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MAINT: Pass asset instead of sid to dispatch reader. #2114

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MAINT: Pass asset instead of sid to dispatch reader. #2114

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ea439bc
MAINT: Pass asset instead of sid to dispatch reader.
Feb 22, 2018
cb0a5e8
MAINT: Remove now unneeded calls to retrieve_asset.
Feb 23, 2018
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6 changes: 3 additions & 3 deletions zipline/assets/roll_finder.py
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Original file line number Diff line number Diff line change
Expand Up @@ -96,7 +96,7 @@ def get_rolls(self, root_symbol, start, end, offset):
else:
first = front
first_contract = oc.sid_to_contract[first]
rolls = [((first_contract >> offset).contract.sid, None)]
rolls = [((first_contract >> offset).contract, None)]
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Thinking about the change in return value of this function (get_rolls),

  1. Should we change the docstring for rolls above?
  2. All the unit tests compare the return value to ints - should we change them or add comments?
  3. The call site in VolumeRollFinder.get_contract_center thinks it's still getting sids and calls retrieve_asset on them.
  4. Should we rename sid to asset in the unpacking of rolls from the call sites in [ContinuousFutureMinuteBarReader|ContinuousFutureSessionBarReader].load_raw_arrays like you did in history_loader.py below ?

tc = self.trading_calendar
sessions = tc.sessions_in_range(tc.minute_to_session_label(start),
tc.minute_to_session_label(end))
Expand All @@ -115,7 +115,7 @@ def get_rolls(self, root_symbol, start, end, offset):
session = sessions[-1]

while session > start and curr is not None:
front = curr.contract.sid
front = curr.contract
back = rolls[0][0]
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Looking at the uses of front and back, I notice that the parameter to BarReader.get_value and its various subclasses is still sid : int, but seems like some subclasses use it as an Asset or ContinuousFuture instance. Not easy to tell whether consumers of these contracts want the sid or the instance. The obvious cases do look to work with either.

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Related to that, any concerns that BarReader.get_value looks to expect sids generally, while AssetDispatchBarReader.get_value now expects Assets?

prev_c = curr.prev
while session > start:
Expand All @@ -127,7 +127,7 @@ def get_rolls(self, root_symbol, start, end, offset):
# TODO: Instead of listing each contract with its roll date
# as tuples, create a series which maps every day to the
# active contract on that day.
rolls.insert(0, ((curr >> offset).contract.sid, session))
rolls.insert(0, ((curr >> offset).contract, session))
break
session = prev
curr = curr.prev
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6 changes: 3 additions & 3 deletions zipline/data/data_portal.py
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Expand Up @@ -634,7 +634,7 @@ def _get_minute_spot_value(self, asset, column, dt, ffill=False):

if not ffill:
try:
return reader.get_value(asset.sid, dt, column)
return reader.get_value(asset, dt, column)
except NoDataOnDate:
if column != 'volume':
return np.nan
Expand All @@ -646,7 +646,7 @@ def _get_minute_spot_value(self, asset, column, dt, ffill=False):
try:
# Optimize the best case scenario of a liquid asset
# returning a valid price.
result = reader.get_value(asset.sid, dt, column)
result = reader.get_value(asset, dt, column)
if not pd.isnull(result):
return result
except NoDataOnDate:
Expand All @@ -662,7 +662,7 @@ def _get_minute_spot_value(self, asset, column, dt, ffill=False):
# no last traded dt, bail
return np.nan

result = reader.get_value(asset.sid, query_dt, column)
result = reader.get_value(asset, query_dt, column)

if (dt == query_dt) or (dt.date() == query_dt.date()):
return result
Expand Down
3 changes: 1 addition & 2 deletions zipline/data/dispatch_bar_reader.py
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Expand Up @@ -91,8 +91,7 @@ def last_available_dt(self):
def first_trading_day(self):
return max(r.first_trading_day for r in self._readers.values())

def get_value(self, sid, dt, field):
asset = self._asset_finder.retrieve_asset(sid)
def get_value(self, asset, dt, field):
r = self._readers[type(asset)]
return r.get_value(asset, dt, field)

Expand Down
23 changes: 11 additions & 12 deletions zipline/data/history_loader.py
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Expand Up @@ -160,12 +160,10 @@ class ContinuousFutureAdjustmentReader(object):

def __init__(self,
trading_calendar,
asset_finder,
bar_reader,
roll_finders,
frequency):
self._trading_calendar = trading_calendar
self._asset_finder = asset_finder
self._bar_reader = bar_reader
self._roll_finders = roll_finders
self._frequency = frequency
Expand Down Expand Up @@ -221,28 +219,30 @@ def _get_adjustments_in_range(self, cf, dts, field):
adjs = {}

for front, back in sliding_window(2, rolls):
front_sid, roll_dt = front
back_sid = back[0]
front_contract, roll_dt = front
back_contract = back[0]
dt = tc.previous_session_label(roll_dt)
if self._frequency == 'minute':
dt = tc.open_and_close_for_session(dt)[1]
roll_dt = tc.open_and_close_for_session(roll_dt)[0]
partitions.append((front_sid,
back_sid,
partitions.append((front_contract,
back_contract,
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Can we remove the calls to retrieve_asset on the unpacked partition below?

dt,
roll_dt))
for partition in partitions:
front_sid, back_sid, dt, roll_dt = partition
front_contract, back_contract, dt, roll_dt = partition
last_front_dt = self._bar_reader.get_last_traded_dt(
self._asset_finder.retrieve_asset(front_sid), dt)
front_contract, dt
)
last_back_dt = self._bar_reader.get_last_traded_dt(
self._asset_finder.retrieve_asset(back_sid), dt)
back_contract, dt
)
if isnull(last_front_dt) or isnull(last_back_dt):
continue
front_close = self._bar_reader.get_value(
front_sid, last_front_dt, 'close')
front_contract, last_front_dt, 'close')
back_close = self._bar_reader.get_value(
back_sid, last_back_dt, 'close')
back_contract, last_back_dt, 'close')
adj_loc = dts.searchsorted(roll_dt)
end_loc = adj_loc - 1
adj = self._make_adjustment(cf.adjustment,
Expand Down Expand Up @@ -325,7 +325,6 @@ def __init__(self, trading_calendar, reader, equity_adjustment_reader,
if roll_finders:
self._adjustment_readers[ContinuousFuture] =\
ContinuousFutureAdjustmentReader(trading_calendar,
asset_finder,
reader,
roll_finders,
self._frequency)
Expand Down