MAINT: Use TradingCalendar objects for bundles (#1397)

* MAINT: Use TradingCalendar objects for bundles

Instead of trading days, opens, and closes, register now takes a
TradingCalendar object, along with a start_session and end_session. The
ingest function is now passed these values instead as well.

* Accept calendar name in addition to the actual object

* Updates bundles documentation for changes

* Fix typo in docs

* Use class formatting

* Force start_session and end_session within the bounds of the calendar

* Use UTC timestamps in test_core

* Document Trading Calendar API in appendix.rst

tests/data/bundles/test_core.py

@@ -30,7 +30,7 @@ from zipline.testing.predicates import (
 )
 from zipline.utils.cache import dataframe_cache
 from zipline.utils.functional import apply
-from zipline.utils.calendars import get_calendar
+from zipline.utils.calendars import TradingCalendar, get_calendar
 import zipline.utils.paths as pth
 
 
@@ -96,6 +96,8 @@ class BundleCoreTestCase(WithInstanceTmpDir, ZiplineTestCase):
                           daily_bar_writer,
                           adjustment_writer,
                           calendar,
+                          start_session,
+                          end_session,
                           cache,
                           show_progress,
                           output_dir):
@@ -111,20 +113,19 @@ class BundleCoreTestCase(WithInstanceTmpDir, ZiplineTestCase):
     def test_ingest(self):
         start = pd.Timestamp('2014-01-06', tz='utc')
         end = pd.Timestamp('2014-01-10', tz='utc')
-        trading_days = get_calendar('NYSE').all_sessions
-        calendar = trading_days[trading_days.slice_indexer(start, end)]
-        minutes = get_calendar('NYSE').minutes_for_sessions_in_range(
-            calendar[0], calendar[-1]
-        )
+        calendar = get_calendar('NYSE')
+
+        sessions = calendar.sessions_in_range(start, end)
+        minutes = calendar.minutes_for_sessions_in_range(start, end)
 
         sids = tuple(range(3))
         equities = make_simple_equity_info(
             sids,
-            calendar[0],
-            calendar[-1],
+            start,
+            end,
         )
 
-        daily_bar_data = make_bar_data(equities, calendar)
+        daily_bar_data = make_bar_data(equities, sessions)
         minute_bar_data = make_bar_data(equities, minutes)
         first_split_ratio = 0.5
         second_split_ratio = 0.1
@@ -141,13 +142,11 @@ class BundleCoreTestCase(WithInstanceTmpDir, ZiplineTestCase):
             },
         ])
 
-        schedule = get_calendar('NYSE').schedule
-
         @self.register(
             'bundle',
             calendar=calendar,
-            opens=schedule.market_open[calendar[0]:calendar[-1]],
-            closes=schedule.market_close[calendar[0]: calendar[-1]],
+            start_session=start,
+            end_session=end,
         )
         def bundle_ingest(environ,
                           asset_db_writer,
@@ -155,6 +154,8 @@ class BundleCoreTestCase(WithInstanceTmpDir, ZiplineTestCase):
                           daily_bar_writer,
                           adjustment_writer,
                           calendar,
+                          start_session,
+                          end_session,
                           cache,
                           show_progress,
                           output_dir):
@@ -165,7 +166,7 @@ class BundleCoreTestCase(WithInstanceTmpDir, ZiplineTestCase):
             daily_bar_writer.write(daily_bar_data)
             adjustment_writer.write(splits=splits)
 
-            assert_is_instance(calendar, pd.DatetimeIndex)
+            assert_is_instance(calendar, TradingCalendar)
             assert_is_instance(cache, dataframe_cache)
             assert_is_instance(show_progress, bool)
 
@@ -192,19 +193,19 @@ class BundleCoreTestCase(WithInstanceTmpDir, ZiplineTestCase):
 
         actual = bundle.equity_daily_bar_reader.load_raw_arrays(
             columns,
-            calendar[0],
-            calendar[-1],
+            start,
+            end,
             sids,
         )
         for actual_column, colname in zip(actual, columns):
             assert_equal(
                 actual_column,
-                expected_bar_values_2d(calendar, equities, colname),
+                expected_bar_values_2d(sessions, equities, colname),
                 msg=colname,
             )
         adjustments_for_cols = bundle.adjustment_reader.load_adjustments(
             columns,
-            calendar,
+            sessions,
             pd.Index(sids),
         )
         for column, adjustments in zip(columns, adjustments_for_cols[:-1]):
@@ -263,7 +264,7 @@ class BundleCoreTestCase(WithInstanceTmpDir, ZiplineTestCase):
         # register but do not ingest data
         self.register('bundle', lambda *args: None)
 
-        ts = pd.Timestamp('2014')
+        ts = pd.Timestamp('2014', tz='UTC')
 
         with assert_raises(ValueError) as e:
             self.load('bundle', timestamp=ts, environ=self.environ)
@@ -291,13 +292,17 @@ class BundleCoreTestCase(WithInstanceTmpDir, ZiplineTestCase):
         """
         if not self.bundles:
             @self.register('bundle',
-                           calendar=pd.DatetimeIndex([pd.Timestamp('2014')]))
+                           calendar=get_calendar('NYSE'),
+                           start_session=pd.Timestamp('2014', tz='UTC'),
+                           end_session=pd.Timestamp('2014', tz='UTC'))
             def _(environ,
                   asset_db_writer,
                   minute_bar_writer,
                   daily_bar_writer,
                   adjustment_writer,
                   calendar,
+                  start_session,
+                  end_session,
                   cache,
                   show_progress,
                   output_dir):