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BUG: Fix non-trading advancement of trading day count and downsample.

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Add a guard so that we do not advance trading day count or downsample
on non-trading days.
This commit is contained in:
fawce
2013-10-17 21:18:28 -04:00
committed by Eddie Hebert
parent aedf3766a8
commit 76887e2855
1 changed files with 15 additions and 11 deletions
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zipline/transforms/batch_transform.py
+15 -11
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@@ -296,17 +296,21 @@ class BatchTransform(object):
columns=sids))
# update trading day counters
_, mkt_close = trading.environment.get_open_and_close(event.dt)
if self.bars == 'daily':
# Daily bars have their dt set to midnight.
mkt_close = trading.environment.normalize_date(mkt_close)
if event.dt == mkt_close:
if self.downsample:
downsample_panel(self.rolling_panel,
self.daily_rolling_panel,
mkt_close
)
self.trading_days_total += 1
# we may get events from non-trading sources which occurr on
# non-trading days. The book-keeping for market close and
# trading day counting should only consider trading days.
if trading.environment.is_trading_day(event.dt):
_, mkt_close = trading.environment.get_open_and_close(event.dt)
if self.bars == 'daily':
# Daily bars have their dt set to midnight.
mkt_close = trading.environment.normalize_date(mkt_close)
if event.dt == mkt_close:
if self.downsample:
downsample_panel(self.rolling_panel,
self.daily_rolling_panel,
mkt_close
)
self.trading_days_total += 1
self.last_dt = event.dt