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ENH/BUG: Modeling API enhancements.
- Fixes an error where Modeling API data known as of the close of `day N` would be shown to algorithms during `before_trading_start` as of the close of the same day. Algorithms should now only receive data during `before_trading_start/handle_data` that was known as of the simulation time at which the function would be called. - All Term instances now have a `mask` attribute that must be a `Filter` or an instance of `AssetExists()`. `mask` can be used to specify that a Factor should be computed in a manner that ignores the values that were not `True` in the mask. - Changed the interface for `FFCLoader.load_adjusted_array` and `Term._compute` from `(columns, mask)`, with mask as a DataFrame, to `(columns, dates, assets, mask)`, where mask is a numpy array. This is primarily to avoid having to reconstruct extra DataFrames when using masks produced by non `AssetExists` filters. - Adds `BoundColumn.latest`, which gives the most-recently-known value of a column.
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@@ -64,8 +64,12 @@ ext_modules = LazyCythonizingList([
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('zipline.lib.adjustment', ['zipline/lib/adjustment.pyx']),
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('zipline.lib.rank', ['zipline/lib/rank.pyx']),
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(
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'zipline.data.ffc.loaders._us_equity_pricing',
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['zipline/data/ffc/loaders/_us_equity_pricing.pyx']
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'zipline.data.ffc.loaders._equities',
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['zipline/data/ffc/loaders/_equities.pyx'],
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),
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(
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'zipline.data.ffc.loaders._adjustments',
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['zipline/data/ffc/loaders/_adjustments.pyx'],
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),
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])
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