BUG: accounting for daily historical bars with minute freq algo

catalyst/examples/simple_loop.py

@@ -16,26 +16,28 @@ def handle_data(context, data):
     price = data.current(context.asset, 'close')
     print('got price {price}'.format(price=price))
 
-    # prices = data.history(
-    #     context.asset,
-    #     fields='price',
-    #     bar_count=20,
-    #     frequency='1T'
-    # )
-    # rsi = talib.RSI(prices.values, timeperiod=14)[-1]
-    # print('got rsi: {}'.format(rsi))
-    pass
+    try:
+        prices = data.history(
+            context.asset,
+            fields='price',
+            bar_count=16,
+            frequency='1D'
+        )
+        rsi = talib.RSI(prices.values, timeperiod=14)[-1]
+        print('got rsi: {}'.format(rsi))
+    except Exception as e:
+        print(e)
 
 
 run_algorithm(
     capital_base=250,
     start=pd.to_datetime('2017-1-1', utc=True),
     end=pd.to_datetime('2017-10-22', utc=True),
-    data_frequency='daily',
+    data_frequency='minute',
     initialize=initialize,
     handle_data=handle_data,
     analyze=None,
-    exchange_name='poloniex',
+    exchange_name='bitfinex',
     algo_namespace='simple_loop',
     base_currency='btc'
 )

catalyst/exchange/exchange_bundle.py

@@ -284,7 +284,7 @@ class ExchangeBundle:
 
         self._write(data, writer, data_frequency)
 
-    def ingest_ctable(self, asset, data_frequency, period, start_dt, end_dt,
+    def ingest_ctable(self, asset, data_frequency, period,
                       writer, empty_rows_behavior='strip', cleanup=False):
         """
         Merge a ctable bundle chunk into the main bundle for the exchange.
@@ -315,6 +315,12 @@ class ExchangeBundle:
         if reader is None:
             raise TempBundleNotFoundError(path=path)
 
+        start_dt = reader.first_trading_day
+        end_dt = reader.last_available_dt
+
+        if data_frequency == 'daily':
+            end_dt = end_dt - pd.Timedelta(hours=23, minutes=59)
+
         arrays = None
         try:
             arrays = reader.load_raw_arrays(
@@ -420,6 +426,12 @@ class ExchangeBundle:
         dict[TradingPair, list[dict(str, Object]]]
 
         """
+        get_start_end = get_month_start_end \
+            if data_frequency == 'minute' else get_year_start_end
+
+        start_dt, _ = get_start_end(start_dt)
+        _, end_dt = get_start_end(end_dt)
+
         reader = self.get_reader(data_frequency)
 
         chunks = dict()
@@ -450,8 +462,6 @@ class ExchangeBundle:
 
             chunks[asset] = []
             for index, dt in enumerate(dates):
-                get_start_end = get_month_start_end \
-                    if data_frequency == 'minute' else get_year_start_end
 
                 period_start, period_end = get_start_end(
                     dt=dt,
@@ -543,8 +553,6 @@ class ExchangeBundle:
                             asset=chunk['asset'],
                             data_frequency=data_frequency,
                             period=chunk['period'],
-                            start_dt=chunk['period_start'],
-                            end_dt=chunk['period_end'],
                             writer=writer,
                             empty_rows_behavior='strip',
                             cleanup=True
@@ -563,8 +571,6 @@ class ExchangeBundle:
                         asset=chunk['asset'],
                         data_frequency=data_frequency,
                         period=chunk['period'],
-                        start_dt=chunk['period_start'],
-                        end_dt=chunk['period_end'],
                         writer=writer,
                         empty_rows_behavior='strip',
                         cleanup=True

catalyst/exchange/exchange_data_portal.py

@@ -328,17 +328,20 @@ class DataPortalExchangeBacktest(DataPortalExchangeBase):
         """
         bundle = self.exchange_bundles[exchange.name]  # type: ExchangeBundle
 
-        freq, candle_size, unit, data_frequency = get_frequency(
+        freq, candle_size, unit, adj_data_frequency = get_frequency(
             frequency, data_frequency
         )
         adj_bar_count = candle_size * bar_count
 
+        if data_frequency == 'minute' and adj_data_frequency == 'daily':
+            end_dt = end_dt.floor('1D')
+
         series = bundle.get_history_window_series_and_load(
             assets=assets,
             end_dt=end_dt,
             bar_count=adj_bar_count,
             field=field,
-            data_frequency=data_frequency,
+            data_frequency=adj_data_frequency,
             algo_end_dt=self._last_available_session,
         )