Or is that just because I wouldn't normally have a datapanel...
Yes, exactly. The central predicament is that we can not rely on an array of data being present. It was a central design choice of zipline for it to be streaming based. This has many benefits like being closer to reality, out-of-the-box support for storing the historical data in a db and streaming it (like we do on quantopian; it'd require way too much ram otherwise) and making it easy to make the jump to paper and eventually live trading. The down-side is that the style people normally process data (which is array based) doesn't work. Hence the batch_transform.
The name is actually not the best. It's really just an event accumulator. Once this PR is in: https://github.com/quantopian/zipline/pull/136 the batch_transform will also be much much faster. Then things like TAlib integration start making more sense too.
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