BUG: Zero out the microsecond attribute of datetimes

wherever we zero out the second attribute.  Otherwise, we can be
off by some microseconds from midnight, etc.

zipline/data/loader.py

@@ -217,7 +217,8 @@ Fetching data from data.treasury.gov
     tr_curves = {}
     for packed_date, curve in tr_list:
         tr_dt = tuple_to_date(packed_date)
-        #tr_dt = tr_dt.replace(hour=0, minute=0, second=0, tzinfo=pytz.utc)
+        # tr_dt = tr_dt.replace(hour=0, minute=0, second=0, microsecond=0,
+        #                       tzinfo=pytz.utc)
         tr_curves[tr_dt] = curve
 
     fp_tr.close()

zipline/finance/performance.py

@@ -325,7 +325,8 @@ class PerformanceTracker(object):
 
     def handle_market_close(self):
         # add the return results from today to the list of DailyReturn objects.
-        todays_date = self.market_close.replace(hour=0, minute=0, second=0)
+        todays_date = self.market_close.replace(hour=0, minute=0, second=0,
+                                                microsecond=0)
         self.cumulative_performance.update_dividends(todays_date)
         self.todays_performance.update_dividends(todays_date)
 
@@ -369,7 +370,8 @@ class PerformanceTracker(object):
         # hour between the close of markets and the next open. To
         # make sure midnight_between matches identically with
         # dividend data dates, it is in UTC.
-        midnight_between = self.market_open.replace(hour=0, minute=0, second=0)
+        midnight_between = self.market_open.replace(hour=0, minute=0, second=0,
+                                                    microsecond=0)
         self.cumulative_performance.update_dividends(midnight_between)
         self.todays_performance.update_dividends(midnight_between)
 

zipline/finance/risk.py

@@ -228,7 +228,7 @@ def select_treasury_duration(start_date, end_date):
 
 def choose_treasury(treasury_curves, start_date, end_date):
     treasury_duration = select_treasury_duration(start_date, end_date)
-    end_day = end_date.replace(hour=0, minute=0, second=0)
+    end_day = end_date.replace(hour=0, minute=0, second=0, microsecond=0)
     search_day = None
 
     if end_day in treasury_curves:

zipline/finance/trading.py

@@ -189,6 +189,7 @@ Last successful date: %s" % self.market_open)
             hour=9,
             minute=30,
             second=0,
+            microsecond=0,
             tzinfo=None
         )
         # create a new Delorean with the next_open naive date and

zipline/protocol.py

@@ -125,7 +125,7 @@ class DailyReturn(object):
     def __init__(self, date, returns):
 
         assert isinstance(date, datetime.datetime)
-        self.date = date.replace(hour=0, minute=0, second=0)
+        self.date = date.replace(hour=0, minute=0, second=0, microsecond=0)
         self.returns = returns
 
     def to_dict(self):

zipline/sources/test_source.py

@@ -72,11 +72,12 @@ def date_gen(start=datetime(2006, 6, 6, 12, tzinfo=pytz.utc),
             yield cur
 
         cur = cur + delta
-        cur_midnight = cur.replace(hour=0, minute=0, second=0)
+        cur_midnight = cur.replace(hour=0, minute=0, second=0, microsecond=0)
         # skip over any non-trading days
         while cur_midnight not in trading_days:
             cur = cur + one_day
-            cur_midnight = cur.replace(hour=0, minute=0, second=0)
+            cur_midnight = cur.replace(hour=0, minute=0, second=0,
+                                       microsecond=0)
             cur = cur.replace(day=cur_midnight.day)
 
 

zipline/utils/factory.py

@@ -159,9 +159,10 @@ def create_dividend(sid, payment, declared_date, ex_date, pay_date):
         'sid': sid,
         'gross_amount': payment,
         'net_amount': payment,
-        'dt': declared_date.replace(hour=0, minute=0, second=0),
-        'ex_date': ex_date.replace(hour=0, minute=0, second=0),
-        'pay_date': pay_date.replace(hour=0, minute=0, second=0),
+        'dt': declared_date.replace(hour=0, minute=0, second=0, microsecond=0),
+        'ex_date': ex_date.replace(hour=0, minute=0, second=0, microsecond=0),
+        'pay_date': pay_date.replace(hour=0, minute=0, second=0,
+                                     microsecond=0),
         'type': DATASOURCE_TYPE.DIVIDEND
     })