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BUG: Open and close resampling code could hit index errors

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dmichalowicz
2017-03-28 16:06:29 -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
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@@ -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')