Fills in missing slots in transform data panels.

Forward fills data, so that when using multiple stocks,
we don't have cases where one stock has data and the other doesn't.

zipline/transforms/utils.py

@@ -454,6 +454,16 @@ class BatchTransform(EventWindow):
                 fields[field_name] = pd.DataFrame.from_dict(values_per_sid)
 
         data = pd.Panel.from_dict(fields, orient='items')
+
+        # Fills in gaps of missing data during transform of multiple
+        # stocks.
+        # e.g. we may be missing minute data because of illiquidity
+        # of one stock
+        data = data.fillna(method='ffill')
+        # Drop any empty rows after the fill.
+        # This will drop a leading row of N/A
+        data = data.dropna()
+
         return data
 
     def handle_remove(self, event):