ENH: batch_transform now supports field filtering.

tests/test_transforms.py

@@ -346,6 +346,14 @@ class TestBatchTransform(TestCase):
             self.assertIn(0, data.columns)
             self.assertNotIn(1, data.columns)
 
+        for data in algo.history_return_field_filter[wl:]:
+            self.assertIn('price', data.items)
+            self.assertNotIn('ignore', data.items)
+
+        for data in algo.history_return_field_no_filter[wl:]:
+            self.assertIn('price', data.items)
+            self.assertIn('ignore', data.items)
+
         # test overloaded class
         for test_history in [algo.history_return_price_class,
                              algo.history_return_price_decorator]:

zipline/test_algorithms.py

@@ -269,6 +269,8 @@ class BatchTransformAlgorithm(TradingAlgorithm):
         self.history_return_arbitrary_fields = []
         self.history_return_nan = []
         self.history_return_sid_filter = []
+        self.history_return_field_filter = []
+        self.history_return_field_no_filter = []
 
         self.return_price_class = ReturnPriceBatchTransform(
             refresh_period=self.refresh_period,
@@ -313,6 +315,19 @@ class BatchTransformAlgorithm(TradingAlgorithm):
             sids=[0]
         )
 
+        self.return_field_filter = return_data(
+            refresh_period=self.refresh_period,
+            window_length=self.window_length,
+            clean_nans=True,
+            fields=['price']
+        )
+
+        self.return_field_no_filter = return_data(
+            refresh_period=self.refresh_period,
+            window_length=self.window_length,
+            clean_nans=True
+        )
+
         self.iter = 0
 
         self.set_slippage(FixedSlippage())
@@ -354,6 +369,16 @@ class BatchTransformAlgorithm(TradingAlgorithm):
             self.return_sid_filter.handle_data(extra_sid_data)
         )
 
+        # Add a field to check that it does not get included
+        extra_field_data = deepcopy(data)
+        extra_field_data[0]['ignore'] = extra_sid_data[0]['price']
+        self.history_return_field_filter.append(
+            self.return_field_filter.handle_data(extra_field_data)
+        )
+        self.history_return_field_no_filter.append(
+            self.return_field_no_filter.handle_data(extra_field_data)
+        )
+
 
 class SetPortfolioAlgorithm(TradingAlgorithm):
     """

zipline/transforms/utils.py

@@ -344,7 +344,8 @@ class BatchTransform(EventWindow):
                  refresh_period=None,
                  window_length=None,
                  clean_nans=True,
-                 sids=None):
+                 sids=None,
+                 fields=None):
         """Instantiate new batch_transform object.
 
         :Arguments:
@@ -362,7 +363,10 @@ class BatchTransform(EventWindow):
                 Which sids to include in the moving window.  If not
                 supplied sids will be extracted from incoming
                 events.
-
+            fields : list <optional>
+                Which fields to include in the moving window
+                (e.g. 'price'). If not supplied, fields will be
+                extracted from incoming events.
         """
 
         super(BatchTransform, self).__init__(True,
@@ -388,7 +392,7 @@ class BatchTransform(EventWindow):
         self.updated = False
         self.cached = None
 
-        self.field_names = None
+        self.field_names = fields
 
     def handle_data(self, data, *args, **kwargs):
         """
@@ -432,7 +436,8 @@ class BatchTransform(EventWindow):
 
     def handle_add(self, event):
         if not self.last_dt:
-            self.field_names = self._extract_field_names(event)
+            if self.field_names is None:
+                self.field_names = self._extract_field_names(event)
             self.last_dt = event.dt
             return