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fawce
fyi, I made a parallel issue on zipline: https://github.com/quantopian/zipline/issues/14 I also mentioned it to @ehebert and @twiecki - seems promising based on @trbck's example code.
Internally, zipline makes all datasources into generators. Zipline also supports OHLC, it just also needs a price field. Even the pandas dataframe source wraps the dataframe in code to produce...