BUG: support case there are more sids requested than available in a blaze dataset

2026-07-07 15:27:05 +08:00 · 2015-10-16 17:17:35 -04:00
parent 4238391f6f
commit 1371bf2cd0
1 changed files with 7 additions and 0 deletions
@@ -845,6 +845,13 @@ class BlazeLoader(dict):
            ).unstack()

            dense_output = sparse_output.reindex(dates, method='ffill')
+            cols = dense_output.columns
+            dense_output = dense_output.reindex(
+                columns=pd.MultiIndex.from_product(
+                    (cols.levels[0], assets),
+                    names=cols.names,
+                ),
+            )

            adjustments_from_deltas = adjustments_from_deltas_with_sids
            column_view = identity