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MAINT: Prevent hiding of KeyError in adjustments.
If a KeyError occurred in the adjustment logic, the exception would be swallowed by the try block, which was intended to just check whether or not there was an adjustment reader adjusted. Discovered when some logic in a futures adjustment reader were failing because of a mismatch of minute and session labels, which resulted in no adjustments during windows when there should have been.
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@@ -415,11 +415,15 @@ class HistoryLoader(with_metaclass(ABCMeta)):
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array = array.astype(float64_dtype)
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for i, asset in enumerate(needed_assets):
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adj_reader = None
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try:
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adj_reader = self._adjustment_readers[type(asset)]
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except KeyError:
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adj_reader = None
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if adj_reader is not None:
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adjs = adj_reader.load_adjustments(
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[field], prefetch_dts, [asset])[0]
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except KeyError:
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else:
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adjs = {}
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window = window_type(
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array[:, i].reshape(prefetch_len, 1),
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