ENH: allow columns from different datasets

zipline/pipeline/loaders/blaze.py

@@ -126,7 +126,6 @@ from __future__ import division, absolute_import
 from abc import ABCMeta, abstractproperty
 from collections import namedtuple, defaultdict
 from itertools import count
-from operator import attrgetter
 import warnings
 from weakref import WeakKeyDictionary
 
@@ -148,10 +147,12 @@ from toolz import (
     compose,
     concat,
     flip,
+    groupby,
     identity,
     memoize,
 )
-from six import with_metaclass, PY2
+import toolz.curried.operator as op
+from six import with_metaclass, PY2, iteritems
 
 
 from ..data.dataset import DataSet, Column
@@ -172,7 +173,7 @@ traversable_nodes = (
     bz.expr.Label,
 )
 is_invalid_deltas_node = complement(flip(isinstance, valid_deltas_node_types))
-getname = attrgetter('__name__')
+getname = op.attrgetter('__name__')
 
 
 class _ExprRepr(object):
@@ -553,8 +554,8 @@ def from_blaze(expr,
     return ds
 
 
-getdataset = attrgetter('dataset')
-dataset_name = attrgetter('name')
+getdataset = op.attrgetter('dataset')
+dataset_name = op.attrgetter('name')
 
 
 def inline_novel_deltas(base, deltas, dates):
@@ -712,6 +713,17 @@ class BlazeLoader(dict):
         return cls()
 
     def load_adjusted_array(self, columns, dates, assets, mask):
+        return map(
+            op.getitem(
+                dict(concat(
+                    self._load_dataset(cs, dates, assets, mask)
+                    for _, cs in iteritems(groupby(getdataset, columns))
+                )),
+            ),
+            columns,
+        )
+
+    def _load_dataset(self, columns, dates, assets, mask):
         try:
             dataset, = set(map(getdataset, columns))
         except ValueError:
@@ -826,7 +838,7 @@ class BlazeLoader(dict):
 
         for column_idx, column in enumerate(columns):
             column_name = column.name
-            yield adjusted_array(
+            yield column, adjusted_array(
                 column_view(
                     dense_output[column_name].values.astype(column.dtype),
                 ),