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BUG: Fixes asset writer to the select the latest asset to hold a sid (#1392)

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* BUG: Fixes asset writer to the select the latest asset to hold a sid

When constructing the asset_info dataframe, we were previously taking
the first symbol/sid pair to include, when we should be taking the most
recent.

* Ensure groups are sorted by increasing end_date

* Updates test_lookup_symbol_change_ticker to also cover asset_name
This commit is contained in:
Andrew Daniels
2016-08-15 20:38:02 -04:00
committed by GitHub
parent 90a8ea2df3
commit 3136ef3f93
2 changed files with 11 additions and 3 deletions
Download Patch File Download Diff File Expand all files Collapse all files
tests/test_assets.py
+10 -2
View File
@@ -523,12 +523,14 @@ class AssetFinderTestCase(WithTradingCalendars, ZiplineTestCase):
# sid 0
{
'symbol': 'A',
'asset_name': 'Asset A',
'start_date': T('2014-01-01'),
'end_date': T('2014-01-05'),
'exchange': "TEST",
},
{
'symbol': 'B',
'asset_name': 'Asset B',
'start_date': T('2014-01-06'),
'end_date': T('2014-01-10'),
'exchange': "TEST",
@@ -537,12 +539,14 @@ class AssetFinderTestCase(WithTradingCalendars, ZiplineTestCase):
# sid 1
{
'symbol': 'C',
'asset_name': 'Asset C',
'start_date': T('2014-01-01'),
'end_date': T('2014-01-05'),
'exchange': "TEST",
},
{
'symbol': 'A', # claiming the unused symbol 'A'
'asset_name': 'Asset A',
'start_date': T('2014-01-06'),
'end_date': T('2014-01-10'),
'exchange': "TEST",
@@ -574,8 +578,9 @@ class AssetFinderTestCase(WithTradingCalendars, ZiplineTestCase):
finder.retrieve_asset(0),
msg=str(asof),
)
# the symbol should always be the last symbol
# The symbol and asset_name should always be the last held values
assert_equal(A_result.symbol, 'B')
assert_equal(A_result.asset_name, 'Asset B')
# from 01 through 05 sid 1 held 'C'
C_result = finder.lookup_symbol('C', asof)
@@ -584,8 +589,9 @@ class AssetFinderTestCase(WithTradingCalendars, ZiplineTestCase):
finder.retrieve_asset(1),
msg=str(asof),
)
# the symbol should always be the last symbol
# The symbol and asset_name should always be the last held values
assert_equal(C_result.symbol, 'A')
assert_equal(C_result.asset_name, 'Asset A')
# no one held 'B' before 06
with self.assertRaises(SymbolNotFound):
@@ -609,6 +615,7 @@ class AssetFinderTestCase(WithTradingCalendars, ZiplineTestCase):
msg=str(asof),
)
assert_equal(B_result.symbol, 'B')
assert_equal(B_result.asset_name, 'Asset B')
# from 06 through 10 sid 1 held 'A'
# we test through the 11th because sid 1 is the last to hold 'A'
@@ -620,6 +627,7 @@ class AssetFinderTestCase(WithTradingCalendars, ZiplineTestCase):
msg=str(asof),
)
assert_equal(A_result.symbol, 'A')
assert_equal(A_result.asset_name, 'Asset A')
def test_lookup_symbol(self):
zipline/assets/asset_writer.py
+1 -1
View File
@@ -187,7 +187,7 @@ def _generate_output_dataframe(data_subset, defaults):
def _check_asset_group(group):
row = group.iloc[0]
row = group.sort('end_date').iloc[-1]
row.start_date = group.start_date.min()
row.end_date = group.end_date.max()
row.drop(list(symbol_columns), inplace=True)