From fb32e1ce5d647ae21328e05deda0762c48a84576 Mon Sep 17 00:00:00 2001 From: Victor Grau Serrat Date: Tue, 17 Oct 2017 23:16:49 -0600 Subject: [PATCH] Fixing DailyBarReader for volume to 0 instead of NaN --- catalyst/data/_equities.pyx | 4 +++- catalyst/data/loader.py | 2 ++ 2 files changed, 5 insertions(+), 1 deletion(-) diff --git a/catalyst/data/_equities.pyx b/catalyst/data/_equities.pyx index c0652b02..cb14f09a 100644 --- a/catalyst/data/_equities.pyx +++ b/catalyst/data/_equities.pyx @@ -215,11 +215,13 @@ cpdef _read_bcolz_data(ctable_t table, else: continue - if column_name in ['open', 'high', 'low', 'close', 'volume']: + if column_name in ['open', 'high', 'low', 'close']: where_nan = (outbuf == 0) outbuf_as_float = outbuf.astype(float64) * .000000001 outbuf_as_float[where_nan] = NAN results.append(outbuf_as_float) + elif column_name in ['volume']: + results.append(outbuf.astype(float64) * .000000001) else: results.append(outbuf) return results diff --git a/catalyst/data/loader.py b/catalyst/data/loader.py index fa80317a..7211938e 100644 --- a/catalyst/data/loader.py +++ b/catalyst/data/loader.py @@ -152,6 +152,8 @@ def load_crypto_market_data(trading_day=None, trading_days=None, data_frequency='daily') br.columns = ['close'] br = br.pct_change(1).iloc[1:] + br.loc[first_date]=0 + br=br.sort_index() # Override first_date for treasury data since we have it for many more years # and is independent of crypto data