BUG: Fixes asset writer to the select the latest asset to hold a sid (#…

…1392)

* BUG: Fixes asset writer to the select the latest asset to hold a sid

When constructing the asset_info dataframe, we were previously taking
the first symbol/sid pair to include, when we should be taking the most
recent.

* Ensure groups are sorted by increasing end_date

* Updates test_lookup_symbol_change_ticker to also cover asset_name

tests/test_assets.py

@@ -523,12 +523,14 @@ def test_lookup_symbol_change_ticker(self):
                 # sid 0
                 {
                     'symbol': 'A',
+                    'asset_name': 'Asset A',
                     'start_date': T('2014-01-01'),
                     'end_date': T('2014-01-05'),
                     'exchange': "TEST",
                 },
                 {
                     'symbol': 'B',
+                    'asset_name': 'Asset B',
                     'start_date': T('2014-01-06'),
                     'end_date': T('2014-01-10'),
                     'exchange': "TEST",
@@ -537,12 +539,14 @@ def test_lookup_symbol_change_ticker(self):
                 # sid 1
                 {
                     'symbol': 'C',
+                    'asset_name': 'Asset C',
                     'start_date': T('2014-01-01'),
                     'end_date': T('2014-01-05'),
                     'exchange': "TEST",
                 },
                 {
                     'symbol': 'A',  # claiming the unused symbol 'A'
+                    'asset_name': 'Asset A',
                     'start_date': T('2014-01-06'),
                     'end_date': T('2014-01-10'),
                     'exchange': "TEST",
@@ -574,8 +578,9 @@ def test_lookup_symbol_change_ticker(self):
                 finder.retrieve_asset(0),
                 msg=str(asof),
             )
-            # the symbol should always be the last symbol
+            # The symbol and asset_name should always be the last held values
             assert_equal(A_result.symbol, 'B')
+            assert_equal(A_result.asset_name, 'Asset B')
 
             # from 01 through 05 sid 1 held 'C'
             C_result = finder.lookup_symbol('C', asof)
@@ -584,8 +589,9 @@ def test_lookup_symbol_change_ticker(self):
                 finder.retrieve_asset(1),
                 msg=str(asof),
             )
-            # the symbol should always be the last symbol
+            # The symbol and asset_name should always be the last held values
             assert_equal(C_result.symbol, 'A')
+            assert_equal(C_result.asset_name, 'Asset A')
 
         # no one held 'B' before 06
         with self.assertRaises(SymbolNotFound):
@@ -609,6 +615,7 @@ def test_lookup_symbol_change_ticker(self):
                 msg=str(asof),
             )
             assert_equal(B_result.symbol, 'B')
+            assert_equal(B_result.asset_name, 'Asset B')
 
             # from 06 through 10 sid 1 held 'A'
             # we test through the 11th because sid 1 is the last to hold 'A'
@@ -620,6 +627,7 @@ def test_lookup_symbol_change_ticker(self):
                 msg=str(asof),
             )
             assert_equal(A_result.symbol, 'A')
+            assert_equal(A_result.asset_name, 'Asset A')
 
     def test_lookup_symbol(self):
 

zipline/assets/asset_writer.py

@@ -187,7 +187,7 @@ def _generate_output_dataframe(data_subset, defaults):
 
 
 def _check_asset_group(group):
-    row = group.iloc[0]
+    row = group.sort('end_date').iloc[-1]
     row.start_date = group.start_date.min()
     row.end_date = group.end_date.max()
     row.drop(list(symbol_columns), inplace=True)