Revert "Merge pull request #1340 from quantopian/by-daily-i-mean-minutely"

This reverts commit f4456719b0, reversing
changes made to 4be07e4628.

zipline/algorithm.py

@@ -119,7 +119,10 @@ from zipline.utils.preprocess import preprocess
 import zipline.protocol
 from zipline.sources.requests_csv import PandasRequestsCSV
 
-from zipline.gens.sim_engine import MinuteSimulationClock
+from zipline.gens.sim_engine import (
+    MinuteSimulationClock,
+    DailySimulationClock,
+)
 from zipline.sources.benchmark_source import BenchmarkSource
 from zipline.zipline_warnings import ZiplineDeprecationWarning
 
@@ -494,31 +497,25 @@ class TradingAlgorithm(object):
         """
         If the clock property is not set, then create one based on frequency.
         """
-        trading_o_and_c = self.trading_calendar.schedule.ix[
-            self.sim_params.sessions]
-        market_closes = trading_o_and_c['market_close'].values.astype(np.int64)
-
         if self.sim_params.data_frequency == 'minute':
+            trading_o_and_c = self.trading_calendar.schedule.ix[
+                self.sim_params.sessions]
             market_opens = trading_o_and_c['market_open'].values.astype(
-                np.int64)
+                'datetime64[ns]').astype(np.int64)
+            market_closes = trading_o_and_c['market_close'].values.astype(
+                'datetime64[ns]').astype(np.int64)
 
             minutely_emission = self.sim_params.emission_rate == "minute"
 
-            return MinuteSimulationClock(
+            clock = MinuteSimulationClock(
                 self.sim_params.sessions,
                 market_opens,
                 market_closes,
                 minutely_emission
             )
+            return clock
         else:
-            # in daily mode, we want to have one bar per session, timestamped
-            # as the last minute of the session.
-            return MinuteSimulationClock(
-                self.sim_params.sessions,
-                market_closes,
-                market_closes,
-                False
-            )
+            return DailySimulationClock(self.sim_params.sessions)
 
     def _create_benchmark_source(self):
         return BenchmarkSource(