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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().
This commit is contained in:
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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zipline/sources/data_frame_source.py
+7 -19
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@@ -18,7 +18,6 @@ Tools to generate data sources.
"""
import numpy as np
import pandas as pd
import datetime
from zipline.gens.utils import hash_args
@@ -41,19 +40,13 @@ class DataFrameSource(DataSource):
@with_environment()
def __init__(self, data, env=None, **kwargs):
assert isinstance(data.index, pd.tseries.index.DatetimeIndex)
assert isinstance(data.columns, pd.Int64Index)
# TODO is ffilling correct/necessary?
# Forward fill prices
self.data = data.fillna(method='ffill')
# Unpack config dictionary with default values.
self.start = kwargs.get('start', self.data.index[0])
self.end = kwargs.get('end', self.data.index[-1])
# Remap sids based on the trading environment
env.update_asset_finder(
identifiers=kwargs.get('sids', self.data.columns)
)
self.data.columns, _ = env.asset_finder.lookup_generic(
self.data.columns, datetime.datetime.now()
)
self.sids = self.data.columns
# Hash_value for downstream sorting.
@@ -118,20 +111,15 @@ class DataPanelSource(DataSource):
@with_environment()
def __init__(self, data, env=None, **kwargs):
assert isinstance(data.major_axis, pd.tseries.index.DatetimeIndex)
# Only accept integer SIDs as the items of the Panel
assert isinstance(data.items, pd.Int64Index)
# TODO is ffilling correct/necessary?
# forward fill with volumes of 0
self.data = data.fillna(value={'volume': 0})
self.data = self.data.fillna(method='ffill')
# Unpack config dictionary with default values.
self.start = kwargs.get('start', self.data.major_axis[0])
self.end = kwargs.get('end', self.data.major_axis[-1])
# Remap sids based on the trading environment
env.update_asset_finder(
identifiers=kwargs.get('sids', self.data.items)
)
self.data.items, _ = env.asset_finder.lookup_generic(
self.data.items, datetime.datetime.now()
)
self.sids = self.data.items
# Hash_value for downstream sorting.