BUG: Fix missing values from supplemental data in batch transform.

Adapt the supplemental data fill so that it works with the new
shape of the batch transform that was switched to with the rolling
panel optimizations.

zipline/transforms/utils.py

@@ -501,14 +501,19 @@ class BatchTransform(object):
         data = self.rolling_panel.get_current()
 
         if self.supplemental_data:
-            # item will be a date stamp
             for item in data.items:
-                try:
-                    data[item] = self.supplemental_data[item].combine_first(
-                        data[item])
-                except KeyError:
-                    # Only filling in data available in supplemental data.
-                    pass
+                # axes[1] (minor axis) will be a date stamp
+                for dt in data.axes[1]:
+                    try:
+                        supplemental_for_date = self.supplemental_data[dt]
+                    except KeyError:
+                        # Only filling in data available in supplemental data.
+                        supplemental_for_date = None
+
+                    if supplemental_for_date is not None:
+                        data[item].ix[dt] = \
+                            supplemental_for_date.ix[item].combine_first(
+                                data[item].ix[dt])
 
         if self.clean_nans:
             # Fills in gaps of missing data during transform