Can't read old TAQ files

dlab-projects / marketflow

Basic Python library for working with the TAQ (US Trade and Quote) dataset

http://marketflow.readthedocs.org/

BSD 2-Clause "Simplified" License

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Can't read old TAQ files #28

Open davclark opened 8 years ago

davclark commented 8 years ago

taq2h5 EQY_US_ALL_BBO_20111101.zip results in ValueError: no field of name Retail_Interest_Indicator_RPI.

Why don't our tests catch this? Well - we don't have a test datafile for each epoch. @yangraymond I guess you won't have time to create such a thing before you go?

davclark commented 8 years ago

Bug is "fixed" but leaving this open until there's a test file.