BUG: Fixed daily price ffill using today's close #2074
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Will look into the py3 failures. -edit- Fixed. |
richafrank
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| # volume in today's minute bars yet, we need to use the | ||
| # previous day's ffilled daily price. Using today's daily price | ||
| # could yield a value from later today. | ||
| history_start -= pd.Timedelta(days=1) |
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Is there a reason this isn't a trading calendar day?
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Since the most recent close as of the weekend is the same as the most recent close as of Friday, I didn't bother to figure out which trading calendar to use here, especially if there are multiple assets. Do you think this breaks under certain conditions?
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I don't think it breaks here.
Where it would be relevant is if we had a calendar with a session spanning multiple days, but in practice, I do not think we have that concern.
when we haven't seen any minute volume yet today
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tests/test_history.py
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| self.assertEqual(len(window), bar_count) | ||
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| if not day_idx and idx + 1 < 10: | ||
| self.assertTrue(np.isnan(window[-1])) |
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I wouldn't block on it, but I would recommend picking a few specific times and expected values, crafted to test each condition we expect. That would 1) speed up the test time 2) make the narrative of what is being tested and why more clear.
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Thanks. In most cases I'd recommend the specific Timestamps, i.e. hardcoding pd.Timestamp('2017-01-09 10:44'); however since this test is iterating over multiple days, I agree with using the index to select the time.
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Yea, in this case, I saw the important information as being the open or close or the temporal relationship to the open, etc, as opposed to exact times, so I represented them that way.
tests/test_history.py
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| self.assertEqual(len(window), bar_count) | ||
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| if not day_idx and idx + 1 < 10: | ||
| self.assertTrue(np.isnan(window[-1])) |
when we haven't seen any minute volume yet today