BUG: adjust benchmark events to match market hours

Previously benchmark events were emitted at 0:00 on the day the
benchmark related to: in 'minute' emission mode this meant that
the benchmarks were emitted before any intra-day trades were
processed.

See: https://github.com/quantopian/zipline/issues/241

tests/test_algorithm_gen.py

@@ -159,3 +159,17 @@ class AlgorithmGeneratorTestCase(TestCase):
         gen = algo.get_generator()
         results = list(gen)
         self.assertEqual(results[-2]['progress'], 1.0)
+
+    def test_benchmark_times_match_market_close_for_minutely_data(self):
+        """
+        Benchmark dates should be adjusted so that benchmark events are
+        emitted at the end of each trading day when working with minutely
+        data.
+        Verification relies on the fact that there are no trades so
+        algo.datetime should be equal to the last benchmark time.
+        See https://github.com/quantopian/zipline/issues/241
+        """
+        sim_params = factory.create_simulation_parameters(num_days=1)
+        algo = TestAlgo(self, sim_params=sim_params, data_frequency='minute')
+        algo.run(source=[])
+        self.assertEqual(algo.datetime, sim_params.last_close)

zipline/algorithm.py

@@ -227,8 +227,13 @@ class TradingAlgorithm(object):
         skipped.
         """
         if self.benchmark_return_source is None:
+            env = trading.environment
+            if self.data_frequency == 'minute':
+                update_time = lambda date: env.get_open_and_close(date)[1]
+            else:
+                update_time = lambda date: date
             benchmark_return_source = [
-                Event({'dt': dt,
+                Event({'dt': update_time(dt),
                        'returns': ret,
                        'type': zipline.protocol.DATASOURCE_TYPE.BENCHMARK,
                        'source_id': 'benchmarks'})