ENH: Make reader.get_value raise NoDataOnDate if the date is not in the calendar.

DataPortal now catches the NoDataOnDate exception and returns nan for
OHLC and 0 for V.

Price is still forward filled, unchanged.

tests/data/test_minute_bars.py

@@ -35,6 +35,7 @@ from pandas import (
     date_range,
 )
 
+from zipline.data.bar_reader import NoDataOnDate
 from zipline.data.minute_bars import (
     BcolzMinuteBarMetadata,
     BcolzMinuteBarWriter,
@@ -854,18 +855,19 @@ class BcolzMinuteBarTestCase(WithTradingCalendars,
                 'open'),
             780)
 
-        self.assertEqual(
+        with self.assertRaises(NoDataOnDate):
             self.reader.get_value(
                 sid,
                 Timestamp('2015-06-02', tz='UTC'),
-                'open'),
-            390)
-        self.assertEqual(
+                'open'
+            )
+
+        with self.assertRaises(NoDataOnDate):
             self.reader.get_value(
                 sid,
                 Timestamp('2015-06-02 20:01:00', tz='UTC'),
-                'open'),
-            780)
+                'open'
+            )
 
     def test_adjust_non_trading_minutes_half_days(self):
         # half day
@@ -908,18 +910,20 @@ class BcolzMinuteBarTestCase(WithTradingCalendars,
                 Timestamp('2015-11-27 18:01:00', tz='UTC'),
                 'open'),
             210)
-        self.assertEqual(
+
+        with self.assertRaises(NoDataOnDate):
             self.reader.get_value(
                 sid,
                 Timestamp('2015-11-30', tz='UTC'),
-                'open'),
-            210)
-        self.assertEqual(
+                'open'
+            )
+
+        with self.assertRaises(NoDataOnDate):
             self.reader.get_value(
                 sid,
                 Timestamp('2015-11-30 21:01:00', tz='UTC'),
-                'open'),
-            600)
+                'open'
+            )
 
     def test_set_sid_attrs(self):
         """Confirm that we can set the attributes of a sid's file correctly.

tests/data/test_resample.py

@@ -21,6 +21,7 @@ import pandas as pd
 from pandas import DataFrame
 from six import iteritems
 
+from zipline.data.bar_reader import NoDataOnDate
 from zipline.data.resample import (
     minute_to_session,
     DailyHistoryAggregator,
@@ -803,12 +804,12 @@ class TestReindexSessionBars(WithBcolzEquityDailyBarReader,
                             err_msg="The open of the fixture data on the "
                             "first session should be 10.")
         tday = pd.Timestamp('2015-11-26', tz='UTC')
-        assert_almost_equal(self.reader.get_value(1, tday, 'close'), nan,
-                            err_msg="Thanksgiving is a NYSE holiday, but "
-                            "futures trading is open. Result should be nan.")
-        assert_almost_equal(self.reader.get_value(1, tday, 'volume'), 0,
-                            err_msg="Thanksgiving is a NYSE holiday, but "
-                            "futures trading is open. Result should be 0.")
+
+        with self.assertRaises(NoDataOnDate):
+            self.reader.get_value(1, tday, 'close')
+
+        with self.assertRaises(NoDataOnDate):
+            self.reader.get_value(1, tday, 'volume')
 
     def test_last_availabe_dt(self):
         self.assertEqual(self.reader.last_available_dt, self.END_DATE)