Previously, a dataframe passed into BcolzDailyBarWriter.write that was
missing an expected session between its first and last sessions would be
written incorrectly. Upon converting the dataframe to a ctable, the
values for all days following the gap would be shifted backwards, and
nans would be shifted in at the end.
This commit handles the issue by asserting that the number of rows in
the input table matches the number of sessions in the calendar between
the table's first and last sessions.
Also fixes a test that was mistakenly using minutes_in_range where it
should have been using sessions_in_range (uncovered by this change).
The March, June, September, and December contracts for these futures
contain most of the trading activity, so we exclude the other more
sparsely traded contracts from the chain.
For futures, we need to divide the position’s commission by the
contract size to get a per-unit commission in order to properly update
the position’s cost basis.
Optimize session close lookups in MinuteResampleSessionBarReader:
- Adds `session_closes_in_range` method (along with
`session_opens_in_range`) to TradingCalendar to allow vectorized
retrieval of all values in a range of sessions.
- Improves code path for resampling a single session's worth of data (as
is the case when calling `get_value`), since we don't actually need to
look up the close minute.
When retrieving the open and close for a given session, we only care
about the scalar values, so using DataFrame.at instead of DataFrame.loc
is significantly faster.
Instead of recursively calling `DailyHistoryAggregator.closes` until we
find a non-nan close, we can instead call `load_raw_arrays` once, and
find the value from the returned array.
Should be no functional change.
By making the raise on `if not isinstance` instead of doing a continue on `if
isinstance` (with a raise at the end of the loop if no 'good' conditions were
met'), the function should be more amenable to adding an additional validity
check, after the type check passes.
This is on the path to adding an additional validity checks parameter to
`check_parameters`, e.g. adding an 'is positive' check.
Richard Frank