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BUG: fix blaze query in ffill_query_in_range to correct issue in events loader

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This commit is contained in:
Joe Jevnik
2016-10-13 15:27:44 -04:00
parent 8f85bef9fe
commit 95a56663d0
2 changed files with 70 additions and 21 deletions
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tests/pipeline/test_events.py
+48 -6
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@@ -330,9 +330,51 @@ class EventsLoaderTestCase(WithAssetFinder,
for c in EventDataSet.columns:
if c in self.next_value_columns:
self.check_next_value_results(c, results[c.name].unstack())
self.check_next_value_results(
c,
results[c.name].unstack(),
self.trading_days,
)
elif c in self.previous_value_columns:
self.check_previous_value_results(c, results[c.name].unstack())
self.check_previous_value_results(
c,
results[c.name].unstack(),
self.trading_days,
)
else:
raise AssertionError("Unexpected column %s." % c)
def test_load_properly_forward_fills(self):
engine = SimplePipelineEngine(
lambda x: self.loader,
self.trading_days,
self.asset_finder,
)
# Cut the dates in half so we need to forward fill some data which
# is not in our window. The results should be computed the same as if
# we had computed across the entire window and then sliced after the
# computation.
dates = self.trading_days[len(self.trading_days) / 2:]
results = engine.run_pipeline(
Pipeline({c.name: c.latest for c in EventDataSet.columns}),
start_date=dates[0],
end_date=dates[-1],
)
for c in EventDataSet.columns:
if c in self.next_value_columns:
self.check_next_value_results(
c,
results[c.name].unstack(),
dates,
)
elif c in self.previous_value_columns:
self.check_previous_value_results(
c,
results[c.name].unstack(),
dates,
)
else:
raise AssertionError("Unexpected column %s." % c)
@@ -342,7 +384,7 @@ class EventsLoaderTestCase(WithAssetFinder,
self.ASSET_FINDER_EQUITY_SIDS,
)
def check_previous_value_results(self, column, results):
def check_previous_value_results(self, column, results, dates):
"""
Check previous value results for a single column.
"""
@@ -352,7 +394,7 @@ class EventsLoaderTestCase(WithAssetFinder,
events = self.raw_events_no_nulls
# Remove timezone info from trading days, since the outputs
# from pandas won't be tz_localized.
dates = self.trading_days.tz_localize(None)
dates = dates.tz_localize(None)
for asset, asset_result in results.iteritems():
relevant_events = events[events.sid == asset.sid]
@@ -387,7 +429,7 @@ class EventsLoaderTestCase(WithAssetFinder,
allow_datetime_coercions=True,
)
def check_next_value_results(self, column, results):
def check_next_value_results(self, column, results, dates):
"""
Check results for a single column.
"""
@@ -396,7 +438,7 @@ class EventsLoaderTestCase(WithAssetFinder,
events = self.raw_events_no_nulls
# Remove timezone info from trading days, since the outputs
# from pandas won't be tz_localized.
dates = self.trading_days.tz_localize(None)
dates = dates.tz_localize(None)
for asset, asset_result in results.iteritems():
relevant_events = events[events.sid == asset.sid]
self.assertEqual(len(relevant_events), 2)