - len(self.workqueue) if extra_nodes > 0: self.log("Shuting down {0} nodes".format(extra_nodes)) for _ in range(extra_nodes): unused_node, assigned = self.assigned_work.popitem(last=True) self.log("Shuting down unused node {0}".format(unused_node)) unused_node.shutdown() # Assign initial workload for node in self.nodes: self._assign_work_unit(node) # Ensure nodes start with at least two work units if possible (#277) for node in self.nodes: self._reschedule(node) # Initial distribution sent all tests, start node shutdown if not self.workqueue: for node in self.nodes: node.shutdown()
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Initiate distribution of the test collection. Initiate scheduling of the items across the nodes. If this gets called again later it behaves the same as calling ``._reschedule()`` on all nodes so that newly added nodes will start to be used. If ``.collection_is_completed`` is True, this is called by the hook: - ``DSession.worker_collectionfinish``.
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9fcf8fa636bc69ee6cac9348a6ec20c87f2bb5e4
https://github.com/pytest-dev/pytest-xdist/blob/9fcf8fa636bc69ee6cac9348a6ec20c87f2bb5e4/xdist/scheduler/loadscope.py#L322-L380
224,666
pytest-dev/pytest-xdist
xdist/scheduler/each.py
EachScheduling.schedule
def schedule(self): """Schedule the test items on the nodes If the node's pending list is empty it is a new node which needs to run all the tests. If the pending list is already populated (by ``.add_node_collection()``) then it replaces a dead node and we only need to run those tests. """ assert self.collection_is_completed for node, pending in self.node2pending.items(): if node in self._started: continue if not pending: pending[:] = range(len(self.node2collection[node])) node.send_runtest_all() node.shutdown() else: node.send_runtest_some(pending) self._started.append(node)
python
def schedule(self): """Schedule the test items on the nodes If the node's pending list is empty it is a new node which needs to run all the tests. If the pending list is already populated (by ``.add_node_collection()``) then it replaces a dead node and we only need to run those tests. """ assert self.collection_is_completed for node, pending in self.node2pending.items(): if node in self._started: continue if not pending: pending[:] = range(len(self.node2collection[node])) node.send_runtest_all() node.shutdown() else: node.send_runtest_some(pending) self._started.append(node)
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9fcf8fa636bc69ee6cac9348a6ec20c87f2bb5e4
https://github.com/pytest-dev/pytest-xdist/blob/9fcf8fa636bc69ee6cac9348a6ec20c87f2bb5e4/xdist/scheduler/each.py#L114-L132
224,667
pytest-dev/pytest-xdist
xdist/scheduler/load.py
LoadScheduling.has_pending
def has_pending(self): """Return True if there are pending test items This indicates that collection has finished and nodes are still processing test items, so this can be thought of as "the scheduler is active". """ if self.pending: return True for pending in self.node2pending.values(): if pending: return True return False
python
def has_pending(self): """Return True if there are pending test items This indicates that collection has finished and nodes are still processing test items, so this can be thought of as "the scheduler is active". """ if self.pending: return True for pending in self.node2pending.values(): if pending: return True return False
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Return True if there are pending test items This indicates that collection has finished and nodes are still processing test items, so this can be thought of as "the scheduler is active".
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9fcf8fa636bc69ee6cac9348a6ec20c87f2bb5e4
https://github.com/pytest-dev/pytest-xdist/blob/9fcf8fa636bc69ee6cac9348a6ec20c87f2bb5e4/xdist/scheduler/load.py#L96-L108
224,668
pytest-dev/pytest-xdist
xdist/scheduler/load.py
LoadScheduling.check_schedule
def check_schedule(self, node, duration=0): """Maybe schedule new items on the node If there are any globally pending nodes left then this will check if the given node should be given any more tests. The ``duration`` of the last test is optionally used as a heuristic to influence how many tests the node is assigned. """ if node.shutting_down: return if self.pending: # how many nodes do we have? num_nodes = len(self.node2pending) # if our node goes below a heuristic minimum, fill it out to # heuristic maximum items_per_node_min = max(2, len(self.pending) // num_nodes // 4) items_per_node_max = max(2, len(self.pending) // num_nodes // 2) node_pending = self.node2pending[node] if len(node_pending) < items_per_node_min: if duration >= 0.1 and len(node_pending) >= 2: # seems the node is doing long-running tests # and has enough items to continue # so let's rather wait with sending new items return num_send = items_per_node_max - len(node_pending) self._send_tests(node, num_send) else: node.shutdown() self.log("num items waiting for node:", len(self.pending))
python
def check_schedule(self, node, duration=0): """Maybe schedule new items on the node If there are any globally pending nodes left then this will check if the given node should be given any more tests. The ``duration`` of the last test is optionally used as a heuristic to influence how many tests the node is assigned. """ if node.shutting_down: return if self.pending: # how many nodes do we have? num_nodes = len(self.node2pending) # if our node goes below a heuristic minimum, fill it out to # heuristic maximum items_per_node_min = max(2, len(self.pending) // num_nodes // 4) items_per_node_max = max(2, len(self.pending) // num_nodes // 2) node_pending = self.node2pending[node] if len(node_pending) < items_per_node_min: if duration >= 0.1 and len(node_pending) >= 2: # seems the node is doing long-running tests # and has enough items to continue # so let's rather wait with sending new items return num_send = items_per_node_max - len(node_pending) self._send_tests(node, num_send) else: node.shutdown() self.log("num items waiting for node:", len(self.pending))
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Maybe schedule new items on the node If there are any globally pending nodes left then this will check if the given node should be given any more tests. The ``duration`` of the last test is optionally used as a heuristic to influence how many tests the node is assigned.
[ "Maybe", "schedule", "new", "items", "on", "the", "node" ]
9fcf8fa636bc69ee6cac9348a6ec20c87f2bb5e4
https://github.com/pytest-dev/pytest-xdist/blob/9fcf8fa636bc69ee6cac9348a6ec20c87f2bb5e4/xdist/scheduler/load.py#L154-L184
224,669
pytest-dev/pytest-xdist
xdist/scheduler/load.py
LoadScheduling.remove_node
def remove_node(self, node): """Remove a node from the scheduler This should be called either when the node crashed or at shutdown time. In the former case any pending items assigned to the node will be re-scheduled. Called by the ``DSession.worker_workerfinished`` and ``DSession.worker_errordown`` hooks. Return the item which was being executing while the node crashed or None if the node has no more pending items. """ pending = self.node2pending.pop(node) if not pending: return # The node crashed, reassing pending items crashitem = self.collection[pending.pop(0)] self.pending.extend(pending) for node in self.node2pending: self.check_schedule(node) return crashitem
python
def remove_node(self, node): """Remove a node from the scheduler This should be called either when the node crashed or at shutdown time. In the former case any pending items assigned to the node will be re-scheduled. Called by the ``DSession.worker_workerfinished`` and ``DSession.worker_errordown`` hooks. Return the item which was being executing while the node crashed or None if the node has no more pending items. """ pending = self.node2pending.pop(node) if not pending: return # The node crashed, reassing pending items crashitem = self.collection[pending.pop(0)] self.pending.extend(pending) for node in self.node2pending: self.check_schedule(node) return crashitem
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Remove a node from the scheduler This should be called either when the node crashed or at shutdown time. In the former case any pending items assigned to the node will be re-scheduled. Called by the ``DSession.worker_workerfinished`` and ``DSession.worker_errordown`` hooks. Return the item which was being executing while the node crashed or None if the node has no more pending items.
