fixed put_xminute for data has holes

Author: yinhm

datafeed/datastore.py

@@ -481,8 +481,6 @@ def _update_multi(self, symbol, quotes):
             i += 1
             pre_day = day
 
-        print indexes
-
         for i0, i1 in indexes:
             t0, t1 = quotes[i0]['time'], quotes[i1-1]['time']
             dt = datetime.datetime.fromtimestamp(t0)
@@ -493,8 +491,15 @@ def _update_multi(self, symbol, quotes):
 
             if dsi0 != 0:
                 dsi1 = dsi1 + 1
-            print "ds[%d:%d] = quotes[%d:%d]" % (dsi0, dsi1, i0, i1)
-            ds[dsi0:dsi1] = sliced
+            logging.debug("ds[%d:%d] = quotes[%d:%d]" % (dsi0, dsi1, i0, i1))
+            try:
+                ds[dsi0:dsi1] = sliced
+            except TypeError:
+                logging.debug("data may have holes")
+                for row in sliced:
+                    r_dsi = self.timestamp_to_index(dt, row['time'])
+                    # logging.debug("r_dsi: %d" % r_dsi)
+                    ds[r_dsi] = row
 
     def timestamp_to_index(self, dt, ts):
         day_start = time.mktime((dt.year, dt.month, dt.day,

datafeed/tests/005_na.npy

@@ -323,7 +323,7 @@ def test_update_multi_partial_days_data(self):
         self.assertEqual(store.time_interval, 300)
         self.assertEqual(store.shape_x, 288)
 
-        key = '999'
+        key = '9991'
         path = os.path.dirname(os.path.realpath(__file__))
         data = np.load(os.path.join(path, '005.npy'))
 
@@ -337,6 +337,25 @@ def test_update_multi_partial_days_data(self):
         y2 = store.get(key, date)
         np.testing.assert_array_equal(y2[206], data[-1])
 
+    def test_update_multi_hold_data(self):
+        market_minutes = 1440 # 5min data
+        store = FiveMinute(h5py.File('%s/data.h5' % helper.datadir),
+                           market_minutes)
+        key = '9992'
+        path = os.path.dirname(os.path.realpath(__file__))
+        data = np.load(os.path.join(path, '005_na.npy'))
+
+        store.update(key, data)
+
+        date = datetime.fromtimestamp(data[-1]['time']).date()
+        y2 = store.get(key, date)
+
+        # Data has holes between index 171 and index 172.
+        np.testing.assert_array_equal(y2[0], data[132])
+        np.testing.assert_array_equal(y2[167], data[-1])
+        np.testing.assert_array_equal(y2[39], data[171])
+        np.testing.assert_array_equal(y2[43], data[172])
+
 
 class MinuteSnapshotCacheTest(unittest.TestCase):