update

Author: wegamekinglc

.coveragerc

@@ -0,0 +1,2 @@
+[run]
+plugins = Cython.Coverage

.gitignore

@@ -1,22 +1 @@
-build/*
-htmlcov/*
 *.pyc
-.idea/*
-pyfin/.idea/*
-doc/_build/*
-*.coverage
-*.html
-*.js
-*.png
-*.dat
-*.css
-*.c
-*.pyd
-*.pyproj
-*.sln
-.vs/*
-Finance_Python.egg-info/*
-dist/*
-*.pyd
-*.c
-setup.cfg

.idea/workspace.xml

@@ -37,9 +37,9 @@ install:
   - pip install coveralls
 # command to run tests
 script:
-  - python setup.py build_ext --inplace
-  - coverage run PyFin/tests/testSuite.py
-  - coverage report
-  - coverage html
+  - python setup.py build_ext --line_trace --inplace
+  - coverage run --rcfile=./.coveragerc PyFin/tests/testSuite.py
+  - coverage report --rcfile=./.coveragerc -i
+  - coverage html --rcfile=./.coveragerc -i
 after_success:
   - coveralls

.travis.yml

@@ -1,5 +1,4 @@
 # -*- coding: utf-8 -*-
-#cython: embedsignature=True
 u"""
 Created on 2017-2-10
 

PyFin/Analysis/CrossSectionValueHolders.pyx

@@ -1,5 +1,4 @@
 # -*- coding: utf-8 -*-
-#cython: embedsignature=True
 u"""
 Created on 2015-8-7
 
@@ -14,6 +13,7 @@ import operator
 import numpy as np
 cimport numpy as np
 import pandas as pd
+cimport cython
 from PyFin.Analysis.SecurityValues cimport SecurityValues
 from PyFin.Utilities import to_dict
 from PyFin.Math.Accumulators.StatefulAccumulators cimport Shift
@@ -98,37 +98,49 @@ cdef class SecurityValueHolder(object):
                     self._innerHolders[name] = holder
 
     @property
+    @cython.boundscheck(False)
+    @cython.wraparound(False)
     def value(self):
 
-        cdef list values
+        cdef np.ndarray[double, ndim=1] values
         cdef Accumulator holder
+        cdef int n
+        cdef int i
 
         if self.updated:
             return SecurityValues(self.cached.values, self.cached.name_mapping)
         else:
             keys = self._innerHolders.keys()
-            values = []
-            for name in keys:
+            n = len(keys)
+            values = np.zeros(n)
+            for i, name in enumerate(keys):
                 try:
                     holder = self._innerHolders[name]
-                    values.append(holder.result())
+                    values[i] = holder.result()
                 except ArithmeticError:
-                    values.append(np.nan)
-            self.cached = SecurityValues(np.array(values), index=OrderedDict(zip(keys, range(len(keys)))))
+                    values[i] = np.nan
+            self.cached = SecurityValues(values, index=OrderedDict(zip(keys, range(n))))
             self.updated = 1
             return self.cached
 
+    @cython.boundscheck(False)
+    @cython.wraparound(False)
     cpdef value_by_names(self, list names):
         cdef Accumulator holder
+        cdef np.ndarray[double, ndim=1] res
+        cdef int i
+        cdef int n
+
         if self.updated:
             return self.cached[names]
         else:
-            res = []
-            for name in names:
+            n = len(names)
+            res = np.zeros(n)
+            for i, name in enumerate(names):
                 holder = self._innerHolders[name]
-                res.append(holder.result())
-            return SecurityValues(np.array(res),
-                                  index=OrderedDict(zip(names, range(len(names)))))
+                res[i] = holder.result()
+            return SecurityValues(res,
+                                  index=OrderedDict(zip(names, range(n))))
 
     cpdef value_by_name(self, name):
         cdef Accumulator holder
@@ -296,11 +308,13 @@ cdef class FilteredSecurityValueHolder(SecurityValueHolder):
 
     @property
     def value(self):
+        cdef SecurityValues filter_value
+
         if self.updated:
             return self.cached
         else:
-            filter_value = self._filter.value.values
-            self.cached = self._computer.value.mask(filter_value)
+            filter_value = self._filter.value
+            self.cached = self._computer.value.mask(filter_value.values)
             self.updated = 1
             return self.cached
 