[ "Remove", "a", "node", "from", "the", "scheduler" ]
9fcf8fa636bc69ee6cac9348a6ec20c87f2bb5e4
https://github.com/pytest-dev/pytest-xdist/blob/9fcf8fa636bc69ee6cac9348a6ec20c87f2bb5e4/xdist/scheduler/load.py#L186-L208
224,670
pytest-dev/pytest-xdist
xdist/scheduler/load.py
LoadScheduling.schedule
def schedule(self): """Initiate distribution of the test collection Initiate scheduling of the items across the nodes. If this gets called again later it behaves the same as calling ``.check_schedule()`` on all nodes so that newly added nodes will start to be used. This is called by the ``DSession.worker_collectionfinish`` hook if ``.collection_is_completed`` is True. """ assert self.collection_is_completed # Initial distribution already happened, reschedule on all nodes if self.collection is not None: for node in self.nodes: self.check_schedule(node) return # XXX allow nodes to have different collections if not self._check_nodes_have_same_collection(): self.log("**Different tests collected, aborting run**") return # Collections are identical, create the index of pending items. self.collection = list(self.node2collection.values())[0] self.pending[:] = range(len(self.collection)) if not self.collection: return # Send a batch of tests to run. If we don't have at least two # tests per node, we have to send them all so that we can send # shutdown signals and get all nodes working. initial_batch = max(len(self.pending) // 4, 2 * len(self.nodes)) # distribute tests round-robin up to the batch size # (or until we run out) nodes = cycle(self.nodes) for i in range(initial_batch): self._send_tests(next(nodes), 1) if not self.pending: # initial distribution sent all tests, start node shutdown for node in self.nodes: node.shutdown()
python
def schedule(self): """Initiate distribution of the test collection Initiate scheduling of the items across the nodes. If this gets called again later it behaves the same as calling ``.check_schedule()`` on all nodes so that newly added nodes will start to be used. This is called by the ``DSession.worker_collectionfinish`` hook if ``.collection_is_completed`` is True. """ assert self.collection_is_completed # Initial distribution already happened, reschedule on all nodes if self.collection is not None: for node in self.nodes: self.check_schedule(node) return # XXX allow nodes to have different collections if not self._check_nodes_have_same_collection(): self.log("**Different tests collected, aborting run**") return # Collections are identical, create the index of pending items. self.collection = list(self.node2collection.values())[0] self.pending[:] = range(len(self.collection)) if not self.collection: return # Send a batch of tests to run. If we don't have at least two # tests per node, we have to send them all so that we can send # shutdown signals and get all nodes working. initial_batch = max(len(self.pending) // 4, 2 * len(self.nodes)) # distribute tests round-robin up to the batch size # (or until we run out) nodes = cycle(self.nodes) for i in range(initial_batch): self._send_tests(next(nodes), 1) if not self.pending: # initial distribution sent all tests, start node shutdown for node in self.nodes: node.shutdown()
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Initiate distribution of the test collection Initiate scheduling of the items across the nodes. If this gets called again later it behaves the same as calling ``.check_schedule()`` on all nodes so that newly added nodes will start to be used. This is called by the ``DSession.worker_collectionfinish`` hook if ``.collection_is_completed`` is True.
[ "Initiate", "distribution", "of", "the", "test", "collection" ]
9fcf8fa636bc69ee6cac9348a6ec20c87f2bb5e4
https://github.com/pytest-dev/pytest-xdist/blob/9fcf8fa636bc69ee6cac9348a6ec20c87f2bb5e4/xdist/scheduler/load.py#L210-L254
224,671
pytest-dev/pytest-xdist
xdist/scheduler/load.py
LoadScheduling._check_nodes_have_same_collection
def _check_nodes_have_same_collection(self): """Return True if all nodes have collected the same items. If collections differ, this method returns False while logging the collection differences and posting collection errors to pytest_collectreport hook. """ node_collection_items = list(self.node2collection.items()) first_node, col = node_collection_items[0] same_collection = True for node, collection in node_collection_items[1:]: msg = report_collection_diff( col, collection, first_node.gateway.id, node.gateway.id ) if msg: same_collection = False self.log(msg) if self.config is not None: rep = CollectReport( node.gateway.id, "failed", longrepr=msg, result=[] ) self.config.hook.pytest_collectreport(report=rep) return same_collection
python
def _check_nodes_have_same_collection(self): """Return True if all nodes have collected the same items. If collections differ, this method returns False while logging the collection differences and posting collection errors to pytest_collectreport hook. """ node_collection_items = list(self.node2collection.items()) first_node, col = node_collection_items[0] same_collection = True for node, collection in node_collection_items[1:]: msg = report_collection_diff( col, collection, first_node.gateway.id, node.gateway.id ) if msg: same_collection = False self.log(msg) if self.config is not None: rep = CollectReport( node.gateway.id, "failed", longrepr=msg, result=[] ) self.config.hook.pytest_collectreport(report=rep) return same_collection
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Return True if all nodes have collected the same items. If collections differ, this method returns False while logging the collection differences and posting collection errors to pytest_collectreport hook.
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9fcf8fa636bc69ee6cac9348a6ec20c87f2bb5e4
https://github.com/pytest-dev/pytest-xdist/blob/9fcf8fa636bc69ee6cac9348a6ec20c87f2bb5e4/xdist/scheduler/load.py#L263-L286
224,672
pytest-dev/pytest-xdist
xdist/dsession.py
DSession.loop_once
def loop_once(self): """Process one callback from one of the workers.""" while 1: if not self._active_nodes: # If everything has died stop looping self.triggershutdown() raise RuntimeError("Unexpectedly no active workers available") try: eventcall = self.queue.get(timeout=2.0) break except Empty: continue callname, kwargs = eventcall assert callname, kwargs method = "worker_" + callname call = getattr(self, method) self.log("calling method", method, kwargs) call(**kwargs) if self.sched.tests_finished: self.triggershutdown()
python
def loop_once(self): """Process one callback from one of the workers.""" while 1: if not self._active_nodes: # If everything has died stop looping self.triggershutdown() raise RuntimeError("Unexpectedly no active workers available") try: eventcall = self.queue.get(timeout=2.0) break except Empty: continue callname, kwargs = eventcall assert callname, kwargs method = "worker_" + callname call = getattr(self, method) self.log("calling method", method, kwargs) call(**kwargs) if self.sched.tests_finished: self.triggershutdown()
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Process one callback from one of the workers.
