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ENH: Improves handling of edge case in data update.

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If the trading_days end date is not greater than the date being
tested, (this can happen if the algorithm's end date is set to a date
that is before the latest date available saved in the msgpacks),
then trying to get the location will fail, instead searchsorted
will get the lastest date available in the trading day map to use
as a test date.
This commit is contained in:
Eddie Hebert
2013-03-04 21:54:11 -05:00
parent 4170c05fb6
commit 718ce0270a
1 changed files with 3 additions and 3 deletions
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zipline/data/loader.py
+3 -3
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@@ -160,7 +160,7 @@ Fetching data from Yahoo Finance.
# Find the offset of the last date for which we have trading data in our
# list of valid trading days
last_bm_date = tuple_to_date(bm_list[-1][0])
last_bm_date_offset = trading_days.get_loc(
last_bm_date_offset = trading_days.searchsorted(
last_bm_date.strftime('%Y/%m/%d'))
# If more than 1 trading days has elapsed since the last day where
@@ -196,13 +196,13 @@ Fetching data from data.treasury.gov
# Find the offset of the last date for which we have trading data in our
# list of valid trading days
last_tr_date = tuple_to_date(tr_list[-1][0])
last_tr_date_offset = trading_days.get_loc(
last_tr_date_offset = trading_days.searchsorted(
last_tr_date.strftime('%Y/%m/%d'))
# If more than 1 trading days has elapsed since the last day where
# we have data,then we need to update
if len(trading_days) - last_tr_date_offset > 1:
update_benchmarks(last_tr_date)
update_treasury_curves(last_tr_date)
fp_tr = get_datafile('treasury_curves.msgpack', "rb")
tr_list = msgpack.loads(fp_tr.read())