MAINT: Improve/test errors for insufficient data.

tests/pipeline/test_engine.py

@@ -206,6 +206,29 @@ class ConstantInputTestCase(WithTradingEnvironment, ZiplineTestCase):
         with self.assertRaisesRegexp(ValueError, msg):
             engine.run_pipeline(p, self.dates[2], self.dates[1])
 
+    def test_fail_usefully_on_insufficient_data(self):
+        loader = self.loader
+        engine = SimplePipelineEngine(
+            lambda column: loader, self.dates, self.asset_finder,
+        )
+
+        class SomeFactor(CustomFactor):
+            inputs = [USEquityPricing.close]
+            window_length = 10
+
+            def compute(self, today, assets, out, closes):
+                pass
+
+        p = Pipeline(columns={'t': SomeFactor()})
+
+        # self.dates[9] is the earliest date we should be able to compute.
+        engine.run_pipeline(p, self.dates[9], self.dates[9])
+
+        # We shouldn't be able to compute dates[8], since we only know about 8
+        # prior dates, and we need a window length of 10.
+        with self.assertRaises(NoFurtherDataError) as e:
+            engine.run_pipeline(p, self.dates[8], self.dates[8])
+
     def test_same_day_pipeline(self):
         loader = self.loader
         engine = SimplePipelineEngine(

zipline/pipeline/engine.py

@@ -211,10 +211,10 @@ class SimplePipelineEngine(object):
         start_idx, end_idx = self._calendar.slice_locs(start_date, end_date)
         if start_idx < extra_rows:
             raise NoFurtherDataError(
-                msg="Insufficient data to compute Pipeline mask: "
-                "start date was %s, "
-                "earliest known date was %s, "
-                "and %d extra rows were requested." % (
+                msg="Insufficient data to compute Pipeline.\n\n"
+                "start date was %s\n"
+                "earliest known date was %s\n"
+                "%d extra rows were required" % (
                     start_date, calendar[0], extra_rows,
                 ),
             )