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MAINT: Modify ReindexBarReader.get_value to handle missing data

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Instead of raising an exception, return 0.0 for volume, and nan for
everything else.
This commit is contained in:
Andrew Daniels
2017-05-09 09:34:37 -04:00
parent caed14adcc
commit f088afc1e1
2 changed files with 12 additions and 11 deletions
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tests/data/test_resample.py
+3 -6
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@@ -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)