[ "Process", "one", "callback", "from", "one", "of", "the", "workers", "." ]
9fcf8fa636bc69ee6cac9348a6ec20c87f2bb5e4
https://github.com/pytest-dev/pytest-xdist/blob/9fcf8fa636bc69ee6cac9348a6ec20c87f2bb5e4/xdist/dsession.py#L121-L140
224,673
pytest-dev/pytest-xdist
xdist/dsession.py
DSession.worker_workerready
def worker_workerready(self, node, workerinfo): """Emitted when a node first starts up. This adds the node to the scheduler, nodes continue with collection without any further input. """ node.workerinfo = workerinfo node.workerinfo["id"] = node.gateway.id node.workerinfo["spec"] = node.gateway.spec # TODO: (#234 task) needs this for pytest. Remove when refactor in pytest repo node.slaveinfo = node.workerinfo self.config.hook.pytest_testnodeready(node=node) if self.shuttingdown: node.shutdown() else: self.sched.add_node(node)
python
def worker_workerready(self, node, workerinfo): """Emitted when a node first starts up. This adds the node to the scheduler, nodes continue with collection without any further input. """ node.workerinfo = workerinfo node.workerinfo["id"] = node.gateway.id node.workerinfo["spec"] = node.gateway.spec # TODO: (#234 task) needs this for pytest. Remove when refactor in pytest repo node.slaveinfo = node.workerinfo self.config.hook.pytest_testnodeready(node=node) if self.shuttingdown: node.shutdown() else: self.sched.add_node(node)
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Emitted when a node first starts up. This adds the node to the scheduler, nodes continue with collection without any further input.
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9fcf8fa636bc69ee6cac9348a6ec20c87f2bb5e4
https://github.com/pytest-dev/pytest-xdist/blob/9fcf8fa636bc69ee6cac9348a6ec20c87f2bb5e4/xdist/dsession.py#L146-L163
224,674
pytest-dev/pytest-xdist
xdist/dsession.py
DSession.worker_workerfinished
def worker_workerfinished(self, node): """Emitted when node executes its pytest_sessionfinish hook. Removes the node from the scheduler. The node might not be in the scheduler if it had not emitted workerready before shutdown was triggered. """ self.config.hook.pytest_testnodedown(node=node, error=None) if node.workeroutput["exitstatus"] == 2: # keyboard-interrupt self.shouldstop = "%s received keyboard-interrupt" % (node,) self.worker_errordown(node, "keyboard-interrupt") return if node in self.sched.nodes: crashitem = self.sched.remove_node(node) assert not crashitem, (crashitem, node) self._active_nodes.remove(node)
python
def worker_workerfinished(self, node): """Emitted when node executes its pytest_sessionfinish hook. Removes the node from the scheduler. The node might not be in the scheduler if it had not emitted workerready before shutdown was triggered. """ self.config.hook.pytest_testnodedown(node=node, error=None) if node.workeroutput["exitstatus"] == 2: # keyboard-interrupt self.shouldstop = "%s received keyboard-interrupt" % (node,) self.worker_errordown(node, "keyboard-interrupt") return if node in self.sched.nodes: crashitem = self.sched.remove_node(node) assert not crashitem, (crashitem, node) self._active_nodes.remove(node)
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Emitted when node executes its pytest_sessionfinish hook. Removes the node from the scheduler. The node might not be in the scheduler if it had not emitted workerready before shutdown was triggered.
[ "Emitted", "when", "node", "executes", "its", "pytest_sessionfinish", "hook", "." ]
9fcf8fa636bc69ee6cac9348a6ec20c87f2bb5e4
https://github.com/pytest-dev/pytest-xdist/blob/9fcf8fa636bc69ee6cac9348a6ec20c87f2bb5e4/xdist/dsession.py#L165-L181
224,675
pytest-dev/pytest-xdist
xdist/dsession.py
DSession.worker_errordown
def worker_errordown(self, node, error): """Emitted by the WorkerController when a node dies.""" self.config.hook.pytest_testnodedown(node=node, error=error) try: crashitem = self.sched.remove_node(node) except KeyError: pass else: if crashitem: self.handle_crashitem(crashitem, node) self._failed_nodes_count += 1 maximum_reached = ( self._max_worker_restart is not None and self._failed_nodes_count > self._max_worker_restart ) if maximum_reached: if self._max_worker_restart == 0: msg = "Worker restarting disabled" else: msg = "Maximum crashed workers reached: %d" % self._max_worker_restart self.report_line(msg) else: self.report_line("Replacing crashed worker %s" % node.gateway.id) self._clone_node(node) self._active_nodes.remove(node)
python
def worker_errordown(self, node, error): """Emitted by the WorkerController when a node dies.""" self.config.hook.pytest_testnodedown(node=node, error=error) try: crashitem = self.sched.remove_node(node) except KeyError: pass else: if crashitem: self.handle_crashitem(crashitem, node) self._failed_nodes_count += 1 maximum_reached = ( self._max_worker_restart is not None and self._failed_nodes_count > self._max_worker_restart ) if maximum_reached: if self._max_worker_restart == 0: msg = "Worker restarting disabled" else: msg = "Maximum crashed workers reached: %d" % self._max_worker_restart self.report_line(msg) else: self.report_line("Replacing crashed worker %s" % node.gateway.id) self._clone_node(node) self._active_nodes.remove(node)
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Emitted by the WorkerController when a node dies.
