MAINT: Numpy 2.0 compatibility (#264)

* version updates and test fixes * black version update * add build_wheels tag input * fix up/download_artifactsv4 errors * limit py39 > numpy1 * skip test_summaries_after_fillna for mac os * skip tests on arm64 * no cp39 arm64 wheels
stefan-jansen · Sep 26, 2024 · f5abd98 · f5abd98
1 parent e945ae1
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diff --git a/.github/workflows/build_wheels.yml b/.github/workflows/build_wheels.yml
@@ -3,11 +3,17 @@ name: PyPI
 on:
   workflow_dispatch:
     inputs:
-      publish_to_pypi:
-        description: 'Publish to PyPI?'
+      target:
+        type: choice
+        description: 'Package Index'
         required: true
-        type: boolean
-        default: false
+        default: 'TESTPYPI'
+        options: [ 'TESTPYPI', 'PYPI' ]
+      version:
+        type: string
+        description: 'Version tag'
+        required: true
+        default: '3.1'
 
 jobs:
   build_wheels:
@@ -17,19 +23,16 @@ jobs:
       fail-fast: false
       matrix:
         os: [ ubuntu-latest , windows-latest, macos-latest ]
-        python: [ "cp38", "cp39", "cp310", "cp311" ]
+        python: [ "cp39", "cp310", "cp311", "cp312" ]
         arch: [ auto64 ]
 
     steps:
       - name: Checkout zipline
         uses: actions/checkout@v4
         with:
           fetch-depth: 0
-
-#      - name: Setup Python
-#        uses: actions/setup-python@v5
-#        with:
-#          python-version: ${{ matrix.python }}
+          fetch-tags: true
+          ref: ${{ github.event.inputs.version }}
 
       - name: Set Xcode version
         uses: maxim-lobanov/setup-xcode@v1
@@ -41,8 +44,6 @@ jobs:
         if: runner.os != 'Windows'
         uses: pypa/[email protected]
         env:
-          CIBW_BEFORE_ALL_LINUX: ./tools/install_talib.sh
-          CIBW_BEFORE_ALL_MACOS: brew install ta-lib
           CIBW_ARCHS_LINUX: ${{ matrix.arch }}
           CIBW_ARCHS_MACOS: x86_64 arm64
           CIBW_BUILD: "${{ matrix.python }}-*"
@@ -59,58 +60,63 @@ jobs:
         uses: pypa/[email protected]
         env:
           CIBW_BUILD: "${{ matrix.python }}-win_amd64"
-          CIBW_BEFORE_TEST_WINDOWS: >
-            call "c:\Program Files\Microsoft Visual Studio\2022\Enterprise\VC\Auxiliary\Build\vcvarsall.bat" amd64 &&
-            call ./tools/install_talib.bat
 
       - name: Store artifacts
         uses: actions/upload-artifact@v4
         with:
+          name: my-artifact-${{ matrix.os }}-${{ matrix.python }}-${{ matrix.arch }}.whl
           path: ./wheelhouse/*.whl
 
-
   build_sdist:
     name: Build source distribution
     runs-on: ubuntu-latest
     steps:
       - uses: actions/checkout@v4
         with:
           fetch-depth: 0
+          fetch-tags: true
+          ref: ${{ github.event.inputs.version }}
 
       - uses: actions/setup-python@v5
         name: Install Python
         with:
           python-version: '3.11'
-
       - name: Build sdist
         run: |
           pip install -U pip setuptools build
           python -m build --sdist
-
-      - uses: actions/upload-artifact@v4
+      - name: upload sdist
+        uses: actions/upload-artifact@v4
         with:
-          path: dist/*.tar.gz
+          name: my-artifact-sdist
+          path: ./dist/*.tar.gz
 
