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TST: Fix get_last_traded_dt on bcolz daily reader.

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Remove special handling for the last session of an asset, which was
moving the last traded back a session.

If the asset has data on a session, `get_last_traded_dt` should always
return that session if it is the parameter to the method.
This commit is contained in:
Eddie Hebert
2016-08-31 14:59:58 -04:00
parent 8863d007ce
commit 1bebad5b68
4 changed files with 56 additions and 39 deletions
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tests/test_bar_data.py
+34 -21
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@@ -15,6 +15,8 @@
from datetime import timedelta
from nose_parameterized import parameterized
import numpy as np
from numpy import nan
from numpy.testing import assert_almost_equal
import pandas as pd
from zipline._protocol import handle_non_market_minutes
@@ -600,7 +602,7 @@ class TestDailyBarData(WithBarDataChecks,
ZiplineTestCase):
START_DATE = pd.Timestamp('2016-01-05', tz='UTC')
END_DATE = ASSET_FINDER_EQUITY_END_DATE = pd.Timestamp(
'2016-01-08',
'2016-01-11',
tz='UTC',
)
@@ -613,6 +615,12 @@ class TestDailyBarData(WithBarDataChecks,
DIVIDEND_ASSET_SID = 7
ILLIQUID_DIVIDEND_ASSET_SID = 8
@classmethod
def make_equity_info(cls):
frame = super(TestDailyBarData, cls).make_equity_info()
frame.loc[[1, 2], 'end_date'] = pd.Timestamp('2016-01-08', tz='UTC')
return frame
@classmethod
def make_splits_data(cls):
return pd.DataFrame.from_records([
@@ -688,10 +696,11 @@ class TestDailyBarData(WithBarDataChecks,
@classmethod
def make_equity_daily_bar_data(cls):
for sid in cls.sids:
asset = cls.asset_finder.retrieve_asset(sid)
yield sid, create_daily_df_for_asset(
cls.trading_calendar,
cls.equity_daily_bar_days[0],
cls.equity_daily_bar_days[-1],
asset.start_date,
asset.end_date,
interval=2 - sid % 2
)
@@ -829,25 +838,31 @@ class TestDailyBarData(WithBarDataChecks,
self.check_internal_consistency(bar_data)
for asset in self.ASSETS:
self.assertTrue(bar_data.can_trade(asset))
if asset in (1, 2):
self.assertFalse(bar_data.can_trade(asset))
else:
self.assertTrue(bar_data.can_trade(asset))
self.assertFalse(bar_data.is_stale(asset))
self.assertEqual(6, bar_data.current(asset, "open"))
self.assertEqual(7, bar_data.current(asset, "high"))
self.assertEqual(4, bar_data.current(asset, "low"))
self.assertEqual(5, bar_data.current(asset, "close"))
self.assertEqual(500, bar_data.current(asset, "volume"))
self.assertEqual(5, bar_data.current(asset, "price"))
if asset in (1, 2):
assert_almost_equal(nan, bar_data.current(asset, "open"))
assert_almost_equal(nan, bar_data.current(asset, "high"))
assert_almost_equal(nan, bar_data.current(asset, "low"))
assert_almost_equal(nan, bar_data.current(asset, "close"))
assert_almost_equal(0, bar_data.current(asset, "volume"))
assert_almost_equal(nan, bar_data.current(asset, "price"))
else:
self.assertEqual(6, bar_data.current(asset, "open"))
self.assertEqual(7, bar_data.current(asset, "high"))
self.assertEqual(4, bar_data.current(asset, "low"))
self.assertEqual(5, bar_data.current(asset, "close"))
self.assertEqual(500, bar_data.current(asset, "volume"))
self.assertEqual(5, bar_data.current(asset, "price"))
def test_after_assets_dead(self):
# both assets end on self.day[-1], so let's try the next day
minute = self.get_last_minute_of_session(
self.trading_calendar.next_session_label(
self.equity_daily_bar_days[-1]
)
)
session = self.END_DATE
bar_data = BarData(self.data_portal, lambda: minute, "daily")
bar_data = BarData(self.data_portal, lambda: session, "daily")
self.check_internal_consistency(bar_data)
for asset in self.ASSETS:
@@ -861,11 +876,9 @@ class TestDailyBarData(WithBarDataChecks,
last_traded_dt = bar_data.current(asset, "last_traded")
if asset == self.ASSET1:
self.assertEqual(self.equity_daily_bar_days[-2],
if asset in (self.ASSET1, self.ASSET2):
self.assertEqual(self.equity_daily_bar_days[3],
last_traded_dt)
else:
self.assertEqual(self.equity_daily_bar_days[1], last_traded_dt)
@parameterized.expand([
("split", 2, 3, 3, 1.5),