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BUG: fixed issue with number of superfluous candles at the beginning of bundle history

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This commit is contained in:
Frederic Fortier
2018-01-18 15:08:12 -05:00
parent 53a54fde7c
commit 563fc433d5
2 changed files with 20 additions and 20 deletions
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catalyst/exchange/exchange_bundle.py
+18 -18
View File
@@ -232,12 +232,12 @@ class ExchangeBundle:
problem = '{name} ({start_dt} to {end_dt}) has empty ' \
'periods: {dates}'.format(
name=asset.symbol,
start_dt=asset.start_date.strftime(
DATE_TIME_FORMAT),
end_dt=end_dt.strftime(DATE_TIME_FORMAT),
dates=[date.strftime(
DATE_TIME_FORMAT) for date in dates])
name=asset.symbol,
start_dt=asset.start_date.strftime(
DATE_TIME_FORMAT),
end_dt=end_dt.strftime(DATE_TIME_FORMAT),
dates=[date.strftime(
DATE_TIME_FORMAT) for date in dates])
if empty_rows_behavior == 'warn':
log.warn(problem)
@@ -286,12 +286,12 @@ class ExchangeBundle:
problem = '{name} ({start_dt} to {end_dt}) has {threshold} ' \
'identical close values on: {dates}'.format(
name=asset.symbol,
start_dt=asset.start_date.strftime(DATE_TIME_FORMAT),
end_dt=end_dt.strftime(DATE_TIME_FORMAT),
threshold=threshold,
dates=[pd.to_datetime(date).strftime(DATE_TIME_FORMAT)
for date in dates])
name=asset.symbol,
start_dt=asset.start_date.strftime(DATE_TIME_FORMAT),
end_dt=end_dt.strftime(DATE_TIME_FORMAT),
threshold=threshold,
dates=[pd.to_datetime(date).strftime(DATE_TIME_FORMAT)
for date in dates])
problems.append(problem)
@@ -629,8 +629,8 @@ class ExchangeBundle:
show_progress,
label='Ingesting {frequency} price data on '
'{exchange}'.format(
exchange=self.exchange_name,
frequency=data_frequency,
exchange=self.exchange_name,
frequency=data_frequency,
)) as it:
for chunk in it:
problems += self.ingest_ctable(
@@ -964,15 +964,15 @@ class ExchangeBundle:
data_frequency,
trailing_bar_count=None,
reset_reader=False):
if trailing_bar_count:
delta = get_delta(trailing_bar_count, data_frequency)
end_dt += delta
start_dt = get_start_dt(end_dt, bar_count, data_frequency, False)
start_dt, _ = self.get_adj_dates(
start_dt, end_dt, assets, data_frequency
)
if trailing_bar_count:
delta = get_delta(trailing_bar_count, data_frequency)
end_dt += delta
# This is an attempt to resolve some caching with the reader
# when auto-ingesting data.
# TODO: needs more work
tests/exchange/test_suites/test_suite_bundle.py
+2 -2
View File
@@ -98,7 +98,7 @@ class TestSuiteBundle(WithLogger, ZiplineTestCase):
def test_validate_bundles(self):
# exchange_population = 3
asset_population = 3
data_frequency = random.choice(['minute', 'daily'])
data_frequency = random.choice(['minute'])
# bundle = 'dailyBundle' if data_frequency
# == 'daily' else 'minuteBundle'
@@ -106,7 +106,7 @@ class TestSuiteBundle(WithLogger, ZiplineTestCase):
# population=exchange_population,
# features=[bundle],
# ) # Type: list[Exchange]
exchanges = [get_exchange('bitfinex', skip_init=True)]
exchanges = [get_exchange('poloniex', skip_init=True)]
data_portal = TestSuiteBundle.get_data_portal(exchanges)
for exchange in exchanges: