Add zipline-like history() for epex auction products (prio high)

[warren-oneill]

Purpose

Give the algo developer access to the last n days of each product, e.g. '01' auction prices for the last 5 days, inside handle_data. Currently zipline orders the data by sid but we would like to have the data ordered by product.

Level of Ready

• EPEX Auction data in databank
• auction order function in powerline

  Tasks

• make subclass of history function which uses product instead of sid to sort the data
• history should return a dataframe which has the following form

index      |  00   |   01  |   02  | .............. |   23  |
-------------------------------------------------------------
2015-12-01 | 12.10 | 20.02 | 22.05 | .............. | 40.04 |

• Method should return each trade and not each minute
• create example Auto Regression algo that uses the new history() - Warren
• History should save the following prices: Auction, IDV - Max
• when there is an updated price it should overwrite the old price - Max

  Level of Done

• unittest

• 90% coverage

[warren-oneill]

cc @dhexus

[dhexus]

Algo developers should have inbuilt access to all data that has been provided through data events.

[warren-oneill]

@dhexus please review. Auction history is added. ID will follow in a later story.

[warren-oneill]

IDV is added. need to add more thorough tests.

[warren-oneill]

@maxkoe I will try to fill out the description above over the next few days.

[warren-oneill]

hi @maxkoe I've been messing around a bit with the my current history stuff and it seems quite slow unfortunately. So it would be great if also keep a lookout for any possible ways of increasing performance. Thanks!

[warren-oneill]

also it could be good to have a look at how the zipline people test their history https://github.com/grundgruen/zipline/blob/master/tests/test_history.py. Also they don't have the same issue of different versions of the same price that we have.

[maxkoe]

Additional test procedures can be found in the files tests/test_history_mock_data.py and tests/test_history_mock_batch.py, both in the branchhistory_tests. The old test is there in the filetest_history_db_data.py`.