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ENH: Return -1 for missing spot prices.

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Return -1 when there is a zero value for a spot price.
Intended for use by the incoming data portal changes. When the data
portal will see a -1 value, the portal will seek back a trading day
until a non-negative value is returned.
This commit is contained in:
Eddie Hebert
2015-11-25 10:16:30 -05:00
parent 53dae6320c
commit 5f81acea05
2 changed files with 48 additions and 8 deletions
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tests/data/test_us_equity_pricing.py
+17
View File
@@ -306,3 +306,20 @@ class BcolzDailyBarTestCase(TestCase):
# after
with self.assertRaises(NoDataOnDate):
reader.spot_price(4, Timestamp('2015-06-16', tz='UTC'), 'close')
def test_unadjusted_spot_price_empty_value(self):
table = self.writer.write(self.dest, self.trading_days, self.assets)
reader = BcolzDailyBarReader(table)
# A sid, day and corresponding index into which to overwrite a zero.
zero_sid = 1
zero_day = Timestamp('2015-06-02', tz='UTC')
zero_ix = reader.sid_day_index(zero_sid, zero_day)
# Write a zero into the synthetic pricing data at the day and sid,
# so that a read should now return -1.
# This a little hacky, in lieu of changing the synthetic data set.
reader._spot_col('close')[zero_ix] = 0
close = reader.spot_price(zero_sid, zero_day, 'close')
self.assertEqual(-1, close)
zipline/data/us_equity_pricing.py
+31 -8
View File
@@ -469,23 +469,21 @@ class BcolzDailyBarReader(object):
col = self._spot_cols[colname] = self._table[colname][:]
return col
def spot_price(self, sid, day, colname):
def sid_day_index(self, sid, day):
"""
Parameters
----------
sid : int
The asset identifier.
day : datetime64
day : datetime64-like
Midnight of the day for which data is requested.
colname : string
The price field. e.g. ('open', 'high', 'low', 'close', 'volume')
Returns
-------
float
The spot price for colname of the given sid on the given day.
Raises a NoDataOnDate exception if there is no data available
for the given day and sid.
int
Index into the data tape for the given sid and day.
Raises a NoDataOnDate exception if the given day and sid is before
or after the date range of the equity.
"""
day_loc = self._calendar.get_loc(day)
offset = day_loc - self._calendar_offsets[sid]
@@ -498,7 +496,32 @@ class BcolzDailyBarReader(object):
raise NoDataOnDate(
"No data on or after day={0} for sid={1}".format(
day, sid))
return ix
def spot_price(self, sid, day, colname):
"""
Parameters
----------
sid : int
The asset identifier.
day : datetime64-like
Midnight of the day for which data is requested.
colname : string
The price field. e.g. ('open', 'high', 'low', 'close', 'volume')
Returns
-------
float
The spot price for colname of the given sid on the given day.
Raises a NoDataOnDate exception if the given day and sid is before
or after the date range of the equity.
Returns -1 if the day is within the date range, but the price is
0.
"""
ix = self.sid_day_index(sid, day)
price = self._spot_col(colname)[ix]
if price == 0:
return -1
if colname != 'volume':
return price * 0.001
else: