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Fixed an issue with asset date in chunks

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This commit is contained in:
fredfortier
2017-10-24 14:23:47 -04:00
parent 4e833981e4
commit 5394c1bc91
1 changed files with 22 additions and 16 deletions
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catalyst/exchange/exchange_bundle.py
+22 -16
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@@ -227,18 +227,18 @@ class ExchangeBundle:
if reader is None:
raise TempBundleNotFoundError(path=path)
# arrays = None
# try:
arrays = reader.load_raw_arrays(
sids=[asset.sid],
fields=['open', 'high', 'low', 'close', 'volume'],
start_dt=start_dt,
end_dt=end_dt
)
# except Exception as e:
# log.warn('skipping ctable for {} from {} to {}: {}'.format(
# asset.symbol, start_dt, end_dt, e
# ))
arrays = None
try:
arrays = reader.load_raw_arrays(
sids=[asset.sid],
fields=['open', 'high', 'low', 'close', 'volume'],
start_dt=start_dt,
end_dt=end_dt
)
except Exception as e:
log.warn('skipping ctable for {} from {} to {}: {}'.format(
asset.symbol, start_dt, end_dt, e
))
if not arrays:
return path
@@ -327,9 +327,6 @@ class ExchangeBundle:
except NoDataAvailableOnExchange:
continue
# start_dt = max(start_dt, self.calendar.first_trading_session)
# start_dt = max(start_dt, asset_start)
# Aligning start / end dates with the daily calendar
sessions = get_periods_range(start_dt, end_dt, data_frequency) \
if data_frequency == 'minute' \
@@ -356,10 +353,15 @@ class ExchangeBundle:
period_start, period_end = get_month_start_end(dt)
asset_start_month, _ = get_month_start_end(asset_start)
if asset_start_month > period_start:
dt += timedelta(days=1)
continue
if asset_start_month == period_start \
and period_start < asset_start:
period_start = asset_start
# TODO: ensure to filter out closed currencies
_, asset_end_month = get_month_start_end(asset_end)
if asset_end_month == period_end \
and period_end > asset_end:
@@ -369,6 +371,10 @@ class ExchangeBundle:
period_start, period_end = get_year_start_end(dt)
asset_start_year, _ = get_year_start_end(asset_start)
if asset_start_year > period_start:
dt += timedelta(days=1)
continue
if asset_start_year == period_start \
and period_start < asset_start:
period_start = asset_start
@@ -440,7 +446,7 @@ class ExchangeBundle:
end_dt=chunk['period_end'],
writer=writer,
empty_rows_behavior='strip',
cleanup=True
cleanup=False
)
def ingest(self, data_frequency, include_symbols=None,