ENH: Make reader.get_value raise NoDataOnDate if the date is not in the calendar. #1488
Conversation
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
…he calendar. DataPortal now catches the NoDataOnDate exception and returns nan for OHLC and 0 for V. Price is still forward filled, unchanged.
ehebert
reviewed
Sep 15, 2016
| "futures trading is open. Result should be 0.") | ||
|
|
||
| with self.assertRaises(NoDataOnDate): | ||
| self.reader.get_value(1, tday, 'close') |
There was a problem hiding this comment.
Could we retain the error message about how NYSE is on one calendar but not the other?
| @@ -112,7 +128,7 @@ def find_last_traded_position_internal( | |||
|
|
|||
| minute_pos = int_min( | |||
| find_position_of_minute(market_opens, market_closes, end_minute, | |||
There was a problem hiding this comment.
I see how avoiding the extra searchsorted is helpful, but I worry about making the behavior of find_position_of_minute_minute adjustable for ffill or not; leaving the function as simple as possible.
Another option would be to put the handling of the NoDataOnDate in this scope (which is focused on finding the last date.)
Something like:
try:
minute_pos = int_min(
find_position_of_minute(market_opens, market_closes, end_minute,
minutes_per_day)
except NoDataOnDate:
prev_close_loc = searchsorted(market_closes, end_minute)
minute_pos = (prev_close_loc + 1) * minute_per_day) - 1
There was a problem hiding this comment.
hm, true. But then you're essentially replicating find_position_of_minute's logic here (the searchsorted call, plus the math).
I think I prefer it the way it is.
bartosh
pushed a commit
to bartosh/zipline
that referenced
this pull request
Sep 27, 2016
…-forward-fill-stop-that ENH: Make reader.get_value raise NoDataOnDate if the date is not in the calendar.
Sign up for free
to join this conversation on GitHub.
Already have an account?
Sign in to comment
Add this suggestion to a batch that can be applied as a single commit.
This suggestion is invalid because no changes were made to the code.
Suggestions cannot be applied while the pull request is closed.
Suggestions cannot be applied while viewing a subset of changes.
Only one suggestion per line can be applied in a batch.
Add this suggestion to a batch that can be applied as a single commit.
Applying suggestions on deleted lines is not supported.
You must change the existing code in this line in order to create a valid suggestion.
Outdated suggestions cannot be applied.
This suggestion has been applied or marked resolved.
Suggestions cannot be applied from pending reviews.
Suggestions cannot be applied on multi-line comments.
Suggestions cannot be applied while the pull request is queued to merge.
Suggestion cannot be applied right now. Please check back later.
Previously, at least the minute bar reader was forward filling (using the previous market minute).
DataPortal now catches the NoDataOnDate exception and returns nan for OHLC and 0 for V.
Price is still forward filled, unchanged.