MAINT: Modify ReindexBarReader.get_value to handle missing data

Instead of raising an exception, return 0.0 for volume, and nan for
everything else.

tests/data/test_resample.py

@@ -16,12 +16,11 @@ from numbers import Real
 
 from nose_parameterized import parameterized
 from numpy.testing import assert_almost_equal
-from numpy import nan, array, full
+from numpy import nan, array, full, isnan
 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_frame_to_session_frame,
     DailyHistoryAggregator,
@@ -863,11 +862,9 @@ class TestReindexSessionBars(WithBcolzEquityDailyBarReader,
                             "first session should be 10.")
         tday = pd.Timestamp('2015-11-26', tz='UTC')
 
-        with self.assertRaises(NoDataOnDate):
-            self.reader.get_value(1, tday, 'close')
+        self.assertTrue(isnan(self.reader.get_value(1, tday, 'close')))
 
-        with self.assertRaises(NoDataOnDate):
-            self.reader.get_value(1, tday, 'volume')
+        self.assertEqual(self.reader.get_value(1, tday, 'volume'), 0)
 
     def test_last_availabe_dt(self):
         self.assertEqual(self.reader.last_available_dt, self.END_DATE)

zipline/data/resample.py

@@ -25,6 +25,7 @@ from zipline.data._resample import (
     _minute_to_session_close,
     _minute_to_session_volume,
 )
+from zipline.data.bar_reader import NoDataOnDate
 from zipline.data.minute_bars import MinuteBarReader
 from zipline.data.session_bars import SessionBarReader
 from zipline.utils.memoize import lazyval
@@ -606,10 +607,6 @@ class ReindexBarReader(with_metaclass(ABCMeta)):
     Currently only supports a ``trading_calendar`` which is a superset of the
     ``reader``'s calendar.
 
-    Also, the currenty implementation only reindexes the results from
-    ``load_raw_arrays``, but in the future, `get_value` may also be made to
-    provide an empty result instead of raising on error.
-
     Parameters
     ----------
 
@@ -652,7 +649,14 @@ class ReindexBarReader(with_metaclass(ABCMeta)):
         return self._reader.first_trading_day
 
     def get_value(self, sid, dt, field):
-        return self._reader.get_value(sid, dt, field)
+        # Give an empty result if no data is present.
+        try:
+            return self._reader.get_value(sid, dt, field)
+        except NoDataOnDate:
+            if field == 'volume':
+                return 0
+            else:
+                return np.nan
 
     @abstractmethod
     def _outer_dts(self, start_dt, end_dt):