feat(Events): added EventFilter, EventLabeller (#186)

labeling/types.py

@@ -0,0 +1,28 @@
+from data_loader.types import ReturnSeries, ForwardReturnSeries
+from abc import ABC, abstractmethod
+import pandas as pd
+import pandera as pa
+from pandera.typing import DataFrame, Series
+
+class EventFilter(ABC):
+
+    @abstractmethod
+    def get_event_start_times(self, returns: ReturnSeries) -> pd.DatetimeIndex:
+        raise NotImplementedError
+
+
+class EventSchema(pa.SchemaModel):
+    start: Series[pd.Timestamp]
+    end: Series[pd.Timestamp]
+    label: Series[int]
+    returns: Series[float]
+
+EventsDataFrame = DataFrame[EventSchema]
+
+
+class EventLabeller(ABC):
+
+    @abstractmethod
+    def label_events(self, event_start_times: pd.DatetimeIndex, forward_returns: ForwardReturnSeries) -> EventsDataFrame:
+        raise NotImplementedError
+