The use of `slice_indexer` on all market minutes was taking about 110ms on my
development machine.
This change to getting the start and end indices changes the entire `_calendar`
method to take 10ms on the same machine.
Noticed while creating a `HistoryLoader` in a notebook context.
The end date of the last contract with a sufficient start date was being
used for the continuous future overall end date; however the end date of
that contract (which is the last day for which there is data for the
contract) is not necessarily the greatest end date out of all contracts.
It is possible for the furthest out contract to have some, but very
few, trades before it is more actively traded. Which would give it a
start date within in the range of the simulation, but an end date is
earlier than the other contracts which are active during the simulation.
This bug would result in `nan`s when getting the current price because
of the `end_date` check in `get_spot_value`. When the current simulation
time was greater than the `end_date` of the last contract the condition
which guards against attempting to get data for an instrument past its
end date would return a `nan`, even when the current underlying contract
did have data for that date.
Use max end date of all contracts instead of the last one, to ensure
that the continuous future last date is always great enough to allow
access to all contracts with in the chain.
Also, use min start date to accurately mirror the end date behavior.
Use `roll_style` not `roll`.
Also, add test case to cover using the session bar reader `get_value`,
by adding a test which uses `close`, since only `contract` was being
exercised, which does not exercise the session daily bar reader.
Register equities, futures, and continuous futures to an `abc` which
signifies that the type is associable with data, and thus can be used in
a history context.
May want to use this in `check_parameters` for `BarData` methods, but
work would need to be done to make sure the error message still displays
the registered types.
In preparation for using `DataPortal` in notebooks, remove restriction on
the `HistoryLoader` to dates that are monotonically increasing. Notebook
usage of the `DataPortal` is more useful when the end of the history
window can be arbitrary dates without having to restart the notebook kernel.
Due to the implementation of the prefetch and caching logic, the end
date of history calls could previously only increase. e.g. `2016-11-01`,
`2016-11-02`, `2016-11-03`. This pattern was sufficient for backtesting
and live simulations, since the current time of the algorithm only ever increases.
With this change, which resets the underlying sliding window when the
last fetched idx is greater than the
Now calls to history in the same process with end dates such
`2016-11-01`, `2016-10-31`, `2015-11-02` should work.
Allow `ContinuousFuture` when checking for a single "asset".
This could be further improved by:
- Defininng a tuple of the `Asset`-like types OR making
`ContinuousFuture` and `Asset` share a common type (whether that is
`ContinuousFuture` inheriting from `Asset` or making `Asset` and
`ContinuousFuture` share a common type.)
- Make a `history` test which uses `BarData` + `ContinuousFuture`,
instead of just using the history loader directly from tests.
To support using a `DataPortal` and `HistoryLoader` in a notebook, allow
the prefetch length to be configurable, so that it can be set to 0.
Unlike backtesting where the prefetch is useful for repeated history
windows viewed from datetimes which are monotonically increasing by a
small amount, the notebook usage of history windows needs only to
retrieve the exact data needed for the window specified.
This patch also fixes some boundary conditions related to rolls and
adjustments which were uncovered by querying for the adjustments with an
end date near the end of the window.
Rename _get_daily_window_for_sids to _get_daily_window_data.
Rename _get_minute_window_for_assets to _get_minute_window_data.
Rename _get_daily_data to get_daily_spot_value.
Richard Frank