MAINT: Use sort_values() instead of sort().

pd.DataFrame.sort() is deprecated.

tests/pipeline/test_events.py

@@ -153,7 +153,7 @@ class EventIndexerTestCase(ZiplineTestCase):
     @classmethod
     def init_class_fixtures(cls):
         super(EventIndexerTestCase, cls).init_class_fixtures()
-        cls.events = make_events(add_nulls=False).sort('event_date')
+        cls.events = make_events(add_nulls=False).sort_values('event_date')
         cls.events.reset_index(inplace=True)
 
     def test_previous_event_indexer(self):

zipline/pipeline/loaders/events.py

@@ -109,10 +109,12 @@ class EventsLoader(PipelineLoader):
         events = events[events[EVENT_DATE_FIELD_NAME].notnull()]
 
         # We always work with entries from ``events`` directly as numpy arrays,
-        # so we coerce from a frame here.
+        # so we coerce from a frame to a dict of arrays here.
         self.events = {
             name: np.asarray(series)
-            for name, series in events.sort(EVENT_DATE_FIELD_NAME).iteritems()
+            for name, series in (
+                events.sort_values(EVENT_DATE_FIELD_NAME).iteritems()
+            )
         }
 
         # Columns to load with self.load_next_events.