From bb108e5c0861f67d24101b65eff73021eb50dec0 Mon Sep 17 00:00:00 2001 From: fawce Date: Thu, 22 Nov 2012 07:06:59 -0500 Subject: [PATCH] Update zipline/transforms/utils.py emergency fix. the dropna was dropping the entire price dataframe from the datapanel. --- zipline/transforms/utils.py | 23 +++++++++++++---------- 1 file changed, 13 insertions(+), 10 deletions(-) diff --git a/zipline/transforms/utils.py b/zipline/transforms/utils.py index 97e5a25d..3c47ebc3 100644 --- a/zipline/transforms/utils.py +++ b/zipline/transforms/utils.py @@ -450,19 +450,22 @@ class BatchTransform(EventWindow): for tick in self.ticks} ) - # concatenate different sids into one df - fields[field_name] = pd.DataFrame.from_dict(values_per_sid) + # concatenate different sids into one df + df = pd.DataFrame.from_dict(values_per_sid) + # Fills in gaps of missing data during transform of multiple + # stocks. + # e.g. we may be missing minute data because of illiquidity + # of one stock + df = df.fillna(method='ffill') + # Drop any empty rows after the fill. + # This will drop a leading row of N/A + df = df.dropna() + + fields[field_name] = df data = pd.Panel.from_dict(fields, orient='items') - # Fills in gaps of missing data during transform of multiple - # stocks. - # e.g. we may be missing minute data because of illiquidity - # of one stock - data = data.fillna(method='ffill') - # Drop any empty rows after the fill. - # This will drop a leading row of N/A - data = data.dropna() + return data