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Merge pull request #1191 from quantopian/almost-correct

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BUG: fix inverted splits in quandl data
This commit is contained in:
Joe Jevnik
2016-05-09 15:54:29 -04:00
parent 10daf9efd6 55f1548160
commit e4934cca6f
2 changed files with 3 additions and 3 deletions
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tests/data/bundles/test_quandl.py
+2 -2
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@@ -162,7 +162,7 @@ class QuandlBundleTestCase(ZiplineTestCase):
last_row=i(108),
first_col=sids['AAPL'],
last_col=sids['AAPL'],
value=7.0,
value=1.0 / 7.0,
)],
},
] * (len(self.columns) - 1) + [
@@ -173,7 +173,7 @@ class QuandlBundleTestCase(ZiplineTestCase):
last_row=i(108),
first_col=sids['AAPL'],
last_col=sids['AAPL'],
value=1 / 7,
value=7.0,
)],
}
]
zipline/data/bundles/quandl.py
+1 -1
View File
@@ -206,7 +206,7 @@ def fetch_single_equity(api_key,
def _update_splits(splits, asset_id, raw_data):
split_ratios = raw_data.split_ratio
df = pd.DataFrame({'ratio': split_ratios[split_ratios != 1]})
df = pd.DataFrame({'ratio': 1 / split_ratios[split_ratios != 1]})
df.index.name = 'effective_date'
df.reset_index(inplace=True)
df['sid'] = asset_id