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9fcf8fa636bc69ee6cac9348a6ec20c87f2bb5e4
https://github.com/pytest-dev/pytest-xdist/blob/9fcf8fa636bc69ee6cac9348a6ec20c87f2bb5e4/xdist/dsession.py#L183-L208
224,676
pytest-dev/pytest-xdist
xdist/dsession.py
DSession.worker_collectionfinish
def worker_collectionfinish(self, node, ids): """worker has finished test collection. This adds the collection for this node to the scheduler. If the scheduler indicates collection is finished (i.e. all initial nodes have submitted their collections), then tells the scheduler to schedule the collected items. When initiating scheduling the first time it logs which scheduler is in use. """ if self.shuttingdown: return self.config.hook.pytest_xdist_node_collection_finished(node=node, ids=ids) # tell session which items were effectively collected otherwise # the master node will finish the session with EXIT_NOTESTSCOLLECTED self._session.testscollected = len(ids) self.sched.add_node_collection(node, ids) if self.terminal: self.trdist.setstatus(node.gateway.spec, "[%d]" % (len(ids))) if self.sched.collection_is_completed: if self.terminal and not self.sched.has_pending: self.trdist.ensure_show_status() self.terminal.write_line("") if self.config.option.verbose > 0: self.terminal.write_line( "scheduling tests via %s" % (self.sched.__class__.__name__) ) self.sched.schedule()
python
def worker_collectionfinish(self, node, ids): """worker has finished test collection. This adds the collection for this node to the scheduler. If the scheduler indicates collection is finished (i.e. all initial nodes have submitted their collections), then tells the scheduler to schedule the collected items. When initiating scheduling the first time it logs which scheduler is in use. """ if self.shuttingdown: return self.config.hook.pytest_xdist_node_collection_finished(node=node, ids=ids) # tell session which items were effectively collected otherwise # the master node will finish the session with EXIT_NOTESTSCOLLECTED self._session.testscollected = len(ids) self.sched.add_node_collection(node, ids) if self.terminal: self.trdist.setstatus(node.gateway.spec, "[%d]" % (len(ids))) if self.sched.collection_is_completed: if self.terminal and not self.sched.has_pending: self.trdist.ensure_show_status() self.terminal.write_line("") if self.config.option.verbose > 0: self.terminal.write_line( "scheduling tests via %s" % (self.sched.__class__.__name__) ) self.sched.schedule()
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worker has finished test collection. This adds the collection for this node to the scheduler. If the scheduler indicates collection is finished (i.e. all initial nodes have submitted their collections), then tells the scheduler to schedule the collected items. When initiating scheduling the first time it logs which scheduler is in use.
[ "worker", "has", "finished", "test", "collection", "." ]
9fcf8fa636bc69ee6cac9348a6ec20c87f2bb5e4
https://github.com/pytest-dev/pytest-xdist/blob/9fcf8fa636bc69ee6cac9348a6ec20c87f2bb5e4/xdist/dsession.py#L210-L236
224,677
pytest-dev/pytest-xdist
xdist/dsession.py
DSession.worker_logstart
def worker_logstart(self, node, nodeid, location): """Emitted when a node calls the pytest_runtest_logstart hook.""" self.config.hook.pytest_runtest_logstart(nodeid=nodeid, location=location)
python
def worker_logstart(self, node, nodeid, location): """Emitted when a node calls the pytest_runtest_logstart hook.""" self.config.hook.pytest_runtest_logstart(nodeid=nodeid, location=location)
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Emitted when a node calls the pytest_runtest_logstart hook.
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9fcf8fa636bc69ee6cac9348a6ec20c87f2bb5e4
https://github.com/pytest-dev/pytest-xdist/blob/9fcf8fa636bc69ee6cac9348a6ec20c87f2bb5e4/xdist/dsession.py#L238-L240
224,678
pytest-dev/pytest-xdist
xdist/dsession.py
DSession.worker_logfinish
def worker_logfinish(self, node, nodeid, location): """Emitted when a node calls the pytest_runtest_logfinish hook.""" self.config.hook.pytest_runtest_logfinish(nodeid=nodeid, location=location)
python
def worker_logfinish(self, node, nodeid, location): """Emitted when a node calls the pytest_runtest_logfinish hook.""" self.config.hook.pytest_runtest_logfinish(nodeid=nodeid, location=location)
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Emitted when a node calls the pytest_runtest_logfinish hook.
[ "Emitted", "when", "a", "node", "calls", "the", "pytest_runtest_logfinish", "hook", "." ]
9fcf8fa636bc69ee6cac9348a6ec20c87f2bb5e4
https://github.com/pytest-dev/pytest-xdist/blob/9fcf8fa636bc69ee6cac9348a6ec20c87f2bb5e4/xdist/dsession.py#L242-L244
224,679
pytest-dev/pytest-xdist
xdist/dsession.py
DSession.worker_collectreport
def worker_collectreport(self, node, rep): """Emitted when a node calls the pytest_collectreport hook. Because we only need the report when there's a failure/skip, as optimization we only expect to receive failed/skipped reports from workers (#330). """ assert not rep.passed self._failed_worker_collectreport(node, rep)
python
def worker_collectreport(self, node, rep): """Emitted when a node calls the pytest_collectreport hook. Because we only need the report when there's a failure/skip, as optimization we only expect to receive failed/skipped reports from workers (#330). """ assert not rep.passed self._failed_worker_collectreport(node, rep)
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Emitted when a node calls the pytest_collectreport hook. Because we only need the report when there's a failure/skip, as optimization we only expect to receive failed/skipped reports from workers (#330).
[ "Emitted", "when", "a", "node", "calls", "the", "pytest_collectreport", "hook", "." ]
9fcf8fa636bc69ee6cac9348a6ec20c87f2bb5e4
https://github.com/pytest-dev/pytest-xdist/blob/9fcf8fa636bc69ee6cac9348a6ec20c87f2bb5e4/xdist/dsession.py#L260-L267
224,680
pytest-dev/pytest-xdist
xdist/dsession.py
DSession._clone_node
def _clone_node(self, node): """Return new node based on an existing one. This is normally for when a node dies, this will copy the spec of the existing node and create a new one with a new id. The new node will have been setup so it will start calling the "worker_*" hooks and do work soon. """ spec = node.gateway.spec spec.id = None self.nodemanager.group.allocate_id(spec) node = self.nodemanager.setup_node(spec, self.queue.put) self._active_nodes.add(node) return node
python
def _clone_node(self, node): """Return new node based on an existing one. This is normally for when a node dies, this will copy the spec of the existing node and create a new one with a new id. The new node will have been setup so it will start calling the "worker_*" hooks and do work soon. """ spec = node.gateway.spec spec.id = None self.nodemanager.group.allocate_id(spec) node = self.nodemanager.setup_node(spec, self.queue.put) self._active_nodes.add(node) return node
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Return new node based on an existing one. This is normally for when a node dies, this will copy the spec of the existing node and create a new one with a new id. The new node will have been setup so it will start calling the "worker_*" hooks and do work soon.
