Fixed an issue with minute bundles

catalyst/exchange/exchange_bcolz.py

@@ -41,12 +41,14 @@ class BcolzExchangeBarReader(BcolzMinuteBarReader):
 
     def load_raw_arrays(self, fields, start_dt, end_dt, sids):
 
-        if self._data_frequency == 'minute':
-            return super(BcolzExchangeBarReader, self) \
-                .load_raw_arrays(fields, start_dt, end_dt, sids)
+        # if self._data_frequency == 'minute':
+        #     return super(BcolzExchangeBarReader, self) \
+        #         .load_raw_arrays(fields, start_dt, end_dt, sids)
+        #
+        # else:
+        #     return self._load_daily_raw_arrays(fields, start_dt, end_dt, sids)
 
-        else:
-            return self._load_daily_raw_arrays(fields, start_dt, end_dt, sids)
+        return self._load_daily_raw_arrays(fields, start_dt, end_dt, sids)
 
     def _load_daily_raw_arrays(self, fields, start_dt, end_dt, sids):
         start_idx = self._find_position_of_minute(start_dt)
@@ -62,7 +64,10 @@ class BcolzExchangeBarReader(BcolzMinuteBarReader):
         mask = None
         data = []
         for field in fields:
-            out = np.full(shape, np.nan)
+            if field != 'volume':
+                out = np.full(shape, np.nan)
+            else:
+                out = np.zeros(shape, dtype=np.float64)
 
             for i, sid in enumerate(sids):
                 carray = self._open_minute_file(field, sid)

catalyst/exchange/exchange_bundle.py

@@ -319,7 +319,6 @@ class ExchangeBundle:
         for index, field in enumerate(
                 ['open', 'high', 'low', 'close', 'volume']):
             ohlcv[field] = arrays[index].flatten()
-            ohlcv[field] = ohlcv[field][~np.isnan(ohlcv[field])]
 
         df = pd.DataFrame(
             data=ohlcv,

tests/exchange/test_bundle.py

@@ -17,7 +17,7 @@ log = Logger('test_exchange_bundle')
 
 class ExchangeBundleTestCase:
     def test_ingest_minute(self):
-        exchange_name = 'poloniex'
+        exchange_name = 'bitfinex'
 
         # start = pd.to_datetime('2017-09-01', utc=True)
         start = pd.to_datetime('2017-9-1', utc=True)
@@ -27,8 +27,8 @@ class ExchangeBundleTestCase:
 
         log.info('ingesting exchange bundle {}'.format(exchange_name))
         exchange_bundle.ingest(
-            data_frequency='daily',
-            include_symbols='etc_btc',
+            data_frequency='minute',
+            include_symbols='neo_eth',
             # include_symbols=None,
             exclude_symbols=None,
             start=start,