Fixes a bug where we'd fail to raise an error if the start/end of a
history window call don't aren't in the loader's calendar.
We were started dropping this error after a previous change swapped out
calls to `index.get_loc` with calls to `index.searchsorted` to avoid
creating hash tables in pandas.
When opening with a new `end_session`, i.e. opening for append, write the new
end session to the metadata.
Fixes an issue where the calendar on minute bar readers did not include the
recently appended day, causing reads on the last values to fail.
According, update append test to read a value, instead of checking table length.
TST: add test case for empty raw events data
BUG: update for python compatibility
MAINT: Simplify assertion for empty events case.
DOC: Add comments on indexer unpacking.
MAINT: move some config to test method
Remove need for a consumer that is editing an existing minute bars directory to
reread the values which should not change from the metadata.
Add a test to the append on new day and truncate, which would be the common
usage of this method.
From pep-0008:
```
Always use a def statement instead of an assignment statement that binds a
lambda expression directly to an identifier.
Yes:
def f(x): return 2*x
No:
f = lambda x: 2*x
The first form means that the name of the resulting function object is
specifically 'f' instead of the generic '<lambda>'. This is more useful for
tracebacks and string representations in general. The use of the assignment
statement eliminates the sole benefit a lambda expression can offer over an
explicit def statement (i.e. that it can be embedded inside a larger expression)
```
This format is intended for storing data for all sids of an asset type,
e.g. equities or futures for a session. bcolz is not used to avoid the overhead
of creating the directories and files for each asset (which numbers around ~8000
for active equities) can be removed since the update is meant to be read at
once, instead of supporting the random access pattern needed by the simulation.
This patch only adds the reader/writer pair, with the management of finding the
paths to delta files and the application of the updates to the bcolz write left
to internal loader code.
Also, the update reader interface is intentionally constrained to the data for
an entire session to allow for an implementation that allows for mid-session updates.
Scott Sanderson