Merge pull request #1667 from quantopian/pricing-fixture-cleanups

Pricing fixture cleanups

tests/calendars/test_trading_calendar.py

@@ -670,6 +670,14 @@ class ExchangeCalendarTestBase(object):
             found_open, found_close = \
                 self.calendar.open_and_close_for_session(session_label)
 
+            # Test that the methods for just session open and close produce the
+            # same values as the method for getting both.
+            alt_open = self.calendar.session_open(session_label)
+            self.assertEqual(alt_open, found_open)
+
+            alt_close = self.calendar.session_close(session_label)
+            self.assertEqual(alt_close, found_close)
+
             self.assertEqual(open_answer, found_open)
             self.assertEqual(close_answer, found_close)
 

zipline/data/history_loader.py

@@ -34,6 +34,7 @@ from zipline.lib.adjustment import Float64Multiply, Float64Add
 from zipline.utils.cache import ExpiringCache
 from zipline.utils.memoize import lazyval
 from zipline.utils.numpy_utils import float64_dtype
+from zipline.utils.pandas_utils import find_in_sorted_index
 
 
 class HistoryCompatibleUSEquityAdjustmentReader(object):
@@ -376,14 +377,10 @@ class HistoryLoader(with_metaclass(ABCMeta)):
         size = len(dts)
         asset_windows = {}
         needed_assets = []
+        cal = self._calendar
 
         assets = self._asset_finder.retrieve_all(assets)
-
-        try:
-            end_ix = self._calendar.searchsorted(end)
-        except KeyError:
-            raise KeyError("{0} not in calendar [{1}...{2}]".format(
-                end, self._calendar[0], self._calendar[-1]))
+        end_ix = find_in_sorted_index(cal, end)
 
         for asset in assets:
             try:
@@ -401,15 +398,9 @@ class HistoryLoader(with_metaclass(ABCMeta)):
                     asset_windows[asset] = window
 
         if needed_assets:
-            start = dts[0]
-
             offset = 0
-            try:
-                start_ix = self._calendar.searchsorted(start)
-            except KeyError:
-                raise KeyError("{0} not in calendar [{1}...{2}]".format(
-                    start, self._calendar[0], self._calendar[-1]))
-            cal = self._calendar
+            start_ix = find_in_sorted_index(cal, dts[0])
+
             prefetch_end_ix = min(end_ix + self._prefetch_length, len(cal) - 1)
             prefetch_end = cal[prefetch_end_ix]
             prefetch_dts = cal[start_ix:prefetch_end_ix + 1]

zipline/testing/fixtures.py

@@ -685,15 +685,25 @@ class WithEquityDailyBarData(WithTradingEnvironment):
     WithEquityMinuteBarData
     zipline.testing.create_daily_bar_data
     """
-    EQUITY_DAILY_BAR_LOOKBACK_DAYS = 0
-
     EQUITY_DAILY_BAR_USE_FULL_CALENDAR = False
     EQUITY_DAILY_BAR_START_DATE = alias('START_DATE')
     EQUITY_DAILY_BAR_END_DATE = alias('END_DATE')
     EQUITY_DAILY_BAR_SOURCE_FROM_MINUTE = None
 
+    @classproperty
+    def EQUITY_DAILY_BAR_LOOKBACK_DAYS(cls):
+        # If we're sourcing from minute data, then we almost certainly want the
+        # minute bar calendar to be aligned with the daily bar calendar, so
+        # re-use the same lookback parameter.
+        if cls.EQUITY_DAILY_BAR_SOURCE_FROM_MINUTE:
+            return cls.EQUITY_MINUTE_BAR_LOOKBACK_DAYS
+        else:
+            return 0
+
     @classmethod
     def _make_equity_daily_bar_from_minute(cls):
+        assert issubclass(cls, WithEquityMinuteBarData), \
+            "Can't source daily data from minute without minute data!"
         assets = cls.asset_finder.retrieve_all(cls.asset_finder.equities_sids)
         minute_data = dict(cls.make_equity_minute_bar_data())
         for asset in assets:
@@ -873,11 +883,9 @@ class WithEquityMinuteBarData(_WithMinuteBarDataBase):
     Methods
     -------
     make_equity_minute_bar_data() -> iterable[(int, pd.DataFrame)]
-        A class method that returns a dict mapping sid to dataframe
-        which will be written to into the the format of the inherited
-        class which writes the minute bar data for use by a reader.
-        By default this creates some simple sythetic data with
-        :func:`~zipline.testing.create_minute_bar_data`
+        Classmethod producing an iterator of (sid, minute_data) pairs.
+        The default implementation invokes
+        zipline.testing.core.create_minute_bar_data.
 
     See Also
     --------

zipline/utils/calendars/trading_calendar.py

@@ -643,6 +643,18 @@ class TradingCalendar(with_metaclass(ABCMeta)):
         return (o_and_c['market_open'].tz_localize('UTC'),
                 o_and_c['market_close'].tz_localize('UTC'))
 
+    def session_open(self, session_label):
+        return self.schedule.loc[
+            session_label,
+            'market_open'
+        ].tz_localize('UTC')
+
+    def session_close(self, session_label):
+        return self.schedule.loc[
+            session_label,
+            'market_close'
+        ].tz_localize('UTC')
+
     @property
     def all_sessions(self):
         return self.schedule.index

zipline/utils/pandas_utils.py

@@ -91,6 +91,37 @@ def mask_between_time(dts, start, end, include_start=True, include_end=True):
     )
 
 
+def find_in_sorted_index(dts, dt):
+    """
+    Find the index of ``dt`` in ``dts``.
+
+    This function should be used instead of `dts.get_loc(dt)` if the index is
+    large enough that we don't want to initialize a hash table in ``dts``. In
+    particular, this should always be used on minutely trading calendars.
+
+    Parameters
+    ----------
+    dts : pd.DatetimeIndex
+        Index in which to look up ``dt``. **Must be sorted**.
+    dt : pd.Timestamp
+        ``dt`` to be looked up.
+
+    Returns
+    -------
+    ix : int
+        Integer index such that dts[ix] == dt.
+
+    Raises
+    ------
+    KeyError
+        If dt is not in ``dts``.
+    """
+    ix = dts.searchsorted(dt)
+    if dts[ix] != dt:
+        raise LookupError("{dt} is not in {dts}".format(dt=dt, dts=dts))
+    return ix
+
+
 def nearest_unequal_elements(dts, dt):
     """
     Find values in ``dts`` closest but not equal to ``dt``.