fixed bugs in transform calculations.

zipline/finance/movingaverage.py

@@ -7,16 +7,16 @@ class MovingAverageTransform(BaseTransform):
     
     def init(self, daycount=3):
         self.daycount = daycount
-        self.by_sid = defaultdict(MovingAverage)
+        self.by_sid = defaultdict(self._create)
         
     def transform(self, event):
-        cur = self.by_sid(event.sid)
+        cur = self.by_sid[event.sid]
         cur.update(event)
         self.state['value'] = cur.average
         return self.state
     
-    def create_vwap(self):
-        return DailyVWAP(self.daycount)
+    def _create(self):
+        return MovingAverage(self.daycount)
 
 class MovingAverage(object):
     

zipline/finance/returns.py

@@ -4,17 +4,19 @@ from collections import defaultdict
 
 from zipline.messaging import BaseTransform
 
-class WindowTransform(BaseTransform):
+class ReturnsTransform(BaseTransform):
     
-    def init(self, daycount=3):
-        self.daycount = daycount
-        self.by_sid = defaultdict(DailyReturns)
+    def init(self):
+        self.by_sid = defaultdict(self._create)
         
     def transform(self, event):
-        cur = self.by_sid(event.sid)
+        cur = self.by_sid[event.sid]
         cur.update(event)
-        self.state['value'] = cur.vwap
+        self.state['value'] = cur.returns
         return self.state
+        
+    def _create(self):
+        return ReturnsFromPriorClose()
 
 class ReturnsFromPriorClose(object):
     """

zipline/finance/trading.py

@@ -1,7 +1,6 @@
 import datetime
 import pytz
 import math
-import pandas
 import time
 
 from collections import Counter
@@ -14,7 +13,7 @@ import zipline.util as qutil
 import zipline.protocol as zp
 import zipline.finance.performance as perf
 
-from zipline.protocol_utils import Enum, namedict
+from zipline.protocol_utils import Enum, ndict
 
 # the simulation style enumerates the available transaction simulation
 # strategies. 
@@ -43,10 +42,7 @@ class TradeSimulationClient(qmsg.Component):
         self.txn_sim                = TransactionSimulator(sim_style)
         
         assert self.trading_environment.frame_index != None
-        self.event_frame = pandas.DataFrame(
-            index=self.trading_environment.frame_index
-        )
-        
+        self.event_frame = ndict()
         self.perf = perf.PerformanceTracker(self.trading_environment)
     
     @property
@@ -178,8 +174,7 @@ class TradeSimulationClient(qmsg.Component):
     def queue_event(self, event):
         if self.event_queue == None:
             self.event_queue = []
-        series = event.as_series()
-        self.event_queue.append(series)
+        self.event_queue.append(event)
     
     def get_frame(self):
         for event in self.event_queue:

zipline/finance/vwap.py

@@ -12,7 +12,7 @@ class VWAPTransform(BaseTransform):
         self.by_sid = defaultdict(self.create_vwap)
         
     def transform(self, event):
-        cur = self.by_sid(event.sid)
+        cur = self.by_sid[event.sid]
         cur.update(event)
         self.state['value'] = cur.vwap
         return self.state