From 6287987c0bc776b9077f13cf97587f7601f2d494 Mon Sep 17 00:00:00 2001
From: Scott Sanderson <ssanderson@quantopian.com>
Date: Tue, 16 Feb 2016 13:43:56 -0500
Subject: [PATCH] BUG: Work around scipy >= 0.17 changing dtype of rankdata.

---
 zipline/lib/rank.pyx | 5 +++++
 1 file changed, 5 insertions(+)

diff --git a/zipline/lib/rank.pyx b/zipline/lib/rank.pyx
index 52b36ed0..84a57d07 100644
--- a/zipline/lib/rank.pyx
+++ b/zipline/lib/rank.pyx
@@ -58,6 +58,11 @@ def masked_rankdata_2d(ndarray data,
         # the extra work that apply_along_axis does.
         result = apply_along_axis(rankdata, 1, data, method=method)
 
+        # On SciPy >= 0.17, rankdata returns integers for any method except
+        # average.
+        if result.dtype.name != 'float64':
+            result = result.astype('float64')
+
     # rankdata will sort missing values into last place, but we want our nans
     # to propagate, so explicitly re-apply.
     result[missing_locations] = nan