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BUG: sort data on asof_date to resolve ts conflicts

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MAINT: fix arg default and update docstring
This commit is contained in:
Maya Tydykov
2017-03-15 14:10:58 -04:00
parent d176ba4d85
commit 58fb830ebd
3 changed files with 65 additions and 5 deletions
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tests/pipeline/test_blaze.py
+53 -2
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@@ -776,8 +776,9 @@ class BlazeToPipelineTestCase(WithAssetFinder, ZiplineTestCase):
check_dtype=False,
)
def _test_id_macro(self, df, dshape, expected, finder, add):
dates = self.dates
def _test_id_macro(self, df, dshape, expected, finder, add, dates=None):
if dates is None:
dates = self.dates
expr = bz.data(df, name='expr', dshape=dshape)
loader = BlazeLoader()
ds = from_blaze(
@@ -1875,6 +1876,56 @@ class BlazeToPipelineTestCase(WithAssetFinder, ZiplineTestCase):
self._test_checkpoints(checkpoints)
def test_id_take_last_in_group_sorted(self):
"""
input
asof_date timestamp other value
2014-01-03 2014-01-04 00 3 3
2014-01-02 2014-01-04 00 2 2
output (expected):
other value
2014-01-02 NaN NaN
2014-01-03 NaN NaN
2014-01-06 3 3
"""
dates = pd.DatetimeIndex([
pd.Timestamp('2014-01-02'),
pd.Timestamp('2014-01-03'),
pd.Timestamp('2014-01-06'),
])
T = pd.Timestamp
df = pd.DataFrame(
columns=['asof_date', 'timestamp', 'other', 'value'],
data=[
# asof-dates are flipped in terms of order so that if we
# don't sort on asof-date before getting the last in group,
# we will get the wrong result.
[T('2014-01-03'), T('2014-01-04 00'), 3, 3],
[T('2014-01-02'), T('2014-01-04 00'), 2, 2],
],
)
fields = OrderedDict(self.macro_dshape.measure.fields)
fields['other'] = fields['value']
expected = pd.DataFrame(
data=[[np.nan, np.nan], # 2014-01-02
[np.nan, np.nan], # 2014-01-03
[3, 3]], # 2014-01-06
columns=['other', 'value'],
index=dates,
)
self._test_id_macro(
df,
var * Record(fields),
expected,
self.asset_finder,
('other', 'value'),
dates=dates,
)
class MiscTestCase(ZiplineTestCase):
def test_exprdata_repr(self):