BUG: Fix bad error handling in history loader.

Fixes a bug where we'd fail to raise an error if the start/end of a
history window call don't aren't in the loader's calendar.

We were started dropping this error after a previous change swapped out
calls to `index.get_loc` with calls to `index.searchsorted` to avoid
creating hash tables in pandas.

zipline/data/history_loader.py

@@ -34,6 +34,7 @@ from zipline.lib.adjustment import Float64Multiply, Float64Add
 from zipline.utils.cache import ExpiringCache
 from zipline.utils.memoize import lazyval
 from zipline.utils.numpy_utils import float64_dtype
+from zipline.utils.pandas_utils import find_in_sorted_index
 
 
 class HistoryCompatibleUSEquityAdjustmentReader(object):
@@ -376,14 +377,10 @@ class HistoryLoader(with_metaclass(ABCMeta)):
         size = len(dts)
         asset_windows = {}
         needed_assets = []
+        cal = self._calendar
 
         assets = self._asset_finder.retrieve_all(assets)
-
-        try:
-            end_ix = self._calendar.searchsorted(end)
-        except KeyError:
-            raise KeyError("{0} not in calendar [{1}...{2}]".format(
-                end, self._calendar[0], self._calendar[-1]))
+        end_ix = find_in_sorted_index(cal, end)
 
         for asset in assets:
             try:
@@ -401,15 +398,9 @@ class HistoryLoader(with_metaclass(ABCMeta)):
                     asset_windows[asset] = window
 
         if needed_assets:
-            start = dts[0]
-
             offset = 0
-            try:
-                start_ix = self._calendar.searchsorted(start)
-            except KeyError:
-                raise KeyError("{0} not in calendar [{1}...{2}]".format(
-                    start, self._calendar[0], self._calendar[-1]))
-            cal = self._calendar
+            start_ix = find_in_sorted_index(cal, dts[0])
+
             prefetch_end_ix = min(end_ix + self._prefetch_length, len(cal) - 1)
             prefetch_end = cal[prefetch_end_ix]
             prefetch_dts = cal[start_ix:prefetch_end_ix + 1]

zipline/utils/pandas_utils.py

@@ -91,6 +91,39 @@ def mask_between_time(dts, start, end, include_start=True, include_end=True):
     )
 
 
+def find_in_sorted_index(dts, dt):
+    """
+    Find the index of ``dt`` in ``dts``.
+
+    This function should be used instead of `dts.get_loc(dt)` if the index is
+    large enough that we don't want to initialize a hash table in ``dts``. In
+    particular, this should always be used on minutely trading calendars.
+
+    Parameters
+    ----------
+    dts : pd.DatetimeIndex
+        Index in which to look up ``dt``. **Must be sorted**.
+    dt : pd.Timestamp
+        ``dt`` to be looked up.
+
+    Returns
+    -------
+    ix : int
+        Integer index such that dts[ix] == dt.
+
+    Raises
+    ------
+    KeyError
+        If dt is not in ``dts``.
+    """
+    ix = dts.searchsorted(dt)
+    if dts[ix] != dt:
+        raise KeyError(
+            "{0} is not in calendar [{1} ... {2}]".format(dt, dts[0], dts[-1])
+        )
+    return ix
+
+
 def nearest_unequal_elements(dts, dt):
     """
     Find values in ``dts`` closest but not equal to ``dt``.