Merge pull request #22 from tejtw/v2.0.0rc3

MAINT:loaders

src/zipline/pipeline/loaders/__init__.py

@@ -0,0 +1,21 @@
+from .equity_pricing_loader import (
+    EquityPricingLoader,
+    USEquityPricingLoader,
+)
+from .fundamentals import TQuantFundamentalsPipelineLoader, TQuantAlternativesPipelineLoader
+
+
+import os
+module_dir = os.path.dirname(os.path.abspath(__file__))
+ls_files = os.listdir(module_dir)
+ndb_exist = [f for f in ls_files if f.startswith('ndb')]
+if ndb_exist:
+    from .ndb_stk import NDBStkPipelineLoader
+    from .ndb_fin import NDBFinPipelineLoader
+
+
+
+__all__ = [
+    "EquityPricingLoader",
+    "USEquityPricingLoader",
+]

src/zipline/pipeline/loaders/base.py

@@ -0,0 +1,44 @@
+"""
+Base class for Pipeline API data loaders.
+"""
+from interface import default, Interface
+
+
+class PipelineLoader(Interface):
+    """Interface for PipelineLoaders."""
+
+    def load_adjusted_array(self, domain, columns, dates, sids, mask):
+        """
+        Load data for ``columns`` as AdjustedArrays.
+
+        Parameters
+        ----------
+        domain : zipline.pipeline.domain.Domain
+            The domain of the pipeline for which the requested data must be
+            loaded.
+        columns : list[zipline.pipeline.data.dataset.BoundColumn]
+            Columns for which data is being requested.
+        dates : pd.DatetimeIndex
+            Dates for which data is being requested.
+        sids : pd.Index
+            Asset identifiers for which data is being requested.
+        mask : np.array[ndim=2, dtype=bool]
+            Boolean array of shape (len(dates), len(sids)) indicating dates on
+            which we believe the requested assets were alive/tradeable. This is
+            used for optimization by some loaders.
+
+        Returns
+        -------
+        arrays : dict[BoundColumn -> zipline.lib.adjusted_array.AdjustedArray]
+            Map from column to an AdjustedArray representing a point-in-time
+            rolling view over the requested dates for the requested sids.
+        """
+
+    @default
+    @property
+    def currency_aware(self):
+        """Whether or not this loader supports currency-conversions.
+
+        By default, assume that loaders to not support currency conversions.
+        """
+        return False