wassname/catalyst
1
0
Fork 0
mirror of https://github.com/wassname/catalyst.git synced 2026-07-13 17:42:42 +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
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 = []