PyFin/Analysis/SecurityValueHolders.pyx

@@ -1,5 +1,4 @@
 # -*- coding: utf-8 -*-
-#cython: embedsignature=True
 u"""
 Created on 2017-2-7
 
@@ -20,16 +19,27 @@ cdef class SecurityValues(object):
             data = np.array(list(data.values()))
 
         self.values = data
-        self.name_mapping = index
+        if isinstance(index, OrderedDict):
+            self.name_mapping = index
+        else:
+            raise ValueError("name mapping {0} is not Ordered dict".format(index))
         self.name_array = None
 
     @cython.boundscheck(False)
     @cython.wraparound(False)
     def __getitem__(self, name):
+
+        cdef np.ndarray data
+        cdef np.ndarray values
+
         if not isinstance(name, list):
             return self.values[self.name_mapping[name]]
         else:
-            data = np.array([self.values[self.name_mapping[n]] for n in name])
+
+            values = self.values
+            name_mapping = self.name_mapping
+
+            data = np.array([values[name_mapping[n]] for n in name])
             return SecurityValues(data, OrderedDict(zip(name, range(len(name)))))
 
     @cython.boundscheck(False)

PyFin/Analysis/SecurityValues.pyx

@@ -1,13 +1,16 @@
 # -*- coding: utf-8 -*-
-#cython: embedsignature=True
 u"""
 Created on 2015-8-8
 
 @author: cheng.li
 """
 
 import copy
+from collections import OrderedDict
+import numpy as np
 cimport numpy as np
+cimport cython
+from PyFin.Math.Accumulators.IAccumulators cimport Accumulator
 from PyFin.Analysis.SecurityValues cimport SecurityValues
 from PyFin.Analysis.SecurityValueHolders cimport SecurityValueHolder
 from PyFin.Math.Accumulators.StatefulAccumulators cimport MovingAverage
@@ -396,6 +399,59 @@ cdef class SecurityMovingHistoricalWindow(SecuritySingleValueHolder):
         else:
             raise ValueError("{0} is not recognized as valid int or string".format(item))
 
+    @property
+    @cython.boundscheck(False)
+    @cython.wraparound(False)
+    def value(self):
+
+        cdef list values
+        cdef Accumulator holder
+        cdef int n
+        cdef int i
+
+        if self.updated:
+            return SecurityValues(self.cached.values, self.cached.name_mapping)
+        else:
+            keys = self._innerHolders.keys()
+            n = len(keys)
+            values = [None] * n
+            for i, name in enumerate(keys):
+                try:
+                    holder = self._innerHolders[name]
+                    values[i] = holder.result()
+                except ArithmeticError:
+                    values[i] = np.nan
+            self.cached = SecurityValues(np.array(values), index=OrderedDict(zip(keys, range(n))))
+            self.updated = 1
+            return self.cached
+
+    @cython.boundscheck(False)
+    @cython.wraparound(False)
+    cpdef value_by_names(self, list names):
+        cdef Accumulator holder
+        cdef list res
+        cdef int i
+        cdef int n
+
+        if self.updated:
+            return self.cached[names]
+        else:
+            n = len(names)
+            res = [None] * n
+            for i, name in enumerate(names):
+                holder = self._innerHolders[name]
+                res[i] = holder.result()
+            return SecurityValues(np.array(res),
+                                  index=OrderedDict(zip(names, range(n))))
+
+    cpdef value_by_name(self, name):
+        cdef Accumulator holder
+        if self.updated:
+            return self.cached[name]
+        else:
+            holder = self._innerHolders[name]
+            return holder.result()
+
     def __deepcopy__(self, memo):
         if self._compHolder:
             return SecurityMovingHistoricalWindow(self._window - self._compHolder._window, self._compHolder)

PyFin/Analysis/TechnicalAnalysis/StatefulTechnicalAnalysers.pyx

@@ -1,5 +1,4 @@
 # -*- coding: utf-8 -*-
-#cython: embedsignature=True
 u"""
 Created on 2015-2-12
 

PyFin/Analysis/TechnicalAnalysis/StatelessTechnicalAnalysers.pyx

@@ -1,5 +1,4 @@
 # -*- coding: utf-8 -*-
-#cython: embedsignature=True
 u"""
 Created on 2017-2-1
 

