Merge pull request #1034 from quantopian/add-floor-to-trading-env

ENH: Add min date to TradingEnvironment.

tests/test_finance.py

@@ -25,6 +25,7 @@ from unittest import TestCase
 from datetime import datetime, timedelta
 
 import numpy as np
+import pandas as pd
 
 from nose.tools import timed
 
@@ -546,8 +547,16 @@ class TradingEnvironmentTestCase(TestCase):
         self.assertTrue(all(friday == minutes[31:421]))
         self.assertTrue(all(thursday == minutes[421:]))
 
+    def test_min_date(self):
+        min_date = pd.Timestamp('2016-03-04', tz='UTC')
+        env = TradingEnvironment(min_date=min_date)
+
+        self.assertGreaterEqual(env.first_trading_day, min_date)
+        self.assertGreaterEqual(env.treasury_curves.index[0],
+                                min_date)
+
     def test_max_date(self):
-        max_date = datetime(2008, 8, 1, tzinfo=pytz.utc)
+        max_date = pd.Timestamp('2008-08-01', tz='UTC')
         env = TradingEnvironment(max_date=max_date)
 
         self.assertLessEqual(env.last_trading_day, max_date)

zipline/finance/trading.py

@@ -68,6 +68,7 @@ class TradingEnvironment(object):
         load=None,
         bm_symbol='^GSPC',
         exchange_tz="US/Eastern",
+        min_date=None,
         max_date=None,
         env_trading_calendar=tradingcalendar,
         asset_db_path=':memory:'
@@ -82,10 +83,7 @@ class TradingEnvironment(object):
         # `tc_td` is short for "trading calendar trading days"
         tc_td = env_trading_calendar.trading_days
 
-        if max_date:
-            self.trading_days = tc_td[tc_td <= max_date].copy()
-        else:
-            self.trading_days = tc_td.copy()
+        self.trading_days = tc_td[tc_td.slice_indexer(min_date, max_date)]
 
         self.first_trading_day = self.trading_days[0]
         self.last_trading_day = self.trading_days[-1]