use warning replace error when some assets not in groupby in utils.get_clean_factor

[hahaws]

use warning replace error when some assets not in groupby

the parameter groupby of function utils.get_clean_factor_and_forward_returns should contain all assets in factor but sometimes there are some assets not in group. in this case utils.get_clean_factor_and_forward_returns will raise an error

KeyError: "Assets ['xxx'] not in group mapping"

under these circumstances, people who use alphalens have to stop and find out which asset is not in group mapping and find a way to avoid this error Just like the following

price_index = pd.date_range(start='2015-1-10', end='2015-2-28')
price_index.name = 'date'
tickers = ['A', 'B', 'C', 'D', 'E', 'F']
data = [[1.0025**i, 1.005**i, 1.00**i, 0.995**i, 1.005**i, 1.00**i]
        for i in range(1, 51)]
prices = pd.DataFrame(index=price_index, columns=tickers, data=data)

tickers = ['A', 'B', 'C', 'D', 'E', 'F']
factor_index = pd.date_range(start='2015-1-15', end='2015-2-13')
factor_index.name = 'date'
factor = pd.DataFrame(index=factor_index, columns=tickers,
                   data=[[3, 4, 2, 1, 5, 6], [3, 6, 5, 1, 4, 2],
                         [3, 4, 2, 1, 5, 6], [3, 4, 2, 1, 6, 5],
                         [3, 4, 2, 1, 5, 6], [3, 4, 2, 1, 6, 5],
                         [3, 5, 6, 1, 4, 2], [3, 6, 5, 1, 4, 2],
                         [3, 4, 2, 1, 5, 6], [3, 4, 2, 1, 6, 5],
                         [3, 5, 6, 1, 4, 2], [3, 6, 5, 1, 4, 2],
                         [3, 5, 6, 1, 4, 2], [3, 6, 5, 1, 4, 2],
                         [3, 5, 6, 1, 4, 2], [3, 6, 5, 1, 4, 2],
                         [3, 5, 6, 1, 4, 2], [3, 6, 5, 1, 4, 2],
                         [3, 5, 6, 1, 4, 2], [3, 6, 5, 1, 4, 2],
                         [3, 4, 2, 1, 5, 6], [3, 4, 2, 1, 6, 5],
                         [3, 4, 2, 1, 5, 6], [3, 4, 2, 1, 6, 5],
                         [3, 4, 2, 1, 5, 6], [3, 4, 2, 1, 6, 5],
                         [3, 4, 2, 1, 5, 6], [3, 4, 2, 1, 6, 5],
                         [3, 6, 5, 1, 4, 2], [3, 6, 5, 1, 4, 2]]).stack()

factor_groups = {'A': 'Group1', 'B': 'Group2', 'C': 'Group1', 'D': 'Group2', 'E': 'Group1'}

utils.get_clean_factor_and_forward_returns(factor=factor, prices=prices, groupby=factor_groups)

There ar 6 tickers, but factor_groups just includes 5 when we use get_clean_factor_and_forward_returns it will raise an error

KeyError: "Assets ['F'] not in group mapping"

now use warning to replace error to continue compute

UserWarning: Assets ['F'] ... not in group mapping