Zipline 日频回测

WHENWhen writing daily bar data to bcolz format

ACTIONverify each asset has exactly one row per trading session with no gaps or duplicates

CONSEQUENCEThe BcolzDailyBarWriter raises an AssertionError if the number of rows per asset does not match the expected session count. Missing or extra sessions cause incorrect data alignment during backtesting, leading to wrong price lookups.

WHENWhen validating OHLCV price values during ingestion

ACTIONverify each price and volume values fit within uint32 bounds after scaling

CONSEQUENCEPrice columns are scaled by 1000 and stored as uint32. Values exceeding UINT32_MAX (~4.29 billion) cause data corruption, zeroing out prices or causing silent data loss depending on invalid_data_behavior setting.

WHENWhen providing start_session or end_session to BcolzDailyBarWriter

ACTIONverify provided session dates are valid trading days on the specified calendar

CONSEQUENCEInvalid session dates that are not trading days cause ValueError to be raised, preventing bundle ingestion from completing.