TST: Ensure that create_trade_history uses midnight for daily trades.

Prepare for implementation of backtest loop that depends on daily
trades being grouped by midnight.

tests/test_perf_tracking.py

@@ -80,6 +80,7 @@ class TestDividendPerformance(unittest.TestCase):
             )
             self.assertEqual(after.hour, 13)
 
+    @trading.use_environment(trading.TradingEnvironment())
     def test_long_position_receives_dividend(self):
         #post some trades in the market
         events = factory.create_trade_history(
@@ -126,11 +127,12 @@ class TestDividendPerformance(unittest.TestCase):
         perf_messages, risk = perf_tracker.handle_simulation_end()
         results.append(perf_messages[0])
 
-        self.assertEqual(results[0]['daily_perf']['period_open'], events[0].dt)
+        self.assertEqual(
+            results[0]['daily_perf']['period_open'],
+            trading.environment.get_open_and_close(events[0].dt)[0])
         self.assertEqual(
             results[-1]['daily_perf']['period_open'],
-            events[-1].dt
-        )
+            trading.environment.get_open_and_close(events[-1].dt)[0])
 
         self.assertEqual(len(results), 5)
         cumulative_returns = \

zipline/utils/factory.py

@@ -145,8 +145,14 @@ def create_trade_history(sid, prices, amounts, interval, sim_params,
     trades = []
     current = sim_params.first_open
 
+    oneday = timedelta(days=1)
+    use_midnight = interval >= oneday
     for price, amount in zip(prices, amounts):
-        trade = create_trade(sid, price, amount, current, source_id)
+        if use_midnight:
+            trade_dt = current.replace(hour=0, minute=0)
+        else:
+            trade_dt = current
+        trade = create_trade(sid, price, amount, trade_dt, source_id)
         trades.append(trade)
         current = get_next_trading_dt(current, interval)