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ENH: Pass calendar instance to BcolzMinuteBarWriter (#1406)
* First pass. * Improvements and fixes - Update usages of BcolzMinuteBarWriter - Updates with rebuilt example data - Expose calendar from BcolzMinuteBarMetadata instead of calendar_name - Keep market_opens and market_closes in metadata for compatibility * Store start_session and end_session in minute bcolz metadata - start_session replaces first_trading_day - Add end_session to limit to correct days * For last_available_dt, get last close from calendar to maintain tz * Bumps version and handles earlier versionson read * Rebuilt example data on python 3 * Indicate metadata fields that are deprecated
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@@ -3532,12 +3532,6 @@ class TestEquityAutoClose(WithTmpDir, WithTradingCalendars, ZiplineTestCase):
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sids = asset_info.index
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env = self.enter_instance_context(tmp_trading_env(equities=asset_info))
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market_opens = self.trading_calendar.schedule.market_open.loc[
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self.test_days
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]
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market_closes = self.trading_calendar.schedule.market_close.loc[
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self.test_days
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]
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if frequency == 'daily':
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dates = self.test_days
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@@ -3569,10 +3563,10 @@ class TestEquityAutoClose(WithTmpDir, WithTradingCalendars, ZiplineTestCase):
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self.test_days[-1],
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)
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writer = BcolzMinuteBarWriter(
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self.test_days[0],
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self.tmpdir.path,
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market_opens,
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market_closes,
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self.trading_calendar,
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self.test_days[0],
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self.test_days[-1],
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US_EQUITIES_MINUTES_PER_DAY
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)
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trade_data_by_sid = make_trade_data_for_asset_info(
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