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9fcf8fa636bc69ee6cac9348a6ec20c87f2bb5e4
https://github.com/pytest-dev/pytest-xdist/blob/9fcf8fa636bc69ee6cac9348a6ec20c87f2bb5e4/xdist/dsession.py#L279-L292
224,681
pytest-dev/pytest-xdist
xdist/workermanage.py
NodeManager.rsync_roots
def rsync_roots(self, gateway): """Rsync the set of roots to the node's gateway cwd.""" if self.roots: for root in self.roots: self.rsync(gateway, root, **self.rsyncoptions)
python
def rsync_roots(self, gateway): """Rsync the set of roots to the node's gateway cwd.""" if self.roots: for root in self.roots: self.rsync(gateway, root, **self.rsyncoptions)
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Rsync the set of roots to the node's gateway cwd.
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9fcf8fa636bc69ee6cac9348a6ec20c87f2bb5e4
https://github.com/pytest-dev/pytest-xdist/blob/9fcf8fa636bc69ee6cac9348a6ec20c87f2bb5e4/xdist/workermanage.py#L53-L57
224,682
pytest-dev/pytest-xdist
xdist/workermanage.py
NodeManager._getrsyncoptions
def _getrsyncoptions(self): """Get options to be passed for rsync.""" ignores = list(self.DEFAULT_IGNORES) ignores += self.config.option.rsyncignore ignores += self.config.getini("rsyncignore") return {"ignores": ignores, "verbose": self.config.option.verbose}
python
def _getrsyncoptions(self): """Get options to be passed for rsync.""" ignores = list(self.DEFAULT_IGNORES) ignores += self.config.option.rsyncignore ignores += self.config.getini("rsyncignore") return {"ignores": ignores, "verbose": self.config.option.verbose}
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Get options to be passed for rsync.
[ "Get", "options", "to", "be", "passed", "for", "rsync", "." ]
9fcf8fa636bc69ee6cac9348a6ec20c87f2bb5e4
https://github.com/pytest-dev/pytest-xdist/blob/9fcf8fa636bc69ee6cac9348a6ec20c87f2bb5e4/xdist/workermanage.py#L109-L115
224,683
pytest-dev/pytest-xdist
xdist/workermanage.py
WorkerController.sendcommand
def sendcommand(self, name, **kwargs): """ send a named parametrized command to the other side. """ self.log("sending command %s(**%s)" % (name, kwargs)) self.channel.send((name, kwargs))
python
def sendcommand(self, name, **kwargs): """ send a named parametrized command to the other side. """ self.log("sending command %s(**%s)" % (name, kwargs)) self.channel.send((name, kwargs))
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send a named parametrized command to the other side.
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9fcf8fa636bc69ee6cac9348a6ec20c87f2bb5e4
https://github.com/pytest-dev/pytest-xdist/blob/9fcf8fa636bc69ee6cac9348a6ec20c87f2bb5e4/xdist/workermanage.py#L284-L287
224,684
pytest-dev/pytest-xdist
xdist/workermanage.py
WorkerController.process_from_remote
def process_from_remote(self, eventcall): # noqa too complex """ this gets called for each object we receive from the other side and if the channel closes. Note that channel callbacks run in the receiver thread of execnet gateways - we need to avoid raising exceptions or doing heavy work. """ try: if eventcall == self.ENDMARK: err = self.channel._getremoteerror() if not self._down: if not err or isinstance(err, EOFError): err = "Not properly terminated" # lost connection? self.notify_inproc("errordown", node=self, error=err) self._down = True return eventname, kwargs = eventcall if eventname in ("collectionstart",): self.log("ignoring %s(%s)" % (eventname, kwargs)) elif eventname == "workerready": self.notify_inproc(eventname, node=self, **kwargs) elif eventname == "workerfinished": self._down = True self.workeroutput = self.slaveoutput = kwargs["workeroutput"] self.notify_inproc("workerfinished", node=self) elif eventname in ("logstart", "logfinish"): self.notify_inproc(eventname, node=self, **kwargs) elif eventname in ("testreport", "collectreport", "teardownreport"): item_index = kwargs.pop("item_index", None) rep = self.config.hook.pytest_report_from_serializable( config=self.config, data=kwargs["data"] ) if item_index is not None: rep.item_index = item_index self.notify_inproc(eventname, node=self, rep=rep) elif eventname == "collectionfinish": self.notify_inproc(eventname, node=self, ids=kwargs["ids"]) elif eventname == "runtest_protocol_complete": self.notify_inproc(eventname, node=self, **kwargs) elif eventname == "logwarning": self.notify_inproc( eventname, message=kwargs["message"], code=kwargs["code"], nodeid=kwargs["nodeid"], fslocation=kwargs["nodeid"], ) elif eventname == "warning_captured": warning_message = unserialize_warning_message( kwargs["warning_message_data"] ) self.notify_inproc( eventname, warning_message=warning_message, when=kwargs["when"], item=kwargs["item"], ) else: raise ValueError("unknown event: %s" % (eventname,)) except KeyboardInterrupt: # should not land in receiver-thread raise except: # noqa from _pytest._code import ExceptionInfo # ExceptionInfo API changed in pytest 4.1 if hasattr(ExceptionInfo, "from_current"): excinfo = ExceptionInfo.from_current() else: excinfo = ExceptionInfo() print("!" * 20, excinfo) self.config.notify_exception(excinfo) self.shutdown() self.notify_inproc("errordown", node=self, error=excinfo)
python
def process_from_remote(self, eventcall): # noqa too complex """ this gets called for each object we receive from the other side and if the channel closes. Note that channel callbacks run in the receiver thread of execnet gateways - we need to avoid raising exceptions or doing heavy work. """ try: if eventcall == self.ENDMARK: err = self.channel._getremoteerror() if not self._down: if not err or isinstance(err, EOFError): err = "Not properly terminated" # lost connection? self.notify_inproc("errordown", node=self, error=err) self._down = True return eventname, kwargs = eventcall if eventname in ("collectionstart",): self.log("ignoring %s(%s)" % (eventname, kwargs)) elif eventname == "workerready": self.notify_inproc(eventname, node=self, **kwargs) elif eventname == "workerfinished": self._down = True self.workeroutput = self.slaveoutput = kwargs["workeroutput"] self.notify_inproc("workerfinished", node=self) elif eventname in ("logstart", "logfinish"): self.notify_inproc(eventname, node=self, **kwargs) elif eventname in ("testreport", "collectreport", "teardownreport"): item_index = kwargs.pop("item_index", None) rep = self.config.hook.pytest_report_from_serializable( config=self.config, data=kwargs["data"] ) if item_index is not None: rep.item_index = item_index self.notify_inproc(eventname, node=self, rep=rep) elif eventname == "collectionfinish": self.notify_inproc(eventname, node=self, ids=kwargs["ids"]) elif eventname == "runtest_protocol_complete": self.notify_inproc(eventname, node=self, **kwargs) elif eventname == "logwarning": self.notify_inproc( eventname, message=kwargs["message"], code=kwargs["code"], nodeid=kwargs["nodeid"], fslocation=kwargs["nodeid"], ) elif eventname == "warning_captured": warning_message = unserialize_warning_message( kwargs["warning_message_data"] ) self.notify_inproc( eventname, warning_message=warning_message, when=kwargs["when"], item=kwargs["item"], ) else: raise ValueError("unknown event: %s" % (eventname,)) except KeyboardInterrupt: # should not land in receiver-thread raise except: # noqa from _pytest._code import ExceptionInfo # ExceptionInfo API changed in pytest 4.1 if hasattr(ExceptionInfo, "from_current"): excinfo = ExceptionInfo.from_current() else: excinfo = ExceptionInfo() print("!" * 20, excinfo) self.config.notify_exception(excinfo) self.shutdown() self.notify_inproc("errordown", node=self, error=excinfo)
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this gets called for each object we receive from the other side and if the channel closes. Note that channel callbacks run in the receiver thread of execnet gateways - we need to avoid raising exceptions or doing heavy work.
