Fix get_historical_prices for PolygonDataBacktesting data source #433
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I have reviewed your code and found 2 potential issues. To discuss my individual comments that I have added, tag me in replies using @korbit-ai.
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| def test_get_historical_prices_is_not_none(self): | ||
| tzinfo = pytz.timezone("America/New_York") | ||
| start = datetime.datetime(2024, 2, 5).astimezone(tzinfo) | ||
| end = datetime.datetime(2024, 2, 10).astimezone(tzinfo) | ||
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| data_source = PolygonDataBacktesting( | ||
| start, end, api_key=POLYGON_API_KEY, has_paid_subscription=True | ||
| ) | ||
| data_source._datetime = datetime.datetime(2024, 2, 7, 10).astimezone(tzinfo) | ||
| prices = data_source.get_historical_prices("SPY", 1, "day") | ||
| assert prices is not None |
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The test case test_get_historical_prices_is_not_none is not comprehensive enough. It only checks if the get_historical_prices function returns a non-None value. It would be better to also check if the returned value is as expected, for example, by comparing it to a known correct value or checking its type and structure.
| @@ -51,7 +51,7 @@ def _enforce_storage_limit(pandas_data: OrderedDict): | |||
| storage_used -= mu | |||
| logging.info(f"Storage limit exceeded. Evicted LRU data: {k} used {mu:,} bytes") | |||
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| def _update_pandas_data(self, asset, quote, length, timestep, start_dt=None, update_data_store=False): | |||
| def _update_pandas_data(self, asset, quote, length, timestep, start_dt=None): | |||
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The removal of the update_data_store argument from the _update_pandas_data function could potentially lead to issues if there are other parts of the code that still expect this argument to be present. It would be a good idea to search the entire codebase for any calls to _update_pandas_data and ensure that they are updated to match the new function signature.
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Note:
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At head,
get_historical_pricesalways returns None for Polygon data source. The reason is thatget_historical_pricesinternally calls _pull_source_symbol_bars, which tries to retrieve the data fromself._data_store. Without updating the data store, above script will always return None.Per discussion in #430, this PR merges data_store and pandas_data. It also removes the
update_data_storeargument and simplifies the code logic.