Merge pull request #1981 from quantopian/no-further-data-error-constr…

…uction

BUG: Fixed construction of NoFurtherDataError

tests/pipeline/test_downsampling.py

@@ -6,6 +6,7 @@
 import pandas as pd
 from pandas.util.testing import assert_frame_equal
 
+from zipline.errors import NoFurtherDataError
 from zipline.pipeline import (
     Pipeline,
     CustomFactor,
@@ -48,7 +49,7 @@ def compute(self, today, assets, out, cats):
         out[:] = cats[0]
 
 
-class ComputeExtraRowsTestcase(WithTradingSessions, ZiplineTestCase):
+class ComputeExtraRowsTestCase(WithTradingSessions, ZiplineTestCase):
 
     DATA_MIN_DAY = pd.Timestamp('2012-06', tz='UTC')
     DATA_MAX_DAY = pd.Timestamp('2015', tz='UTC')
@@ -165,7 +166,7 @@ def test_yearly(self, base_terms, calendar_name):
         # Simulate requesting computation where the unaltered lookback would
         # land on the last date of 2012. The downsampled terms should request
         # enough extra rows to push us back to the first known date, which is
-        # in the middle of 2012
+        # in the middle of 2012.
         for i in range(0, 30, 5):
             start_session = sessions_in_2013[i]
             self.check_extra_row_calculations(
@@ -185,6 +186,32 @@ def test_yearly(self, base_terms, calendar_name):
                 expected_extra_rows=i + 1,
             )
 
+        # Simulate requesting computation where the unaltered lookback would
+        # land prior to the first date of 2012. The downsampled terms will fail
+        # to request enough extra rows.
+        for i in range(0, 30, 5):
+            with self.assertRaisesRegexp(
+                NoFurtherDataError,
+                '\s*Insufficient data to compute Pipeline'
+            ):
+                self.check_extra_row_calculations(
+                    downsampled_terms,
+                    all_sessions,
+                    all_sessions[i],
+                    end_session,
+                    min_extra_rows=i + 1,
+                    expected_extra_rows=i + 1,
+                )
+
+            self.check_extra_row_calculations(
+                base_terms,
+                all_sessions,
+                all_sessions[i],
+                end_session,
+                min_extra_rows=i + 1,
+                expected_extra_rows=i + 1,
+            )
+
     @parameter_space(
         calendar_name=TRADING_CALENDAR_STRS,
         base_terms=[

zipline/pipeline/mixins.py

@@ -391,7 +391,7 @@ def compute_extra_rows(self,
         try:
             current_start_pos = all_dates.get_loc(start_date) - min_extra_rows
             if current_start_pos < 0:
-                raise NoFurtherDataError(
+                raise NoFurtherDataError.from_lookback_window(
                     initial_message="Insufficient data to compute Pipeline:",
                     first_date=all_dates[0],
                     lookback_start=start_date,