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API: DataFrame/Panel sources expect integer sids, not identifiers

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This commit modifies the DataFrameSource and DataPanelSource to accept only Int64Indexes on the incoming data and moves the burden of mapping user identifiers to TradingAlgorithm.run().
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jfkirk
2015-07-01 13:43:31 -04:00
parent a4ce9712b8
commit 258b5ea2ca
8 changed files with 83 additions and 33 deletions
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tests/test_assets.py
+22
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@@ -718,3 +718,25 @@ 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):
# Build an empty finder and some Assets
dt = pd.Timestamp('2014-01-01', tz='UTC')
finder = AssetFinder()
asset1 = Equity(1, symbol="AAPL")
asset2 = Equity(2, symbol="GOOG")
asset200 = Future(200, symbol="CLK15")
asset201 = Future(201, symbol="CLM15")
# Check for correct mapping and types
pre_map = [asset1, asset2, asset200, asset201]
post_map = finder.map_identifier_list_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)
self.assertListEqual([201, 2, 200, 1], post_map)