DEP: Deprecate all data reading functionality via pandas-datareader (#97

)

* DEP: Deprecate all functions using pandas-datareader

* DOC: Update README with deprecation documentation

* STY: Markdown style

* STY: Markdown style again

* REV: revert previous commit

* STY: typo

* STY: consistent naming convention

* DEP: also deprecate any cacheing of data

* DEP: forgot to deprecate additional funcs

* REV: get_utc_timestamp should not be deprecated

* ENH: add function to compute returns from prices

* BUG: wrap import in try-except

* MAINT: update deprecation warning

* MAINT: move `simple_returns` func to `stats` module

* MAINT: don't raise deprecation warning for _1_bday_ago

* DOC: remove suggestions

* TST: added test for simple_returns

* MAINT: add simple_returns to init

* TST: fixed simple_returns test

* STY: use size, not shape

* TST: tests passing

* DOC: 1_bday_ago no longer deprecated

README.md

@@ -63,6 +63,35 @@ roll_up_capture(returns, window=60)
 
 Please [open an issue](https://github.com/quantopian/empyrical/issues/new) for support.
 
+### Deprecated: Data Reading via `pandas-datareader`
+
+As of early 2018, Yahoo Finance has suffered major API breaks with no stable
+replacement, and the Google Finance API has not been stable since late 2017
+[(source)](https://github.com/pydata/pandas-datareader/blob/da18fbd7621d473828d7fa81dfa5e0f9516b6793/README.rst).
+In recent months it has become a greater and greater strain on the `empyrical`
+development team to maintain support for fetching data through
+`pandas-datareader` and other third-party libraries, as these APIs are known to
+be unstable.
+
+As a result, all `empyrical` support for data reading functionality has been
+deprecated and will be removed in a future version.
+
+Users should beware that the following functions are now deprecated:
+
+- `empyrical.utils.cache_dir`
+- `empyrical.utils.data_path`
+- `empyrical.utils.ensure_directory`
+- `empyrical.utils.get_fama_french`
+- `empyrical.utils.load_portfolio_risk_factors`
+- `empyrical.utils.default_returns_func`
+- `empyrical.utils.get_symbol_returns_from_yahoo`
+
+Users should expect regular failures from the following functions, pending
+patches to the Yahoo or Google Finance API:
+
+- `empyrical.utils.default_returns_func`
+- `empyrical.utils.get_symbol_returns_from_yahoo`
+
 ## Contributing
 
 Please contribute using [Github Flow](https://guides.github.com/introduction/flow/). Create a branch, add commits, and [open a pull request](https://github.com/quantopian/empyrical/compare/).

empyrical/__init__.py

@@ -55,6 +55,7 @@
     roll_up_capture,
     roll_up_down_capture,
     sharpe_ratio,
+    simple_returns,
     sortino_ratio,
     stability_of_timeseries,
     tail_ratio,

empyrical/deprecate.py

@@ -0,0 +1,45 @@
+"""Utilities for marking deprecated functions."""
+# Copyright 2018 Quantopian, Inc.
+#
+# Licensed under the Apache License, Version 2.0 (the "License");
+# you may not use this file except in compliance with the License.
+# You may obtain a copy of the License at
+#
+#     http://www.apache.org/licenses/LICENSE-2.0
+#
+# Unless required by applicable law or agreed to in writing, software
+# distributed under the License is distributed on an "AS IS" BASIS,
+# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+# See the License for the specific language governing permissions and
+# limitations under the License.
+
+import warnings
+from functools import wraps
+
+
+def deprecated(msg=None, stacklevel=2):
+    """
+    Used to mark a function as deprecated.
+    Parameters
+    ----------
+    msg : str
+        The message to display in the deprecation warning.
+    stacklevel : int
+        How far up the stack the warning needs to go, before
+        showing the relevant calling lines.
+    Usage
+    -----
+    @deprecated(msg='function_a is deprecated! Use function_b instead.')
+    def function_a(*args, **kwargs):
+    """
+    def deprecated_dec(fn):
+        @wraps(fn)
+        def wrapper(*args, **kwargs):
+            warnings.warn(
+                msg or "Function %s is deprecated." % fn.__name__,
+                category=DeprecationWarning,
+                stacklevel=stacklevel
+            )
+            return fn(*args, **kwargs)
+        return wrapper
+    return deprecated_dec

empyrical/stats.py

@@ -183,6 +183,32 @@ def annualization_factor(period, annualization):
     return factor
 
 
+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
+
+
 def cum_returns(returns, starting_value=0, out=None):
     """
     Compute cumulative returns from simple returns.

empyrical/tests/test_stats.py

@@ -160,6 +160,17 @@ class TestStats(BaseTestCase):
         'one': pd.Series(one, index=df_index_month),
         'two': pd.Series(two, index=df_index_month)})
 
