quantopian / zipline / 2106
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LAST BUILD BRANCH: patch-1
DEFAULT BRANCH: master
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Jobs 2
Files 64
Run time 56s
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2106

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ssanderson 
DEV: Overhaul core history logic.

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.

4281 of 4885 relevant lines covered (87.64%)

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Jobs
ID Job ID Ran Files Coverage
1 2106.1 0
87.57
 Travis Job 2106.1
2 2106.2 0
87.57
 Travis Job 2106.2
Source Files on build 2106
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