BUG: Add bar kwarg to batch_transform.

Before the change to the RollingPanel, window_length
specified the number of days that should be in a window.

The previous commit broke this if data was minute resolution.

By passing bar='minute' to the batch_transform we internally
multiply the window_length by 60*6.5 to have a full day.

Also adds a (still rudamentary) test for batch_transform
with minute data.

tests/test_batchtransform.py

@@ -28,6 +28,7 @@ from zipline.sources.data_source import DataSource
 import zipline.utils.factory as factory
 
 from zipline.test_algorithms import (BatchTransformAlgorithm,
+                                     BatchTransformAlgorithmMinute,
                                      batch_transform,
                                      ReturnPriceBatchTransform)
 
@@ -125,6 +126,28 @@ class TestChangeOfSids(TestCase):
             self.assertEqual(df[last_elem][last_elem], last_elem)
 
 
+class TestBatchTransformMinutely(TestCase):
+    def setUp(self):
+        start = pd.datetime(1990, 1, 3, 0, 0, 0, 0, pytz.utc)
+        end = pd.datetime(1990, 1, 8, 0, 0, 0, 0, pytz.utc)
+        self.sim_params = factory.create_simulation_parameters(
+            start=start,
+            end=end,
+        )
+        self.sim_params.emission_rate = 'daily'
+        self.sim_params.data_frequency = 'minute'
+        setup_logger(self)
+        self.source, self.df = \
+            factory.create_test_df_source(bars='minute')
+
+    def test_core(self):
+        algo = BatchTransformAlgorithmMinute(sim_params=self.sim_params)
+        algo.run(self.source)
+        wl = int(algo.window_length * 6.5 * 60)
+        for bt in algo.history[wl:]:
+            self.assertEqual(len(bt), wl)
+
+
 class TestBatchTransform(TestCase):
     def setUp(self):
         self.sim_params = factory.create_simulation_parameters(

zipline/test_algorithms.py

@@ -434,6 +434,27 @@ class BatchTransformAlgorithm(TradingAlgorithm):
         )
 
 
+class BatchTransformAlgorithmMinute(TradingAlgorithm):
+    def initialize(self, *args, **kwargs):
+        self.refresh_period = kwargs.pop('refresh_period', 1)
+        self.window_length = kwargs.pop('window_length', 3)
+
+        self.args = args
+        self.kwargs = kwargs
+
+        self.history = []
+
+        self.batch_transform = return_price_batch_decorator(
+            refresh_period=self.refresh_period,
+            window_length=self.window_length,
+            clean_nans=False,
+            bars='minute'
+        )
+
+    def handle_data(self, data):
+        self.history.append(self.batch_transform.handle_data(data))
+
+
 class SetPortfolioAlgorithm(TradingAlgorithm):
     """
     An algorithm that tries to set the portfolio directly.

zipline/transforms/utils.py

@@ -315,7 +315,8 @@ class BatchTransform(object):
                  clean_nans=True,
                  sids=None,
                  fields=None,
-                 compute_only_full=True):
+                 compute_only_full=True,
+                 bars='daily'):
 
         """Instantiate new batch_transform object.
 
@@ -350,6 +351,15 @@ class BatchTransform(object):
         self.clean_nans = clean_nans
         self.compute_only_full = compute_only_full
 
+        # How many bars are in a day
+        self.bars = bars
+        if self.bars == 'daily':
+            self.bars_in_day = 1
+        elif self.bars == 'minute':
+            self.bars_in_day = int(6.5 * 60)
+        else:
+            raise ValueError('%s bars not understood.' % self.bars)
+
         # The following logic is to allow pre-specified sid filters
         # to operate on the data, but to also allow new symbols to
         # enter the batch transform's window IFF a sid filter is not
@@ -434,7 +444,8 @@ class BatchTransform(object):
 
         # Create rolling panel if not existant
         if self.rolling_panel is None:
-            self.rolling_panel = RollingPanel(self.window_length,
+            self.rolling_panel = RollingPanel(self.window_length *
+                                              self.bars_in_day,
                                               self.field_names, sids)
 
         # Store event in rolling frame

zipline/utils/factory.py

@@ -288,7 +288,13 @@ def create_trade_source(sids, trade_count,
     return source
 
 
-def create_test_df_source(sim_params=None):
+def create_test_df_source(sim_params=None, bars='daily'):
+    if bars == 'daily':
+        freq = pd.datetools.BDay()
+    elif bars == 'minute':
+        freq = pd.datetools.Minute()
+    else:
+        raise ValueError('%s bars not understood.' % freq)
 
     if sim_params:
         index = sim_params.trading_days
@@ -298,9 +304,19 @@ def create_test_df_source(sim_params=None):
         index = pd.DatetimeIndex(
             start=start,
             end=end,
-            freq=pd.datetools.BDay()
+            freq=freq
         )
+        if bars == 'minute':
+            new_index = []
+            for i in index:
+                market_open = i.replace(hour=14,
+                                        minute=31)
+                market_close = i.replace(hour=21,
+                                         minute=0)
 
+                if i >= market_open and i <= market_close:
+                    new_index.append(i)
+            index = new_index
     x = np.arange(0, len(index))
 
     df = pd.DataFrame(x, index=index, columns=[0])