Merge pull request #2644 from quantopian/ffill-past-fx-end

MAINT: Forward-fill fx rates past file end.
quantopian · Feb 4, 2020 · 8195f3a · 8195f3a
2 parents 7c654ef + 2546708
commit 8195f3a
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Showing 5 changed files with 17 additions and 25 deletions.
diff --git a/tests/data/test_fx.py b/tests/data/test_fx.py
@@ -69,7 +69,7 @@ def test_scalar_lookup(self):
         bases = self.FX_RATES_CURRENCIES + [None]
         dates = pd.date_range(
             self.FX_RATES_START_DATE - pd.Timedelta('1 day'),
-            self.FX_RATES_END_DATE,
+            self.FX_RATES_END_DATE + pd.Timedelta('1 day'),
         )
         cases = itertools.product(rates, quotes, bases, dates)
 
@@ -98,7 +98,7 @@ def test_2d_lookup(self):
 
         dates = pd.date_range(
             self.FX_RATES_START_DATE - pd.Timedelta('2 days'),
-            self.FX_RATES_END_DATE
+            self.FX_RATES_END_DATE + pd.Timedelta('2 days'),
         )
         rates = self.FX_RATES_RATE_NAMES + [DEFAULT_FX_RATE]
         possible_quotes = self.FX_RATES_CURRENCIES
@@ -131,7 +131,7 @@ def test_columnar_lookup(self):
 
         dates = pd.date_range(
             self.FX_RATES_START_DATE - pd.Timedelta('2 days'),
-            self.FX_RATES_END_DATE,
+            self.FX_RATES_END_DATE + pd.Timedelta('2 days'),
         )
         rates = self.FX_RATES_RATE_NAMES + [DEFAULT_FX_RATE]
         possible_quotes = self.FX_RATES_CURRENCIES
@@ -204,6 +204,7 @@ def test_read_before_start_date(self):
                 quote = 'USD'
                 bases = np.array(['CAD'], dtype=object)
                 dts = pd.DatetimeIndex([bad_date])
+
                 result = self.reader.get_rates(rate, quote, bases, dts)
                 assert_equal(result.shape, (1, 1))
                 assert_equal(np.nan, result[0, 0])
@@ -221,11 +222,15 @@ def test_read_after_end_date(self):
                 bases = np.array(['CAD'], dtype=object)
                 dts = pd.DatetimeIndex([bad_date])
 
-                with self.assertRaises(ValueError):
-                    self.reader.get_rates(rate, quote, bases, dts)
-
-                with self.assertRaises(ValueError):
-                    self.reader.get_rates_columnar(rate, quote, bases, dts)
+                result = self.reader.get_rates(rate, quote, bases, dts)
+                assert_equal(result.shape, (1, 1))
+                expected = self.get_expected_fx_rate_scalar(
+                    rate,
+                    quote,
+                    'CAD',
+                    self.FX_RATES_END_DATE,
+                )
+                assert_equal(expected, result[0, 0])
 
     def test_read_unknown_base(self):
         for rate in self.FX_RATES_RATE_NAMES:

diff --git a/zipline/data/fx/hdf5.py b/zipline/data/fx/hdf5.py
@@ -190,7 +190,7 @@ def get_rates(self, rate, quote, bases, dts):
         if rate == DEFAULT_FX_RATE:
             rate = self._default_rate
 
-        check_dts(self.dts, dts)
+        check_dts(dts)
 
         row_ixs = self.dts.searchsorted(dts, side='right') - 1
         col_ixs = self.currencies.get_indexer(bases)

diff --git a/zipline/data/fx/in_memory.py b/zipline/data/fx/in_memory.py
@@ -36,7 +36,7 @@ def get_rates(self, rate, quote, bases, dts):
 
         df = self._data[rate][quote]
 
-        check_dts(df.index, dts)
+        check_dts(dts)
 
         # Get raw values out of the frame.
         #

diff --git a/zipline/data/fx/utils.py b/zipline/data/fx/utils.py
@@ -1,23 +1,12 @@
 import numpy as np
 
 
-def check_dts(stored_dts, requested_dts):
+def check_dts(requested_dts):
+    """Validate that ``requested_dts`` are valid for querying from an FX reader.
     """
-    Validate that ``requested_dts`` are valid for querying from an FX reader
-    that has data for ``stored_dts``.
-    """
-    request_end = requested_dts[-1]
-    data_end = stored_dts[-1]
-
     if not is_sorted_ascending(requested_dts):
         raise ValueError("Requested fx rates with non-ascending dts.")
 
-    if request_end > data_end:
-        raise ValueError(
-            "Requested fx rates ending at {}, but data ends at {}"
-            .format(request_end, data_end)
-        )
-
 
 def is_sorted_ascending(array):
     return (np.maximum.accumulate(array) <= array).all()
diff --git a/zipline/testing/fixtures.py b/zipline/testing/fixtures.py
@@ -2209,8 +2209,6 @@ def get_expected_fx_rate_scalar(cls, rate, quote, base, dt):
         col = cls.fx_rates[rate][quote][base]
         if dt < col.index[0]:
             return np.nan
-        elif dt > col.index[-1]:
-            raise ValueError("dt={} > max dt={}".format(dt, col.index[-1]))
 
         # PERF: We call this function a lot in some suites, and get_loc is
         # surprisingly expensive, so optimizing it has a meaningful impact on