MAINT: make the data loading apis more consistent.

Changes BcolzDailyBarWriter to not be an abc, data is passed as an
iterator of (sid, dataframe) pairs to the write method.

Changes the AssetsDBWriter to be a single class which accepts an engine
at construction time and has a `write` method for writing dataframes for
the various tables. We no longer support writing the various other data
types, callers should coerce their data into a dataframe themselves. See
zipline.assets.synthetic for some helpers to do this.

Adds many new fixtures and updates some existing fixtures to use the new
ones:

WithDefaultDateBounds
  A fixture that provides the suite a START_DATE and END_DATE. This is
  meant to make it easy for other fixtures to synchronize their date
  ranges without depending on eachother in strange ways. For example,
  WithBcolzMinuteBarReader and WithBcolzDailyBarReader by default should
  both have data for the same dates, so they may use depend on
  WithDefaultDates without forcing a dependency between them.

WithTmpDir, WithInstanceTmpDir
  Provides the suite or individual test case a temporary directory.

WithBcolzDailyBarReader
  Provides the suite a BcolzDailyBarReader which reads from bcolz data
  written to a temporary directory. The data will be read from
  dataframes and then converted to bcolz files with
  BcolzDailyBarWriter.write

WithBcolzDailyBarReaderFromCSVs
  Provides the suite a BcolzDailyBarReader which reads from bcolz data
  written to a temporary directory. The data will be read from a
  collection of CSV files and then converted into the bcolz data through
  BcolzDailyBarWriter.write_csvs

WithBcolzMinuteBarReader
  Provides the suite a BcolzMinuteBarReader which reads from bcolz data
  written to a temporary directory. The data will be read from
  dataframes and then converted to bcolz files with
  BcolzMinuteBarWriter.write

WithAdjustmentReader
  Provides the suite a SQLiteAdjustmentReader which reads from an in
  memory sqlite database. The data will be read from dataframes and then
  converted into sqlite with SQLiteAdjustmentWriter.write

WithDataPortal
  Provides each test case a DataPortal object with data from temporary
  resources.

zipline/algorithm.py

@@ -12,8 +12,9 @@
 # WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
 # See the License for the specific language governing permissions and
 # limitations under the License.
-import warnings
 from copy import copy
+import operator as op
+import warnings
 
 import logbook
 import pytz
@@ -33,6 +34,7 @@ from six import (
 )
 
 from zipline._protocol import handle_non_market_minutes
+from zipline.assets.synthetic import make_simple_equity_info
 from zipline.data.data_portal import DataPortal
 from zipline.errors import (
     AttachPipelineAfterInitialize,
@@ -96,6 +98,7 @@ from zipline.utils.events import (
     TimeRuleFactory,
 )
 from zipline.utils.factory import create_simulation_parameters
+from zipline.utils.functional import unzip
 from zipline.utils.math_utils import (
     tolerant_equals,
     round_if_near_integer
@@ -252,11 +255,18 @@ class TradingAlgorithm(object):
             self.trading_environment = TradingEnvironment()
 
         # Update the TradingEnvironment with the provided asset metadata
-        self.trading_environment.write_data(
-            equities_data=kwargs.pop('equities_metadata', {}),
-            equities_identifiers=kwargs.pop('identifiers', []),
-            futures_data=kwargs.pop('futures_metadata', {}),
-        )
+        if 'equities_metadata' in kwargs or 'futures_metadata' in kwargs:
+            warnings.warn(
+                'passing metadata to TradingAlgorithm is deprecated; please'
+                ' write this data into the asset db before passing it to the'
+                ' trading environment',
+                DeprecationWarning,
+                stacklevel=1,
+            )
+            self.trading_environment.write_data(
+                equities=kwargs.pop('equities_metadata', None),
+                futures=kwargs.pop('futures_metadata', None),
+            )
 
         # set the capital base
         self.capital_base = kwargs.pop('capital_base', DEFAULT_CAPITAL_BASE)
@@ -563,6 +573,17 @@ class TradingAlgorithm(object):
                 data = data.swapaxes(0, 2)
 
             if isinstance(data, pd.Panel):
+                # For compatibility with existing examples allow start/end
+                # to be inferred.
+                if overwrite_sim_params:
+                    self.sim_params.period_start = data.major_axis[0]
+                    self.sim_params.period_end = data.major_axis[-1]
+                    # Changing period_start and period_close might require
+                    # updating of first_open and last_close.
+                    self.sim_params.update_internal_from_env(
+                        env=self.trading_environment
+                    )
+
                 copy_panel = data.copy()
                 copy_panel.items = self._write_and_map_id_index_to_sids(
                     copy_panel.items, copy_panel.major_axis[0],
@@ -586,17 +607,6 @@ class TradingAlgorithm(object):
                     self.trading_environment,
                     equity_daily_reader=equity_daily_reader)
 
-                # For compatibility with existing examples allow start/end
-                # to be inferred.
-                if overwrite_sim_params:
-                    self.sim_params.period_start = data.major_axis[0]
-                    self.sim_params.period_end = data.major_axis[-1]
-                    # Changing period_start and period_close might require
-                    # updating of first_open and last_close.
-                    self.sim_params.update_internal_from_env(
-                        env=self.trading_environment
-                    )
-
         # Force a reset of the performance tracker, in case
         # this is a repeat run of the algorithm.
         self.perf_tracker = None
@@ -620,7 +630,8 @@ class TradingAlgorithm(object):
     def _write_and_map_id_index_to_sids(self, identifiers, as_of_date):
         # Build new Assets for identifiers that can't be resolved as
         # sids/Assets
-        identifiers_to_build = []
+        identifiers_to_build = set()
+        next_sid = max(self.asset_finder.sids or (0,)) + 1
         for identifier in identifiers:
             asset = None
 
@@ -631,10 +642,30 @@ class TradingAlgorithm(object):
                 asset = self.asset_finder.retrieve_asset(sid=identifier,
                                                          default_none=True)
             if asset is None:
-                identifiers_to_build.append(identifier)
+                try:
+                    sid = op.index(identifier)
+                except TypeError:
+                    sid = next_sid
+                    next_sid += 1
+                identifiers_to_build.add((identifier, sid))
 
-        self.trading_environment.write_data(
-            equities_identifiers=identifiers_to_build)
+        if identifiers_to_build:
+            warnings.warn(
+                'writing unknown identifiers into the assets db of the trading'
+                ' environment is deprecated; please write this information'
+                ' to the assets db before constructing the environment',
+                DeprecationWarning,
+                stacklevel=2,
+            )
+            symbols, sids = unzip(identifiers_to_build, 2)
+            self.trading_environment.write_data(
+                equities=make_simple_equity_info(
+                    sids,
+                    start_date=self.sim_params.period_start,
+                    end_date=self.sim_params.period_end,
+                    symbols=symbols,
+                ),
+            )
 
         # We need to clear out any cache misses that were stored while trying
         # to do lookups.  The real fix for this problem is to not construct an