Add a perspective offset to `AdjustedArrayWindow` and `AdjustedArray`,
so that `HistoryLoader` does not need to twiddle with offsets to support
viewing the data from the bar after end of the window, (Which is the
case when a '1d' history window is retrieved in minute mode, which is
explained in the docstring for `HistoryLoader.history`)
Presently, this simplifies the logic in
`HistoryLoader._get_adjustments_in_range`, and other incoming
AdjustmentReader's, (e.g. the roll based adjustment reader for continous
futures.) This patch should also make it easier for history and pipeline
to converge on a singular `load_adjustments` method.
Enable unadjusted history for continuous futures.
The history array is filled by the values for the underlying contracts,
where the contract used changes based on rolls.
e.g., if a `1d` history window was over the range
`2016-01-20` -> `2016-02-29` with contracts with a suffix of `F16` that
rolls at the beginning of the session on `2016-01-26`, `G16` on
`2016-02-26`, and `H16` on `2016-03-26`. The `2016-01-20` ->
`2016-01-25` portion would use the values for `F16', the `2016-01-26` ->
`2016-02-25` portion would use `G16` and the `2016-02-26` ->
`2016-02-29` portion would use `H16`.
Using the same contracts as above, a `1m` history window over the range
(using a timezone of US/Eastern) `2016-01-25 4:00PM` -> `2016-01-25
7:00PM` would fill the `4:00PM` -> `6:00PM` portion with data for `F16`
and the `6:01PM` -> `7:00PM` portion with data for `G16`, since the
beginning of the `2016-01-26` session is `2016-01-25 6:01PM`.
Supports `1d` and `1m`.
Also adds the `sid` field to `history` to assist in showing the active
contract at each dt in the window.
This reverts commit 86c7635b45, reversing
changes made to c77f2b92df.
Some real world cases hit errors with this change, due to the new offset
logic attempting to create Adjustments with invalid parameters.
Will identify exact conditions that cause this error and add as a test
case before remerging.
Instead of `HistoryLoader` containing separate adjustment calculation
logic, use `SQLiteAdjustmentReader.load_adjustments`.
This change required the addition of two offset parameters to
`load_adjustments` since the perspective on the data from within
`schedule_function` is skewed from how Pipeline looks at historical
data.
This is working towards creating an `AdjustmentReader` abc which
`SQLiteAdjustmentReader` and a upcoming continuous future adjustment
reader will share.
Eddie Hebert