Merge pull request #1388 from quantopian/future-pricing-cleanup

Cleanup some Futures related modules and values.

zipline/data/future_pricing.py

@@ -1,27 +0,0 @@
-# Copyright 2015 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.
-
-
-class FutureDailyReader(object):
-    """
-    Stubbed out. Currently unimplemented.
-    """
-    pass
-
-
-class FutureMinuteReader(object):
-
-    def __init__(self, rootdir, sid_path_func=None):
-        self.rootdir = rootdir
-        self.sid_path_func = sid_path_func

zipline/data/minute_bars.py

@@ -34,6 +34,7 @@ from zipline.utils.cli import maybe_show_progress
 from zipline.utils.memoize import lazyval
 
 US_EQUITIES_MINUTES_PER_DAY = 390
+FUTURES_MINUTES_PER_DAY = 1440
 
 DEFAULT_EXPECTEDLEN = US_EQUITIES_MINUTES_PER_DAY * 252 * 15
 

zipline/testing/fixtures.py

@@ -26,7 +26,8 @@ from ..data.us_equity_pricing import (
 from ..data.minute_bars import (
     BcolzMinuteBarReader,
     BcolzMinuteBarWriter,
-    US_EQUITIES_MINUTES_PER_DAY
+    US_EQUITIES_MINUTES_PER_DAY,
+    FUTURES_MINUTES_PER_DAY,
 )
 
 from ..finance.trading import TradingEnvironment
@@ -1052,8 +1053,7 @@ class WithBcolzFutureMinuteBarReader(WithFutureMinuteBarData, WithTmpDir):
             p,
             trading_calendar.schedule.market_open.loc[days],
             trading_calendar.schedule.market_close.loc[days],
-            # TODO: Make futures minutes per day.
-            1440,
+            FUTURES_MINUTES_PER_DAY,
         )
         writer.write(cls.make_future_minute_bar_data())