7309

pending completion

Build # 7309

Build Type

Pull #1433

travis-ci

Committed by

web-flow

Commit Message

MAINT: Add a reader which dispatches on asset type

Add `AssetDispatchSessionBarReader` and corresponding minute and session
bar version of that reader.
This reader routes requests to the appropriate reader based on the asset
type of the requested sids.

`load_raw_array` in the dispatch reader batches the sid by asset type
and then interleaves the results in the out arrays, so that the arrays
data corresponds with sids in the order that sids are passed to the
method, to meet the expected behavior of `load_raw_arrays`.

The dispatch redaer is intended for use by the data portal when using
both future and equities. The dispatch reader will also be passed to the
to the `HistoryLoader`s contained within the data portal, where the
batched `load_raw_arrays` will be used.

Also, BUG:
- Fix the return of `MinuteResampleSessionBarReader.load_raw_arrays` to
match all other readers.
- Use the input dt for the `MinuteResampleSessionBarReader.load_raw_arrays`
as a session label, instead of a minute dt, since it is a session bar
reader.
(Both of these bugs where discovered when using the resample reader for
future data in the dispatch tests.)

Pull Request Pull Request #1433: MAINT: Add a reader which dispatches on asset type

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/zipline/data/dispatch_bar_reader.py

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