BUG: Fix infinite loops and data corruption in data layer#317
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pandashark wants to merge 1 commit intostefan-jansen:mainfrom
Open
BUG: Fix infinite loops and data corruption in data layer#317pandashark wants to merge 1 commit intostefan-jansen:mainfrom
pandashark wants to merge 1 commit intostefan-jansen:mainfrom
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Fix convert_cols exclude mask to use |= instead of &= so rows with uint32 overflow are actually filtered. Add bounds check in DataPortal._get_daily_spot_value to prevent infinite loop when no valid close price exists. Fix BcolzDailyBarReader.get_last_traded_dt to return pd.NaT when prev_day_ix reaches -1. Apply tz_localize to merger adjustment dates consistent with splits and dividends. Add path traversal validation to tar.extractall in Quandl bundle (CVE-2007-4559). Closes stefan-jansen#314
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Summary
Fixes 5 data layer bugs including 2 infinite loops, a data corruption issue, a timezone inconsistency, and a security vulnerability:
convert_colsused&=instead of|=for the exclude mask, meaning rows were never excluded unless every column overflowed simultaneously.DataPortal._get_daily_spot_valuelooped infinitely searching backwards for a non-NaN close price with no bounds check against_first_trading_day.BcolzDailyBarReader.get_last_traded_dtlooped infinitely whenprev_day_ixreached -1.tar.extractall()in the Quandl bundle had no path validation.Closes #314
Test plan