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Merge pull request #28 from quantopian/fix-nans-in-transforms

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Fills in missing slots in transform data panels.
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Eddie Hebert
2012-11-21 17:32:11 -08:00
parent cbd3fa1e78 2c3d9a84db
commit 7fd75cf96b
1 changed files with 10 additions and 0 deletions
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zipline/transforms/utils.py
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@@ -454,6 +454,16 @@ class BatchTransform(EventWindow):
fields[field_name] = pd.DataFrame.from_dict(values_per_sid) fields[field_name] = pd.DataFrame.from_dict(values_per_sid)
data = pd.Panel.from_dict(fields, orient='items') 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 return data
def handle_remove(self, event): def handle_remove(self, event):