   upload_pypi:
     needs: [ build_wheels, build_sdist ]
     runs-on: ubuntu-latest
     steps:
-      - uses: actions/download-artifact@v4
+      - name: Download All Artifacts
+        uses: actions/download-artifact@v4
         with:
-          name: artifact
-          path: dist
-
-      - name: publish to testpypi
+          pattern: my-artifact-*
+          path: artifacts/
+          merge-multiple: true
+      - name: Display structure of downloaded files
+        run: ls -R artifacts
+      - name: Publish to PyPI
+        if: ${{ github.event.inputs.target  == 'PYPI' }}
         uses: pypa/gh-action-pypi-publish@release/v1
-        if: ${{ inputs.publish_to_pypi == false }}
         with:
           user: __token__
-          password: ${{ secrets.TESTPYPI_TOKEN }}
-          repository_url: https://test.pypi.org/legacy/
-
-      - name: publish to pypi
+          password: ${{ secrets.PYPI_TOKEN }}
+          packages-dir: artifacts/
+      - name: Publish to PyPI - Test
+        if: ${{ github.event.inputs.target  == 'TESTPYPI' }}
         uses: pypa/gh-action-pypi-publish@release/v1
-        if: ${{ inputs.publish_to_pypi == true }}
         with:
           user: __token__
-          password: ${{ secrets.PYPI_TOKEN }}
+          password: ${{ secrets.TESTPYPI_TOKEN }}
+          repository-url: https://test.pypi.org/legacy/
+          skip-existing: true
+          verbose: true
+          packages-dir: artifacts/
diff --git a/.github/workflows/ci_tests_full.yml b/.github/workflows/ci_tests_full.yml
@@ -18,7 +18,7 @@ jobs:
         with:
           options: "--check --diff"
           src: "./src ./tests"
-          version: "~=22.0"
+          version: '24.1'
 
   flake8-lint:
     name: Lint Check

diff --git a/.github/workflows/ci_tests_quick.yml b/.github/workflows/ci_tests_quick.yml
@@ -3,6 +3,8 @@ name: CI Tests - Quick
 on:
   workflow_dispatch:
   push:
+    branches:
+      - main
   pull_request:
     branches:
       - main
@@ -17,7 +19,7 @@ jobs:
         with:
           options: "--check --diff"
           src: "./src ./tests"
-          version: "~=22.0"
+          version: '24.1'
 
   flake8-lint:
     name: Lint Check

diff --git a/.pre-commit-config.yaml b/.pre-commit-config.yaml
@@ -1,5 +1,5 @@
 default_language_version:
-    python: python3.11
+    python: python3.12
 repos:
   - repo: https://github.com/pre-commit/pre-commit-hooks
     rev: 'v4.4.0'
@@ -8,12 +8,12 @@ repos:
       - id: check-merge-conflict
       - id: end-of-file-fixer
       - id: trailing-whitespace
-  - repo: https://github.com/ambv/black
-    rev: 23.7.0
+  - repo: https://github.com/psf/black
+    rev: 24.1.0
     hooks:
       - id: black
         additional_dependencies: ['click==8.0.4']
-        language_version: python3.11
+        language_version: python3.12
   - repo: https://github.com/PyCQA/flake8
     rev: '6.0.0'
     hooks:

diff --git a/README.md b/README.md
@@ -23,13 +23,15 @@ by [Stefan Jansen](https://www.linkedin.com/in/applied-ai/) who is trying to kee
 - **PyData Integration:** Input of historical data and output of performance statistics are based on Pandas DataFrames to integrate nicely into the existing PyData ecosystem.
 - **Statistics and Machine Learning Libraries:** You can use libraries like matplotlib, scipy, statsmodels, and scikit-klearn to support development, analysis, and visualization of state-of-the-art trading systems.
 
+> **Note:** Release 3.05 makes Zipline compatible with Numpy 2.0, which requires Pandas 2.2.2 or higher. If you are using an older version of Pandas, you will need to upgrade it. Other packages may also still take more time to catch up with the latest Numpy release.
+
 > **Note:** Release 3.0 updates Zipline to use [pandas](https://pandas.pydata.org/pandas-docs/stable/whatsnew/v2.0.0.html) >= 2.0 and [SQLAlchemy](https://docs.sqlalchemy.org/en/20/) > 2.0. These are major version updates that may break existing code; please review the linked docs.
 
 > **Note:** Release 2.4 updates Zipline to use [exchange_calendars](https://github.com/gerrymanoim/exchange_calendars) >= 4.2. This is a major version update and may break existing code (which we have tried to avoid but cannot guarantee). Please review the changes [here](https://github.com/gerrymanoim/exchange_calendars/issues/61).
 