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9fcf8fa636bc69ee6cac9348a6ec20c87f2bb5e4
https://github.com/pytest-dev/pytest-xdist/blob/9fcf8fa636bc69ee6cac9348a6ec20c87f2bb5e4/xdist/workermanage.py#L293-L367
224,685
pytest-dev/pytest-xdist
xdist/report.py
report_collection_diff
def report_collection_diff(from_collection, to_collection, from_id, to_id): """Report the collected test difference between two nodes. :returns: detailed message describing the difference between the given collections, or None if they are equal. """ if from_collection == to_collection: return None diff = unified_diff(from_collection, to_collection, fromfile=from_id, tofile=to_id) error_message = ( u"Different tests were collected between {from_id} and {to_id}. " u"The difference is:\n" u"{diff}" ).format(from_id=from_id, to_id=to_id, diff="\n".join(diff)) msg = "\n".join([x.rstrip() for x in error_message.split("\n")]) return msg
python
def report_collection_diff(from_collection, to_collection, from_id, to_id): """Report the collected test difference between two nodes. :returns: detailed message describing the difference between the given collections, or None if they are equal. """ if from_collection == to_collection: return None diff = unified_diff(from_collection, to_collection, fromfile=from_id, tofile=to_id) error_message = ( u"Different tests were collected between {from_id} and {to_id}. " u"The difference is:\n" u"{diff}" ).format(from_id=from_id, to_id=to_id, diff="\n".join(diff)) msg = "\n".join([x.rstrip() for x in error_message.split("\n")]) return msg
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Report the collected test difference between two nodes. :returns: detailed message describing the difference between the given collections, or None if they are equal.
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9fcf8fa636bc69ee6cac9348a6ec20c87f2bb5e4
https://github.com/pytest-dev/pytest-xdist/blob/9fcf8fa636bc69ee6cac9348a6ec20c87f2bb5e4/xdist/report.py#L5-L21
224,686
ivelum/djangoql
djangoql/queryset.py
apply_search
def apply_search(queryset, search, schema=None): """ Applies search written in DjangoQL mini-language to given queryset """ ast = DjangoQLParser().parse(search) schema = schema or DjangoQLSchema schema_instance = schema(queryset.model) schema_instance.validate(ast) return queryset.filter(build_filter(ast, schema_instance))
python
def apply_search(queryset, search, schema=None): """ Applies search written in DjangoQL mini-language to given queryset """ ast = DjangoQLParser().parse(search) schema = schema or DjangoQLSchema schema_instance = schema(queryset.model) schema_instance.validate(ast) return queryset.filter(build_filter(ast, schema_instance))
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Applies search written in DjangoQL mini-language to given queryset
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8d0c6b0b11824a2406c9a73a6ccd6d7ba22a3897
https://github.com/ivelum/djangoql/blob/8d0c6b0b11824a2406c9a73a6ccd6d7ba22a3897/djangoql/queryset.py#L32-L40
224,687
ivelum/djangoql
djangoql/schema.py
DjangoQLField.get_options
def get_options(self): """ Override this method to provide custom suggestion options """ choices = self._field_choices() if choices: return [c[1] for c in choices] else: return self.model.objects.\ order_by(self.name).\ values_list(self.name, flat=True)
python
def get_options(self): """ Override this method to provide custom suggestion options """ choices = self._field_choices() if choices: return [c[1] for c in choices] else: return self.model.objects.\ order_by(self.name).\ values_list(self.name, flat=True)
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Override this method to provide custom suggestion options
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8d0c6b0b11824a2406c9a73a6ccd6d7ba22a3897
https://github.com/ivelum/djangoql/blob/8d0c6b0b11824a2406c9a73a6ccd6d7ba22a3897/djangoql/schema.py#L55-L65
224,688
ivelum/djangoql
djangoql/schema.py
DjangoQLField.get_lookup_value
def get_lookup_value(self, value): """ Override this method to convert displayed values to lookup values """ choices = self._field_choices() if choices: if isinstance(value, list): return [c[0] for c in choices if c[1] in value] else: for c in choices: if c[1] == value: return c[0] return value
python
def get_lookup_value(self, value): """ Override this method to convert displayed values to lookup values """ choices = self._field_choices() if choices: if isinstance(value, list): return [c[0] for c in choices if c[1] in value] else: for c in choices: if c[1] == value: return c[0] return value
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Override this method to convert displayed values to lookup values
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8d0c6b0b11824a2406c9a73a6ccd6d7ba22a3897
https://github.com/ivelum/djangoql/blob/8d0c6b0b11824a2406c9a73a6ccd6d7ba22a3897/djangoql/schema.py#L73-L85
224,689
ivelum/djangoql
djangoql/schema.py
DjangoQLField.get_operator
def get_operator(self, operator): """ Get a comparison suffix to be used in Django ORM & inversion flag for it :param operator: string, DjangoQL comparison operator :return: (suffix, invert) - a tuple with 2 values: suffix - suffix to be used in ORM query, for example '__gt' for '>' invert - boolean, True if this comparison needs to be inverted """ op = { '=': '', '>': '__gt', '>=': '__gte', '<': '__lt', '<=': '__lte', '~': '__icontains', 'in': '__in', }.get(operator) if op is not None: return op, False op = { '!=': '', '!~': '__icontains', 'not in': '__in', }[operator] return op, True
python
def get_operator(self, operator): """ Get a comparison suffix to be used in Django ORM & inversion flag for it :param operator: string, DjangoQL comparison operator :return: (suffix, invert) - a tuple with 2 values: suffix - suffix to be used in ORM query, for example '__gt' for '>' invert - boolean, True if this comparison needs to be inverted """ op = { '=': '', '>': '__gt', '>=': '__gte', '<': '__lt', '<=': '__lte', '~': '__icontains', 'in': '__in', }.get(operator) if op is not None: return op, False op = { '!=': '', '!~': '__icontains', 'not in': '__in', }[operator] return op, True
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Get a comparison suffix to be used in Django ORM & inversion flag for it :param operator: string, DjangoQL comparison operator :return: (suffix, invert) - a tuple with 2 values: suffix - suffix to be used in ORM query, for example '__gt' for '>' invert - boolean, True if this comparison needs to be inverted
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8d0c6b0b11824a2406c9a73a6ccd6d7ba22a3897
