Merge branch to adjust benchmark times in minute mode.

tests/test_algorithm_gen.py

@@ -159,3 +159,17 @@ class AlgorithmGeneratorTestCase(TestCase):
         gen = algo.get_generator()
         results = list(gen)
         self.assertEqual(results[-2]['progress'], 1.0)
+
+    def test_benchmark_times_match_market_close_for_minutely_data(self):
+        """
+        Benchmark dates should be adjusted so that benchmark events are
+        emitted at the end of each trading day when working with minutely
+        data.
+        Verification relies on the fact that there are no trades so
+        algo.datetime should be equal to the last benchmark time.
+        See https://github.com/quantopian/zipline/issues/241
+        """
+        sim_params = factory.create_simulation_parameters(num_days=1)
+        algo = TestAlgo(self, sim_params=sim_params, data_frequency='minute')
+        algo.run(source=[])
+        self.assertEqual(algo.datetime, sim_params.last_close)

tests/test_tradesimulation.py

@@ -0,0 +1,28 @@
+#
+# Copyright 2014 Quantopian, Inc.
+#
+# Licensed under the Apache License, Version 2.0 (the "License");
+# you may not use this file except in compliance with the License.
+# You may obtain a copy of the License at
+#
+#     http://www.apache.org/licenses/LICENSE-2.0
+#
+# Unless required by applicable law or agreed to in writing, software
+# distributed under the License is distributed on an "AS IS" BASIS,
+# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+# See the License for the specific language governing permissions and
+# limitations under the License.
+
+from unittest import TestCase
+from zipline.test_algorithms import NoopAlgorithm
+from zipline.utils import factory
+
+
+class TestTradeSimulation(TestCase):
+
+    def test_minutely_emissions_generate_performance_stats_for_last_day(self):
+        params = factory.create_simulation_parameters(num_days=1)
+        params.emission_rate = 'minute'
+        algo = NoopAlgorithm()
+        algo.run(source=[], sim_params=params)
+        self.assertEqual(algo.perf_tracker.day_count, 1.0)

zipline/algorithm.py

@@ -59,6 +59,7 @@ DEFAULT_CAPITAL_BASE = float("1.0e5")
 
 
 class TradingAlgorithm(object):
+
     """
     Base class for trading algorithms. Inherit and overload
     initialize() and handle_data(data).
@@ -83,6 +84,7 @@ class TradingAlgorithm(object):
     stats = my_algo.run(data)
 
     """
+
     def __init__(self, *args, **kwargs):
         """Initialize sids and other state variables.
 
@@ -227,8 +229,14 @@ class TradingAlgorithm(object):
         skipped.
         """
         if self.benchmark_return_source is None:
+            env = trading.environment
+            if (self.data_frequency == 'minute'
+                    or sim_params.emission_rate == 'minute'):
+                update_time = lambda date: env.get_open_and_close(date)[1]
+            else:
+                update_time = lambda date: date
             benchmark_return_source = [
-                Event({'dt': dt,
+                Event({'dt': update_time(dt),
                        'returns': ret,
                        'type': zipline.protocol.DATASOURCE_TYPE.BENCHMARK,
                        'source_id': 'benchmarks'})

zipline/gens/tradesimulation.py

@@ -188,7 +188,7 @@ class AlgorithmSimulator(object):
                             yield daily_rollup
                             tp = self.algo.perf_tracker.todays_performance
                             tp.rollover()
-                            if mkt_close < self.algo.perf_tracker.last_close:
+                            if mkt_close <= self.algo.perf_tracker.last_close:
                                 _, mkt_close = \
                                     trading.environment.next_open_and_close(
                                         mkt_close

zipline/test_algorithms.py

@@ -131,9 +131,15 @@ class NoopAlgorithm(TradingAlgorithm):
     def get_sid_filter(self):
         return []
 
+    def initialize(self):
+        pass
+
     def set_transact_setter(self, txn_sim_callable):
         pass
 
+    def handle_data(self, data):
+        pass
+
 
 class ExceptionAlgorithm(TradingAlgorithm):
     """