DEP: Removes sids field from SimulationParameters

tests/test_algorithm.py

@@ -138,7 +138,6 @@ class TestMiscellaneousAPI(TestCase):
         sids = [1, 2]
         self.sim_params = factory.create_simulation_parameters(
             num_days=2,
-            sids=sids,
             data_frequency='minute',
             emission_rate='minute',
         )

tests/test_transforms.py

@@ -120,13 +120,11 @@ class TransformTestCase(TestCase):
 
         minute_sim_ps = factory.create_simulation_parameters(
             num_days=3,
-            sids=cls.sids,
             data_frequency='minute',
             emission_rate='minute',
         )
         daily_sim_ps = factory.create_simulation_parameters(
             num_days=30,
-            sids=cls.sids,
             data_frequency='daily',
             emission_rate='daily',
         )

zipline/algorithm.py

@@ -477,23 +477,22 @@ class TradingAlgorithm(object):
                 self.sim_params.period_start = source.start
             if hasattr(source, 'end'):
                 self.sim_params.period_end = source.end
-            # The sids field of the source is the canonical reference for
-            # sids in this run
-            all_sids = [sid for s in self.sources for sid in s.sids]
-            self.sim_params.sids = set(all_sids)
-            # Check that all sids from the source are accounted for in
-            # the AssetFinder
-            for sid in self.sim_params.sids:
-                try:
-                    self.asset_finder.retrieve_asset(sid)
-                except SidNotFound:
-                    warnings.warn("No Asset found for sid '%s'. Make sure "
-                                  "that the correct identifiers and asset "
-                                  "metadata are passed to __init__()." % sid)
             # Changing period_start and period_close might require updating
             # of first_open and last_close.
             self.sim_params._update_internal()
 
+        # The sids field of the source is the reference for the universe at
+        # the start of the run
+        self._current_universe = set()
+        for source in self.sources:
+            for sid in source.sids:
+                self._current_universe.add(sid)
+        # Check that all sids from the source are accounted for in
+        # the AssetFinder. This retrieve call will raise an exception if the
+        # sid is not found.
+        for sid in self._current_universe:
+            self.asset_finder.retrieve_asset(sid)
+
         # force a reset of the performance tracker, in case
         # this is a repeat run of the algorithm.
         self.perf_tracker = None
@@ -505,7 +504,7 @@ class TradingAlgorithm(object):
         if self.history_specs:
             self.history_container = self.history_container_class(
                 self.history_specs,
-                self.sim_params.sids,
+                self.current_universe(),
                 self.sim_params.first_open,
                 self.sim_params.data_frequency,
             )
@@ -1183,7 +1182,7 @@ class TradingAlgorithm(object):
         self.register_trading_control(LongOnly())
 
     def current_universe(self):
-        return self.sim_params.sids
+        return self._current_universe
 
     @classmethod
     def all_api_methods(cls):

zipline/finance/trading.py

@@ -440,8 +440,7 @@ class SimulationParameters(object):
     def __init__(self, period_start, period_end,
                  capital_base=10e3,
                  emission_rate='daily',
-                 data_frequency='daily',
-                 sids=None):
+                 data_frequency='daily'):
 
         self.period_start = period_start
         self.period_end = period_end
@@ -449,7 +448,6 @@ class SimulationParameters(object):
 
         self.emission_rate = emission_rate
         self.data_frequency = data_frequency
-        self.sids = sids
 
         # copied to algorithm's environment for runtime access
         self.arena = 'backtest'

zipline/sources/data_frame_source.py

@@ -48,8 +48,9 @@ class DataFrameSource(DataSource):
         self.end = kwargs.get('end', self.data.index[-1])
 
         # Remap sids based on the trading environment
-        self.identifiers = kwargs.get('sids', self.data.columns)
-        env.update_asset_finder(identifiers=self.identifiers)
+        env.update_asset_finder(
+            identifiers=kwargs.get('sids', self.data.columns)
+        )
         self.data.columns, _ = env.asset_finder.lookup_generic(
             self.data.columns, datetime.datetime.now()
         )
@@ -78,22 +79,21 @@ class DataFrameSource(DataSource):
     def raw_data_gen(self):
         for dt, series in self.data.iterrows():
             for sid, price in series.iteritems():
-                if sid in self.sids:
-                    # Skip SIDs that can not be forward filled
-                    if np.isnan(price) and \
-                       sid not in self.started_sids:
-                        continue
-                    self.started_sids.add(sid)
+                # Skip SIDs that can not be forward filled
+                if np.isnan(price) and \
+                   sid not in self.started_sids:
+                    continue
+                self.started_sids.add(sid)
 
-                    event = {
-                        'dt': dt,
-                        'sid': sid,
-                        'price': price,
-                        # Just chose something large
-                        # if no volume available.
-                        'volume': 1e9,
-                    }
-                    yield event
+                event = {
+                    'dt': dt,
+                    'sid': sid,
+                    'price': price,
+                    # Just chose something large
+                    # if no volume available.
+                    'volume': 1e9,
+                }
+                yield event
 
     @property
     def raw_data(self):
@@ -126,8 +126,9 @@ class DataPanelSource(DataSource):
         self.end = kwargs.get('end', self.data.major_axis[-1])
 
         # Remap sids based on the trading environment
-        self.identifiers = kwargs.get('sids', self.data.items)
-        env.update_asset_finder(identifiers=self.identifiers)
+        env.update_asset_finder(
+            identifiers=kwargs.get('sids', self.data.items)
+        )
         self.data.items, _ = env.asset_finder.lookup_generic(
             self.data.items, datetime.datetime.now()
         )
@@ -165,21 +166,20 @@ class DataPanelSource(DataSource):
         for dt in self.data.major_axis:
             df = self.data.major_xs(dt)
             for sid, series in df.iteritems():
-                if sid in self.sids:
-                    # Skip SIDs that can not be forward filled
-                    if np.isnan(series['price']) and \
-                       sid not in self.started_sids:
-                        continue
-                    self.started_sids.add(sid)
+                # Skip SIDs that can not be forward filled
+                if np.isnan(series['price']) and \
+                   sid not in self.started_sids:
+                    continue
+                self.started_sids.add(sid)
 
-                    event = {
-                        'dt': dt,
-                        'sid': sid,
-                    }
-                    for field_name, value in series.iteritems():
-                        event[field_name] = value
+                event = {
+                    'dt': dt,
+                    'sid': sid,
+                }
+                for field_name, value in series.iteritems():
+                    event[field_name] = value
 
-                    yield event
+                yield event
 
     @property
     def raw_data(self):

zipline/utils/factory.py

@@ -43,7 +43,7 @@ __all__ = ['load_from_yahoo', 'load_bars_from_yahoo']
 def create_simulation_parameters(year=2006, start=None, end=None,
                                  capital_base=float("1.0e5"),
                                  num_days=None, load=None,
-                                 sids=None, data_frequency='daily',
+                                 data_frequency='daily',
                                  emission_rate='daily'):
     """Construct a complete environment with reasonable defaults"""
     if start is None:
@@ -60,7 +60,6 @@ def create_simulation_parameters(year=2006, start=None, end=None,
         period_start=start,
         period_end=end,
         capital_base=capital_base,
-        sids=sids,
         data_frequency=data_frequency,
         emission_rate=emission_rate,
     )