Merge pull request #2613 from quantopian/fix-only-currency-converted-…

…prices

BUG: Fix crash in pipeline with all currency-converted data.

tests/data/test_fx.py

@@ -84,6 +84,9 @@ def test_scalar_lookup(self):
             expected = self.get_expected_fx_rate_scalar(rate, quote, base, dt)
             assert_equal(result_scalar, expected)
 
+            alt_result_scalar = reader.get_rate_scalar(rate, quote, base, dt)
+            assert_equal(result_scalar, alt_result_scalar)
+
     def test_vectorized_lookup(self):
         rand = np.random.RandomState(42)
 

tests/pipeline/test_international_markets.py

@@ -333,6 +333,51 @@ def test_currency_convert_prices(self, name, domain, calendar_name):
 
             assert_equal(result_2d, expected_result_2d)
 
+    @parameterized.expand([
+        ('US', US_EQUITIES, 'XNYS'),
+        ('CA', CA_EQUITIES, 'XTSE'),
+        ('GB', GB_EQUITIES, 'XLON'),
+    ])
+    def test_only_currency_converted_data(self, name, domain, calendar_name):
+        # Test running a pipeline on a domain whose assets are all denominated
+        # in the same currency.
+        pipe = Pipeline({
+            'close_USD': EquityPricing.close.fx('USD').latest,
+            'close_EUR': EquityPricing.close.fx('EUR').latest,
+        }, domain=domain)
+
+        start, end = self.daily_bar_sessions[calendar_name][-2:]
+        result = self.run_pipeline(pipe, start, end)
+
+        calendar = get_calendar(calendar_name)
+        daily_bars = self.daily_bar_data[calendar_name]
+        currency_codes = self.daily_bar_currency_codes[calendar_name]
+
+        for (dt, asset), row in result.iterrows():
+            # Subtract a day b/c pipeline output on day N should have prior
+            # day's price.
+            price_date = dt - calendar.day
+            expected_close = daily_bars[asset].loc[price_date, 'close']
+            expected_base = currency_codes.loc[asset]
+
+            expected_rate_USD = self.in_memory_fx_rate_reader.get_rate_scalar(
+                rate='mid',
+                quote='USD',
+                base=expected_base,
+                dt=price_date.asm8,
+            )
+            expected_price = expected_close * expected_rate_USD
+            assert_equal(row.close_USD, expected_price)
+
+            expected_rate_EUR = self.in_memory_fx_rate_reader.get_rate_scalar(
+                rate='mid',
+                quote='EUR',
+                base=expected_base,
+                dt=price_date.asm8,
+            )
+            expected_price = expected_close * expected_rate_EUR
+            assert_equal(row.close_EUR, expected_price)
+
     def test_explicit_specialization_matches_implicit(self):
         pipeline_specialized = Pipeline({
             'open': EquityPricing.open.latest,

zipline/data/fx/base.py

@@ -1,4 +1,7 @@
-from interface import Interface
+from interface import default, Interface
+
+import numpy as np
+import pandas as pd
 
 from zipline.utils.sentinel import sentinel
 
@@ -19,13 +22,13 @@ def get_rates(self, rate, quote, bases, dts):
             will be used by default for Pipeline API terms that don't specify a
             specific rate.
         quote : str
-            Currency code of the currency into to convert.
+            Currency code of the currency to convert into.
         bases : np.array[object]
-            Array of codes of the currencies from which to convert. A single
-            currency may appear multiple times.
+            Array of codes of the currencies to convert from. A single currency
+            may appear multiple times.
         dts : pd.DatetimeIndex
             Datetimes for which to load rates. Must be sorted in ascending
-            order.
+            order and localized to UTC.
 
         Returns
         -------
@@ -36,3 +39,34 @@ def get_rates(self, rate, quote, bases, dts):
             The row at index i corresponds to the dt in dts[i].
             The column at index j corresponds to the base currency in bases[j].
         """
+
+    @default
+    def get_rate_scalar(self, rate, quote, base, dt):
+        """Scalar version of ``get_rates``.
+
+        Parameters
+        ----------
+        rate : str
+            Rate type to load. Readers intended for use with the Pipeline API
+            should support at least ``zipline.data.fx.DEFAULT_FX_RATE``, which
+            will be used by default for Pipeline API terms that don't specify a
+            specific rate.
+        quote : str
+            Currency code of the currency to convert into.
+        base : str
+            Currency code of the currency to convert from.
+        dt : np.datetime64 or pd.Timestamp
+            Datetime on which to load rate.
+
+        Returns
+        -------
+        rate : np.float64
+            Exchange rate from base -> quote on dt.
+        """
+        rates_array = self.get_rates(
+            rate,
+            quote,
+            bases=np.array([base], dtype=object),
+            dts=pd.DatetimeIndex([dt], tz='UTC'),
+        )
+        return rates_array[0, 0]

zipline/pipeline/loaders/equity_pricing_loader.py

@@ -166,7 +166,7 @@ def _inplace_currency_convert(self, columns, arrays, dates, sids):
             by_spec[column.currency_conversion].append(array)
 
         # Nothing to do for terms with no currency conversion.
-        by_spec.pop(None)
+        by_spec.pop(None, None)
         if not by_spec:
             return