Fixed start window in EventStudy

cuemacro · Apr 8, 2021 · 4320961 · 4320961
1 parent e790450
commit 4320961
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diff --git a/README.md b/README.md
@@ -167,6 +167,8 @@ In finmarketpy/examples you will find several examples, including some simple tr
 
 # finmarketpy log
 
+* 08 Apr 2021
+ * Fixed EventStudy issue when start window is before time series
 * 21 Mar 2021
  * Fixed issue with EventStudy
  * Refactored TradingModel when constructing weights

diff --git a/finmarketpy/economics/eventstudy.py b/finmarketpy/economics/eventstudy.py
@@ -134,11 +134,21 @@ def get_intraday_moves_over_custom_event(self, data_frame_rets, ef_time_frame, v
 
  vals = data_frame_rets.iloc[start_index[i]:finish_index[i]].values
 
+ st = ef_time_start[i]
+ en = ef_time_end[i]
+
  # Add extra "future" history in case we are doing an event study which goes outside our data window
  # (will just be filled with NaN)
  if len(vals) < len(lst_ords):
  extend = np.zeros((len(lst_ords) - len(vals), 1)) * np.nan
- vals = np.append(vals, extend)
+
+ # If start window date is before we have data
+ if st < data_frame_rets.index[0]:
+ vals = np.append(extend, vals)
+
+ # If end date window is after we have data
+ else:
+ vals = np.append(vals, extend)
 
  data_frame[ef_time_frame.index[i]] = vals