From ddb541b9b39794f5d69b91f949118b012e02eb77 Mon Sep 17 00:00:00 2001 From: Eddie Hebert Date: Mon, 16 Sep 2013 11:51:22 -0400 Subject: [PATCH] MAINT: Change shape of supplemental data to match batch data. Expect the same shape of data for the supplemental data, to make working and preparing with the supplemental data consistent with what is passed to the algorithm. --- zipline/transforms/batch_transform.py | 14 +++++++------- 1 file changed, 7 insertions(+), 7 deletions(-) diff --git a/zipline/transforms/batch_transform.py b/zipline/transforms/batch_transform.py index 331404a9..031a5ece 100644 --- a/zipline/transforms/batch_transform.py +++ b/zipline/transforms/batch_transform.py @@ -285,19 +285,19 @@ class BatchTransform(object): if self.supplemental_data: for item in data.items: - # axes[1] (minor axis) will be a date stamp - if item not in self.supplemental_data.major_axis: + if item not in self.supplemental_data.items: continue - for dt in data.axes[1]: + for dt in data.major_axis: try: - supplemental_for_date = self.supplemental_data[dt] + supplemental_for_dt = self.supplemental_data.ix[ + item, dt, :] except KeyError: # Only filling in data available in supplemental data. - supplemental_for_date = None + supplemental_for_dt = None - if supplemental_for_date is not None: + if supplemental_for_dt is not None: data[item].ix[dt] = \ - supplemental_for_date.ix[item].combine_first( + supplemental_for_dt.combine_first( data[item].ix[dt]) if self.clean_nans: