BUG: When increasing the length dynamically, the rolling panel was

getting filled with the wrong datetimes and causing errors.

Updates the logic for addressing missing datetimes and adds unit tests
for the 2 main cases (no missing datetimes, and some missing datetimes).

zipline/utils/data.py

@@ -47,7 +47,6 @@ class RollingPanel(object):
         self.minor_axis = _ensure_index(sids)
 
         self.cap_multiple = cap_multiple
-        self.cap = cap_multiple * window
 
         self.dtype = dtype
         self.date_buf = np.empty(self.cap, dtype='M8[ns]') \
@@ -56,14 +55,22 @@ class RollingPanel(object):
         self.buffer = self._create_buffer()
 
     @property
-    def _oldest_frame_idx(self):
+    def cap(self):
+        return self.cap_multiple * self._window
+
+    @property
+    def start_index(self):
         return self._pos - self._window
 
+    @property
+    def start_date(self):
+        return self.date_buf[self.start_index]
+
     def oldest_frame(self):
         """
         Get the oldest frame in the panel.
         """
-        return self.buffer.iloc[:, self._oldest_frame_idx, :]
+        return self.buffer.iloc[:, self.start_index, :]
 
     def set_minor_axis(self, minor_axis):
         self.minor_axis = _ensure_index(minor_axis)
@@ -82,16 +89,19 @@ class RollingPanel(object):
         )
         return panel
 
-    def resize(self, window):
+    def extend_back(self, missing_dts):
         """
         Resizes the buffer to hold a new window with a new cap_multiple.
         If cap_multiple is None, then the old cap_multiple is used.
         """
-        self._window = window
+        delta = len(missing_dts)
 
-        pre = self.cap
-        self.cap = self.cap_multiple * window
-        delta = self.cap - pre
+        if not delta:
+            raise ValueError(
+                'missing_dts must be a non-empty index',
+            )
+
+        self._window += delta
 
         self._pos += delta
 
@@ -104,7 +114,7 @@ class RollingPanel(object):
                 pd.Panel(
                     items=self.items,
                     minor_axis=self.minor_axis,
-                    major_axis=np.arange(delta),
+                    major_axis=np.arange(delta * self.cap_multiple),
                     dtype=self.dtype,
                 ),
                 self.buffer
@@ -113,6 +123,10 @@ class RollingPanel(object):
         )
         self.buffer.major_axis = pd.Int64Index(range(self.cap))
 
+        # Fill the delta with the dates we calculated.
+        where = slice(self.start_index, self.start_index + delta)
+        self.date_buf[where] = missing_dts
+
     def add_frame(self, tick, frame):
         """
         """
@@ -130,7 +144,7 @@ class RollingPanel(object):
         these objects because internal data might change
         """
 
-        where = slice(self._oldest_frame_idx, self._pos)
+        where = slice(self.start_index, self._pos)
         major_axis = pd.DatetimeIndex(deepcopy(self.date_buf[where]), tz='utc')
         return pd.Panel(self.buffer.values[:, where, :], self.items,
                         major_axis, self.minor_axis, dtype=self.dtype)
@@ -141,11 +155,11 @@ class RollingPanel(object):
         passed panel.  The passed panel must have the same indices as the panel
         that would be returned by self.get_current.
         """
-        where = slice(self._oldest_frame_idx, self._pos)
+        where = slice(self.start_index, self._pos)
         self.buffer.values[:, where, :] = panel.values
 
     def current_dates(self):
-        where = slice(self._oldest_frame_idx, self._pos)
+        where = slice(self.start_index, self._pos)
         return pd.DatetimeIndex(deepcopy(self.date_buf[where]), tz='utc')
 
     def _roll_data(self):