MAINT: Add assertion for incompatible history freq specification. Supplying 1m frequency to history but only providing daily source data resulted in an odd non-descript exception. This adds a specific check and raises a more informative exception.

tests/history_cases.py

@@ -45,28 +45,28 @@ MIXED_FREQUENCY_MINUTES = TradingEnvironment.instance().market_minute_window(
     to_utc('2013-07-03 9:31AM'), 600,
 )
 ONE_MINUTE_PRICE_ONLY_SPECS = [
-    HistorySpec(1, '1m', 'price', True),
+    HistorySpec(1, '1m', 'price', True, data_frequency='minute'),
 ]
 DAILY_OPEN_CLOSE_SPECS = [
-    HistorySpec(3, '1d', 'open_price', False),
-    HistorySpec(3, '1d', 'close_price', False),
+    HistorySpec(3, '1d', 'open_price', False, data_frequency='minute'),
+    HistorySpec(3, '1d', 'close_price', False, data_frequency='minute'),
 ]
 ILLIQUID_PRICES_SPECS = [
-    HistorySpec(3, '1m', 'price', False),
-    HistorySpec(5, '1m', 'price', True),
+    HistorySpec(3, '1m', 'price', False, data_frequency='minute'),
+    HistorySpec(5, '1m', 'price', True, data_frequency='minute'),
 ]
 MIXED_FREQUENCY_SPECS = [
-    HistorySpec(1, '1m', 'price', False),
-    HistorySpec(2, '1m', 'price', False),
-    HistorySpec(2, '1d', 'price', False),
+    HistorySpec(1, '1m', 'price', False, data_frequency='minute'),
+    HistorySpec(2, '1m', 'price', False, data_frequency='minute'),
+    HistorySpec(2, '1d', 'price', False, data_frequency='minute'),
 ]
 MIXED_FIELDS_SPECS = [
-    HistorySpec(3, '1m', 'price', True),
-    HistorySpec(3, '1m', 'open_price', True),
-    HistorySpec(3, '1m', 'close_price', True),
-    HistorySpec(3, '1m', 'high', True),
-    HistorySpec(3, '1m', 'low', True),
-    HistorySpec(3, '1m', 'volume', True),
+    HistorySpec(3, '1m', 'price', True, data_frequency='minute'),
+    HistorySpec(3, '1m', 'open_price', True, data_frequency='minute'),
+    HistorySpec(3, '1m', 'close_price', True, data_frequency='minute'),
+    HistorySpec(3, '1m', 'high', True, data_frequency='minute'),
+    HistorySpec(3, '1m', 'low', True, data_frequency='minute'),
+    HistorySpec(3, '1m', 'volume', True, data_frequency='minute'),
 ]
 
 

tests/test_history.py

@@ -130,7 +130,8 @@ def get_index_at_dt(case_input):
         case_input['frequency'],
         None,
         False,
-        daily_at_midnight=False
+        daily_at_midnight=False,
+        data_frequency='minute',
     )
     return history.index_at_dt(history_spec, case_input['algo_dt'])
 
@@ -393,6 +394,33 @@ def handle_data(context, data):
             expected = df.iloc[i:i + bar_count]
             assert_frame_equal(expected, received)
 
+    def test_history_daily_data_1m_window(self):
+        bar_count = 3
+        algo_text = """
+from zipline.api import history, add_history
+from copy import deepcopy
+
+def initialize(context):
+    add_history(bar_count=1, frequency='1m', field='price')
+
+def handle_data(context, data):
+    prices = history(bar_count={bar_count}, frequency='1d', field='price')
+    context.history_trace.append(deepcopy(prices))
+""".format(bar_count=bar_count).strip()
+
+        start = pd.Timestamp('2006-03-20', tz='UTC')
+        end = pd.Timestamp('2006-03-30', tz='UTC')
+
+        sim_params = factory.create_simulation_parameters(
+            start=start, end=end)
+
+        with self.assertRaises(ValueError):
+            TradingAlgorithm(
+                script=algo_text,
+                data_frequency='daily',
+                sim_params=sim_params
+            )
+
     def test_basic_history(self):
         algo_text = """
 from zipline.api import history, add_history

zipline/algorithm.py

@@ -841,10 +841,12 @@ class TradingAlgorithm(object):
     @api_method
     def add_history(self, bar_count, frequency, field,
                     ffill=True):
-        daily_at_midnight = (self.sim_params.data_frequency == 'daily')
+        data_frequency = self.sim_params.data_frequency
+        daily_at_midnight = (data_frequency == 'daily')
 
         history_spec = HistorySpec(bar_count, frequency, field, ffill,
-                                   daily_at_midnight=daily_at_midnight)
+                                   daily_at_midnight=daily_at_midnight,
+                                   data_frequency=data_frequency)
         self.history_specs[history_spec.key_str] = history_spec
 
     @api_method

zipline/history/history.py

@@ -241,7 +241,11 @@ class HistorySpec(object):
             bar_count, freq_str, field, ffill)
 
     def __init__(self, bar_count, frequency, field, ffill,
-                 daily_at_midnight=False):
+                 daily_at_midnight=False, data_frequency='daily'):
+
+        if frequency == '1m' and data_frequency == 'daily':
+            raise ValueError('Minute history requires minute frequency input data.\
+Either use daily history or provide minute frequency data.')
         # Number of bars to look back.
         self.bar_count = bar_count
         if isinstance(frequency, str):