history_container.py 文件源码

def digest_bars(self, history_spec, do_ffill):
        """
        Get the last (history_spec.bar_count - 1) bars from self.digest_panel
        for the requested HistorySpec.
        """
        bar_count = history_spec.bar_count
        if bar_count == 1:
            # slicing with [1 - bar_count:] doesn't work when bar_count == 1,
            # so special-casing this.
            res = pd.DataFrame(index=[], columns=self.sids, dtype=float)
            return res.values, res.index

        field = history_spec.field
        # Panel axes are (field, dates, sids).  We want just the entries for
        # the requested field, the last (bar_count - 1) data points, and all
        # sids.
        digest_panel = self.digest_panels[history_spec.frequency]
        frame = digest_panel.get_current(field, raw=True)
        if do_ffill:
            # Do forward-filling *before* truncating down to the requested
            # number of bars.  This protects us from losing data if an illiquid
            # stock has a gap in its price history.
            filled = ffill_digest_frame_from_prior_values(
                history_spec.frequency,
                history_spec.field,
                frame,
                self.last_known_prior_values,
                raw=True
                # Truncate only after we've forward-filled
            )
            indexer = slice(1 - bar_count, None)
            return filled[indexer], digest_panel.current_dates()[indexer]
        else:
            indexer = slice(1 - bar_count, None)
            return frame[indexer, :], digest_panel.current_dates()[indexer]