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BUG: Open and close resampling code could hit index errors

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dmichalowicz
2017-03-28 15:56:53 -04:00
parent 35203c6904
commit 066a7776d2
2 changed files with 30 additions and 8 deletions
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tests/data/test_resample.py
+15 -3
View File
@@ -143,6 +143,8 @@ _FUTURE_CASES = (
('none_missing', 'day_0_back'))),
(1003, (('missing_last', 'day_0_back'),
('missing_first', 'day_1_front'))),
(1004, (('all_missing', 'day_0_back'),
('none_missing', 'day_1_front'))),
)
FUTURE_CASES = OrderedDict()
@@ -207,7 +209,6 @@ EXPECTED_AGGREGATION = {
'close': [nan, 103.3, 102.3, 101.3, 103.3, 102.3],
'volume': [0, 1003, 2005, 3006, 4009, 5011],
}, columns=OHLCV),
# Equity 3 straddles two days.
1003: DataFrame({
'open': [107.5, 107.5, 107.5, nan, 103.5, 103.5],
'high': [107.9, 108.9, 108.9, nan, 103.9, 103.9],
@@ -215,6 +216,13 @@ EXPECTED_AGGREGATION = {
'close': [107.3, 108.3, 108.3, nan, 103.3, 102.3],
'volume': [1007, 2015, 2015, 0, 1003, 2005],
}, columns=OHLCV),
1004: DataFrame({
'open': [nan, nan, nan, 101.5, 101.5, 101.5],
'high': [nan, nan, nan, 101.9, 103.9, 103.9],
'low': [nan, nan, nan, 101.1, 101.1, 101.1],
'close': [nan, nan, nan, 101.3, 103.3, 102.3],
'volume': [0, 0, 0, 1001, 2004, 3006],
}, columns=OHLCV),
}
EXPECTED_SESSIONS = {
@@ -236,7 +244,11 @@ EXPECTED_SESSIONS = {
1003: DataFrame(EXPECTED_AGGREGATION[1003].iloc[[2, 5]].values,
columns=OHLCV,
index=pd.to_datetime(['2016-03-16', '2016-03-17'],
utc=True))
utc=True)),
1004: DataFrame(EXPECTED_AGGREGATION[1004].iloc[[2, 5]].values,
columns=OHLCV,
index=pd.to_datetime(['2016-03-16', '2016-03-17'],
utc=True)),
}
@@ -513,7 +525,7 @@ class TestResampleSessionBars(WithBcolzFutureMinuteBarReader,
TRADING_CALENDAR_STRS = ('us_futures',)
TRADING_CALENDAR_PRIMARY_CAL = 'us_futures'
ASSET_FINDER_FUTURE_SIDS = 1001, 1002, 1003
ASSET_FINDER_FUTURE_SIDS = 1001, 1002, 1003, 1004
START_DATE = pd.Timestamp('2016-03-16', tz='UTC')
END_DATE = pd.Timestamp('2016-03-17', tz='UTC')
zipline/data/_resample.pyx
+15 -5
View File
@@ -23,10 +23,15 @@ cpdef void _minute_to_session_open(intp_t[:] close_locs,
cdef intp_t i, close_loc, loc = 0
cdef float64_t val
for i, close_loc in enumerate(close_locs):
val = data[loc]
val = nan
# Start by getting the price value at the opening minute of each day.
# If the value is NaN, continue looking forward until we either find a
# valid value or reach the closing minute, at which point the value is
# just kept as a NaN. We increment 'loc' after obtaining the value to
# ensure we do not reach an out of bounds index.
while isnan(val) and loc <= close_loc:
loc += 1
val = data[loc]
loc += 1
out[i] = val
loc = close_loc + 1
@@ -75,17 +80,22 @@ cpdef void _minute_to_session_close(intp_t[:] close_locs,
float64_t[:] out):
cdef intp_t i, prev_close_loc, loc = 0
cdef float64_t val
num_out = len(close_locs)
num_out = len(out)
for i in range(num_out - 1, -1, -1):
if i > 0:
prev_close_loc = close_locs[i - 1]
else:
prev_close_loc = -1
loc = close_locs[i]
val = data[loc]
val = nan
# Start by getting the price value at the closing minute of each day.
# If the value is NaN, continue looking back until we either find a
# valid value or reach the closing minute of the previous day, at which
# point the value is just kept as a NaN. We decrement 'loc' after
# obtaining the value to ensure we do not reach a negative index.
while isnan(val) and loc > prev_close_loc:
loc -= 1
val = data[loc]
loc -= 1
out[i] = val