Pandas 0.18 doesn't like having null-ish values in categoricals. Fixing
this properly requires re-thinking the semantics for missing_value on
pipeline terms, so we're punting on that until after we've upgraded to
0.18.
- Fixes a warning on indexing with a float that ultimately came from
pd.Timedelta.total_seconds(). Adds ``timedelta_to_integral_seconds``
and ``timedelta_to_integral_minutes()`` functions and replaces various
usages of ``int(delta.total_seconds())`` with them.
- Fixes a warnings triggered in ``_create_daily_stats`` from
passing tz-aware datetimes to np.datetime64.
Adds `mask_time_between` to do more efficient comparisons between
pandas.DatetimeIndex and datetime.time objects.
This is used in the loader utils to more efficiently normalize datetimes
around the query time.
- Fixes an error where Modeling API data known as of the close of `day
N` would be shown to algorithms during `before_trading_start` as of
the close of the same day. Algorithms should now only receive data
during `before_trading_start/handle_data` that was known as of the
simulation time at which the function would be called.
- All Term instances now have a `mask` attribute that must be a `Filter`
or an instance of `AssetExists()`. `mask` can be used to specify that
a Factor should be computed in a manner that ignores the values that
were not `True` in the mask.
- Changed the interface for `FFCLoader.load_adjusted_array` and
`Term._compute` from `(columns, mask)`, with mask as a DataFrame, to
`(columns, dates, assets, mask)`, where mask is a numpy array. This
is primarily to avoid having to reconstruct extra DataFrames when
using masks produced by non `AssetExists` filters.
- Adds `BoundColumn.latest`, which gives the most-recently-known value
of a column.
Scott Sanderson