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

zipline/testing/core.py

@@ -507,14 +507,11 @@ def create_data_portal(asset_finder, tempdir, sim_params, sids,
 
 
 def write_bcolz_minute_data(trading_calendar, days, path, data):
-    market_opens = trading_calendar.schedule.loc[days].market_open
-    market_closes = trading_calendar.schedule.loc[days].market_close
-
     BcolzMinuteBarWriter(
-        days[0],
         path,
-        market_opens,
-        market_closes,
+        trading_calendar,
+        days[0],
+        days[-1],
         US_EQUITIES_MINUTES_PER_DAY
     ).write(data)
 

zipline/testing/fixtures.py

@@ -995,10 +995,10 @@ class WithBcolzEquityMinuteBarReader(WithEquityMinuteBarData, WithTmpDir):
         days = cls.equity_minute_bar_days
 
         writer = BcolzMinuteBarWriter(
-            days[0],
             p,
-            cls.trading_calendar.schedule.market_open.loc[days],
-            cls.trading_calendar.schedule.market_close.loc[days],
+            cls.trading_calendar,
+            days[0],
+            days[-1],
             US_EQUITIES_MINUTES_PER_DAY
         )
         writer.write(cls.make_equity_minute_bar_data())
@@ -1055,10 +1055,10 @@ class WithBcolzFutureMinuteBarReader(WithFutureMinuteBarData, WithTmpDir):
         days = cls.future_minute_bar_days
 
         writer = BcolzMinuteBarWriter(
-            days[0],
             p,
-            trading_calendar.schedule.market_open.loc[days],
-            trading_calendar.schedule.market_close.loc[days],
+            trading_calendar,
+            days[0],
+            days[-1],
             FUTURES_MINUTES_PER_DAY,
         )
         writer.write(cls.make_future_minute_bar_data())