history_container.py 文件源码

python
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项目:zipline-chinese 作者: zhanghan1990 项目源码 文件源码
def update_last_known_values(self):
        """
        Store the non-NaN values from our oldest frame in each frequency.
        """
        ffillable = self.ffillable_fields
        if not len(ffillable):
            return

        for frequency in self.unique_frequencies:
            digest_panel = self.digest_panels.get(frequency, None)
            if digest_panel:
                oldest_known_values = digest_panel.oldest_frame(raw=True)
            else:
                oldest_known_values = self.buffer_panel.oldest_frame(raw=True)

            oldest_vals = oldest_known_values
            oldest_columns = self.fields
            for field in ffillable:
                f_idx = oldest_columns.get_loc(field)
                field_vals = oldest_vals[f_idx]
                # isnan would be fast, possible to use?
                non_nan_sids = np.where(pd.notnull(field_vals))
                key = (frequency.freq_str, field)
                key_loc = self.last_known_prior_values.index.get_loc(key)
                self.last_known_prior_values.values[
                    key_loc, non_nan_sids
                ] = field_vals[non_nan_sids]
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