From 1371bf2cd06c5dd85878da133549f79c5446add5 Mon Sep 17 00:00:00 2001 From: llllllllll Date: Fri, 16 Oct 2015 17:17:35 -0400 Subject: [PATCH] BUG: support case there are more sids requested than available in a blaze dataset --- zipline/pipeline/loaders/blaze.py | 7 +++++++ 1 file changed, 7 insertions(+) diff --git a/zipline/pipeline/loaders/blaze.py b/zipline/pipeline/loaders/blaze.py index 91343f34..a90650d4 100644 --- a/zipline/pipeline/loaders/blaze.py +++ b/zipline/pipeline/loaders/blaze.py @@ -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