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History support for daily input data #357

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@twiecki twiecki commented Jun 29, 2014

not ready to merge

This adds support for using history with daily input data. I started trying to change the dt of incoming events as described here #350 but it took me too long to hunt down all the downstream ripples this caused. This instead is a very simple hack to history Frequency to say that the market open is at midnight if we're running with daily input data. It does work but might not be the cleanest. But since this is so simple my opinion is to take this and solve a huge problem with very little.

Please let me know if you can think of a cleaner way to change this in history.

Finally, this includes #352, so only the last commit is new here: 5f01e11

CC @ssanderson and @ehebert.

@twiecki twiecki changed the title History support daily input History support for daily input data Jun 29, 2014
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@coveralls coveralls commented Jun 29, 2014

Coverage Status

Coverage decreased (-0.11%) when pulling 5f01e11 on history_support_daily_input into 4c9cf13 on master.

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@coveralls coveralls commented Jun 30, 2014

Coverage Status

Coverage increased (+0.02%) when pulling 3c262ca on history_support_daily_input into f8e84ec on master.

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@coveralls coveralls commented Jun 30, 2014

Coverage Status

Coverage decreased (-0.04%) when pulling 4668662 on history_support_daily_input into f8e84ec on master.

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@twiecki twiecki commented Jul 15, 2014

OK, I added the missing unittest.

Unfortunately this got a little bit more hacky now but I think it's fine for an interim solution as it remains backwards compatibility. I'd like to merge this soon to move ahead with the other stuff for 0.7.

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@coveralls coveralls commented Jul 15, 2014

Coverage Status

Coverage increased (+0.04%) when pulling 2b92105 on history_support_daily_input into 4980928 on master.

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@coveralls coveralls commented Jul 16, 2014

Coverage Status

Coverage increased (+0.04%) when pulling 78d2a7e on history_support_daily_input into 4980928 on master.

twiecki added 3 commits Jun 29, 2014
We can't be sure that security identifiers can be converted
to int. In fact, most of the times they are strings. This
adds an identity function that can be overwritten if such
a conversion is necessary (as on Quantopian).
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@coveralls coveralls commented Jul 16, 2014

Coverage Status

Coverage increased (+0.04%) when pulling 0fac67b on history_support_daily_input into 4980928 on master.

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@coveralls coveralls commented Jul 16, 2014

Coverage Status

Coverage increased (+0.04%) when pulling 0fac67b on history_support_daily_input into 4980928 on master.

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@coveralls coveralls commented Jul 16, 2014

Coverage Status

Coverage increased (+0.04%) when pulling 0fac67b on history_support_daily_input into 4980928 on master.

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@ehebert ehebert commented Jul 16, 2014

Looks good to me @twiecki, /signoff

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@twiecki twiecki commented Jul 16, 2014

Merged with 443bc71. Thanks for reviewing everyone.

@twiecki twiecki closed this Jul 16, 2014
@twiecki twiecki deleted the history_support_daily_input branch Jul 16, 2014
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