ENH: Removes use of lookup_generic in DataFrame index mapping

tests/test_assets.py

@@ -719,7 +719,7 @@ class AssetFinderTestCase(TestCase):
         # No contracts exist after 12/14/2015, so we should get none
         self.assertIsNone(finder.lookup_future_by_expiration('AD', dt, jan_16))
 
-    def test_map_identifier_list_to_sids(self):
+    def test_map_identifier_index_to_sids(self):
 
         # Build an empty finder and some Assets
         dt = pd.Timestamp('2014-01-01', tz='UTC')
@@ -731,12 +731,12 @@ class AssetFinderTestCase(TestCase):
 
         # Check for correct mapping and types
         pre_map = [asset1, asset2, asset200, asset201]
-        post_map = finder.map_identifier_list_to_sids(pre_map, dt)
+        post_map = finder.map_identifier_index_to_sids(pre_map, dt)
         self.assertListEqual([1, 2, 200, 201], post_map)
         for sid in post_map:
             self.assertIsInstance(sid, int)
 
         # Change order and check mapping again
         pre_map = [asset201, asset2, asset200, asset1]
-        post_map = finder.map_identifier_list_to_sids(pre_map, dt)
+        post_map = finder.map_identifier_index_to_sids(pre_map, dt)
         self.assertListEqual([201, 2, 200, 1], post_map)

tests/test_sources.py

@@ -76,7 +76,7 @@ class TestDataFrameSource(TestCase):
                         'volume', 'price']
 
         copy_panel = data.copy()
-        sids = finder.map_identifier_list_to_sids(
+        sids = finder.map_identifier_index_to_sids(
             data.items, data.major_axis[0]
         )
         copy_panel.items = sids

zipline/algorithm.py

@@ -463,16 +463,17 @@ class TradingAlgorithm(object):
             # if DataFrame provided, map columns to sids and wrap
             # in DataFrameSource
             copy_frame = source.copy()
-            copy_frame.columns = self.asset_finder.map_identifier_list_to_sids(
-                source.columns, source.index[0]
-            )
+            copy_frame.columns = \
+                self.asset_finder.map_identifier_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()
-            copy_panel.items = self.asset_finder.map_identifier_list_to_sids(
+            copy_panel.items = self.asset_finder.map_identifier_index_to_sids(
                 source.items, source.major_axis[0]
             )
             source = DataPanelSource(copy_panel)

zipline/assets/assets.py

@@ -32,6 +32,7 @@ from zipline.errors import (
     SidAssignmentError,
     SidNotFound,
     SymbolNotFound,
+    MapAssetIdentifierIndexError,
 )
 from zipline.assets._assets import (
     Asset, Equity, Future
@@ -532,29 +533,57 @@ class AssetFinder(object):
             self._lookup_generic_scalar(obj, as_of_date, matches, missing)
         return matches, missing
 
-    def map_identifier_list_to_sids(self, index, as_of_date):
+    def map_identifier_index_to_sids(self, index, as_of_date):
         """
-        This method is for use in sanitizing a user's DataFrame inputs.
-        Takes the given indices, inserts them in to the AssetFinder as
-        identifiers, rebuilds the Assets, and returns a new object that
-        contains the sids of the given identifiers.
+        This method is for use in sanitizing a user's DataFrame or Panel
+        inputs.
 
-        :param index: The index to be mapped
-        :return: The new index of sids
+        Takes the given index of identifiers, checks their types, builds assets
+        if necessary, and returns a list of the sids that correspond to the
+        input index.
+
+        Parameters
+        __________
+        index : Iterable
+            An iterable containing ints, strings, or Assets
+        as_of_date : pandas.Timestamp
+            A date to be used to resolve any dual-mapped symbols
+
+        Returns
+        _______
+        List
+            A list of integer sids corresponding to the input index
         """
-        # Populate the caches with the given indices
+        # This method assumes that the type of the objects in the index is
+        # consistent and can, therefore, be taken from the first identifier
+        first_identifier = index[0]
+
+        # Ensure that input is AssetConvertible (integer, string, or Asset)
+        if not isinstance(first_identifier, AssetConvertible):
+            raise MapAssetIdentifierIndexError(obj=first_identifier)
+
+        # If sids are provided, no mapping is necessary
+        if isinstance(first_identifier, Integral):
+            return index
+
+        # If symbols or Assets are provided, construction and mapping is
+        # necessary
         self.consume_identifiers(index)
         self.populate_cache()
 
-        # Find all of the newly built assets corresponding to the indices
-        found, missing = self.lookup_generic(index, as_of_date)
+        # Look up all Assets for mapping
+        matches = []
+        missing = []
+        for identifier in index:
+            self._lookup_generic_scalar(identifier, as_of_date,
+                                        matches, missing)
 
         # Handle missing assets
         if len(missing) > 0:
             warnings.warn("Missing assets for identifiers: " + missing)
 
         # Return a list of the sids of the found assets
-        return [asset.sid for asset in found]
+        return [asset.sid for asset in matches]
 
     def insert_metadata(self, identifier, **kwargs):
         """

zipline/errors.py

@@ -246,7 +246,7 @@ TradingEnvironment can not set asset_finder to object of class {cls}.
 
 class ConsumeAssetMetaDataError(ZiplineError):
     """
-    Raised when AssetMetaData.consume() is called on an invalid object.
+    Raised when AssetFinder.consume() is called on an invalid object.
     """
     msg = """
 AssetFinder can not consume metadata of type {obj}. Metadata must be a dict, a
@@ -255,6 +255,17 @@ must contain both or one of 'sid' or 'symbol'.
 """.strip()
 
 
+class MapAssetIdentifierIndexError(ZiplineError):
+    """
+    Raised when AssetMetaData.map_identifier_index_to_sids() is called on an
+    index of invalid objects.
+    """
+    msg = """
+AssetFinder can not map an index with values of type {obj}. Asset indices of
+DataFrames or Panels must be integer sids, string symbols, or Asset objects.
+""".strip()
+
+
 class SidAssignmentError(ZiplineError):
     """
     Raised when an AssetFinder tries to build an Asset that does not have a sid