https://github.com/ivelum/djangoql/blob/8d0c6b0b11824a2406c9a73a6ccd6d7ba22a3897/djangoql/schema.py#L87-L112
224,690
ivelum/djangoql
djangoql/schema.py
DjangoQLSchema.introspect
def introspect(self, model, exclude=()): """ Start with given model and recursively walk through its relationships. Returns a dict with all model labels and their fields found. """ result = {} open_set = deque([model]) closed_set = list(exclude) while open_set: model = open_set.popleft() model_label = self.model_label(model) if model_label in closed_set: continue model_fields = OrderedDict() for field in self.get_fields(model): if not isinstance(field, DjangoQLField): field = self.get_field_instance(model, field) if not field: continue if isinstance(field, RelationField): if field.relation not in closed_set: model_fields[field.name] = field open_set.append(field.related_model) else: model_fields[field.name] = field result[model_label] = model_fields closed_set.append(model_label) return result
python
def introspect(self, model, exclude=()): """ Start with given model and recursively walk through its relationships. Returns a dict with all model labels and their fields found. """ result = {} open_set = deque([model]) closed_set = list(exclude) while open_set: model = open_set.popleft() model_label = self.model_label(model) if model_label in closed_set: continue model_fields = OrderedDict() for field in self.get_fields(model): if not isinstance(field, DjangoQLField): field = self.get_field_instance(model, field) if not field: continue if isinstance(field, RelationField): if field.relation not in closed_set: model_fields[field.name] = field open_set.append(field.related_model) else: model_fields[field.name] = field result[model_label] = model_fields closed_set.append(model_label) return result
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Start with given model and recursively walk through its relationships. Returns a dict with all model labels and their fields found.
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8d0c6b0b11824a2406c9a73a6ccd6d7ba22a3897
https://github.com/ivelum/djangoql/blob/8d0c6b0b11824a2406c9a73a6ccd6d7ba22a3897/djangoql/schema.py#L332-L365
224,691
ivelum/djangoql
djangoql/schema.py
DjangoQLSchema.get_fields
def get_fields(self, model): """ By default, returns all field names of a given model. Override this method to limit field options. You can either return a plain list of field names from it, like ['id', 'name'], or call .super() and exclude unwanted fields from its result. """ return sorted( [f.name for f in model._meta.get_fields() if f.name != 'password'] )
python
def get_fields(self, model): """ By default, returns all field names of a given model. Override this method to limit field options. You can either return a plain list of field names from it, like ['id', 'name'], or call .super() and exclude unwanted fields from its result. """ return sorted( [f.name for f in model._meta.get_fields() if f.name != 'password'] )
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By default, returns all field names of a given model. Override this method to limit field options. You can either return a plain list of field names from it, like ['id', 'name'], or call .super() and exclude unwanted fields from its result.
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8d0c6b0b11824a2406c9a73a6ccd6d7ba22a3897
https://github.com/ivelum/djangoql/blob/8d0c6b0b11824a2406c9a73a6ccd6d7ba22a3897/djangoql/schema.py#L367-L377
224,692
ivelum/djangoql
djangoql/schema.py
DjangoQLSchema.validate
def validate(self, node): """ Validate DjangoQL AST tree vs. current schema """ assert isinstance(node, Node) if isinstance(node.operator, Logical): self.validate(node.left) self.validate(node.right) return assert isinstance(node.left, Name) assert isinstance(node.operator, Comparison) assert isinstance(node.right, (Const, List)) # Check that field and value types are compatible field = self.resolve_name(node.left) value = node.right.value if field is None: if value is not None: raise DjangoQLSchemaError( 'Related model %s can be compared to None only, but not to ' '%s' % (node.left.value, type(value).__name__) ) else: values = value if isinstance(node.right, List) else [value] for v in values: field.validate(v)
python
def validate(self, node): """ Validate DjangoQL AST tree vs. current schema """ assert isinstance(node, Node) if isinstance(node.operator, Logical): self.validate(node.left) self.validate(node.right) return assert isinstance(node.left, Name) assert isinstance(node.operator, Comparison) assert isinstance(node.right, (Const, List)) # Check that field and value types are compatible field = self.resolve_name(node.left) value = node.right.value if field is None: if value is not None: raise DjangoQLSchemaError( 'Related model %s can be compared to None only, but not to ' '%s' % (node.left.value, type(value).__name__) ) else: values = value if isinstance(node.right, List) else [value] for v in values: field.validate(v)
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Validate DjangoQL AST tree vs. current schema
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8d0c6b0b11824a2406c9a73a6ccd6d7ba22a3897
https://github.com/ivelum/djangoql/blob/8d0c6b0b11824a2406c9a73a6ccd6d7ba22a3897/djangoql/schema.py#L454-L479
224,693
ivelum/djangoql
djangoql/lexer.py
DjangoQLLexer.find_column
def find_column(self, t): """ Returns token position in current text, starting from 1 """ cr = max(self.text.rfind(l, 0, t.lexpos) for l in self.line_terminators) if cr == -1: return t.lexpos + 1 return t.lexpos - cr
python
def find_column(self, t): """ Returns token position in current text, starting from 1 """ cr = max(self.text.rfind(l, 0, t.lexpos) for l in self.line_terminators) if cr == -1: return t.lexpos + 1 return t.lexpos - cr
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Returns token position in current text, starting from 1
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8d0c6b0b11824a2406c9a73a6ccd6d7ba22a3897
https://github.com/ivelum/djangoql/blob/8d0c6b0b11824a2406c9a73a6ccd6d7ba22a3897/djangoql/lexer.py#L40-L47
224,694
aiogram/aiogram
aiogram/dispatcher/filters/filters.py
execute_filter
async def execute_filter(filter_: FilterObj, args): """ Helper for executing filter :param filter_: :param args: :return: """ if filter_.is_async: return await filter_.filter(*args, **filter_.kwargs) else: return filter_.filter(*args, **filter_.kwargs)
python
async def execute_filter(filter_: FilterObj, args): """ Helper for executing filter :param filter_: :param args: :return: """ if filter_.is_async: return await filter_.filter(*args, **filter_.kwargs) else: return filter_.filter(*args, **filter_.kwargs)
