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BUG: made some live-trading adjustments related to issue #71

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fredfortier
2017-11-21 13:56:05 -05:00
parent 0d366a350d
commit 02dc4d6a30
5 changed files with 54 additions and 42 deletions
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catalyst/data/loader.py
+3 -2
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@@ -149,13 +149,14 @@ def load_crypto_market_data(trading_day=None, trading_days=None,
# exchange.get_history_window() already ensures that we have the right data
# for the right dates
br = exchange.get_history_window(
br = exchange.get_history_window_with_bundle(
assets=[benchmark_asset],
end_dt=last_date,
bar_count=pd.Timedelta(last_date - start_dt).days,
frequency='1d',
field='close',
data_frequency='daily')
data_frequency='daily',
force_auto_ingest=True)
br.columns = ['close']
br = br.pct_change(1).iloc[1:]
br.loc[start_dt] = 0