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ENH: Allows history to be dynamic and grow the container at runtime.

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Previously, all specs had to be pre-allocated by using the 'add_history'
function. This is now no longer required and instead serves as a hint to
the HistoryContainer to pre-allocate the space for the given spec.

History can grow by increasing the length for a frequency, adding a
frequency, or adding a field. It can grow with any combination of
these.

HistoryContainer now is aware of the data_frequency of the algorithm,
and no longer uses the daily_at_midnight flag; instead, this is the
default behavior.
This commit is contained in:
Joe Jevnik
2014-11-03 15:57:44 -05:00
parent 1c08f60f7c
commit f8f7f2fc4c
9 changed files with 963 additions and 180 deletions
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tests/history_cases.py
+5 -9
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@@ -534,9 +534,7 @@ HISTORY_CONTAINER_TEST_CASES = {
to_utc('2013-06-28 9:31AM'),
],
# Missing volume data should manifest as 0's rather
# than nans.
).fillna(0 if 'volume' in key else np.nan),
),
pd.DataFrame(
data={
1: [np.nan, 0, 1],
@@ -547,7 +545,7 @@ HISTORY_CONTAINER_TEST_CASES = {
to_utc('2013-06-28 9:31AM'),
to_utc('2013-06-28 9:32AM'),
],
).fillna(0 if 'volume' in key else np.nan),
),
pd.DataFrame(
data={
@@ -560,11 +558,7 @@ HISTORY_CONTAINER_TEST_CASES = {
to_utc('2013-06-28 9:33AM'),
],
# Note: Calling fillna() here even though there are
# no NaNs because this makes it less likely
# for us to introduce a stupid bug by
# copy/pasting in the future.
).fillna(0 if 'volume' in key else np.nan),
),
pd.DataFrame(
data={
1: [2, np.nan, 3],
@@ -575,6 +569,8 @@ HISTORY_CONTAINER_TEST_CASES = {
to_utc('2013-06-28 9:34AM'),
to_utc('2013-06-28 9:35AM'),
],
# For volume, when we are missing data, we replace
# it with 0s to show that no trades occured.
).fillna(0 if 'volume' in key else np.nan),
],
)