 ## Installation
 
-Zipline supports Python >= 3.8 and is compatible with current versions of the relevant [NumFOCUS](https://numfocus.org/sponsored-projects?_sft_project_category=python-interface) libraries, including [pandas](https://pandas.pydata.org/) and [scikit-learn](https://scikit-learn.org/stable/index.html).
+Zipline supports Python >= 3.9 and is compatible with current versions of the relevant [NumFOCUS](https://numfocus.org/sponsored-projects?_sft_project_category=python-interface) libraries, including [pandas](https://pandas.pydata.org/) and [scikit-learn](https://scikit-learn.org/stable/index.html).
 
 ### Using `pip`
 
@@ -94,15 +96,25 @@ def handle_data(context, data):
            long_mavg=long_mavg)
 ```
 
-You can then run this algorithm using the Zipline CLI. But first, you need to download some market data with historical prices and trading volumes:
+You can then run this algorithm using the Zipline CLI. But first, you need to download some market data with historical prices and trading volumes.
+
+This will download asset pricing data from [NASDAQ](https://data.nasdaq.com/databases/WIKIP) (formerly [Quandl](https://www.nasdaq.com/about/press-center/nasdaq-acquires-quandl-advance-use-alternative-data)).
+
+> This requires an API key, which you can get for free by signing up at [NASDAQ Data Link](https://data.nasdaq.com).
 
