BUG: accounting for daily historical bars with minute freq algo

This commit is contained in:
fredfortier
2017-11-02 20:18:34 -04:00
parent a9a422c892
commit 5e4ad9b338
5 changed files with 162 additions and 28 deletions
+7 -8
View File
@@ -431,7 +431,7 @@ class TestExchangeBundle:
pass
def bundle_to_csv(self):
exchange_name = 'poloniex'
exchange_name = 'bitfinex'
data_frequency = 'daily'
period = '2016'
@@ -445,14 +445,13 @@ class TestExchangeBundle:
data_frequency=data_frequency,
period=period
)
dt = pd.to_datetime(period, utc=True)
if data_frequency == 'minute':
start_dt, end_dt = get_month_start_end(dt)
else:
start_dt, end_dt = get_year_start_end(dt)
reader = bundle.get_reader(data_frequency, 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(