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MAINT: Removed self.sids from batchtransform. Externally sets static_sids.

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This commit is contained in:
Thomas Wiecki
2013-04-29 15:30:42 -04:00
committed by Eddie Hebert
parent 2be7014d51
commit c12102d7b1
1 changed files with 9 additions and 12 deletions
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zipline/transforms/utils.py
+9 -12
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@@ -353,16 +353,13 @@ class BatchTransform(object):
# to operate on the data, but to also allow new symbols to
# enter the batch transform's window IFF a sid filter is not
# specified.
self.sids = set()
if sids is not None:
self.static_sids = True
self.sids = sids
if isinstance(sids, (basestring, Integral)):
self.sids = set([sids])
self.static_sids = set([sids])
else:
self.sids = set(sids)
self.static_sids = set(sids)
else:
self.static_sids = False
self.static_sids = None
self.initial_field_names = fields
if isinstance(self.initial_field_names, basestring):
@@ -396,7 +393,6 @@ class BatchTransform(object):
Point of entry. Process an event frame.
"""
# extract dates
#dts = [data[sid].datetime for sid in self.sids]
dts = [event.datetime for event in data.itervalues()]
# we have to provide the event with a dt. This is only for
# checking if the event is outside the window or not so a
@@ -427,20 +423,21 @@ class BatchTransform(object):
def _append_to_window(self, event):
self.field_names = self._get_field_names(event)
if not self.static_sids:
event_sids = set(event.data.keys())
self.sids = set.union(self.sids, event_sids)
if self.static_sids is None:
sids = set(event.data.keys())
else:
sids = self.static_sids
# Create rolling panel if not existant
if self.rolling_panel is None:
self.rolling_panel = RollingPanel(self.window_length,
self.field_names, self.sids)
self.field_names, sids)
# Store event in rolling frame
self.rolling_panel.add_frame(event.dt,
pd.DataFrame(event.data,
index=self.field_names,
columns=self.sids))
columns=sids))
# update trading day counters
if self.last_dt.day != event.dt.day: