data_frame_source.py 文件源码

def raw_data_gen(self):
        for dt, series in self.data.iterrows():
            for sid, price in series.iteritems():
                # Skip SIDs that can not be forward filled
                if np.isnan(price) and \
                   sid not in self.started_sids:
                    continue
                self.started_sids.add(sid)

                event = {
                    'dt': dt,
                    'sid': sid,
                    'price': price,
                    # Just chose something large
                    # if no volume available.
                    'volume': 1e9,
                }
                yield event