Fix from bad rebase.

zipline/utils/pandas_utils.py

@@ -1,6 +1,9 @@
 """
 Utilities for working with pandas objects.
 """
+from itertools import product
+import operator as op
+
 import pandas as pd
 from distutils.version import StrictVersion
 
@@ -26,4 +29,70 @@ except AttributeError:
 if pandas_version >= StrictVersion('0.17.1'):
     july_5th_holiday_observance = lambda dtix: dtix[dtix.year != 2013]
 else:
-    july_5th_holiday_observance = lambda dt: None if dt.year == 2013 else dt
+    july_5th_holiday_observance = lambda dt: None if dt.year == 2013 else dt
+
+
+def _time_to_micros(time):
+    """Convert a time into microseconds since midnight.
+    Parameters
+    ----------
+    time : datetime.time
+        The time to convert.
+    Returns
+    -------
+    us : int
+        The number of microseconds since midnight.
+    Notes
+    -----
+    This does not account for leap seconds or daylight savings.
+    """
+    seconds = time.hour * 60 * 60 + time.minute * 60 + time.second
+    return 1000000 * seconds + time.microsecond
+
+
+_opmap = dict(zip(
+    product((True, False), repeat=3),
+    product((op.le, op.lt), (op.le, op.lt), (op.and_, op.or_)),
+))
+
+
+def mask_between_time(dts, start, end, include_start=True, include_end=True):
+    """Return a mask of all of the datetimes in ``dts`` that are between
+    ``start`` and ``end``.
+    Parameters
+    ----------
+    dts : pd.DatetimeIndex
+        The index to mask.
+    start : time
+        Mask away times less than the start.
+    end : time
+        Mask away times greater than the end.
+    include_start : bool, optional
+        Inclusive on ``start``.
+    include_end : bool, optional
+        Inclusive on ``end``.
+    Returns
+    -------
+    mask : np.ndarray[bool]
+        A bool array masking ``dts``.
+    See Also
+    --------
+    :meth:`pandas.DatetimeIndex.indexer_between_time`
+    """
+    # This function is adapted from
+    # `pandas.Datetime.Index.indexer_between_time` which was originally
+    # written by Wes McKinney, Chang She, and Grant Roch.
+    time_micros = dts._get_time_micros()
+    start_micros = _time_to_micros(start)
+    end_micros = _time_to_micros(end)
+
+    left_op, right_op, join_op = _opmap[
+        bool(include_start),
+        bool(include_end),
+        start_micros <= end_micros,
+    ]
+
+    return join_op(
+        left_op(start_micros, time_micros),
+        right_op(time_micros, end_micros),
+    )