MAINT: Calculate tradingcalendar with days beyond the current day.

To make 'next open' calculations more straight ahead, calculate more
than enough days in the trading calendar.

zipline/data/loader.py

@@ -29,7 +29,10 @@ from . treasuries import get_treasury_data
 from . import benchmarks
 from . benchmarks import get_benchmark_returns
 
-from zipline.utils.tradingcalendar import trading_days
+from zipline.utils.tradingcalendar import (
+    trading_day,
+    trading_days
+)
 
 logger = logbook.Logger('Loader')
 
@@ -152,15 +155,19 @@ Fetching data from Yahoo Finance.
     saved_benchmarks = saved_benchmarks.tz_localize('UTC')
     fp_bm.close()
 
+    most_recent = pd.Timestamp('today', tz='UTC') - trading_day
+    most_recent_index = trading_days.searchsorted(most_recent)
+    days_up_to_now = trading_days[:most_recent_index + 1]
+
     # Find the offset of the last date for which we have trading data in our
     # list of valid trading days
     last_bm_date = saved_benchmarks.index[-1]
-    last_bm_date_offset = trading_days.searchsorted(
+    last_bm_date_offset = days_up_to_now.searchsorted(
         last_bm_date.strftime('%Y/%m/%d'))
 
     # If more than 1 trading days has elapsed since the last day where
     # we have data,then we need to update
-    if len(trading_days) - last_bm_date_offset > 1:
+    if len(days_up_to_now) - last_bm_date_offset > 1:
         benchmark_returns = update_benchmarks(bm_symbol, last_bm_date)
         if (
             benchmark_returns.index.tz is None
@@ -192,12 +199,12 @@ Fetching data from data.treasury.gov
     # Find the offset of the last date for which we have trading data in our
     # list of valid trading days
     last_tr_date = saved_curves.index[-1]
-    last_tr_date_offset = trading_days.searchsorted(
+    last_tr_date_offset = days_up_to_now.searchsorted(
         last_tr_date.strftime('%Y/%m/%d'))
 
     # If more than 1 trading days has elapsed since the last day where
     # we have data,then we need to update
-    if len(trading_days) - last_tr_date_offset > 1:
+    if len(days_up_to_now) - last_tr_date_offset > 1:
         treasury_curves = dump_treasury_curves()
     else:
         treasury_curves = saved_curves.tz_localize('UTC')

zipline/utils/tradingcalendar.py

@@ -20,9 +20,11 @@ import pytz
 from datetime import datetime, timedelta
 from dateutil import rrule
 
-start = datetime(1990, 1, 1, tzinfo=pytz.utc)
-end_dln = pd.Timestamp('today', tz='UTC')
-end = end_dln - timedelta(days=1)
+start = pd.Timestamp('1990-01-01', tz='UTC')
+end_base = pd.Timestamp('today', tz='UTC')
+# Give an aggressive buffer for logic that needs to use the next trading
+# day or minute.
+end = end_base + timedelta(days=365)
 
 
 def canonicalize_datetime(dt):
@@ -246,18 +248,14 @@ def get_non_trading_days(start, end):
     non_trading_days.sort()
     return pd.DatetimeIndex(non_trading_days)
 
+non_trading_days = get_non_trading_days(start, end)
+trading_day = pd.tseries.offsets.CDay(holidays=non_trading_days)
 
-def get_trading_days(start, end):
-    start = canonicalize_datetime(start)
-    end = canonicalize_datetime(end)
-
-    business_days = pd.DatetimeIndex(start=start, end=end,
-                                     freq=pd.datetools.BDay())
-
-    non_trading_days = get_non_trading_days(start, end)
-
-    return business_days - non_trading_days
 
+def get_trading_days(start, end, trading_day=trading_day):
+    return pd.date_range(start=start.date(),
+                         end=end.date(),
+                         freq=trading_day).tz_localize('UTC')
 
 trading_days = get_trading_days(start, end)