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Helper for executing filter :param filter_: :param args: :return:
[ "Helper", "for", "executing", "filter" ]
2af930149ce2482547721e2c8755c10307295e48
https://github.com/aiogram/aiogram/blob/2af930149ce2482547721e2c8755c10307295e48/aiogram/dispatcher/filters/filters.py#L47-L58
224,695
aiogram/aiogram
aiogram/dispatcher/filters/filters.py
check_filters
async def check_filters(filters: typing.Iterable[FilterObj], args): """ Check list of filters :param filters: :param args: :return: """ data = {} if filters is not None: for filter_ in filters: f = await execute_filter(filter_, args) if not f: raise FilterNotPassed() elif isinstance(f, dict): data.update(f) return data
python
async def check_filters(filters: typing.Iterable[FilterObj], args): """ Check list of filters :param filters: :param args: :return: """ data = {} if filters is not None: for filter_ in filters: f = await execute_filter(filter_, args) if not f: raise FilterNotPassed() elif isinstance(f, dict): data.update(f) return data
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Check list of filters :param filters: :param args: :return:
[ "Check", "list", "of", "filters" ]
2af930149ce2482547721e2c8755c10307295e48
https://github.com/aiogram/aiogram/blob/2af930149ce2482547721e2c8755c10307295e48/aiogram/dispatcher/filters/filters.py#L61-L77
224,696
aiogram/aiogram
aiogram/dispatcher/filters/filters.py
AbstractFilter.validate
def validate(cls, full_config: typing.Dict[str, typing.Any]) -> typing.Optional[typing.Dict[str, typing.Any]]: """ Validate and parse config. This method will be called by the filters factory when you bind this filter. Must be overridden. :param full_config: dict with arguments passed to handler registrar :return: Current filter config """ pass
python
def validate(cls, full_config: typing.Dict[str, typing.Any]) -> typing.Optional[typing.Dict[str, typing.Any]]: """ Validate and parse config. This method will be called by the filters factory when you bind this filter. Must be overridden. :param full_config: dict with arguments passed to handler registrar :return: Current filter config """ pass
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Validate and parse config. This method will be called by the filters factory when you bind this filter. Must be overridden. :param full_config: dict with arguments passed to handler registrar :return: Current filter config
[ "Validate", "and", "parse", "config", "." ]
2af930149ce2482547721e2c8755c10307295e48
https://github.com/aiogram/aiogram/blob/2af930149ce2482547721e2c8755c10307295e48/aiogram/dispatcher/filters/filters.py#L136-L146
224,697
aiogram/aiogram
aiogram/dispatcher/filters/filters.py
AndFilter.check
async def check(self, *args): """ All filters must return a positive result :param args: :return: """ data = {} for target in self.targets: result = await target(*args) if not result: return False if isinstance(result, dict): data.update(result) if not data: return True return data
python
async def check(self, *args): """ All filters must return a positive result :param args: :return: """ data = {} for target in self.targets: result = await target(*args) if not result: return False if isinstance(result, dict): data.update(result) if not data: return True return data
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All filters must return a positive result :param args: :return:
[ "All", "filters", "must", "return", "a", "positive", "result" ]
2af930149ce2482547721e2c8755c10307295e48
https://github.com/aiogram/aiogram/blob/2af930149ce2482547721e2c8755c10307295e48/aiogram/dispatcher/filters/filters.py#L247-L263
224,698
aiogram/aiogram
examples/broadcast_example.py
send_message
async def send_message(user_id: int, text: str, disable_notification: bool = False) -> bool: """ Safe messages sender :param user_id: :param text: :param disable_notification: :return: """ try: await bot.send_message(user_id, text, disable_notification=disable_notification) except exceptions.BotBlocked: log.error(f"Target [ID:{user_id}]: blocked by user") except exceptions.ChatNotFound: log.error(f"Target [ID:{user_id}]: invalid user ID") except exceptions.RetryAfter as e: log.error(f"Target [ID:{user_id}]: Flood limit is exceeded. Sleep {e.timeout} seconds.") await asyncio.sleep(e.timeout) return await send_message(user_id, text) # Recursive call except exceptions.UserDeactivated: log.error(f"Target [ID:{user_id}]: user is deactivated") except exceptions.TelegramAPIError: log.exception(f"Target [ID:{user_id}]: failed") else: log.info(f"Target [ID:{user_id}]: success") return True return False
python
async def send_message(user_id: int, text: str, disable_notification: bool = False) -> bool: """ Safe messages sender :param user_id: :param text: :param disable_notification: :return: """ try: await bot.send_message(user_id, text, disable_notification=disable_notification) except exceptions.BotBlocked: log.error(f"Target [ID:{user_id}]: blocked by user") except exceptions.ChatNotFound: log.error(f"Target [ID:{user_id}]: invalid user ID") except exceptions.RetryAfter as e: log.error(f"Target [ID:{user_id}]: Flood limit is exceeded. Sleep {e.timeout} seconds.") await asyncio.sleep(e.timeout) return await send_message(user_id, text) # Recursive call except exceptions.UserDeactivated: log.error(f"Target [ID:{user_id}]: user is deactivated") except exceptions.TelegramAPIError: log.exception(f"Target [ID:{user_id}]: failed") else: log.info(f"Target [ID:{user_id}]: success") return True return False
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Safe messages sender :param user_id: :param text: :param disable_notification: :return:
[ "Safe", "messages", "sender" ]
2af930149ce2482547721e2c8755c10307295e48
https://github.com/aiogram/aiogram/blob/2af930149ce2482547721e2c8755c10307295e48/examples/broadcast_example.py#L26-L52
224,699
aiogram/aiogram
aiogram/types/message.py
Message.get_full_command
def get_full_command(self): """ Split command and args :return: tuple of (command, args) """ if self.is_command(): command, _, args = self.text.partition(' ') return command, args
python
def get_full_command(self): """ Split command and args :return: tuple of (command, args) """ if self.is_command(): command, _, args = self.text.partition(' ') return command, args
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Split command and args :return: tuple of (command, args)
[ "Split", "command", "and", "args" ]
2af930149ce2482547721e2c8755c10307295e48
https://github.com/aiogram/aiogram/blob/2af930149ce2482547721e2c8755c10307295e48/aiogram/types/message.py#L156-L164