PyFin/DateUtilities/Calendar.pyx

@@ -1,5 +1,4 @@
 # -*- coding: utf-8 -*-
-#cython: embedsignature=True
 u"""
 Created on 2017-1-3
 

PyFin/DateUtilities/Date.pyx

@@ -1,5 +1,4 @@
 # -*- coding: utf-8 -*-
-#cython: embedsignature=True
 u"""
 Created on 2017-1-30
 

PyFin/DateUtilities/Period.pyx

@@ -1,5 +1,4 @@
 # -*- coding: utf-8 -*-
-#cython: embedsignature=True
 u"""
 Created on 2017-2-8
 
@@ -101,6 +100,7 @@ cdef class Accumulator(IAccumulator):
 
     cdef extract(self, dict data):
         cdef str p
+        cdef Accumulator comp
 
         if not self._isValueHolderContained:
             try:
@@ -111,8 +111,9 @@ cdef class Accumulator(IAccumulator):
                 except KeyError:
                     return np.nan
         else:
-            self._dependency.push(data)
-            return self._dependency.result()
+            comp = self._dependency
+            comp.push(data)
+            return comp.result()
 
     cpdef push(self, dict data):
         pass
@@ -603,14 +604,18 @@ cdef class StatelessSingleValueAccumulator(Accumulator):
         self._window = 0
 
     cdef _push(self, dict data):
+
+        cdef Accumulator comp
+
         if not self._isValueHolderContained:
             try:
                 value = data[self._dependency]
             except KeyError:
                 value = np.nan
         else:
-            self._dependency.push(data)
-            value = self._dependency.result()
+            comp = self._dependency
+            comp.push(data)
+            value = comp.result()
         return value
 
     def __deepcopy__(self, memo):

PyFin/Math/Accumulators/IAccumulators.pyx

@@ -1,5 +1,4 @@
 # -*- coding: utf-8 -*-
-#cython: embedsignature=True
 u"""
 Created on 2017-2-8
 
@@ -103,14 +102,17 @@ cdef class SingleValuedValueHolder(StatefulValueHolder):
 
     cdef double _push(self, dict data):
 
+        cdef Accumulator comp
+
         cdef double value
         cdef int isValueHolder = self._isValueHolderContained
 
         if not isValueHolder and self._dependency in data:
             return data[self._dependency]
         elif isValueHolder:
-            self._dependency.push(data)
-            return self._dependency.result()
+            comp = self._dependency
+            comp.push(data)
+            return comp.result()
         else:
             return np.nan
 

PyFin/Math/Accumulators/StatefulAccumulators.pyx

@@ -1,5 +1,4 @@
 # -*- coding: utf-8 -*-
-#cython: embedsignature=True
 u"""
 Created on 2015-7-25
 

PyFin/Math/Accumulators/StatelessAccumulators.pyx

@@ -1,5 +1,4 @@
 # -*- coding: utf-8 -*-
-#cython: embedsignature=True
 u"""
 Created on 2017-1-1
 

PyFin/Math/Accumulators/impl.pyx

@@ -1,5 +1,4 @@
 # -*- coding: utf-8 -*-
-#cython: embedsignature=True
 cimport cython
 from PyFin.Math.Distributions.norm cimport pdf
 from PyFin.Math.Distributions.norm cimport cdf

PyFin/Math/Distributions/NormalDistribution.pyx

@@ -1,5 +1,4 @@
 # -*- coding: utf-8 -*-
-#cython: embedsignature=True
 u"""
 Created on 2017-2-4
 

PyFin/Math/Distributions/norm.pyx

@@ -1,5 +1,4 @@
 # -*- coding: utf-8 -*-
-#cython: embedsignature=True
 u"""
 Created on 2017-1-3
 
@@ -8,6 +7,7 @@ Created on 2017-1-3
 
 cimport cython
 from libc.math cimport exp
+from libc.math cimport fabs
 
 cdef double _DBL_MIN = 2.2250738585072014e-308
 
@@ -87,7 +87,7 @@ cdef double errorFunction(double x):
     cdef double R
     cdef double S
 
-    ax = abs(x)
+    ax = fabs(x)
 
     if ax < 0.84375:
         if ax < 3.7252902984e-09: