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Merge pull request #1444 from quantopian/use-session-label-on-daily

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BUG: Use session label instead of date for 1d.
This commit is contained in:
Eddie Hebert
2016-08-29 14:05:39 -04:00
committed by GitHub
parent 0ae85eb9c6 9474ccb0b2
commit 22ad891d51
2 changed files with 6 additions and 5 deletions
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zipline/data/data_portal.py
+2 -1
View File
@@ -634,7 +634,8 @@ class DataPortal(object):
Internal method that returns a dataframe containing history bars
of daily frequency for the given sids.
"""
days_for_window = self._get_days_for_window(end_dt.date(), bar_count)
session = self.trading_calendar.minute_to_session_label(end_dt)
days_for_window = self._get_days_for_window(session, bar_count)
if len(assets) == 0:
return pd.DataFrame(None,
zipline/data/resample.py
+4 -4
View File
@@ -107,12 +107,12 @@ class DailyHistoryAggregator(object):
self._one_min = pd.Timedelta('1 min').value
def _prelude(self, dt, field):
date = dt.date()
session = self._trading_calendar.minute_to_session_label(dt)
dt_value = dt.value
cache = self._caches[field]
if cache is None or cache[0] != date:
market_open = self._market_opens.loc[date]
cache = self._caches[field] = (dt.date(), market_open, {})
if cache is None or cache[0] != session:
market_open = self._market_opens.loc[session]
cache = self._caches[field] = (session, market_open, {})
_, market_open, entries = cache
market_open = market_open.tz_localize('UTC')