Fix Pandas >= 2.x compatibility issue in get_history() frequency generation#33
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JrryChen wants to merge 2 commits into
Open
Fix Pandas >= 2.x compatibility issue in get_history() frequency generation#33JrryChen wants to merge 2 commits into
JrryChen wants to merge 2 commits into
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Newer numpy versions use a lowercase "h" instead of "H". When trying to get smaller granular historical data like at 5 seconds, an error would occur:
ValueError: Invalid frequency: 6H. Failed to parse with error message: ValueError("Invalid frequency: H. Failed to parse with error message: KeyError('H'). Did you mean h?")
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This PR fixes a compatibility issue with Pandas versions >= 2.x when calling get_history with second-based granularity (e.g. "S5").
In newer Pandas versions, uppercase time frequency aliases are no longer accepted when passed to pd.time_date() so the current implementation of batching frequencies into hourly segments when a user requests second-based granularity breaks, resulting in an error:
ValueError: Invalid frequency: 6H.
Failed to parse with error message:
ValueError("Invalid frequency: H. Failed to parse with error message: KeyError('H'). Did you mean h?")
This PR updates this freq string to use a lowercase "h" to be more in line with newer Pandas versions.
No other bugs were noticed beyond fixing this error.