wassname/catalyst
1
0
Fork 0
mirror of https://github.com/wassname/catalyst.git synced 2026-06-30 02:54:16 +08:00
Code Issues Packages Projects Releases Wiki Activity

BUG: Running an algo with a df/panel of Assets was raising SidNotFound

Browse Source
This commit is contained in:
Richard Frank
2015-09-24 17:16:58 -04:00
parent 0b6b11a080
commit 136eb8aa0d
2 changed files with 50 additions and 37 deletions
Download Patch File Download Diff File Expand all files Collapse all files
tests/test_algorithm.py
+21 -1
View File
@@ -16,7 +16,7 @@ import datetime
from datetime import timedelta
from mock import MagicMock
from nose_parameterized import parameterized
from six.moves import range
from six.moves import range, map
from textwrap import dedent
from unittest import TestCase
@@ -599,6 +599,26 @@ class TestTransformAlgorithm(TestCase):
sim_params=self.sim_params,
env=self.env,
sids=[0, 1])
panel = self.panel.copy()
panel.items = pd.Index(map(Equity, panel.items))
algo.run(panel)
assert isinstance(algo.sources[0], DataPanelSource)
def test_df_of_assets_as_input(self):
algo = TestRegisterTransformAlgorithm(
sim_params=self.sim_params,
env=TradingEnvironment(), # new env without assets
)
df = self.df.copy()
df.columns = pd.Index(map(Equity, df.columns))
algo.run(df)
assert isinstance(algo.sources[0], DataFrameSource)
def test_panel_of_assets_as_input(self):
algo = TestRegisterTransformAlgorithm(
sim_params=self.sim_params,
env=TradingEnvironment(), # new env without assets
sids=[0, 1])
algo.run(self.panel)
assert isinstance(algo.sources[0], DataPanelSource)
zipline/algorithm.py
+29 -36
View File
@@ -513,48 +513,17 @@ class TradingAlgorithm(object):
# if DataFrame provided, map columns to sids and wrap
# in DataFrameSource
copy_frame = source.copy()
# Build new Assets for identifiers that can't be resolved as
# sids/Assets
identifiers_to_build = []
for identifier in source.columns:
if hasattr(identifier, '__int__'):
asset = self.asset_finder.retrieve_asset(sid=identifier,
default_none=True)
if asset is None:
identifiers_to_build.append(identifier)
else:
identifiers_to_build.append(identifier)
self.trading_environment.write_data(
equities_identifiers=identifiers_to_build)
copy_frame.columns = \
self.asset_finder.map_identifier_index_to_sids(
source.columns, source.index[0]
)
copy_frame.columns = self._write_and_map_id_index_to_sids(
source.columns, source.index[0],
)
source = DataFrameSource(copy_frame)
elif isinstance(source, pd.Panel):
# If Panel provided, map items to sids and wrap
# in DataPanelSource
copy_panel = source.copy()
# Build new Assets for identifiers that can't be resolved as
# sids/Assets
identifiers_to_build = []
for identifier in source.items:
if hasattr(identifier, '__int__'):
asset = self.asset_finder.retrieve_asset(sid=identifier,
default_none=True)
if asset is None:
identifiers_to_build.append(identifier)
else:
identifiers_to_build.append(identifier)
self.trading_environment.write_data(
equities_identifiers=identifiers_to_build)
copy_panel.items = self.asset_finder.map_identifier_index_to_sids(
source.items, source.major_axis[0]
copy_panel.items = self._write_and_map_id_index_to_sids(
source.items, source.major_axis[0],
)
source = DataPanelSource(copy_panel)
@@ -617,6 +586,30 @@ class TradingAlgorithm(object):
return daily_stats
def _write_and_map_id_index_to_sids(self, identifiers, as_of_date):
# Build new Assets for identifiers that can't be resolved as
# sids/Assets
identifiers_to_build = []
for identifier in identifiers:
asset = None
if isinstance(identifier, Asset):
asset = self.asset_finder.retrieve_asset(sid=identifier.sid,
default_none=True)
elif hasattr(identifier, '__int__'):
asset = self.asset_finder.retrieve_asset(sid=identifier,
default_none=True)
if asset is None:
identifiers_to_build.append(identifier)
self.trading_environment.write_data(
equities_identifiers=identifiers_to_build)
return self.asset_finder.map_identifier_index_to_sids(
identifiers, as_of_date,
)
def _create_daily_stats(self, perfs):
# create daily and cumulative stats dataframe
daily_perfs = []