 ```bash
+$ export QUANDL_API_KEY="your_key_here"
 $ zipline ingest -b quandl
+````
+
+The following will 
+- stream the through the algorithm over the specified time range. 
+- save the resulting performance DataFrame as `dma.pickle`, which you can load and analyze from Python using, e.g., [pyfolio-reloaded](https://github.com/stefan-jansen/pyfolio-reloaded).
+
+```bash
 $ zipline run -f dual_moving_average.py --start 2014-1-1 --end 2018-1-1 -o dma.pickle --no-benchmark
 ```
 
-This will download asset pricing data sourced from [Quandl](https://www.quandl.com/databases/WIKIP/documentation?anchor=companies) (since [acquisition](https://www.nasdaq.com/about/press-center/nasdaq-acquires-quandl-advance-use-alternative-data) hosted by NASDAQ), and stream it through the algorithm over the specified time range. Then, the resulting performance DataFrame is saved as `dma.pickle`, which you can load and analyze from Python.
-
 You can find other examples in the [zipline/examples](https://github.com/stefan-jansen/zipline-reloaded/tree/main/src/zipline/examples) directory.
 
 ## Questions, suggestions, bugs?

diff --git a/pyproject.toml b/pyproject.toml
@@ -31,8 +31,12 @@ classifiers = [
 
 license = { file = "LICENSE" }
 
-requires-python = '>=3.8'
+requires-python = '>=3.9'
 dependencies = [
+    "numpy>=1.23.5, <2; python_version<'3.10'",
+    "numpy>=1.23.5; python_version<'3.12'",
+    "numpy>=1.26.0; python_version>='3.12'",
+    "pandas >=1.3.0,<3.0",
     'alembic >=0.7.7',
     'bcolz-zipline >=1.2.6',
     'bottleneck >=1.0.0',
@@ -46,8 +50,6 @@ dependencies = [
     'multipledispatch >=0.6.0',
     'networkx >=2.0',
     'numexpr >=2.6.1',
-    'numpy >=1.14.5,<2.0.0',
-    'pandas >=1.3',
     'patsy >=0.4.0',
     'python-dateutil >=2.4.2',
     'python-interface >=1.5.3',
@@ -57,7 +59,8 @@ dependencies = [
     'six >=1.10.0',
     'sqlalchemy >=2',
     'statsmodels >=0.6.1',
-    'ta-lib >=0.4.09',
+    # ta-lib is not available for Numpy 2.0 => optional
+    #    'ta-lib >=0.4.09',
     'tables >=3.4.3',
     'toolz >=0.8.2',
     'exchange-calendars >=4.2.4'
@@ -75,7 +78,9 @@ requires = [
     'wheel>=0.36.0',
     'Cython>=0.29.21',
     #    'Cython>=3',
-    'oldest-supported-numpy; python_version>="3.8"',
+    'numpy>=2.0.0rc1 ; python_version>"3.9"',
+    'numpy<2.0 ; python_version<="3.9"'
+    #    'oldest-supported-numpy; python_version>="3.9"',
 ]
 build-backend = 'setuptools.build_meta'
 
@@ -92,20 +97,20 @@ test = [
     'matplotlib >=1.5.3',
     'responses >=0.9.0',
     'pandas-datareader >=0.2.1',
-    'click <8.1.0',
+#    'click <8.1.0',
+    'click',
     'coverage',
     'pytest-rerunfailures',
-    # the following are required to run tests using PostgreSQL instead of SQLite
-    #    'psycopg2',
-    #    'pytest-postgresql ==3.1.3'
 ]
+
 dev = [
     'flake8 >=3.9.1',
-    'black',
+    'black >=24.0b1',
     'pre-commit >=2.12.1',
-    #    'Cython>=0.29.21,<3',
     'Cython>=0.29.21',
+    'ruff'
 ]
+
 docs = [
     'Cython',
     'Sphinx >=1.3.2',
@@ -114,7 +119,6 @@ docs = [
     'pydata-sphinx-theme',
     'sphinx_markdown_tables',
     'm2r2'
-
 ]
 
 [project.scripts]
@@ -137,19 +141,21 @@ local_scheme = 'dirty-tag'
 "*" = ["*.pyi", "*.pyx", "*.pxi", "*.pxd"]
 
 [tool.pytest.ini_options]
+pythonpath = ['.']
 testpaths = 'tests'
 addopts = '-v'
 filterwarnings = 'ignore::DeprecationWarning:pandas_datareader.compat'
 
 [tool.cibuildwheel]
 test-extras = "test"
-test-command = "pytest -x --reruns 5 {package}/tests"
+test-command = "pytest -x --reruns 5 {project}/tests"
 build-verbosity = 3
 environment = "GITHUB_ACTIONS=true"
+skip = "cp39-macosx_arm64 cp39-macosx_universal2:arm64"
 
 [tool.cibuildwheel.macos]
 archs = ["x86_64", "arm64", "universal2"]
-test-skip = ["*universal2:arm64"]
+test-skip = "cp39* *-macosx_arm64 *-macosx_universal2:arm64"
 
 [tool.cibuildwheel.linux]
 archs = ["auto64"]
@@ -161,7 +167,7 @@ test-skip = ["*"]
 
 [tool.black]
 line-length = 88
-target-version = ['py38', 'py39', 'py310', 'py311']
+target-version = ['py39', 'py310', 'py311', 'py312']
 exclude = '''
 (
     asv_bench/env
@@ -175,10 +181,22 @@ exclude = '''
 )
 '''
 
+[tool.ruff.lint]
+select = ["NPY201"]
+
 [tool.tox]
 legacy_tox_ini = """
 [tox]
-envlist = py{39,310}-pandas{13,14,15}, py{39,310,311,312}-pandas{20,21,22}
+envlist =
+    py39-pandas{13,14,15}-numpy1
+    py310-pandas{13,14,15,20,21,22}-numpy1
+    py311-pandas{13,14,15,20,21,22}-numpy1
+    py312-pandas{13,14,15,20,21,22}-numpy1
+    py39-pandas222-numpy2
+    py310-pandas222-numpy2
+    py311-pandas222-numpy2
+    py312-pandas222-numpy2
+
 isolated_build = True
 skip_missing_interpreters = True
 minversion = 3.23.0
@@ -204,6 +222,9 @@ deps =
     pandas20: pandas>=2.0,<2.1
     pandas21: pandas>=2.1,<2.2
     pandas22: pandas>=2.2,<2.3
+    pandas222: pandas>=2.2.2,<2.3
+    numpy1: numpy>=1.23.5,<2.0
+    numpy2: numpy>=2.0,<2.1
 
 commands =
     pytest -n 4 --reruns 5 --cov={toxinidir}/src --cov-report term  --cov-report=xml --cov-report=html:htmlcov {toxinidir}/tests

diff --git a/src/zipline/_protocol.pxd b/src/zipline/_protocol.pxd
@@ -1,5 +1,5 @@
 cimport numpy as np
-
+import numpy; numpy.import_array()
 from zipline.assets._assets cimport Asset