ENH: Rewrite of Zipline to use lazy access pattern

More documentation to follow in release notes.

Based on lazy-mainline branch, see for more details.

Also-By: Jean Bredeche <[email protected]>
Also-By: Andrew Liang <[email protected]>
Also-By: Abhijeet Kalyan <[email protected]>

.travis.yml

@@ -70,3 +70,4 @@ after_success:
 branches:
   only:
     - master
+    - lazy-mainline

etc/requirements.txt

@@ -54,3 +54,5 @@ toolz==0.7.4
 
 # Asset writer and finder
 sqlalchemy==1.0.8
+
+intervaltree==2.1.0

etc/requirements_dev.txt

@@ -59,5 +59,8 @@ futures==3.0.5
 requests-futures==0.9.7
 piprot==0.9.6
 
+# For mocking out requests fetches
+responses==0.4.0
+
 # For asset db management
 alembic==0.7.7

etc/requirements_py2.txt

@@ -0,0 +1,2 @@
+# Caching and other utilities
+functools32==3.2.3.post2

setup.py

@@ -14,6 +14,7 @@
 # See the License for the specific language governing permissions and
 # limitations under the License.
 from __future__ import print_function
+from functools import partial
 import os
 import re
 import sys
@@ -89,6 +90,12 @@ def build_extensions(self):
     Extension('zipline.lib.rank', ['zipline/lib/rank.pyx']),
     Extension('zipline.data._equities', ['zipline/data/_equities.pyx']),
     Extension('zipline.data._adjustments', ['zipline/data/_adjustments.pyx']),
+    Extension('zipline._protocol', ['zipline/_protocol.pyx']),
+    Extension('zipline.gens.sim_engine', ['zipline/gens/sim_engine.pyx']),
+    Extension(
+        'zipline.data._minute_bar_internal',
+        ['zipline/data/_minute_bar_internal.pyx']
+    )
 ]
 
 
@@ -156,19 +163,27 @@ def _with_bounds(req):
 REQ_PATTERN = re.compile("([^=<>]+)([<=>]{1,2})(.*)")
 
 
-def _conda_format(req):
+def _conda_format(req, selector=None):
     match = REQ_PATTERN.match(req)
     if match and match.group(1).lower() == 'numpy':
-        return 'numpy x.x'
+        line = 'numpy x.x'
+    else:
+        line = REQ_PATTERN.sub(
+            lambda m: '%s %s%s' % (m.group(1).lower(), m.group(2), m.group(3)),
+            req,
+            1,
+        )
 
-    return REQ_PATTERN.sub(
-        lambda m: '%s %s%s' % (m.group(1).lower(), m.group(2), m.group(3)),
-        req,
-        1,
-    )
+    if selector is not None:
+        line += ' # [%s]' % selector
+
+    return line
 
 
-def read_requirements(path, strict_bounds, conda_format=False):
+def read_requirements(path,
+                      strict_bounds,
+                      conda_format=False,
+                      conda_selector=None):
     """
     Read a requirements.txt file, expressed as a path relative to Zipline root.
 
@@ -183,15 +198,22 @@ def read_requirements(path, strict_bounds, conda_format=False):
             reqs = map(_with_bounds, reqs)
 
         if conda_format:
-            reqs = map(_conda_format, reqs)
+            reqs = map(partial(_conda_format, selector=conda_selector), reqs)
 
         return list(reqs)
 
 
 def install_requires(strict_bounds=False, conda_format=False):
-    return read_requirements('etc/requirements.txt',
+    reqs = read_requirements('etc/requirements.txt',
                              strict_bounds=strict_bounds,
                              conda_format=conda_format)
+    if sys.version_info.major == 2 or conda_format:
+        reqs += read_requirements('etc/requirements_py2.txt',
+                                  strict_bounds=strict_bounds,
+                                  conda_format=conda_format,
+                                  conda_selector='py2k')
+
+    return reqs
 
 
 def extras_requires(conda_format=False):