Support multiple outputs for custom factors #1119
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| @@ -510,6 +520,42 @@ def test_rolling_and_nonrolling(self): | |||
| ), | |||
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| def test_factor_with_multiple_outputs(self): | |||
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TODO: Add better test cases
dmichalowicz
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| def compute(self, today, assets, out, open, close): | ||
| out.double_open[:] = open * 2 | ||
| out.double_close[:] = close * 2 |
| enough outputs and that factor does not have class-level default outputs. | ||
| """ | ||
| msg = ( | ||
| "{termname} requires at least two outputs, but was given " |
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"at least two" seems more specific than this should be?
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Yes; I'll make RecarrayFactor support single outputs as well
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I actually meant that this might want to be at least {N}, where N is an arg, but I don't know if there are cases where we know we need more than two outputs.
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Ah ok. So for the purpose of RecarrayFactors as we have them it makes sense, but wouldn't hurt to be more generalizable in case we come across such a case.
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| def _validate(self): | ||
| super(RecarrayFactor, self)._validate() | ||
| if not self.outputs: | ||
| raise TermOutputsNotSpecified(termname=type(self).__name__) |
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In thinking about it, I don't think a RecarrayFactor even needs to specify any outputs. At the end of the day it acts how all other regular factors do with a single out. So this can all be removed.
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Actually, this check should be performed on the inputted factor, i.e. check that the parent's factor.outputs is not empty.
dmichalowicz
changed the title
| class MultipleOutputs(CustomFactor): | ||
| window_length = 1 | ||
| inputs = [USEquityPricing.open, USEquityPricing.close] | ||
| outputs = ['open', 'close'] |
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We probably want a test that exercises the behavior of passing outputs dynamically to the constructor.
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Added in test_custom_factor_outputs_parameter
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@ssanderson Should be ready for another look |
| ''' | ||
| dtype = float64_dtype | ||
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| def __getattr__(self, attribute_name): | ||
| if self.outputs is NotSpecified: | ||
| raise AttributeError() |
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This should be AttributeError(attribute_name).
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LGTM. @dmichalowicz feel free to merge when appveyor finishes. |
Add an optional
outputsparameter to CustomFactor allowing multiple outputs to be computed and returned from a single CustomFactor, each output of which is itself a Factor.