fix(data/filter): apply sort_index result in SeriesDFilter#2240
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genisis0x wants to merge 1 commit into
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fix(data/filter): apply sort_index result in SeriesDFilter#2240genisis0x wants to merge 1 commit into
genisis0x wants to merge 1 commit into
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_getFilterSeries called timestamp_series.sort_index() and discarded the return value. pandas Series.sort_index() returns a new sorted Series and does not sort in place, so the subsequent iteration ran over the unsorted series and could produce incorrect (timestamp, timestamp) filter ranges. Assign the sorted result back so the boundary scan sees timestamps in order, matching the intent of the existing comment. Closes microsoft#2165.
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@SunsetWolf a review when convenient would be great. One-liner in SeriesDFilter: |
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Description
Closes #2165.
In
qlib/data/filter.py,SeriesDFilter._getFilterSeriessorts the timestamp series but discards the result:pandas.Series.sort_index()returns a new sorted Series and does not sort in place (that would requireinplace=True). The series is therefore iterated unsorted in the loop that builds the(timestamp, timestamp)ranges, which can yield incorrect filter boundaries when the input index is not already ordered.Change
Assign the sorted result back:
timestamp_series = timestamp_series.sort_index(). This matches the intent of the existing comment and the in-order assumption of the boundary scan that follows.Testing
With an out-of-order input index, the boundary scan now iterates ascending timestamps and produces correctly ordered ranges. Already-sorted inputs are unaffected.