No data before date bug in volume roll finder #1893
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dmichalowicz
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yankees714
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Jul 27, 2017
zipline/assets/roll_finder.py
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| @@ -212,6 +212,8 @@ def _active_contract(self, oc, front, back, dt): | |||
| tc.minute_to_session_label(gap_end), | |||
| ) | |||
| for session in sessions: | |||
| if session < back_contract.start_date: | |||
| continue | |||
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What would you think of incorporating this logic when calculating sessions above? Something like making gap_start the max of the beginning of the grace period and the back contract start date?
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Ya I like that idea, will update.
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In the volume roll finder, we look up to a week back from the given date (called the grace period) where we look for double volume flips. It was possible that if the back contract had not started yet in the past week, an exception was thrown.
@yankees714 Mind taking a look? This is a follow up fix to #1892. In that first fix we checked existence of the contracts before calling
get_value, but we also callget_valuelater on that needs the same check.