Merge pull request #685 from quantopian/data-in-before-trading-start

ENH: Make data available in before_trading_start.

tests/modelling/test_modelling_algo.py

@@ -197,9 +197,13 @@ class FFCAlgorithmTestCase(TestCase):
                     # unfortunate.
                     assert_almost_equal(computed, expected, decimal=2)
 
+        # Do the same checks in before_trading_start
+        before_trading_start = handle_data
+
         algo = TradingAlgorithm(
             initialize=initialize,
             handle_data=handle_data,
+            before_trading_start=before_trading_start,
             data_frequency='daily',
             ffc_loader=self.ffc_loader,
             asset_finder=self.asset_finder,

tests/test_tradesimulation.py

@@ -27,7 +27,7 @@ class BeforeTradingAlgorithm(TradingAlgorithm):
         self.before_trading_at = []
         super(BeforeTradingAlgorithm, self).__init__(*args, **kwargs)
 
-    def before_trading_start(self):
+    def before_trading_start(self, data):
         self.before_trading_at.append(self.datetime)
 
 

zipline/algorithm.py

@@ -322,11 +322,11 @@ class TradingAlgorithm(object):
         with ZiplineAPI(self):
             self._initialize(self)
 
-    def before_trading_start(self):
+    def before_trading_start(self, data):
         if self._before_trading_start is None:
             return
 
-        self._before_trading_start(self)
+        self._before_trading_start(self, data)
 
     def handle_data(self, data):
         self._most_recent_data = data

zipline/gens/tradesimulation.py

@@ -334,7 +334,7 @@ class AlgorithmSimulator(object):
         dt = normalize_date(dt)
         self.simulation_dt = dt
         self.on_dt_changed(dt)
-        self.algo.before_trading_start()
+        self.algo.before_trading_start(self.current_data)
 
     def on_dt_changed(self, dt):
         if self.algo.datetime != dt: