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.
The bug occurred because there is a special case in the initial window setup
code for handling the case where only a length-1 history is used for a given
frequency. Previously, the code was incorrectly calculating the period end
using a hard-coded expression for the end of the day (the correct behavior for
a length-1 '1d' history), and then using the frequency object to calculate the
period start for the window. In the case of length 1 '1m' data, this resulted
in an initial window whose start and end was the last minute of the day rather
than the first minute of the day. For non-price fields, this error doesn't
matter, because the window is only used for rolling digests (which doesn't
happen when there's only a length-1 history), and for the forward-filling logic
(which only happens on price fields). For a length-1 '1m' price, however, the
incorrect window causes us to attempt to forward-fill an empty panel, resulting
in an IndexError when we do an iloc[0] on a length-0 axis.
Jonathan Kamens