Merge pull request #796 from quantopian/prevent-history-in-initialize

ENH: Fail when history() is called in initialize.

tests/test_history.py

@@ -34,7 +34,7 @@ from zipline.finance.trading import (
     SimulationParameters,
     TradingEnvironment,
 )
-from zipline.errors import IncompatibleHistoryFrequency
+from zipline.errors import HistoryInInitialize, IncompatibleHistoryFrequency
 
 from zipline.sources import RandomWalkSource, DataFrameSource
 
@@ -1329,6 +1329,41 @@ def handle_data(context, data):
             ' HistorySpec',
         )
 
+    def test_history_in_initialize(self):
+        algo_text = dedent(
+            """\
+            from zipline.api import history
+
+            def initialize(context):
+                history(10, '1d', 'price')
+
+            def handle_data(context, data):
+                pass
+            """
+        )
+
+        start = pd.Timestamp('2007-04-05', tz='UTC')
+        end = pd.Timestamp('2007-04-10', tz='UTC')
+
+        sim_params = SimulationParameters(
+            period_start=start,
+            period_end=end,
+            capital_base=float("1.0e5"),
+            data_frequency='minute',
+            emission_rate='daily',
+            env=self.env,
+        )
+
+        test_algo = TradingAlgorithm(
+            script=algo_text,
+            data_frequency='minute',
+            sim_params=sim_params,
+            env=self.env,
+        )
+
+        with self.assertRaises(HistoryInInitialize):
+            test_algo.initialize()
+
     @parameterized.expand([
         (1,),
         (2,),

zipline/algorithm.py

@@ -35,6 +35,7 @@ from operator import attrgetter
 
 from zipline.errors import (
     AttachPipelineAfterInitialize,
+    HistoryInInitialize,
     NoSuchPipeline,
     OrderDuringInitialize,
     OverrideCommissionPostInit,
@@ -1250,6 +1251,7 @@ class TradingAlgorithm(object):
         return self.history_specs[spec_key]
 
     @api_method
+    @require_initialized(HistoryInInitialize())
     def history(self, bar_count, frequency, field, ffill=True):
         history_spec = self.get_history_spec(
             bar_count,

zipline/errors.py

@@ -191,6 +191,13 @@ at frequency '{data_frequency}'.
 """.strip()
 
 
+class HistoryInInitialize(ZiplineError):
+    """
+    Raised when an algorithm calls history() in initialize.
+    """
+    msg = "history() should only be called in handle_data()"
+
+
 class MultipleSymbolsFound(ZiplineError):
     """
     Raised when a symbol() call contains a symbol that changed over