TST/BUG: Cover all reindex session public methods.

Increase coverage on `ReindexSessionBarReader` so that all methods which
are considered part of the interface are covered by `test_resample`.

Fix bug in `get_value`, exposed by increased coverage, where the
`NoDataOnDate` exception was bubbling from the bcolz reader all the way
up when a session which was a holidy on the underlying reader was passed
to the reindex reader. (The reindex reader should return nan/0 in that
case.)

Also, move location of data index exceptions so that they are agnostic
to bcolz/us_equity_pricing; since the exception is now used by the
resample module to fix aforementioned bug.

.coveragerc

@@ -2,3 +2,5 @@
 omit =
     */python?.?/*
     */site-packages/nose/*
+exclude_lines =
+    raise NotImplementedError

tests/data/test_resample.py

@@ -616,8 +616,15 @@ class TestReindexSessionBars(WithBcolzEquityDailyBarReader,
 
     # Dates are chosen to span Thanksgiving, which is not a Holiday on
     # us_futures.
-    START_DATE = pd.Timestamp('2015-11-01', tz='UTC')
+    START_DATE = pd.Timestamp('2015-11-02', tz='UTC')
     END_DATE = pd.Timestamp('2015-11-30', tz='UTC')
+    #     November 2015
+    # Su Mo Tu We Th Fr Sa
+    #  1  2  3  4  5  6  7
+    #  8  9 10 11 12 13 14
+    # 15 16 17 18 19 20 21
+    # 22 23 24 25 26 27 28
+    # 29 30
 
     def init_instance_fixtures(self):
         super(TestReindexSessionBars, self).init_instance_fixtures()
@@ -651,6 +658,18 @@ def test_load_raw_arrays(self):
             "The reindexed result after dropping nans should have 20 days, "
             "because Thanksgiving is a NYSE holiday.")
 
+        tday = pd.Timestamp('2015-11-26', tz='UTC')
+
+        # Thanksgiving, 2015-11-26.
+        # Is a holiday in NYSE, but not in us_futures.
+        tday_loc = outer_sessions.get_loc(tday)
+
+        assert_almost_equal(
+            nan,
+            opens[1][tday_loc],
+            err_msg="2015-11-26 should be `nan`, since Thanksgiving is a "
+            "holiday in the reader's calendar.")
+
         # Thanksgiving, 2015-11-26.
         # Is a holiday in NYSE, but not in us_futures.
         tday_loc = outer_sessions.get_loc(pd.Timestamp('2015-11-26', tz='UTC'))
@@ -661,6 +680,65 @@ def test_load_raw_arrays(self):
             err_msg="2015-11-26 should be `nan`, since Thanksgiving is a "
             "holiday in the reader's calendar.")
 
+    def test_load_raw_arrays_holiday_start(self):
+        tday = pd.Timestamp('2015-11-26', tz='UTC')
+        outer_sessions = self.trading_calendar.sessions_in_range(
+            tday, self.END_DATE)
+
+        result = self.reader.load_raw_arrays(
+            OHLCV, tday, self.END_DATE, [1, 2])
+
+        opens = DataFrame(data=result[0], index=outer_sessions,
+                          columns=[1, 2])
+        opens_with_price = opens.dropna()
+
+        self.assertEqual(
+            3,
+            len(opens),
+            "The reindexed result should have 3 days, which is the number of "
+            "business days in from Thanksgiving to end of 2015-11.")
+        self.assertEqual(
+            2,
+            len(opens_with_price),
+            "The reindexed result after dropping nans should have 2 days, "
+            "because Thanksgiving is a NYSE holiday.")
+
+    def test_load_raw_arrays_holiday_end(self):
+        tday = pd.Timestamp('2015-11-26', tz='UTC')
+        outer_sessions = self.trading_calendar.sessions_in_range(
+            self.START_DATE, tday)
+
+        result = self.reader.load_raw_arrays(
+            OHLCV, self.START_DATE, tday, [1, 2])
+
+        opens = DataFrame(data=result[0], index=outer_sessions,
+                          columns=[1, 2])
+        opens_with_price = opens.dropna()
+
+        self.assertEqual(
+            19,
+            len(opens),
+            "The reindexed result should have 19 days, which is the number of "
+            "business days in from start of 2015-11 up to Thanksgiving.")
+        self.assertEqual(
+            18,
+            len(opens_with_price),
+            "The reindexed result after dropping nans should have 18 days, "
+            "because Thanksgiving is a NYSE holiday.")
+
+    def test_get_value(self):
+        assert_almost_equal(self.reader.get_value(1, self.START_DATE, 'open'),
+                            10.0,
+                            err_msg="The open of the fixture data on the "
+                            "first session should be 10.")
+        tday = pd.Timestamp('2015-11-26', tz='UTC')
+        assert_almost_equal(self.reader.get_value(1, tday, 'close'), nan,
+                            err_msg="Thanksgiving is a NYSE holiday, but "
+                            "futures trading is open. Result should be nan.")
+        assert_almost_equal(self.reader.get_value(1, tday, 'volume'), 0,
+                            err_msg="Thanksgiving is a NYSE holiday, but "
+                            "futures trading is open. Result should be 0.")
+
     def test_last_availabe_dt(self):
         self.assertEqual(self.reader.last_available_dt, self.END_DATE)
 