+    @parameterized.expand([
+        # Constant price implies zero returns,
+        # and linearly increasing prices imples returns like 1/n
+        (flat_line_1, [0.0] * (flat_line_1.shape[0] - 1)),
+        (pos_line, [np.inf] + [1/n for n in range(1, 999)])
+    ])
+    def test_simple_returns(self, prices, expected):
+        simple_returns = self.empyrical.simple_returns(prices)
+        assert_almost_equal(np.array(simple_returns), expected, 4)
+        self.assert_indexes_match(simple_returns, prices.iloc[1:])
+
     @parameterized.expand([
         (empty_returns, 0, []),
         (mixed_returns, 0, [0.0, 0.01, 0.111, 0.066559, 0.08789, 0.12052,

empyrical/utils.py

@@ -1,5 +1,5 @@
 #
-# Copyright 2016 Quantopian, Inc.
+# Copyright 2018 Quantopian, Inc.
 #
 # Licensed under the Apache License, Version 2.0 (the "License");
 # you may not use this file except in compliance with the License.
@@ -23,8 +23,22 @@
 from numpy.lib.stride_tricks import as_strided
 import pandas as pd
 from pandas.tseries.offsets import BDay
-from pandas_datareader import data as web
-
+try:
+    from pandas_datareader import data as web
+except ImportError as e:
+    msg = ("Unable to import pandas_datareader. Suppressing import error and "
+           "continuing. All data reading functionality will raise errors; but "
+           "has been deprecated and will be removed in a later version.")
+    warnings.warn(msg)
+from .deprecate import deprecated
+
+DATAREADER_DEPRECATION_WARNING = \
+        ("Yahoo and Google Finance have suffered large API breaks with no "
+         "stable replacement. As a result, any data reading functionality "
+         "in empyrical has been deprecated and will be removed in a future "
+         "version. See README.md for more details: "
+         "\n\n"
+         "\thttps://github.com/quantopian/pyfolio/blob/master/README.md")
 try:
     # fast versions
     import bottleneck as bn
@@ -175,6 +189,7 @@ def _roll_pandas(func, window, *args, **kwargs):
     return pd.Series(data, index=type(args[0].index)(index_values))
 
 
+@deprecated(msg=DATAREADER_DEPRECATION_WARNING)
 def cache_dir(environ=environ):
     try:
         return environ['EMPYRICAL_CACHE_DIR']
@@ -189,10 +204,12 @@ def cache_dir(environ=environ):
         )
 
 
+@deprecated(msg=DATAREADER_DEPRECATION_WARNING)
 def data_path(name):
     return join(cache_dir(), name)
 
 
+@deprecated(msg=DATAREADER_DEPRECATION_WARNING)
 def ensure_directory(path):
     """
     Ensure that a directory named "path" exists.
@@ -209,10 +226,12 @@ def get_utc_timestamp(dt):
     """
     Returns the Timestamp/DatetimeIndex
     with either localized or converted to UTC.
+
     Parameters
     ----------
     dt : Timestamp/DatetimeIndex
         the date(s) to be converted
+
     Returns
     -------
     same type as input
@@ -234,6 +253,7 @@ def _1_bday_ago():
     return pd.Timestamp.now().normalize() - _1_bday
 
 
+@deprecated(msg=DATAREADER_DEPRECATION_WARNING)
 def get_fama_french():
     """
     Retrieve Fama-French factors via pandas-datareader
@@ -257,6 +277,7 @@ def get_fama_french():
     return five_factors
 
 
+@deprecated(msg=DATAREADER_DEPRECATION_WARNING)
 def get_returns_cached(filepath, update_func, latest_dt, **kwargs):
     """
     Get returns from a cached file if the cache is recent enough,
@@ -324,6 +345,7 @@ def get_returns_cached(filepath, update_func, latest_dt, **kwargs):
     return returns
 
 
+@deprecated(msg=DATAREADER_DEPRECATION_WARNING)
 def load_portfolio_risk_factors(filepath_prefix=None, start=None, end=None):
     """
     Load risk factors Mkt-Rf, SMB, HML, Rf, and UMD.
@@ -353,6 +375,7 @@ def load_portfolio_risk_factors(filepath_prefix=None, start=None, end=None):
     return five_factors.loc[start:end]
 
 
+@deprecated(msg=DATAREADER_DEPRECATION_WARNING)
 def get_treasury_yield(start=None, end=None, period='3MO'):
     """
     Load treasury yields from FRED.
@@ -386,6 +409,7 @@ def get_treasury_yield(start=None, end=None, period='3MO'):
     return treasury
 
 
+@deprecated(msg=DATAREADER_DEPRECATION_WARNING)
 def get_symbol_returns_from_yahoo(symbol, start=None, end=None):
     """
     Wrapper for pandas.io.data.get_data_yahoo().
@@ -424,6 +448,7 @@ def get_symbol_returns_from_yahoo(symbol, start=None, end=None):
     return rets
 
 
+@deprecated(msg=DATAREADER_DEPRECATION_WARNING)
 def default_returns_func(symbol, start=None, end=None):
     """
     Gets returns for a symbol.