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Scott Sanderson
235954d480
Overhaul the core HistoryContainer logic to be more robust to changing universes. Major Changes ------------- * Remove `return_frame` cache. The original purpose of using return_frames was to avoid having to create new DataFrames on each iteration of handle_data, but we ended up having to copy the return frames anyway because user code could mutate the frames in place. Removing the return_frames reduces unnecessary copying, and reduces the logic of `get_history` to just forward-filling and concatenating two DataFrames. * Use a `MultiIndex`ed DataFrame to represent `last_known_prior_values`. This makes lookups faster and greatly simplifies the logic of adding and dropping sids. * HistoryContainer no longer attempts to determine its universe based on the contents of its internal buffers. The TradingAlgorithm controlling the container is now responsible for explicitly calling `add_sids` or `drop_sids` when securities enter or leave the algorithm's universe. These methods, along with the internal `_realign` method, provide a clean interface for changing the universe of securities managed by the container. * Refactor index mutation logic in `RollingPanel` into a `MutableIndexRollingPanel` subclass. Maintenance of the old behavior is regrettably necessary to support `BatchTransform`. * Refactor shared logic from `roll` and `get_history` into a single `aggregate_ohlcv_panel` method that's responsible for collapsing an OHLCV buffer into a frame.