@@ -669,3 +747,21 @@ def test_get_last_traded_dt(self):
         self.assertEqual(self.reader.get_last_traded_dt(asset,
                                                         self.END_DATE),
                          self.END_DATE)
+
+    def test_sessions(self):
+        sessions = self.reader.sessions
+        self.assertEqual(21, len(sessions),
+                         "There should be 21 sessions in 2015-11.")
+        self.assertEqual(pd.Timestamp('2015-11-02', tz='UTC'),
+                         sessions[0])
+        self.assertEqual(pd.Timestamp('2015-11-30', tz='UTC'),
+                         sessions[-1])
+
+    def test_first_trading_day(self):
+        self.assertEqual(self.reader.first_trading_day, self.START_DATE)
+
+    def test_trading_calendar(self):
+        self.assertEqual('us_futures',
+                         self.reader.trading_calendar.name,
+                         "The calendar for the reindex reader should be the "
+                         "specified futures calendar.")

zipline/data/resample.py

@@ -15,11 +15,13 @@
 from abc import ABCMeta, abstractmethod
 
 import numpy as np
+from numpy import nan
 import pandas as pd
 from pandas import DataFrame
 from six import with_metaclass
 
 from zipline.data.minute_bars import MinuteBarReader
+from zipline.data.us_equity_pricing import NoDataOnDate
 from zipline.data.session_bars import SessionBarReader
 from zipline.utils.memoize import lazyval
 
@@ -584,15 +586,21 @@ def first_trading_day(self):
         return self._reader.first_trading_day
 
     def get_value(self, sid, dt, field):
-        return self._reader.get_value(sid, dt, field)
+        try:
+            return self._reader.get_value(sid, dt, field)
+        except NoDataOnDate:
+            if field == 'volume':
+                return 0
+            else:
+                return nan
 
     @abstractmethod
     def _outer_dts(self, start_dt, end_dt):
-        pass
+        raise NotImplementedError
 
     @abstractmethod
     def _inner_dts(self, start_dt, end_dt):
-        pass
+        raise NotImplementedError
 
     @property
     def trading_calendar(self):

zipline/data/session_bars.py

@@ -15,6 +15,21 @@
 from six import with_metaclass
 
 
+class NoDataOnDate(Exception):
+    """
+    Raised when a spot price can be found for the sid and date.
+    """
+    pass
+
+
+class NoDataBeforeDate(Exception):
+    pass
+
+
+class NoDataAfterDate(Exception):
+    pass
+
+
 class SessionBarReader(with_metaclass(ABCMeta)):
     """
     Reader for OHCLV pricing data at a session frequency.

zipline/data/us_equity_pricing.py

@@ -49,7 +49,12 @@
     string_types,
 )
 
-from zipline.data.session_bars import SessionBarReader
+from zipline.data.session_bars import (
+    SessionBarReader,
+    NoDataAfterDate,
+    NoDataBeforeDate,
+    NoDataOnDate,
+)
 from zipline.utils.calendars import get_calendar
 from zipline.utils.functional import apply
 from zipline.utils.preprocess import call
@@ -99,21 +104,6 @@
 UINT32_MAX = iinfo(uint32).max
 
 
-class NoDataOnDate(Exception):
-    """
-    Raised when a spot price can be found for the sid and date.
-    """
-    pass
-
-
-class NoDataBeforeDate(Exception):
-    pass
-
-
-class NoDataAfterDate(Exception):
-    pass
-
-
 def check_uint32_safe(value, colname):
     if value >= UINT32_MAX:
         raise ValueError(