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DEP: Removes sids field from SimulationParameters

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jfkirk
2015-07-01 13:43:31 -04:00
parent 31f24a238a
commit a4ce9712b8
6 changed files with 48 additions and 55 deletions
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zipline/sources/data_frame_source.py
+32 -32
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@@ -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):